Study On The Influence Of Commodity Futures Options On The Volatility Of The Underlying Market In China

At present,China's option market is developing rapidly.Since the first batch of agricultural commodity futures options,soybean meal and sugar futures options,were launched in 2017,China's commodity options market has successively launched other types of futures options.Now there are 12 commodity futures options and the product system is constantly enriched.One of the purposes of implementing options is to manage risks in options market and reduce the price fluctuation in futures market.Therefore,whether the introduction of commodity options meets the original intention of option listing,and whether it stabilizes the futures market.We need to study and explore to provide important references for the development of commodity options market in China in the futureIn this context,this paper selects one of the first batch of agricultural options:sugar options and the first metal commodity options:copper options in China as representatives to study the impact of commodity futures options on the volatility of the underlying market.This paper selects the closing price of the main continuous contracts of sugar futures and copper futures from January 5,2015 to December 31,2019,which as the data base of the empirical study.This paper uses GARCH models to analyze the volatility and asymmetry of the underlying futures market after the introduction of commodity options.It is found that the overall volatility and asymmetry of the underlying futures market has decreased and the efficiency of information processing has improved since the introduction of options.