金融学院知识库

 期权作为重要的金融衍生工具，研究期权波动率一方面为投资者认知风险以 及管理风险提供渠道，另一方面也为监管层有效监管提供理论支撑，促进资本市 场的健康发展。我国开展期权业务截止到目前仅有不到 5 年时间，而且我国证券 市场股民素质不高，市场要素不健全，没有实现完全市场化运作，所以国内期权 市场的发展不可能照搬国外市场的经验。因此，利用我国期权市场的数据进行实 证研究，能够更准确地认识我国期权市场波动率以及做市商制度，对稳定国内期 权市场乃至整个资本市场至关重要。

       首先，本文的研究以净购买压力理论为基础，根据其提出的关于做市商的有 限套利假说、方向信息学习假说以及波动率信息学习假说，研究期权市场做市商 对于期权隐含波动率的具体影响机制。根据上述理论，当期权市场中存在信息交 易，做市商便有动机提前调整期权报价来规避风险，这种行为会影响期权隐含波 动率，由于隐含波动率是对市场未来波动率的预期，因此不完善的做市商制度不 仅没有起到稳定市场的作用反而加剧了市场的波动。

       其次，本文选取 6 月份到期的上证 50ETF 平价期权合约数据为研究样本，将 样本期间划分为牛市、熊市和平稳市，分别建立模型进行检验。在实证过程中， 计算得到无模型隐含波动率，标的资产已实现波动率等数据，进行初步的统计分 析；接下来在 Bollen 等人信息交易研究的基础上构建检验模型，分析做市商报 价价差对于期权隐含波动率的影响。同时由于看涨和看跌期权具有不同性质，为 了使检验结果更准确，本文对平价看涨和平价看跌分别构建模型进行验证。实证 结果表明上证 50ETF 期权市场中存在信息交易，而且看涨和看跌期权隐含波动率 都发生反转，说明信息类型为方向信息。同时，在牛市和熊市样本中期权做市商 双边报价会对期权隐含波动率产生显著影响，但在平稳市中这种影响却不显著。

       最后，本文得出结论，上证 50ETF 期权市场的做市商制度不完善并且存在信 息交易，这使得期权市场不能进行有效定价，不利于市场的稳定发展。本文从防 止信息交易和激励、管制期权做市商两方面提出建议，期望能够帮助监管层完善 我国的期权做市商制度，更好的为投资者服务。

As an important financial derivative instrument, the study of option volatility not only provides a channel for investors to recognize and manage risks, but also provides theoretical support for effective supervision by regulators and promotes the healthy development of capital market. Until now, China's options business has been carried out in less than 5 years, and the stock market in China is not high in quality, market elements are not sound, and the market operation has not been fully market-oriented, so the development of the domestic options market is impossible to copy the experience of foreign markets. Therefore, it is crucial to stabilize the domestic option market and even the whole capital market to make an empirical study on the data of China's option market, so as to more accurately understand the volatility and market maker system of China's option market.

Firstly, based on the theory of net purchase pressure, this paper studies the specific mechanism of market makers' influence on the implied volatility of options based on the limited arbitrage hypothesis, direction information learning hypothesis and volatility information learning hypothesis of market makers. Based on the above theory, the information remains in the options market trade, market makers will have an incentive to adjust the options offer to avoid risk, this kind of behavior will affect the option implied volatility, because of the implied volatility  is the expectations of future volatility, so the imperfect market maker system not only have the effect of stable market exacerbate the volatility of the market.

Secondly, this paper takes sse 50ETF options as the research object, selects the data of the parity option contract that expired in June as the research sample, divides the sample period into three periods: bull market, bear market and stable market, and builds a model to test the three markets respectively. In the empirical process, firstly, the implied volatility of model-free options is calculated, the volatility of the underlying assets has been realized and other data are analyzed. Next, based on Bollen et al. 's research on information trading, a test model is constructed to analyze the influence of market makers' price difference on option implied volatility. At the same time, because of the different properties of call and put options, in order to make the test results more accurate, this paper constructs models of call at par and put at par to verify them. The empirical results show that there is information trading in sse 50ETF options market, and the implied volatility of both call and put options reverses, indicating that the information type is directional information. At the same time, in the bull market and the bear market samples, the bilateral price difference of options market makers has a significant effect on the implied volatility of options, but it is not significant in the stable market.

Finally, this paper concludes that the market maker system of sse 50ETF option market is not perfect and information trading exists, which makes the option market unable to carry out effective pricing and is not conducive to the stable development of the market. This paper puts forward Suggestions from two aspects: preventing information trading, encouraging and controlling option market makers, hoping to help the regulatory authorities to improve China's option market maker system and better serve investors.