大宗商品期权对其标的期货影响研究

Research on the Impact of Commodity Options on its Underlying Futures

近年来我国大宗商品市场蓬勃发展,新品种商品期权也陆续推出,我国商品期权成交量在2020年跃居全球第一。以截至2022年11月4日推出的25个商品期权和正在交易的64个商品期货为研究对象,建立多期双重差分模型,研究商品期权推出对其标的期货价格波动、成交量的影响,结果发现由于期权对新信息的反应比期货快,价格发现功能也比期货强,商品期权的推出降低了其标的期货的价格波动;同时,对于大宗商品市场中的投机者和套利者而言,利用商品期权进行投机交易和套期保值相比期货具有一定的优势,这种替代性导致商品期权推出后其标的期货的成交量减少。合理适时地对更多期货推出其商品期权,不仅能有效抑制期货市场的波动性,也能为交易者提供更多交易选择以满足多样化的投资需求。

In recent years,commodity market in China has been booming,and new varieties of commodity options have been launched one after another.And the trading volume of commodity options ranked first in the world in 2020.Therefore,this paper takes the 25 commodity options that have been launched and the 64 commodity futures that are currently being traded as the research object at present(as of November 4,2022),and establishes a multi-period double-difference model to study the impact of commodity options on the underlying futures price fluctuations and the impact of trading volume.The results found that the introduction of commodity options reduces the price fluctuation of its underlying futures and has led to a reduction in the trading volume of the underlying futures after the launch of commodity options.Therefore,commodity options should be introduced to more futures in a reasonable and timely manner,which can not only effectively restrain the volatility of the futures market,but also provide traders with more trading options to meet diversified investment needs.