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

See all articles by Ronald T. Slivka

Ronald T. Slivka

NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering

Ruichen Wang

affiliation not provided to SSRN

Date Written: December 1, 2019

Abstract

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

Slivka, Ronald T. and Wang, Ruichen, Time Spreads in China SSE 50 Options (December 1, 2019). Indian Journal of Research in Capital Markets, Vol. 6, No. 4, pp. 7-19, Oct-Dec 2019. Available at SSRN: https://ssrn.com/abstract=3519430

Ronald T. Slivka (Contact Author)

NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering ( email )

Brooklyn, NY 11201
United States
2153213524 (Phone)

Ruichen Wang

affiliation not provided to SSRN

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