文章基本信息

标题：Analysis of Intraday Trading of Index Option in Korean Option Market
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作者：Young-Hoon Ko
期刊名称：Computer Science & Information Technology
电子版ISSN：2231-5403
出版年度：2014
卷号：4
期号：1
页码：65-74
DOI：10.5121/csit.2014.4107
出版社：Academy & Industry Research Collaboration Center (AIRCC)
摘要：The option market in South Korea began on 7 July 1997. After then, the amount of optionmarket has increased steeply. In these days, average daily payments is beyond 1 trillion won.It is impossible to predict the market. But using the statistics, investors can get a profit steadly.The open interest contracts of index future has increased over 4000 after start time of a day anddecrease down to about 0 when closing time.As for this characteristics of index future, Ko[1] suggested the volatility strategy and brought theresult of simulation with the profit of 1.07 % per a day. This profit comes to real if an investorfinds a brokerage firm with low commissions.This paper suggests another strategy. The price of options consists of time value and intrinsicvalue. And the fall of index future is faster than rising. Therefore velocity of moving index causethe price of options. The simulation results give a fascinating fact that put option tends toincrease in the morning and call option tends to increase in the afternoon.With this velocity strategy, investors get the profit 1.4% per a day except commissions of 0.15%per one trade.
关键词：Automatic Trading System; Volatility Strategy; Velocity Strategy; Open interest Contract