夜间休市与波动率溢价

Overnight Non-Trading Mechanism and Volatility Risk Premium

金融市场上有两大类重要的波动率,来自标的资产市场价格直接计算得到的实际波动率以及来自期权合约市场价格通过相应的期权定价模型计算得到的隐含波动率。最常用的隐含波动率计算模型就是著名的Black-Scholes模型。虽然二者理论上都是标的资产波动率的度量,但各国的金融市场实践却往往表明二者并不相等,其中隐含波动率通常会高于实际波动率,超出的部分被称为超额波动率,市场上超额波动率的承担会要求对应的收益率补偿,又称为波动率溢价。本文从市场机制设计的角度探索了波动率溢价产生的原因。因为在各国金融市场上普遍存在着夜间休市制度,夜间休市暂停了市场交易活动却并不会阻止金融市场持续产生新的信息,同时投资者并不能通过市场交易及时地管理这部分新的信息,由此导致投资者不得不面对额外风险,这部分额外的风险就是金融市场超额波动率的组成部分。本文通过一段时间内夜间波动率的占比来衡量这段时间的夜间所产生的新信息的占比,并在上证50ETF期权市场的交易数据的基础上,验证了夜间波动率占比指标对于超额波动率以及波动率溢价的解释能力,从而验证了上述理论。

There are two important categories of volatility measures in financial theory and practice,one is called the realized volatility which is calculated from the underlying asset prices,and the other one called implied volatility,calculated from the corresponding option prices through specific option pricing models,such as the famous Black-Scholes Model.Although both theoretically measure the volatilities of underlying assets,they are usually not equal in many financial markets.Among which,the implied volatility is often the bigger one.The difference between the two volatilities is called excess volatility,and the corresponding compensation return on the excess volatility is called volatility premium.In this paper,we explored the causes of the volatility premium from the perspective of market mechanism design.Because of the non-continuous trading mechanism,like the overnight non-trading mechanism,market trading activities are suspended while new information continues emerging during nights,but investors are unable to trade on the basis of such information in a timely manner,so the seller of the volatility actually bears higher risk than in the continuous trading situation.We constructed a night volatility percent indicator to measure the proportion of new information generated on the nights.We tested such theory through empirical analysis based on SSE 50ETF option market.