《财经研究》 2020年46卷第4期 页码：155 - 168，封三 online：2020年3月26日
上证vix.shtml" target="_blank" class="relatedlink">50ETF期权隐含波动率微笑形态的风险信息容量研究
Research on the Risk Information Contained in the Shape of Implied Volatility Smile of SSE 50ETF Options
作者（中）：倪中新1, 2, 郭婧1, 王琳玉1
作者（英）：Ni Zhongxin1, 2, Guo Jing1, Wang Linyu1
作者单位：1.上海大学 经济学院，上海 200444 2.上海大学 金融信息研究中心，上海 200444
摘要：文章研究了上证50ETF期权隐含波动率微笑形态中包含的风险信息。实证分析发现，隐含波动率微笑倾斜对股票市场收益有显著的预测能力。隐含波动率微笑倾斜程度越高，未来的股票收益越低。隐含波动率微笑倾斜形态的预测能力在未来12周之内非常稳定，在未来12周到24周之间开始减弱。在更换隐含波动率微笑倾斜程度的测度方法以及加入控制变量后，上述结论仍成立。此外，上证50ETF期权隐含波动率微笑倾斜程度不仅对上证50指数的未来走势有显著的预测能力，而且对其成分股也有显著的定价能力。文章进一步分析了期权隐含波动率水平，发现这一指标能够显著预测上证50指数收益，但对成分股却没有定价能力。这表明与波动率本身相比，期权隐含波动率的微笑倾斜程度是更好的股票风险溢价因子。
关键词：期权隐含风险; 隐含波动率微笑; 股票收益预测; 尾部风险
Summary: We mainly use the methods of linear regression, factor beta-based portfolio sorting, and Fama-Macbeth regression to study the different risk significance of the implied volatility smile shape of SSE 50ETF options. We divide the pattern of implied volatility into the risk of skewness and the risk of volatility level after removing the skewness. In empirical research, we find that when predicting the future returns of the SSE 50 Index, the coefficients of the level and slope of implied volatility of options are both significant. The greater the slope of the implied volatility smile is, the lower returns the SSE 50 Index will have in the future, and this effect will be very stable in the next 12 weeks and will begin to decay in the next 12 to 24 weeks. The implied volatility level is more durable in predicting the SSE 50 Index, and it is relatively stable for 24 weeks. When two risk variables are put in the same model to regress the future returns of the SSE 50 Index, we find that the values and significance of the two variables have not changed much. In the research of the pricing power of individual stocks, we confirm that the skewness of the smile has significant pricing power for individual stocks, while the volatility level has no significant pricing power for individual stocks. The results of these two studies indicate that the two measures extracted from the implied volatility risk of options represent two different market risks, and the prediction mechanisms of these two types of risks are also different. The implied volatility level represents the market’s view on the overall variant risk of the underlying assets. When increasing, it indicates that the market believes that the volatility risk of the SSE 50 Index will increase; and the slope of the implied volatility smile is the excavation of market participants’ information about future market trends. The increase in the implied volatility smile’s skewness implies a widening spread between OTM put option and ATM call option, and traders are more convinced that the downside risk of the market is expected to increase, which indicates that the underlying stock is falling, and the risk can be further transmitted to individual stocks. Through the empirical analysis, the research results are very instructive to the trading and hedging behavior of financial market traders. Based on the research results, traders can observe the current risk information to guide trading behavior and hedge risks more accurately.
Key words: option implied risk; implied volatility smile; stock return forecast; tail risk
DOI：10.16538/j.cnki.jfe.2020.04.011
收稿日期：2019-7-10
基金项目：国家自然科学基金项目（71171127）；上海市浦江人才计划项目（10PJC050）
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