Research On Information Content Of Intraday Trading Volume Of 50ETF Options

In recent years,China's capital market has developed rapidly and has a large volume.However,capital market risk management tools are insufficient to meet the further development and internationalization of China's capital market.Options are important risk management tools for investors,and the listing of options is conducive to promoting the stable and healthy development of the capital market.Since the listing of SSE 50 ETF options in China,the scale of the options market has grown steadily,the market participation has been extensive,the overall market risk is controllable,and the options economy function has gradually played.Only in the recent stock market upswing,the SSE 50 ETF option rose 192 times in one day,the trader's attractiveness as a speculative tool,but ignored the information in the option trading volume that may implicitly predict future price movements.Studies have shown that due to the high liquidity characteristics of the options market and the high leverage of options trading,informed traders will prefer the option market for trading.Therefore,whether the trading volume of the options market contains information predicting future market price changes is not only an issue of concern to investors,but also an important issue in the academic literature on the study of informed traders' behavior.This paper selects the SSE 50 ETF option as the research object,and uses the high-frequency data to test the influence of the information content and liquidity of the SSE 50 ETF option trading volume on the information content of the option trading volume,and then provide reference for the investor's trading strategy,which is the supervisory authority.Provide policy advice for the regulation and development of derivatives markets.The study found that the information on the options trading volume of the entire market level rarely contains significant forecast information.The research believes that this is because the trading volume of the entire market level contains too much noise,which interferes with the forecast of the trading volume of the entire market.ability.However,the different value-level options are tested separately,and the results indicate that informed traders prefer the high liquidity of highly leveraged and flat-valued options trading in virtual option trading.From the test of different liquidity option contracts,it is found that market liquidity has no significant influence on the forecasting ability of the option trading volume information indicator.The informed trader chooses the option market more likely because of the high leverage of the option market.The findings in this paper support the theory of Pan and Poteshman(2006),which includes information on forecasting future market price movements,and informed traders are more likely to choose the option market because of the high leverage of the options market.Therefore,investors can make a reasonable investment strategy based on the forecasting ability of the option trading volume.