Price discovery and its determinants for the Chinese soybean options and futures markets

This paper studies price discovery ability between the options and futures markets of soybeans. The options price index is calculated with a put?call parity method on at-the-money calls and put options with data of one-minute frequency. We show that the price discovery ability of soybean options is stronger than that of soybean futures and gradually increases during the first year after listing. The call options trading volume has a stronger impact on the Soybean options? price discovery ability than the put options trading volume. This study helps to efficiently evaluate the performance of China?s first commodity options.