Empirical Study On Volatility Prediction And Options Volatility Trading Strategy

With the development of the options market,options with their asymmetric return structure become the main tool of trading volatility,which makes volatility can not only be used as a risk description index,but also as "trading asset".Due to the late start of China's options market,there are few studies on volatility trading.By studying volatility prediction and volatility trading,this paper provides a new effective model and factor for volatility prediction and a feasible scheme for volatility trading.This paper first theoretically explores the return source of the Delta neutral volatility strategy for straddle options,then examines the effectiveness of the volatility change prediction model and predictors in the Chinese market,and finally constructs the Delta neutral volatility trading strategy.The results of this paper show that the returns of the option Delta neutral volatility trading strategy are mainly provided by Vega in the case of short-term dynamic trading.In terms of the volatility prediction model,the options market trading factors,term structure factors and historical implied volatility factors constructed in this paper can effectively predict the change direction of implied volatility.By comparing and analyzing the performance of three kinds of multi-factor prediction models,namely ordinary least square method,partial least square method and random forest model,this paper finds that the random forest model and partial least square method have high accuracy in predicting the implied volatility change.In terms of the construction of volatility strategy,this paper constructs a volatility strategy system of three-signal combination,which enhances the return of single-signal strategy.At the same time,this paper optimizes a variety of parameters,and explores effective volatility strategy parameters.