Delta-hedged gains of SSE 50 ETF options

Xiaoping Li, Chunyang Zhou and Wei Huang

Applied Economics Letters, 2022, vol. 29, issue 20, 1864-1867

Abstract: Using Chinese option market data, we construct a delta-neutral strategy for Shanghai Stock Exchange (SSE) 50ETF options and investigate the statistical properties of the strategy gains. The empirical results show that the delta-hedged gains are significantly negative, indicating that to hedge the volatility risk, the option buyer needs to pay a volatility risk premium to the option seller.

Date: 2022
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DOI: 10.1080/13504851.2021.1963654

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