上海期货交易所原油期权的价格偏离研究

Research on Price Deviation of Crude Oil Options on the Shanghai Futures Exchange

2021年6月21日,原油期权在上海期货交易所上市交易,我国原油期权市场正处于发展的关键时期,为了满足期权市场发展及对冲有效性的需要,期权的合理定价是其中的重要一环。本文在结合了几何布朗运动、蒙特卡洛模拟与GARCH族模型对上海期货交易所原油看涨期权进行估值并与市场价格的对比中发现,俄乌战争背景下,随着原油期权价格的大幅波动,原油期权的市场价格与价值发生了较大幅度的偏离,这种偏离会在波峰达到最大,而且深度实值的期权的市场价格仅反映了内在价值并没有反映时间价值。本文通过对影响期权价值的底层因子进行分离并运用计量手段做进一步分析,发现导致这种偏差的主要原因是上海期货交易所原油期权市场价格几乎不对波动率和剩余到期期限进行定价,而且对标的资产价格因素反应不充分,这种不充分会随着虚值的增加而增加,并不是由战争所引起的。

On June 21,2021,crude oil options were listed and traded on the Shanghai Futures Exchange,and China’s crude oil options market is in a critical period of development.To meet the needs of the development of the options market and realize hedging effectiveness,reasonable pricing of options is an important part of it.In the combination of geometric Brownian motion,Monte Carlo simulation and GARCH model for the valuation of crude oil bullish options on the Shanghai Futures Exchange and the comparison with market prices,it is found that with the significant volatility of crude oil option prices in the context of the Russia-Ukraine war,the market price of crude oil options greatly deviates from the values,and this deviation reaches its maximum in the peak,and the market price of deep real options only reflects intrinsic values and does not refl ect time values.By isolating the underlying factors aff ecting option values and using econometric tools for further analysis,it is found that the main reason for this deviation is that the market price of crude oil options on the Shanghai Futures Exchange barely prices volatility and remaining expiration period,and underreacts to the underlying asset price factors,and this inadequacy increases with the increase of the dummy values and is not caused by the war.