Research On The Innovation Of China's Volatility Index Option And American Experience

The Chicago Board Options Exchange created the VIX index since 1993 and became a precedent for the innovation and development of financial derivatives,which provided a successful development path "index options to the volatility index to volatility index futures and Options",The path was widely recognized as reference development model in the worldwide derivatives markets.Shanghai Stock Exchange launched 50ETF options on February 9th 2015 and launched China's volatility index under the 50ETF option contract,which marking the arrival of China's option era.The innovation of volatility index option is the inevitable trend of our capital market's development.This paper aims to explore the characteristics and the directive function of the VIX index in the US market,and to do empirical research on the risk management function of the VIX option during the financial crisis period.Mainly using comparative research and empirical research.Including the comparison of the characteristics and validity of the volatility index between China and the United States;the comparison of the volatility index derivative and the traditional hedge in the crisis period,in order to verify the VIX option has the effect of risk management and discusses the market effect of the Chinese wave index,which is influenced by irrational behavior.The empirical research method mainly adopts GARCH(1,1)model,which is used to simulate the implied volatility-of the iVIX Index.The GARCH option evaluation model is constructed to realize the pricing of China's iVIX Index Options and explore the causes of irrational behavior.Next,it applies Delta safe haven hedge strategy to verify the hedging effect,Finally,this paper puts forward the problem of constructing volatility index option and some suggestions to provide reference for China to launch volatility index option.