Study On Option Strategy

China's economy is undergoing profound transformation and changes,and a new round of high-quality economic growth is bound to come.The development of financial derivative instrument markets will maintain the stable development of the national economy and provide support for economic growth.At the same time,the development of financial derivative instruments such as futures and options is conducive to pricing resources and financial assets correctly,enabling domestic and foreign investors to have a further understanding of China's financial market.In general,the main parts of this paper are the study of “price strategies” and the study of the “volatility strategies”.The key problem solved by this paper is acquiring the option strategies of obtaining effective profit based on Chinese financial market.The effective option price curve fitting methods,the effective volatility prediction models and the reasonable combining options are studied,so as to obtain the option strategies that give consideration to both stability and profitability.For pricing strategy,firstly,we do empirical research on price curve fitting of 50 ETF option based on BS model,and then calculate the deviation index to construct short strategy for option portfolio research.For the volatility strategy,a rolling updating model based on 50 ETF is established to predict the average implied volatility of options.The short volatility strategy is studied by using the channel index to construct volatility channel.Finally,in view of the shortcomings of the strategy,the strategy is optimized.This paper finds that the short strategy of put option is obviously superior to that of call option in price strategy.In addition,the historical volatility of 50 ETF index is highly correlated with the average implied volatility of the 50 ETF option,and the fitting of the average implied volatility of the option with the historical volatility is effective.Volatility strategy has a large profit margin.The research of option volatility strategy can probably become a direction of further research on option volatility prediction research.The paper finally gets the profitable price strategies and volatility strategies,which provides a new way for investors to allocate assets,and also provides some references for scholars who study option strategies.