中国金融期权波动率指数特征与应用研究  

Research on the Characteristics and Application of China s Financial Option Volatility Index

作　　者：朱才斌[1] 周明珠 ZHU Caibin;ZHOU Mingzhu(Beijing Wuzi University,Beijing 101149,China)

机构地区：[1]北京物资学院经济学院,北京101149 [2]北京物资学院研究生部,北京101149

出　　处：《北京城市学院学报》2021年第3期66-73,共8页Journal of Beijing City University

摘　　要：期权指数作为金融衍生品期权价格的波动率衡量指标,应用在市场风险管理、市场情绪反映、对冲交易等方面具有显著的优势。美国期权指数VIX被称为“恐慌指数”,而基于上证50ETF期权真实交易数据的中国波动率指数结束了我国资本市场没有波动率指数的历史。本文对国内金融期权波动率指数展开研究,旨在探索国内金融期权波动率指数的市场特征与应用效果,为国内金融期权波动率指数的完善提供政策建议。As a measure of the volatility of financial derivatives option prices,option index has significant advantages in market risk managementt,market sentiment response,hedging transactions and so on.American option index VIX is known as“panic index”,which plays a very important role here.China s volatility index based on the real trading data of Shanghai Stock Exchange s 50ETF options ended the history of no volatility index in China s capital market.In this paper,a research on domestic financial option volatility index,aiming to explore the market characteristics and application effects of domestic financial option volatility index,and provide policy suggestions for the improvement of domestic financial option volatility index.

关 键 词：期权波动率指数 上证50ETF期权 iVIX指数 VIX指数 

分 类 号：F832.5[经济管理—金融学]