Volatility-based strategy on Chinese equity index ETF options

2024/03/01 by Peng Yifeng, Yifeng, Peng
Decision Sciences · Economics, Econometrics and Finance · #FOS: Economics and business #Financial Markets and Investment Strategies #General Finance (q-fin.GN) #Stochastic processes and financial applications #Stock Market Forecasting Methods #Trading and Market Microstructure (q-fin.TR)

paper · pdf · doi:10.48550/arxiv.2403.00474

openalex publication_date 2024/03/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

This study examines the performance of a volatility-based strategy using Chinese equity index ETF options. Initially successful, the strategy's effectiveness waned post-2018. By integrating GARCH models for volatility forecasting, the strategy's positions and exposures are dynamically adjusted. The results indicate that such an approach can enhance returns in volatile markets, suggesting potential for refined trading strategies in China's evolving derivatives landscape. The research underscores the importance of adaptive strategies in capturing market opportunities amidst changing trading dynamics.

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