Quantitative Option Trading Strategy Based On Stationary Process

Option is regarded as the Crown of the derivative world,and now it has developed to be one of the most significant derivative products in the global market.At the beginging of 2015,the 50ETF option has been listed for transaction,which has open the option Era of ChinaThe dissertation is divided into two parts,the first part is using the decomposing formula of option to analysize the profit and risk of the statistical arbitrage strategy in the US market raised by Zheng and etc..Then,under the assumption ?>r>0,we try to use the longterm out-the-money European put to hedge,which can improve the stability of the strategy.We create a intraday statistical arbitrage hedged strategy based on the stationary process,prove the stationary proposition theoretically,and make empirical analysis to validate the effectiveness of the strategy in the US big three index fundThe second part of dissertation is an attempt in the China 50ETF market.Since the strcutre between China security market and US equity market is different,we can not copy the successful strategy from US equity market to China security market.We find some interesting law of volatility and try to make volatility trade based on some characteristic of China security market.We create some volatility statistical arbitrage strategy nased on the stationary process and also create the hedged version.Finally,we provide a creative unconventional option portfolio based on the structure of VIX index and priciple of variance swap,and make the strategy stationary.The stationary proposition of all the strategy in this part has been given the theoretical proof and empirical analysis in the real trading market.