The implied volatility smirk in the Chinese equity options market

被引：12

作者：

Yue, Tian ^{[1
,2
]}

Gehricke, Sebastian A. ^{[2
]}

Zhang, Jin E. ^{[2
]}

Pan, Zheyao ^{[3
]}

机构：

[1] Chongqing Jiaotong Univ, Sch Econ & Management, Chongqing 400074, Peoples R China

[2] Univ Otago, Otago Business Sch, Dept Accountancy & Finance, Dunedin 9054, New Zealand

[3] Macquarie Univ, Dept Appl Finance, N Ryde, NSW 2109, Australia

来源：

PACIFIC-BASIN FINANCE JOURNAL | 2021年 / 69卷

关键词：

SSE 50 ETF options; Implied volatility smirk; Option trading strategy; Investor sentiment; NET BUYING PRESSURE; STOCK RETURNS; RISK; US; PERFORMANCE; SENTIMENT; CRASH;

D O I：

10.1016/j.pacfin.2021.101624

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper analyzes the implied volatility (IV) curve of the SSE 50 ETF options, the first equity options market in mainland China. We quantify the IV curve and find it exhibits a right-skewed smirk shape, which is different to the left-skewed IV smirk shape shown in the international options markets and offshore options based on ETFs tracking large Chinese equities. Consistent with the right-skewed smirk shape, a delta-neutral option writing strategy generates higher profits from writing call options than put options. Finally, we show that the level and slope factors of the IV curve are related to investor sentiment.

引用

页数：16

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