我国境内首只股指期权产品上市交易

这是2019年12月23日拍摄的沪深300股指期权合约上市仪式。当日.沪深300股指期权合约在中国金融期货交易所上市交易.成为境内首只股指期权产品。     

浅析无风险利率对股指期货合约价格波动抑制

在发达的股票现货市场,对股票价格的预期可以引起股指期货合约价格的变化。但是通过对股指期货持仓成本模型的分析,我们发现无风险利率在理论上对股指期货合约的价格也会施以影响。从对由持仓成本模型结合无风险套利原理推导出的股指期货合约价格模型分析,指出无风险利率与股指期货合约价格的关系,借助于对无风险利率的控制从而减弱因股票现货市场价格波动而使期货市场股指期货合约价格的波动效应。     

我国开展股指期货的冷思考

股指期货因其独特的交易机制,具有套期保值、价格发现、规避股票系统风险的功能.自1982年2月24日美国堪萨斯城期货交易所推出的世界上第一个股票指数期货合约--价值线综合指数期货合约后,在短短的数十年时间里,澳大利亚、英国、新加坡、香港、加拿大、芬兰、法国和日本等国家和地区先后推出了各自的股指期货合约交易,形成了世界性的股指期货交易热潮.据英国的世界交易所手册网站统计,全球共有29个国家和地区的46家交易所推出了股指期货合约,27个国家和地区的41家交易所推出了股指期权合约.     

股指期货交易限制对50ETF期权市场效率影响探究

2015年8月起,股指期货的交易受到了不同程度的限制,使得众多期权投资策略变得无法执行。股指期货的交易限制是否会影响上证50ETF期权的市场效率,成为了一个值得探究的问题。本文通过选取2015年50ETF期权上市起至2019年底的1分钟高频数据,筛选出流动性较好的期权合约,计算50ETF期权的盒式价差作为期权市场效率评价指标。并根据股指期货交易限制程度对这四年多的时间进行分组,计算交易限制对50ETF期权市场效率的影响情况,发现50ETF期权的市场效率在2017年降低股指期货交易限制后有显著提升,但在2019年降低限制后变化并不明显。期权市场效率还与期权成交量正相关,与基础资产短期波动率、期权合约剩余期限等负相关。     

关于我国适时推出股指期权的探讨

随着我国宏观经济的持续增长和金融创新,金融深化步伐的加快,金融产品的创新已成为经济发展尤其金融发展的重中之重。股指期权作为西方发展迅速成熟的一种金融工具,如今已经成为了交易所交易金融衍生产品中的主流产品,适时推出股指期权是中国金融衍生品市场发展的内在需要。在中国股指期权呼之欲出的背景下,本文主要借鉴其他地区发展股指期权的经验,分析了股指期权推出对市场的影响及面临的问题,并提出了相应的建议。     

全球股指期货与期权市场的发展动向及启示

本文通过对近年来全球股指期货及期权场内交易发展态势及动向分析,指出全球股指期货及期权呈现出交易量稳居各类产品之首、交易高度集中于几家交易所的几种产品、中国概念股指备受关注、创新步伐不断加快等四大趋势,启示我们适时推出股指期货,研究股指期权,不但可以拓展期货市场发展空间,推动境内资本市场的健康发展,建立完善的股指市场体系,而且是股票类衍生品创新的基础。     

我国发展股票指数期权问题研究

股指期权是交易所交易金融衍生产品中的主流产品。近些年来，其合约成交量、增长速度均超过个股期权、股指期货等其他衍生产品。     

股指期货合约解读

股指期货是一种对冲股市系统性风险的工具,能帮助投资者有效规避市场整体下跌的风险.了解股指期货最基础的步骤是从它的合约设计开始,对合约文本的解读主要集中在标的指数、合约价值和保证金设置、合约月份、交易时间规定、价格限制方式、结算价格以及交割方式这几个条款上.     

中国股指期货与期权产品序列的展望

本文分析了2004年全球股指期货/期权的品种结构,在此基础上展望了中国大陆未来可开发的A股指数期货/期权产品序列,并且还提出了中国大陆可开发的异地股指期货/期权产品序列。     

中国股指期货合约乘数水平的研究

中国沪深500股指期货已经推出,其合约设计的合理与适用性则需要通过市场的实践来验证,在这其中,对合约乘数水平的检验至关重要,因为它与标的指数点住共同构成了合约的价值,进而直接影响到股指期货市场的稳定性。本文采用中国股指期贷合约推出后的真实交易数据、根据期货交易的一种风险控制理论“2N止损法”来测算投资者账户资产净值与头寸规模的绝对值,以此推导出现行合约乘数水平对投资者价格风险的影响程度,得出当前500元的合约乘数水平偏高的结论;并在此基础上,通过对中国股指期货市场的数据统计分析来检验以上结论,论证当前合约乘数水平的适用性,最后建议适当调整中国沪深500股指期货合约乘数的水平或尽快推出相应的小型合约。     

股指期权对股指期货的促进作用:来自韩国的证据

本文结合解析韩国KOSPI200期权对于KOSPI200期货市场的影响,论证股指期权市场对股指期货市场在提高流动性和培育机构投资者方面的显著作用。借鉴韩国股指衍生品市场发展经验,笔者认为在沪深300股指期货平稳运行之后,要选择时机及时推出股指期权,这样可以保证良好的流动性。为此,应当加快制定股指衍生品市场体系的发展战略。     

