上证50ETF期权风险管理与套利策略研究

Research on Risk Management and Arbitrage Strategy of SSE 50 ETF Option

上证50 ETF期权作为重要的金融衍生工具,其主要的市场功能之一是风险转移功能,一般通过购入认沽期权抵消现货ETF价格下跌风险或根据Delta指标进行风险管理;上证50 ETF期权的另一个重要功能便是无风险套利,包括通过备兑开仓获取权利金、根据期权权利金价格的上下限进行无风险套利和依据Gamma指标进行无风险套利。通过理论介绍和案例分析发现,上证50ETF期权能够较好的发挥市场功能。

The SSE 50 ETF option is the first of exchange trading option in China,and it is an important financial derivative.One of its major market functions is risk transferring,which is usually carried out by buying put options or according to Delta index.Another important function of the SSE 50 ETF option is risk?free arbitrage,including by means of covered call,according to the upper and lower limitation of the premium,or on the basis of Gamma index.Through theoretical analysis and case study,it is found that the SSE 50ETF option can play the market function well.