A Study on the Implied Higher-Moments of SSE 50ETF Options Based on Interpolation Correction
Option-implied higher-moments serve as key indicators of the volatility and asymmetry of financial assets.However,in real markets,the strike prices of options are discrete and bounded.This discreteness introduces approxi-mation errors when theoretical methods are directly applied to calculate implied higher-moments,thereby affecting the reli-ability of these indicators.In this study,we employ a model-free method to calculate implied volatility and implied skew-ness indicators using the option data of the SSE 50ETF,and subsequently correct these indicators using the"interpolation-extrapolation"method.The findings of this study are as follows:①Uncorrected implied higher-moments tend to be overval-ued;②There is a significant negative correlation between the implied volatility index and the returns of the SSE 50ETF,supporting the theory of a leverage effect and volatility feedback effect in the market;③A significant positive correlation ex-ists between the implied skewness index and the returns of the SSE 50ETF,suggesting that investors prefer right-skewed assets,which tend to be overvalued and thus lead to negative returns;④Realized volatility is generally lower than implied volatility,indicating that most investors exhibit risk-averse behavior and are willing to pay for hedging risk.
万方数据
维普
