摘要
通过分析期权交易的开闭仓信息、发起方信息,以及期权类型信息,把上证50ETF期权分成8类。依次对标的资产收益率进行回归分析,发现8种类型的交易量之比,均能有效预测收益率的未来变动情况。开仓交易与闭仓交易预测能力都非常显著,且含有利空信息的交易者,更偏向于买入看跌期权类型。
By analyzing the opening and closing position information,initiator information and option type information of option trading,the options of SSE 50ETF are divided into 8 categories.The regression analysis of the return on underlying assets shows that the ratio of 8 types of trading volume can effectively predict the future changes of return on underlying assets.The forecasting ability of both open position and closed position is very significant,and traders with negative information are more inclined to buy put options.
作者
艾俊薇
Ai Junwei(Nanjing University of Finance&Economics,Nanjing,Jiangsu,210023)
出处
《市场周刊》
2021年第2期137-139,共3页
Market Weekly
关键词
期权交易量
收益率
预测
options trading volume
return
forecast
