Comparative Research On The Intrayday Pattern Of The In-the-money Option,At-the-money Option And Out-of-the-money Option

Since the SSE 50 ETF options launched on February 9,2015,the options trading market has been active prosperously and favored by investors.The trading volume steadily increased.The market microstructure can reflect the characteristics and the operating status of the market.Studying the intraday pattern of the option market not only reflects the effectiveness of the market,but also provides a reference for investors to make investment decisions and arbitrage.At the same time,it can provide a basis for high-frequency data modeling and improve the trading mechanism of the SSE 50 ETF options market.This article uses the 5-minute high-frequency intraday data from January 2,2017 to December 29,2017 to describe the micro-structural characteristics of ITM,ATM and OTM options in the SSE 50 ETF option market,it mostly focus on the relationship among the trading volume,yield and volatility.After statistical descriptions and research on the intraday data of closing prices,yields,volatilities and trading volume,it was found that there`s big difference among the intraday patterns of the ITM,ATM and OTM options.The closing price showed a trend of rising first and then falling.The rise and fall of ATM was significantly larger than ITM,while the OTM options were relatively steady.The intraday trading volume of different types of options showed roughly the same "U" type intraday pattern.The yields` intraday pattern of ITM,ATM and OTM options mainly revolve around zero-neutral fluctuations,and the ITM tends to be more stable than the other two;The volatility of the three options all exhibit an “L” intraday pattern.After Granger causality test on trading volume,yield and volatility of options` time series and VAR modelling analysis,it is found that the effect of yield on volume and volume has a significant effect on volatility.Volume has a positive correlation with volatility and yield has a very significant effect on volume.The comparative research on the intraday pattern of the ITM,ATM and OTM options not only broadens the scope of the SSE 50 ETF option market`s microstructure theory,but also provides reference suggestions for the improvement of the market supervision mechanism and improve the quality of market supervision.Most importantly,The development of the SSE 50 ETF options market strongly protects the steady development of the economy in the new era.