股票期权行权价格的局限与修订研究

股票期权计划在国内外受到广泛关注,并日益成为公司经理人激励的主要手段。但由于我国股票市场的弱式性,以股价为基础的股票期权并不能真正反映经理人的业绩表现。为此,本文引入超额EVA增长率和行业股票价格参数对现行以股票价格为基础的股票期权行权价格进行修订,以使经理人的激励报酬和业绩贡献变动相结合。与此同时,本文还引入行业分类指数变动率以消除股市波动对行权日行权价格的影响。调整后的行权价格更加真实的反映了经理人的业绩。论文最后指出该方案所具有的优势,认为经过修订的股票期权行权价格在我国更具有现实意义。     

Valuation of a Repriceable Executive Stock Option

We introduce a path-dependent executive stock option. The exercise price might be reduced when both the firm’s stock price and a stock market index fall greatly. The repriceable executive stock option has a simple payoff that may be used for realistic executive rewards. We show the valuation formula, and compute the probability of the repriceable executive stock option expiring in-the-money. Both price and probability are important pieces of quantitative information when choosing an executive compensation package.     

Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets

This study investigates intraday relations between price changes and trading volume of options and stocks for a sample of firms whose options traded on the CBOE during the first quarter of 1986. After purging the price change series of the effects of bid/ask spreads, multivariate time-series analysis is used to estimate the lead/lag relation between the price changes in the option and stock markets. The results indicate that price changes in the stock market lead the option market by as much as fifteen minutes. The analysis of trading volume indicates that the stock market lead may be even longer.     

股指期货推出对现货市场价格影响的理论分析

本文构建一个由策略交易者、趋势跟随者、流动性提供者以及套利者组成的多期多市场决策模型,分析在股指期货推出时间给定的条件下,推出前后大盘价格的变动。我们发现,股指期货的引入对股票现货市场的短期效应受市场跟风行为的强弱,即羊群效应大小的影响。当跟风程度较弱时,股指在期货推出前短期下跌,推出后继续下跌;而当跟风程度较强时,股指在期货推出前短期上涨,推出后则下跌。由于国内投资者具有很强的跟风倾向,该模型预测股指期货在推出前短期内将抬高大盘,推出后则压低大盘。另外,股指期货的推出也可能降低市场的波动性。     

股指期货合约存续期价格引导关系的时变性研究

针对股指期货非季月合约存续期较短这一特点,按一定的标准将股指期货非季月合约2个月的存续期划分为合约上市期、主力合约期、非主力合约期、合约交割期等阶段,采用单位根检验、协整检验、格兰杰因果检验、脉冲响应分析等方法,利用各阶段5分钟或1分钟高频交易数据对股指现货、股指期货主力合约、股指期货非主力合约的价格引导关系进行实证分析,得出的结论是股指期货非季月合约在其存续期内的价格引导能力具有明显的时变性特征,股指期货和现货市场的跨市场监管者和交易者需要根据股指期货合约价格引导关系的时变性来合理制定自身的监管策略和交易策略。     

Informed Trading in Stock and Option Markets

We investigate the contribution of option markets to price discovery, using a modification of Hasbrouck's (1995) "information share" approach. Based on five years of stock and options data for 60 firms, we estimate the option market's contribution to price discovery to be about 17% on average. Option market price discovery is related to trading volume and spreads in both markets, and stock volatility. Price discovery across option strike prices is related to leverage, trading volume, and spreads. Our results are consistent with theoretical arguments that informed investors trade in both stock and option markets, suggesting an important informational role for options.     

Leverage, volatility and executive stock options

This paper studies how an optimal wage contract can be implemented using stock options, and derives the properties of the optimal contract with stock options. Specifically, we show how the exercise price and the size of the option grant should change in response to changes in exogenous parameters. First, for a fixed exercise price of executive stock options, the size of the option grant decreases in the riskiness of a desired investment policy, decreases in the volatility of return from the risky project, and increases in leverage. Second, for a fixed size of the option grant, the optimal exercise price of managerial stock options increases in the riskiness of a desired investment policy, increases in the volatility of return from the risky project, and decreases in leverage. Several empirical predictions are drawn from these conclusions regarding the pay-performance sensitivity of management compensation.     

On the Distribution of CBOE Option Trade Prices Occurring Between Consecutive Stock Trades

This paper examines the volume distribution of option trade prices that occurs when the underlying stock price remains constant. The width of these option trade price bands provides direct evidence on the law of one price and the redundancy of options assumed in many option models. We find that index option bands are narrower than equity option bands. Furthermore, for both equity and index options, puts have narrower bandwidths than calls. In general, option price bandwidth is narrow and can be explained by the minimum price movement allowed by the Chicago Board Options Exchanges (CBOE). This supports the single price law and the redundancy assumption. The existence of bid/ask quotes on the option does not materially affect the above results although it does alter the frequency of multiple option trade prices for a given underlying stock price. We note that over 53% of option trading volume occurs without bid/ask quotes on the CBOE compared to less than 15% a decade ago. Our results suggest that the effective bid/ask spread on options is probably no larger than the minimum price movements allowed by the CBOE. Furthermore, the need for the liquidity services of market makers may be declining if the decline in quoting activity stems from cross trading (i.e. trades not involving market makers).