Research On Implicit Price Information Of The Deviation Of Call-Put Parit

Under the continuous impact of COVID-19,the global economic recovery is still unstable.Now financial risks are prone to high incidence.Financial management departments need to bear the responsibility of the main body of supervision,and persevere in preventing and resolving financial risks.The development of option market is significant to improve the financial market and prevent financial risks,so it is worth investigating the current situation of option market in China.The SSE 50 ETF option is the first stock index option in China.Taking the SSE 50 ETF option as an example,this paper examines the information content of the option market through deviations from put-call parity,mainly including the income information content and fluctuation information content,so as to explore the development of China’s index option market and provide suggestions for the follow-up development of the option market.It provides an important reference for maintaining the security and stability of the financial market.The empirical thinking is as follows: first,the two methods of group analysis and regression analysis are combined to study the information content of deviations from put-call parity,and the sample data are divided into three stages,namely,the initial stage of growth,the late growth stage and the COVID-19 period.The results show that the option market does not obviously contain the future return information of the underlying asset in the early and late growth period.During the period of COVID-19,the option market significantly contained the information of future earnings of the underlying asset,and the greater the deviations from putcall parity,the lower the future earnings.In addition,considering investor sentiment,we find that the deviations from put-call parity is significantly correlated with investor sentiment.Secondly,based on the direction that investors choose to long or short call(put)options,divide the measurement indicators of the deviations from put-call parity,and investigate implied volatility information.Introduce the HAR-RV-IV model to exclude the volatility information contained in realized volatility and implied volatility.Based on this model,the orthogonality test is conducted to study volatility information content of deviations from put-call parity.At the same time,with the outbreak of COVID-19 as the boundary,the sample period was divided into two sample periods for analysis.The results show that whether it was before the outbreak of COVID-19 or after the outbreak,the deviations from put-call parity include future volatility information which cannot be reflected by implied volatility and realized volatility,and this information content is affected by the irrational emotions of investors.Specifically,investor sentiment weakens this information content before COVID-19 while investor sentiment increases this information content during the pandemic.The above research shows that for the SSE 50 ETF option market,deviations from put-call parity belongs to the normal,and the deviations gradually decrease with the development of the market.At the same time,the deviations imply income information and fluctuation information of the spot market.In view of this,we can use the implied information to predict the market,so as to prevent the risk of sharp changes in asset prices,especially sharp price falls.In addition,rational investment guidance should be given to investors to further stabilize the financial market.