Volatility-based strategy on Chinese equity index ETF options

Peng Yifeng

Papers from arXiv.org

Abstract: This study examines the performance of a volatility-based strategy using Chinese equity index ETF options. Initially successful, the strategy's effectiveness waned post-2018. By integrating GARCH models for volatility forecasting, the strategy's positions and exposures are dynamically adjusted. The results indicate that such an approach can enhance returns in volatile markets, suggesting potential for refined trading strategies in China's evolving derivatives landscape. The research underscores the importance of adaptive strategies in capturing market opportunities amidst changing trading dynamics.

Date: 2024-03, Revised 2024-03
New Economics Papers: this item is included in nep-cna and nep-mst
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