The Design Of Options Trading Strategy Based On The Lead-lag Relationship Between Shanghai 50 Stock Index Futures And 50 ETF Options

The trading of financial derivatives is an indispensable part of the developed financial market.Since 1972,the foreign financial derivatives market has developed rapidly.It was not until 2010 that China launched the Hushen 300 stock index futures.Once the stock index futures were launched,scholars focused on research and designed investment strategies based on the characteristics of financial futures.In 2015,the Shanghai 50 ETF option was officially listed.Subsequently,the China Financial Futures Exchange launched the Shanghai 50 stock index futures.So far,China entered the era of options.The variety of products in the financial derivatives market is slowly enriched,and there is a complete spot-future-option chain.The introduction of options broke the dilemma of studying only foreign transaction data or only studying domestic simulation transaction data.However,summarizing the domestic literature,it is not difficult to find most of the research on financial derivatives focuses on the price of stock index futures and spot prices,options and spot.For the mature development of the financial market,the research on the relationship between the spot-futures-options is of great significance.In this article,the 50 ETF,Shanghai 50 stock index futures and 50 ETF option prices are selected as research objects,and 5 minutes of high frequency data are selected for empirical analysis.Using the vector error correction model,combined with generalized impulse response function,cointegration test,Granger causality test,etc.,comparing the price discovery ability among the three.The research result shows that: Granger causality between variables.Although the listing time of Shanghai 50 stock index futures is later than the 50 ETF and ETF options,compared with the option market,the entry barrier of stock index futures is lower,and the transaction cost of stock index futures is low.These characteristics make the trading of stock index futures very active.The futures market can response for the new information more faster.In the short term,stock index futures will play a leading role in price guidance.In the sample interval,for the 5-minute high-frequency data,ETF options and 50 stock index futures,options and ETF spot,ETF and 50 stock index futures series have a two-way lead-lag relationship.Stock index futures lead option about 15 minutes.Based on the lead-lag relationship,looking for the trading points and designing trading strategies.The comparison of trading conditions shows that with the development of the options market,the operability of finding options exchanges by stock index futures has increased year by year,and the reliability of using futures to capture the changes of option prices has gradually increased.If the time interval is too large,it cannot capture the price change of the option correctly.We can get a higher net value growth by using the earnings of the stock index futures to select the time of options trading.