An Empirical Study On The Risk-free Arbitrage Strategy Of CSI 300 ETF Options

ETF has been developing in China’s financial market for more than 10 years.In February 2015,China launched the first ETF option contract,and in 2019,Shanghai and Shenzhen 300 ETF options were successively launched.The launch and improvement of ETF option contract has aroused widespread concern in the market,and many institutional investors and high net worth investors have made considerable profits by arbitrage between ETF and its derivatives.At present,the research on Option Pricing in China mainly focuses on the B-S or binary tree model,which relies on the effectiveness of the model;however,there are few literatures on risk-free arbitrage and theoretical assumptions.In the existing rich B-S model research,this paper uses the risk-free model to provide a wider range of arbitrage strategies.Based on the background that the CSI 300 ETF option has been widely concerned by investors since it was launched,the margin relief system for specific strategies and the risk-free arbitrage model have received less attention in the academic circles,this paper uses the 1-minute tick high-frequency data from December 23,2019 to October 31,2020 to analyze,first uses ADF to test the stationarity of the parity formula,and then uses the parity formula to test the option Then we design the arbitrage strategy which takes the transaction cost and the lowest rate of return into account,and compare the advantages and disadvantages of the mainstream arbitrage strategies such as vertical spread arbitrage,box arbitrage and border arbitrage.The arbitrage strategy constructed by parity formula has the most arbitrage times,but the yield space is small.The yield of vertical spread and box arbitrage is larger.Then,the paper analyzes the impact on arbitrage opportunities from the following aspects:execution spread,the division of ETF volatility and the introduction of dummy variables.From the empirical results,the above three aspects have a significant impact on arbitrage opportunities.When the volatility of the underlying index is large,the greater the strike spread of the average option,the more arbitrage opportunities;in addition,in the half an hour after the opening,the arbitrage opportunities are the most.Finally,we use the vertical spread and box arbitrage strategy to design the arbitrage strategy,and draw the conclusion that although the yield of hold to maturity is high,the withdrawal rate is large.