Research On The Influence Of Market Maker Trading System On Implied Volatility Of Sse 50ETF Options

As an important financial derivative instrument,the study of option volatility not only provides a channel for investors to recognize and manage risks,but also provides theoretical support for effective supervision by regulators and promotes the healthy development of capital market.Until now,China's options business has been carried out in less than 5 years,and the stock market in China is not high in quality,market elements are not sound,and the market operation has not been fully market-oriented,so the development of the domestic options market is impossible to copy the experience of foreign markets.Therefore,it is crucial to stabilize the domestic option market and even the whole capital market to make an empirical study on the data of China's option market,so as to more accurately understand the volatility and market maker system of China's option market.Firstly,based on the theory of net purchase pressure,this paper studies the specific mechanism of market makers' influence on the implied volatility of options based on the limited arbitrage hypothesis,direction information learning hypothesis and volatility information learning hypothesis of market makers.Based on the above theory,the information remains in the options market trade,market makers will have an incentive to adjust the options offer to avoid risk,this kind of behavior will affect the option implied volatility,because of the implied volatility is the expectations of future volatility,so the imperfect market maker system not only have the effect of stable market exacerbate the volatility of the market.Secondly,this paper takes sse 50 ETF options as the research object,selects the data of the parity option contract that expired in June as the research sample,divides the sample period into three periods: bull market,bear market and stable market,and builds a model to test the three markets respectively.In the empirical process,firstly,the implied volatility of model-free options is calculated,the volatility of the underlying assets has been realized and other data are analyzed.Next,based on Bollen et al.'s research on information trading,a test model is constructed to analyze the influence of market makers' price difference on option implied volatility.At the same time,because of the different properties of call and put options,in order to make the test results more accurate,this paper constructs models of call at par and put at par to verify them.The empirical results show that there is information trading in sse 50 ETF options market,and the implied volatility of both call and put options reverses,indicating that the information type is directional information.At the same time,in the bull market and the bear market samples,the bilateral price difference of options market makers has a significant effect on the implied volatility of options,but it is not significant in the stable market.Finally,this paper concludes that the market maker system of sse 50 ETF option market is not perfect and information trading exists,which makes the option market unable to carry out effective pricing and is not conducive to the stable development of the market.This paper puts forward Suggestions from two aspects: preventing information trading,encouraging and controlling option market makers,hoping to help the regulatory authorities to improve China's option market maker system and better serve investors.