Research On PTA Option Arbitrage Strategy Based On Implied Volatility Prediction

At the end of 2019,the PTA option listed on the Zhengzhou Commodity Exchange was the first batch of energy and chemical options listed on the market in my country.Its emergence has enabled the original high-risk and high-uncertain polyester industry chain to have a more complete hedging and profit system.Until today,the PTA options are still one of the most active and most active option varieties in the commodity options market in China.There are many domestic scholars’ research on options,but they all focus on the more developed and larger-scale stock index and ETF options.The research in the field of commodity options,which has only developed in recent years,is rare,while PTA options As one of the most active commodity options,due to its slightly late listing time,even if its activity is sufficient,research on related volatility arbitrage strategies is still very scarce.In addition,compared with mature foreign investors in the options market,investors in Chinese options market are more accustomed to relying on their own subjective experience to conduct trading operations.At the same time,the current commodity options are more like a risk management tool,rather than being used by investors for arbitrage.What’s more,investors in the current market are still very much in need of trading strategies that are based on scientific forecasts and bring stable returns.Therefore,this paper provides market investors with new strategic trading ideas by constructing a scientific volatility prediction model and designing a reasonable PTA option arbitrage strategy.After a brief analysis of the characteristics of PTA options,this paper selects the PTAVIX index model(a variant of the VIX index compiled by the original CBOE)and option pricing model to predict the implied volatility of PTA options.The opening and closing range of each month is determined by the t-test results of the average realized volatility in different periods of each month,and the implied volatility prediction model is established on the previous trading day of each opening day.At the same time,a functional model of implied volatility-futures price is constructed to predict the price range of PTA futures under the 90% confidence interval on the option closing date,and then construct a top straddle option combination.Under the condition of ensuring the accuracy of the forecast results,a stable income in the forecast price range can be obtained.In the implementation of the strategy,this article divides the timing of opening and closing positions into four situations: opening at opening,closing at opening,opening at opening,closing at closing,opening at closing,closing at opening,opening at closing,and closing at closing.Then,different implied volatility prediction models were distinguished,and the back-test results of option arbitrage strategies were compared horizontally and vertically with different opening and closing timings,and the shortcomings of using a single model for the back-test results of option arbitrage were found,so as to further propose an optimization plan.Finally,The backtest results of the optimization scheme are tested by various indicators,and the results of the previous two model strategies are compared to obtain the effectiveness of the strategy,and clarify the application and precautions of the optimization scheme.The strategy backtest results of this paper show that the arbitrage strategies based on the two prediction models can be profitable,which proves that the idea of ??designing the arbitrage scheme in this paper is reasonable,and the scheme can be fully used by market investors.At the same time,China’s major exchanges should strengthen the investment and education services for investors in the options market to avoid huge losses caused by subjective judgments and blind operations.At the same time,it should be noted that the final strategy given in this paper is a comprehensive strategy that combines the advantages of the two implied volatility forecasting models.The strategic returns of the model in the first ten days are significantly higher than those in the latter ten days.When optimizing the plan,you must pay attention to the need to appropriately reduce the position when opening a position in the late ten days,so as to avoid a small profit and a big loss,which is not worth the loss.