期权“净购买压力”的隐含信息

使用50ETF期权的高频数据，研究“净购买压力”指标对指数方向性和波动性变化的预测能力，并比较不同加总方法、看涨看跌、不同在值程度的期权以及非对称的“净购买压力”指标隐含信息的差异性.本文发现，50ETF期权“净购买压力”指标隐含着标的指数方向性和波动性的变化信息.在预测指数变化方向时，Delta加总的“净购买压力”隐含的信息已包含在简单加总的指标之中，看涨、看跌期权以及不同在值程度的期权在信息含量上存在差异性.在预测指数波动性时，使用简单加总和使用Gamma、Vega加总的“净购买压力”指标均隐含着未来市场的波动率信息，平值和虚值期权的“净购买压力”指标对波动率具有更强的预测能力.同时，“净购买压力”的隐含信息存在非对称特征.

Information content of options' net buying pressure

This paper uses the high-frequency data of 50ETF options to study the predictive power of net buying presure (NBP hereafter) for the underlying stock index return and volatility, and compares the difference between different weighting methods, call and put options, options with different degrees of moneyness and information asymmetry. It is found that 50ETF options'' NBP conveys both the return and volatility information of the underlying stock index. The information of Delta-aggregated NBP has already been conveyed by simply aggregated NBP. Call, put options and options with different degrees of moneyness contain different information on underlying stocks'' return and volatility. Simply aggregated, Gamma-and Vega-aggregated NBP convey the volatility information. The NBP of ATM and OTM options has better predictability for volatility than ITM options. Moreover, asymmetric effects of NBPs on index return and volatility are identified.