期权策略基准指数及其风险管理功能  

Option Strategy Benchmark Indexes and Its Risk Management Function

作　　者：汤天任 郑辉[1] Tang Tianren;Zheng Hui

机构地区：[1]中国金融期货交易所期权事业部,上海200122

出　　处：《证券市场导报》2019年第2期14-18,共5页Securities Market Herald

摘　　要：策略基准指数反映了通过合理运用期权对现券资产进行风险管理后的组合收益情况,是CBOE近年来的重要产品创新之一,也是CBOE向市场机构推介期权产品的重要抓手之一。我国期权市场在发展过程中,有必要深入研究并向市场机构推广期权策略基准指数,借以宣传期权的风险管理功能。为此,本文研究了策略基准指数的组合逻辑及其在境外市场的应用情况,并用上证50ETF期权市场的历史数据分析了策略基准指数的风险收益特征,进一步证实了其降低组合波动或增强收益的作用。本文建议,交易所应当通过策略基准指数向市场机构推广宣传期权的风险管理功能。CBOE offers several strategy benchmark indexes that show the performance of hypothetical strategies using index options in underlying asset. These indexes are also one of the important measures for CBOE to promote options to the market. This study describes the logic of these strategy benchmark indexes and their application in the overseas market, uses the historical data of SSE 50 ETF Options to examine the properties of their return distribution, and evaluates its performance with a number of portfolio performance measures. The result confirms that options are helpful to decrease the volatility or enhance the return of underlying asset. With the development of China’s option market, it is necessary for the Exchange to introduce the option-based strategy benchmark indexes to help investors understand the risk management function of options.

关 键 词：策略基准指数 期权 风险管理 上证50ETF期权 

分 类 号：F830.9[经济管理—金融学]