一种基于我国期权市场特点的波动率指数编制方法

A Customized Compiling Methodology of Volatility Index in Chinese Option Markets

波动率指数是期权市场的定价基准,编制符合我国期权市场特点的波动率指数具有很强的现实意义。为保证波动率指数的适用性,本研究充分考虑我国期权市场的差异性,并通过理论分析论证其科学性,通过实证分析检验其有效性。研究发现,方差互换原理适用于ETF期权市场;通过引入分段函数可以基本解决上证50ETF期权的合约月份较少的问题;深度虚值期权对波动率指数的贡献非常小,期权市场执行价格较少、合约间隔较大的问题可以不予考虑。建议:在当月、次月合约的基础上增加一个的近月合约;适当增加期权合约的执行价格数量;在异常波动时期,对波动率指数的跳跃成份进行补偿,避免显著低估期权市场真实波动率。

Volatility index is the pricing benchmark of option markets. Volatility index in line with thecharacteristics of Chinese option markets, is in favor of risk measurement and evaluating the functionality andefficiency of the option markets. In order to ensure the applicability of the volatility index, this study takesaccount of the differences between the option markets, discusses its objectivity through theoretical analysis, andtests its efficiency through empirical analysis. It is found that the variance swaps principle is applicable to theETF option market. It is a feasible practice to reduce the impact of the contracts of the SSE 50 ETF option bythe piecewise function. The contribution of the deep out options to the volatility index is very small. It isadvisable to add a current contract, to increase the number of execution prices of the option contractappropriately and to compensate for the jumping component of the volatility index during the abnormalfluctuation period.