Implied volatility information of Chinese SSE 50 ETF options

Lingke Wu, Dehong Liu, Jianglei Yuan and Zhenhuan Huang

International Review of Economics & Finance, 2022, vol. 82, issue C, 609-624

Abstract: This paper examines the impact of the implied volatility information in SSE 50 ETF options on the underlying securities volatility. After segmenting options according to option type, moneyness, time to maturity and trading years, we confirm that options contain implied volatility information about the underlying securities, and there is a significant positive effect of the volatility risk premium on the volatility of underlying securities. As for the regression coefficient of volatility risk premium, the call option is higher than the put option due to the investors' risk aversion, and the long-term option is higher than the short-term option. With the moneyness from DOTM to DITM, the call options decrease while the put options increase for the existence of skew and kurtosis risk.

Keywords: Implied volatility information; Chinese SSE 50 ETF options; Volatility risk premium (search for similar items in EconPapers)
JEL-codes: C1 C3 C4 G1 G14 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:82:y:2022:i:c:p:609-624

DOI: 10.1016/j.iref.2022.07.009

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