Optimization of Implied Information of Option under Different Investor Sentiment: Research on 50ETF Option in Shanghai Stock Exchange

Abstract

Abstract: This paper extracts the implied information of the SSE 50ETF options by model-free method to verify its role in volatility prediction. By comparing the portfolio containing implied information and historical information, this paper evaluates the optimization effect of the implied information of options. In addition, this paper also analyzes the portfolio performance of investors in different emotional states. It is found that model-free implied volatility has a certain predictive ability for future realized volatility and can provide incremental information for traditional volatility prediction models. The effect of portfolio optimization with implied volatility is related to investor sentiment and market volatility. This paper firstly introduces option implied information into portfolio construction, and analyzes the optimization effect of option implied information under different investor sentiment. This study provides guidance for investors to use the implied information of options to improve asset allocation and optimize portfolio.

Key words: SSE 50ETF option, model-free implied volatility, minimum variance portfolio, investor sentiment

Yu Mei, Xu Zailin, Yin Fangsheng, Zhang Jianjun. Optimization of Implied Information of Option under Different Investor Sentiment: Research on 50ETF Option in Shanghai Stock Exchange[J]. Management Review, 2023, 35(7): 43-55.

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