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Transaction Cost Savings with Stock Index Options and Liquidities provided by Securities Dealers

利用证券交易商提供的股指期权和流动性节省交易成本

基本信息

批准号：
15530212
负责人：
TANIGAWA Yasuhiko
金额：
$ 2.11万
依托单位：
Waseda University
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (C)
财政年份：
2003
资助国家：
日本
起止时间：
2003 至 2004
项目状态：
已结题

来源：
https://kaken.nii.ac.jp/en/grant/KAKENHI-PROJECT-15530212/
关键词：
Tick-by-Tick data Volatility Smile Market Makers Nikkei 225 Options Implied Volatility Liquidity

项目摘要

In analyzing option prices, it is very important to use data with exactly the same time-stamps. Daily data, of closing prices with unknown time when the closing transactions were done, don't guarantee such simultaneousness. This research utilizes tick-by-tick data for Nikkei 225 put and call options from January 2000 to December 2000. They are records of price, volume, bid, ask, and time of each transactions, that make us to keep the simultaneousness. We investigate volatility smile, which is a nonlinear relationship between moneyness (= a ratio of an exercise price to a price of the underlying asset of the option) and the implied volatility (IV), those documented in previous studies using daily data.We found that (1)IV's from daily data don't necessarily coincide with ones from tick data, (2)IV's are affected whether the transaction occurred at the ask side or the bid side, (3)After adjusting these, we still observe volatility smile, and (4)a large IV which is far off from the fitted smile curve occurs with deep-in-the-money options of a small volume, whose price sensitivity to the volatility of the underlying securities is small.These findings are consistent with the following theoretical predictions ; (a)effects of a change in the volatility on the option price are greatest for near-the-money (NTM) options, and trading volumes are highest for NTM options, (b)NTM options need relatively large adjustments when the volatility changes, and therefore prices for NTM options should be compensated for transactions costs that the NTM options would incur, (c)option trading is motivated by differences of opinions among traders, on the value of volatilities, which can not be observed directly but must be inferred from option prices.

在分析期权价格时，使用具有完全相同时间戳的数据非常重要。收盘价的每日数据（收盘交易完成时间未知）不能保证这种同步性。这项研究利用了2000年1月至2000年12月日经225看跌期权和看涨期权的逐笔数据。它们记录了每笔交易的价格、数量、买价、卖价和时间，这使我们能够保持同步性。我们研究了波动率微笑，它是货币性（=期权的执行价格与标的资产价格的比率）和隐含波动率（IV）之间的非线性关系，这些关系在之前的研究中使用每日数据记录。我们发现（1）每日数据中的 IV 不一定与分时数据中的 IV 一致，（2）无论交易发生在卖方还是卖方，IV 都会受到影响，（3）调整后这些，我们仍然观察到波动性微笑，并且（4）小交易量的深度价内期权出现远离拟合微笑曲线的大IV，其价格对标的证券波动性的敏感性很小。这些发现与以下理论预测一致； (a) 近平价 (NTM) 期权的波动率变化对期权价格的影响最大，且 NTM 期权的交易量最高； (b) 当波动率变化时，NTM 期权需要进行相对较大的调整，因此 NTM 期权的价格应补偿 NTM 期权产生的交易成本； (c) 期权交易的动机是交易者之间对期权价值的看法差异。波动率不能直接观察，必须从期权价格中推断。