日间和夜间期权收益的不对称性：新兴市场的证据

IF 1.8 4区经济学 Q2 BUSINESS, FINANCE

Journal of Futures Markets Pub Date : 2024-05-09 DOI:10.1002/fut.22512

Aparna Bhat, Piyush Pandey, S. V. D. Nageswara Rao

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引用次数: 0

摘要

由于期权价格中包含波动性风险溢价，德尔塔对冲期权卖出策略通常会产生正收益。最近基于 S&P 500 期权的研究发现，期权收益存在日夜不对称现象。我们发现 Nifty 短线期权策略的收益也存在类似的差异。隔夜期权收益为正且显著，而日内收益为负。这种昼夜不对称现象在不同期权类别和子样本中都是稳健的，但在标的物大幅跳水的日子里则较弱。我们证实，期权卖方获得的差异风险溢价主要是对隔夜风险的回报。

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The asymmetry in day and night option returns: Evidence from an emerging market

Delta-hedged option selling strategies typically yield positive returns, owing to the volatility risk premium embedded in the option price. Recent research based on S&P 500 options has found a day–night asymmetry in option returns. We find a similar disparity in the returns for short Nifty option strategies. Positive and significant overnight option returns are accompanied by negative intraday returns. The day–night asymmetry is robust across option categories and subsamples but weaker on days with significant jumps in the underlying. We confirm that the variance risk premium earned by option sellers is mainly a reward for overnight risk.

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来源期刊

Journal of Futures Markets BUSINESS, FINANCE-

CiteScore

3.70

自引率

15.80%

发文量

期刊介绍： The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.