Research On The Theory And Application Of Generalized Volatility Index Based On 50ETF Option

Taking into account China's stock market strong speculative,there is a short period of rapid rise and fall in the market.Building an effective risk index is very important.Because of its complexity,option investors are more highly experienced in investing,so the option market has a stronger sense of risk relative to the stock market.The emotional index of the option market has the economic significance of practical application.This paper discusses the necessity of the option index in the Chinese market first,and deduces the generalized volatility contract calculation method without model dependence from the theoretical principle.Then we discretizes the integral equation and realizes the corresponding correction with the 50 ETF option.At the same time,considering the Chinese market-specific short selling margin,we calculate the cost and make some appropriate amendments of the algorithm.After the empirical calculation of the indicators,this paper illustrates the application of the generalized volatility index both in the United States and China.Combining with the 50 ETF option SKEW index,this paper gives a timing strategy of the assets.The simulation performance is excellent,reflecting the effectiveness of SKEW index.Finally,this paper discusses the synergies of KURT index and SKEW index on revealing risk.