The Influence On Stock Price Volatility From The Impied Information Of Options

The implied information of financial derivatives represent the market expectation.As the main derivatives,option pricing model and the impact of volatility on the capital market have been the focus of research.However,the domestic option market started lately and there is much room for our research.This paper focuses on the stock option,only traded on the stock exchange in the Mainland,"Shanghai 50ETF individual stock option".I study the influence of option implied information on the fluctuation of underlying stock price and analyse whether implied information will provide investors with informations about future price and reduce the incomplete information of the market.Our research will provide a theoretical and empirical basis for the development of the positive impact of options.We use the volatility risk premium to measure the option implied information.The volatility risk premium represents the unpaid volatility premium in the option pricing model and is the quantitative result of the difference of investors' risk preference.For calculating volatility risk premium,I use the daily trading data of 1150 options contracts in 765 trading days,and the calculated volatility risk premium amounts to 75388.GMM and NSL estimation are used in the empirical analysis to improve the accuracy of regression,and we consider the differences of option contract types,intrinsic value and duration.There are 8 figures,20 tables and 65 references in this paper.We find that the volatility risk premium is about 0.3183 following the 50ETF stock options of Shanghai introduction in 2015,and the investors in the market are risk preference.In 2017,the volatility risk premium is-0.1331,and the investors have changed to risk averse.Further empirical results show that the volatility of options can explain the volatility of underlying stocks,and with the increase of the duration of the contract,the explanatory power of options to stock price volatility is stronger.This paper further studies the predictive effect of volatility risk premium on stock price.The empirical results show that the higher the volatility risk premium of call options,the higher the future stock price;the higher of put options,the lower the future stock price.However,the duration of the forecasting effect of option volatility premium varies among options contracts of different nature.We set the information content index represented by the volume,position,the cross-action factors of option return and position,which is also one of the innovations of this paper.The research shows that the short-term option has a lower information content and a lower ability to predict stock returns,but with the accumulation of time,the information content gradually increases.That is to say,the longer the term of option contract is,the higher the information content of implicit information is,and the call option is slightly more informative than the put option.Therefore,the term of option trading is longer,the contract is more informative.Following the option introduction,the trading can gradually alleviate the information asymmetry in the market.This paper concludes that when options are introduced into the market,the trading of options will aggravate the volatility of stock price because of more noise information.Moreover,the intrinsic value of options will affect the information trader's trading and the results show that information traders prefer to trade in-the-money and out-of-the-money.With the extension of option launch time,the information content of option increases gradually.The volatility of option can fully explain the fluctuation of stock price.And the information asymmetry between two markets decreases,which is helpful to the stability of the stock market.