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- 2017
知情交易会影响期权平价关系的收益预测能力吗？
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Abstract:
欧式期权价格对期权平价关系的偏离包含了对标的资产未来收益具有预测能力的信息。使用隐含波动率价差和日度知情交易概率分别对期权平价关系的偏离和标的资产市场知情交易概率进行度量，研究发现在华夏上证50ETF及其标的期权市场上，在看涨期权价格较贵时买入持有50ETF比在看跌期权价格较贵时买入持有50ETF的择时策略平均每周收益高135个基点（1.35%）。这种预测能力是由知情交易而非卖空限制或者价格动量引起的，在50ETF市场知情交易概率低时，该择时策略每周收益可达226个基点（2.26%），且统计上95%显著；在50ETF市场知情交易概率高时该择时策略不存在预测能力。
Deviation from put-call parity contains information about future returns of the underlying. Using implied volatility spread and Daily VPIN as the measure of deviation from put-call parity and information in the underlying market, this paper finds that in 50ETF and its option market, the strategy of buying 50ETF when Calls are relatively expensive outperforms buying 50ETF when Puts are relatively expensive 135bp (1.35%) per week. The predictability can be explained by informed trading rather than short sale constraints or price momentum, then strategy earns 226bp (2.26%) when Daily VPIN is low on the 50ETF market with 95% significance. There is no predictability when Daily VPIN is high
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