期权最痛点理论研究——基于上证50ETF期权的经验实证  

On Maximum Pain Theory of Options——Based on Data of SSE 50ETF Options

作　　者：李庆峰[1] 胡明龙 LI Qingfeng;HU Minglong

机构地区：[1]华南师范大学经济与管理学院,广州510006

出　　处：《北华大学学报（社会科学版）》2024年第4期94-104,154,共12页Journal of Beihua University(Social Sciences)

摘　　要：基于上证50ETF及其期权数据,利用最痛点理论有效地验证期权标的资产价格预测,并深入探讨期权隐含波动率和最痛点之间的关联。实证分析结果显示,在期权到期日临近时,期权价格往往趋于最痛点且期权的隐含波动率在最痛点处达到最低,进一步证实了期权最痛点对标的股票价格的“锚定效应”。本文从理论上探讨期权最痛点产生的原因,对最痛点理论在期权交易策略中的应用进行初步探讨。Based on the data of SSE 50ETF and SSE 50ETF options,the Maximum Pain Theory is used to verify the price prediction of term options,and the relationship between the implied volatility of options and the maximum painful point is discussed.The empirical study show that when the option is close to the maturity date,the price of the option is always close to the maximum painful point,and the implied volatility of the option is the minimum at the maximum painful point.This paper also proves that the maximum painful point of options can significantly produce the“anchoring effect”to the underlying stock price.In addition,the possible reasons for the maximum painful points of options is analyzed,and application of the maximum pain theory to the option trading is discussed.

关 键 词：最痛点理论 “锚定效应” 隐含波动率 上证50ETF期权 

分 类 号：F830.91[经济管理—金融学]