金融学院知识库

2019 年 11 月 8 日，中国证监会正式宣布启动有关沪深 300ETF 期权的试点工作，这 是我国为做好股指期权开拓工作的一项重大举措。2019 年 12 月 23 日，沪深 300ETF 期 权在上交所上市。沪深 300ETF 期权的问世加速了我国股指期权方面的发展，更意味着 我国的交易所在体系完备，功能健全，运行稳定，效率提高等方面有了明显的提高。截 至 2020 年末，上交所 ETF 期权合约累计成交 9.82 亿张，上证 50ETF 期权合约全年累计 成交 5.19 亿张，沪深 300ETF 期权合约累计成交 4.64 亿张，尽管沪深 300ETF 上市时间 只有一年，但其交易活跃程度与 2015 年上市的上证 50ETF 期权一样活跃，这说明沪深 300ETF 在推出后深受广大投资者的青睐。尤其在疫情期间，由于中国防疫措施到位，中 国金融市场能平稳运行，规模稳步增长，全球投资者都将沪深 300ETF 期权作为良好的 风险管理工具。在期权市场上，我国期权交易中个人投资者和机构投资者大致各占一半。 在期权市场上，个人投资者利用期权主要是用来实现增强收益和进行方向性交易，很少 去做套利交易。如何给个人投资者提供简单，方便，有效的套利策略是一个值得探究的 问题。 本文通过从 Wind 金融数据库中获取的沪深 300ETF 数据和沪深 300ETTF2020 年认购 期权的历史数据，建立 GARCH 族类模型，进行预测到期日之前五个交易日的波动率，并 将其年化得到年化后的波动率。隐含波动率模型通过建模日相关数据计算认购期权的隐 含波动率。高频数据模型先参数检验确定已实现波动率的模型在通过模型计算年化波动 率。三种预测波动率与标的 5 日历史波动率差异并不大，说明策略持有期内波动率变化 很小，故选择正向买进蝶式套利策略进行套利。通过蒙特卡洛模拟进行对沪深 300ETF 资 产价格进行预测，得到一个在行权当日置信区间为 90%的沪深 300ETF 的价格预测区间， 根据正向买进蝶式套利策略的损益表计算年收益和年收益率，并在不同的开平仓时机都 进行回测。 通过对比不同开平仓时机的回测结果发现，策略构建的时机不同会导致蝶式套利策 略的效果。就总的收益率来说，运用隐含波动率模型进行套利的效果最好，收益率达到 12.04%。并提出在期权产品创新，期权交易知识的普及和完善风险预警体系的建议。

On November 8, 2019, China Securities Regulatory Commission (CSRC) officially announced the launch of the CSI 300ETF options pilot work, which is a major measure for China to do a good job in the development of stock index options. On December 23, 2019, CSI 300ETF options were listed on the Shanghai Stock Exchange. The emergence of CSI 300ETF options has accelerated the development of stock index options in China, which means that China's exchanges have significantly improved in terms of complete system, sound function, stable operation and efficiency improvement. By the end of 2020, a total of 982 million ETF option contracts on the Shanghai Stock Exchange, 519 million ETF option contracts on the Shanghai Stock Exchange and 464 million ETF option contracts on the Shanghai Stock Exchange and Shenzhen Stock Exchange have been traded for the whole year. But it has been as active as the options on the Shanghai 50ETF, which debuted in 2015, suggesting that the CSI 300ETF has been popular with investors since its launch. Especially during the epidemic period, due to China's anti-epidemic measures in place, China's financial market can operate smoothly and its scale grows steadily. Global investors all take the CSI 300ETF options as a good risk management tool. In the option market, the individual investors and the institutional investors account for about half of the options transactions in China. In the option market, individual investors use options mainly to enhance returns and make directional trades, and seldom do arbitrage trades. How to provide simple, convenient and effective arbitrage strategies for individual investors is a problem worth exploring.

Based on the data of CSI 300ETF and the historical data of CSI 300ETF 2020 call options obtained from the Wind financial database, this paper establishes the GARCH family model to predict the volatility of the five trading days before the expiration date, and then annualizes it to get the annualized volatility. Implied volatility model calculates the implied volatility of call options by modeling the relevant data of the day. The high-frequency data model is firstly tested to determine the realized volatility of the model before calculating the annualized volatility of the model. There is no significant difference between the three predicted volatility and the underlying 5-day historical volatility, indicating that volatility changes are very small during the holding period of the strategy, so the positive buying butterfly arbitrage strategy is chosen for arbitrage. Through Monte Carlo simulation, the asset price of Shanghai and Shenzhen 300ETF is predicted, and a price prediction range of Shanghai and Shenzhen 300ETF with confidence interval of 90% on the exercise right day is obtained. According to the income statement of the forward buying butterfly arbitrage strategy, the annual return and annual return rate are calculated, and the backtest is conducted at different opening and closing opportunities. By comparing the backtest results of different opening and closing opportunities, it is found that different timing of strategy construction will lead to the effect of butterfly arbitrage strategy. In terms of the total return rate, the best effect of arbitrage is to use the implied volatility model, and the return rate reaches 12.04%. And put forward in the option product innovation, the option trading knowledge popularization and consummation risk early warning system suggestion.