Volatility index compiling method

A volatility and index technology, applied in the field of options trading algorithm, can solve the problem of large calculation error of CBOE algorithm, and achieve the effect of meeting market demand and reducing compilation error.

Inactive Publication Date: 2015-07-29
CHINA FINANCIAL FUTURES EXCHANGE CO LTD
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Problems solved by technology

[0005] The technical problem to be solved by the present invention is to provide a volatility index compilation method for the problem of excessive calculation errors of the CBOE algorithm in the prior art, and use the compilation method to improve the calculation accuracy of the volatility index and reduce the volatility index. compilation error

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Embodiment Construction

[0017] The present invention will be described in more detail below by way of examples.

[0018] The invention discloses a method for compiling a volatility index, which comprises the following steps:

[0019] Step S1, select the option contract month

[0020] Determine whether the current month’s contract is more than 3 trading days away from expiration. If the current month’s contract is more than or equal to 3 trading days away from expiration, then select the current month and the next near-month contract for calculation; if the current month’s contract is less than 3 trading days away from expiration , select the next two month contracts for calculation.

[0021] Step S2, calculate the remaining term of the selected month respectively

[0022] The remaining maturity (calculated in calendar days rather than trading days) is calculated as:

[0023]

[0024] Among them, i=1,2,T 1 and T 2 Respectively, the remaining term of the current month and the next nearest month...

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Abstract

The invention discloses a volatility index compiling method. The method sequentially comprises the steps of selecting option contract months, calculating residual maturity of the selected months respectively, calculating risk-free interest rates of the current month and the next month respectively, determining option contract price, calculating forward prices of the current month and the next month respectively, screening contracts, calculating volatility of the two months respectively and calculating volatility index. According to the method, theoretical prices of no-deal contracts are calculated by introducing a volatility curved surface method, so that a volatility index calculation formula is allowed to have enough numbers of samples in an assuring manner , and compiling error of the volatility index is reduced to a maximum degree, and needs of options markets in China are met.

Description

technical field [0001] The invention relates to an option trading algorithm, in particular to a method for compiling a volatility index. Background technique [0002] The Chicago Board Options Exchange (CBOE) volatility index (VIX index) compilation method is currently the main algorithm for compiling the volatility index. This method uses the academic variance swap pricing principle to calculate the volatility index. There are certain differences between the algorithm and the theory of CBOE. The deviation is mainly truncation error and dispersion error. In reality, truncation error and dispersion error cannot be avoided. The size of the error depends on the design of option products and market conditions on the one hand, and on the sampling method on the other hand. The core of the Volatility Index compilation method is to design an appropriate sampling method according to the real situation of the market, so as to minimize calculation errors. [0003] The main disadvantag...

Claims

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Application Information

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Patent Type & Authority Applications(China)
IPC IPC(8): G06Q40/04
Inventor 胡政
Owner CHINA FINANCIAL FUTURES EXCHANGE CO LTD
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