Market Sentiment Indicator Analysis - Option Greeks

本文通过拆解期权希腊找到反映市场专业投资者观点的情绪因素，并对这些因素进行解释和回测。本研究解决了两个痛点：一是目前期权研究多集中在期权套期保值策略和定价方面，对期权对标的价格的反应研究不足；其次，目前对市场情绪指标的研究多集中在技术分析和宏观分析等方面。这种分析模式要么只反映了市场中散户投资者的交易行为，要么与实际市场交易行为相去甚远。本研究旨在通过期权希腊发现专业市场投资者交易资金流动的变化，进而研究专业市场投资者的投资行为模式和逻辑，并利用这些行为对市场的现状和未来趋势做出合理的推断。实证结果表明，这些因素对短期和长期市场判断都很有效。

This article finds sentiment factors that reflect the views of professional investors in the market by dismantlingoptions greeks, and explains and back-tests these factors. This research addresses two pain points: firstly, currentresearch on options is more focused on option hedging strategies and pricing, and not enough research has beendone on options reacting to the underlying price; secondly, current research on market sentiment indicators ismostly focused on technical analysis and macro analysis, etc. This mode of analysis either only reflects the tradingbehaviour of retail investors in the market, or is too far from actual market trading behaviour distant.This study intends to find the changes in the trading capital flows of professional market investors through optiongreeks, and then study the investment behaviour patterns and logic of professional market investors, and usethese behaviours to make reasonable inferences about the current position of the market and the future trends.The empirical results show that such factors work well for both short-term and long-term market judgements.