Time Spreads in China SSE 50 Options
Indian Journal of Research in Capital Markets, Vol. 6, No. 4, pp. 7-19, Oct-Dec 2019
Posted: 7 Feb 2020
Date Written: December 1, 2019
Using day-end pricing data from a comprehensive data base not readily available outside of China, an algorithm to trade near-the-money call option time spreads on China’s SSE 50 ETF was developed and tested. Analysis of in-sample data, suggested profitable trading rules that, when applied to limited out-of-sample data, failed to produce superior similar results. A likely explanation for this outcome is offered. Further testing is planned. To our knowledge, there are no known related studies of SSE 50 option time spreads so this work provides a helpful addition to the growing knowledge about the developing China derivatives market. Opportunities for further research are described.
Keywords: SSE50 Options, Time Spreads, Calendar Spreads, Horizontal Spreads
JEL Classification: G10, G11, G13, G14, G15
Suggested Citation: Suggested Citation