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Delta-hedged gains of SSE 50 ETF options

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  • Xiaoping Li
  • Chunyang Zhou
  • Wei Huang

Abstract

Using Chinese option market data, we construct a delta-neutral strategy for Shanghai Stock Exchange (SSE) 50ETF options and investigate the statistical properties of the strategy gains. The empirical results show that the delta-hedged gains are significantly negative, indicating that to hedge the volatility risk, the option buyer needs to pay a volatility risk premium to the option seller.

Suggested Citation

  • Xiaoping Li & Chunyang Zhou & Wei Huang, 2022. "Delta-hedged gains of SSE 50 ETF options," Applied Economics Letters, Taylor & Francis Journals, vol. 29(20), pages 1864-1867, November.
    • Handle: RePEc:taf:apeclt:v:29:y:2022:i:20:p:1864-1867
    DOI: 10.1080/13504851.2021.1963654
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