Study On The Efficiency And Investment Strategy Of China's Commodity Options Market

In recent years,China's derivatives market has developed rapidly.In 2017,to promote modernization and transformation of agriculture market and also to meet the demand of agricultural product risk management,China launched soybean meal futures options and sugar futures options,respectively.After more than half a year of operation,the market has been stable.However,the current market activity is limited due to trading restrictions and investor preferences.This leads to questions about the effectiveness of the commodity options market.As the commodity options market is at starting stage,there are few domestic studies on commodity options markets.Therefore,the market is in urgent need of relevant research on the effectiveness of China's commodity options market.The current domestic research on the effectiveness of the option market is mainly based on the option pricing model and the binary tree pricing model.Limited study used risk-free model to test market effectiveness.Therefore,this paper constructs a risk-free arbitrage strategy through the option parity theory and the box spread theory,and studies the arbitrage opportunities and arbitrage space of China's commodity options market.This article is based on daily transaction data of soybean meal options and sugar options since their listing to December 31,2017.Through the option parity theory,the study found that soybean meal and sugar options markets have opportunities for risk-free arbitrage after consider of transaction costs,but market efficiency is gradually improving.In addition,through the box spread theory,it has been found that the pricing efficiency of soybean meal and sugar options is affected by the liquidity and volatility of the underlying asset market.