店頭市場期權波動率交易策略

The Trading Strategy of OTC Option Volatility

莫玲玲(LING-LING MO)

指導教授 ： 黃裕烈

國立清華大學/科技管理學院/計量財務金融系/碩士(2019年)

摘要

過往文獻，針對中國大陸期權市場波動率交易策略的研究主要集中於上證 50ETF 期權及部分商品期貨期權，研究發現，固定 delta 區間對沖適用於玉米店頭市場期貨期權，固定時間間隔對沖模型適用於上證 50ETF 期權。本文站在 market maker 的角色上，在研究常見的波動率度量模型、波動率預測模型和 delta 對沖模型的基礎上，研究店頭市場期權波動率交易策略。考慮到資料的可獲取性和資料的連續性，本文選取熱卷期貨、螺紋鋼期貨、鐵礦石期貨、焦炭期貨、焦煤期貨、甲醇期貨、PTA 期貨、豆粕期貨為標的的 8 種店頭市場期貨買權。我們在歷史數據對沖實證結果中，發現中國大陸店頭市場期貨期權較適合使用根據標的資產價格變化、Whalley-Wilmott 模型、Zakamouline 模型進行對沖，並用未來已實現的波動率估計值作為對沖時的避險波動率，尤其是使用高頻數據預測出的 20 個交易日的年化波動率作為避險波動率進行對沖，如 5 分鐘、60 分鐘的期貨價格資料預測出的 20 個交易日的 Parkinson、Garman-Klass 和 Rogers-Satchell 年化波動率作為避險波動率進行對沖。我們的實證結果，補充了波動率度量模型以及 delta 對沖模型用於中國大陸期權市場中的店頭市場期貨買權波動率交易的研究。

關鍵字

店頭市場期權 ； 波動率交易 ； 波動率度量 ； 波動率預測 ； delta 對沖

並列摘要

In the past literature, the research on volatility trading strategy of option market in mainland China mainly focused on 50 ETF options in Shanghai stock exchange and some commodity futures options. It was found that fixed delta interval hedging was applicable to corn market futures options, and fixed time interval hedging model was applicable to 50 ETF options in Shanghai stock exchange. Based on the market maker's role and the common volatility measurement model, volatility prediction model and delta hedging model, this paper studies the trading strategy of OTC option volatility. Considering the availability and continuity of data, this paper chooses 8 kinds of call options in the market of hot-roll futures, threaded steel futures, iron ore futures, coke futures, coking coal futures, methanol futures, PTA futures and soybean meal futures. In the empirical results of historical data hedging, we find that OTC option in mainland China more suitable for hedging based on the changes of underlying asset prices, Whalley-Wilmott model and Zakamouline model. Also, we find that using the estimated future realized volatility as hedging volatility is more suitable, especially using high-frequency data. The predicted annual volatility of 20 trading days is hedged as hedging volatility, such as Parkinson, Garman-Klass and Rogers-Satchell annual volatility of 20 trading days predicted by 5-minute and 60-minute futures price data as hedging volatility. Our empirical results complement the research of volatility measurement model and delta hedging model applied to the trading strategy of OTC futures call option volatility in mainland China.

並列關鍵字

OTC option ； volatility trading ； volatility estimators ； forecasting volatility ； delta hedging

參考文獻

英文文獻

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Burghardt, G., and Lane, M. (1990), “How to Tell If Options Are Cheap,” Journal of Portfolio Management, 16, 72.