An Empirical Research Of The Relationship Between Soybean Meal Futures And Options Market Of China

Dalian Commodity Exchange(DCE)took up investigation of soybean meal options early in 2002.After more than ten years of continuous exploration and trail,DCE listed the first commodity options of China——soybean meal options.The born of soybean meal options open up a new era of China's commodity options.It marks another milestone in China's financial derivatives market.The paper mainly studies the relationship between the soybean meal futures market and the options market.According to the option trading rules and the trading data in the futures market,we find that the appearance of options reduces the volume of the futures market transactions.In the past research,some scholars have proved that the volumes decrease means lower volatility in futures market.Therefore,we deduce that options may reduce the volatility of the futures market for the decrease of trading volume.Furthermore,supposing the options can significantly reduce the volatility of futures market,it means that the options market plays a good role in risk management.By comparing the market size of the futures market to the options market,we find the options market is still in the primary stage.The soybean meal options market is not a patch on the futures market,both on the volume and the position.The investors maybe regard the options market as a risk averse tool of the futures market.At the same time,the transaction data show that the options trading more than usual when the futures market fluctuates,which means the price fluctuation of the futures market may precede the options market.Then,in order to prove above two hypotheses,using the data of soybean meal futures from 2013 to 2018,this paper establishes an autoregressive model by its return sequence.The fluctuation rate equation uses to analyze the volatility of the futures before and after the options' appearance.The result show that options significantly reduced the volatility and asymmetry of the futures market.What's more,through the Granger test of the yield sequence of futures and options from 2017 to 2018,we find that the futures market is ahead of the option,which proves the hypothesis proposed in the previous section.