Research On The Volatility Arbitrage Strategy Of Shanghai 50ETF Options Based On Delta Neutral

The earliest financial derivatives appeared in the 1970 s.With the innovation of financial products and the deepening demand of investors for speculation,arbitrage and hedging,financial derivatives have developed rapidly.In particular,financial derivatives have the characteristics of inter period,leverage,linkage and uncertainty,which play an important role in investment arbitrage and risk management.The option products benefit from the unique profit and loss structure and risk management function,which can provide potential profit space for investors.The listing of 50 ETF options in 2015 marks that China's financial options market has entered the era of stock index options.The existence of 50 ETF options not only introduces investment tools for option investors,but also plays a more important role in stabilizing China's stock market and providing basic asset risk management tools for stock investors.Since 2015,China's stock market has experienced ups,downs and shocks,accompanied by the 50 ETF option market,there are a lot of speculation and arbitrage opportunities.Due to the lack of understanding of the current financial derivatives market in China,more use of stock index options for risk management,arbitrage strategy research is still less.This paper analyzes the prediction and calculation effect of volatility model by consulting the relevant literature at home and abroad,and constructs the hedging and arbitrage strategy of Shanghai Stock Exchange 50 ETF options based on the option sample data from wind financial database.Whether the volatility arbitrage transaction can obtain stable profits mainly depends on two factors.The first is the hedging effect of delta hedging.In the holding process,the higher the accuracy of hedging,the smaller the directional risk faced,the more the theoretical value of the underlying asset can be obtained.The second is the accuracy of the volatility model prediction,and the closer the volatility prediction is to the future has been realized The present volatility,the more can obtain the future realized volatility and implied volatility deviation of income,so as to profit.In this paper,the empirical study of delta hedging is to analyze the accuracy of delta hedging through dynamic hedging under delta neutral conditions at a fixed time interval or within a certain delta interval.The research on the volatility model is to use the data of Shanghai Stock Exchange 50 ETF in 2019 to build positions five days before the expiration of each month's options,and predict the volatility of Shanghai Stock Exchange 50 ETF in the next five trading days,and calculate the implied volatility based on b-s-m model.And according to the different proportion of realized volatility and implied volatility,the appropriate straddle,wide straddle and butterfly option arbitrage strategies are established.This paper focuses on the research of volatility arbitrage strategy,which is the applicability of delta dynamic hedging and volatility model in Shanghai Stock Exchange 50 ETF option market.The empirical results can be obtained.The application of the two can help investors to obtain theoretical returns close to riskfree returns in the process of hedging and arbitrage.