경영과학 (Korean Management Science Review)

한국경영과학회 (The Korean Operations Research and Management Science Society)
권호 표지

변동성위험프리미엄을 이용한 일중변동성매도전략의 수익성에 관한 연구

Profitability of Intra-day Short Volatility Strategy Using Volatility Risk Premium

  • 김선웅 (국민대학교 비즈니스IT전문대학원) ;
  • 최흥식 (국민대학교 비즈니스IT전문대학원) ;
  • 배민근 (국민대학교 비즈니스IT전문대학원)
  • 투고 : 2010.09.27
  • 심사 : 2010.11.05
  • 발행 : 2010.11.30
PDF 다운로드
⟨ 이전 논문 다음 논문 ⟩

초록

A lot of researches find negative volatility risk premium in options market. We can make a trading profit by exploiting the negative volatility premium. This study proposes negative volatility risk premium hypotheses in the KOSPI 200 stock price index options market and empirically test the proposed hypotheses with intra-day short straddle strategy. This strategy sells both at-the-money call option and at-the-money put option at market open and exits the position at market close. Using MySQL 5.1, we create our database with 1 minute option price data of the KOSPI 200 index options from 2004 to 2009. Empirical results show that negative volatility risk premium exists in the KOSPI 200 stock price index options market. Furthermore, intra-day short straddle strategy consistently produces annual profits except one year.

키워드

참고문헌

  1. 김선웅, 최흥식, "변동성전이효과를 이용한 장중변동성트레이딩 시스템의 개발에 관한 연구", Journal of the Korean Data Analysis Society,제12권(2010), pp.2725-2739.
  2. 박형진, "KOSPI 200 지수옵션시장에서의 변동성 위험프리미엄에 관한 연구", 선물연구, 제17권(2009), pp.67-86.
  3. 변종화, Excel Power Programming with VBA , FREELEC, 2004.
  4. 송치우, 오경주, "코스피 200 주가지수옵션 데이터의 효율적 가공을 통한 다양한 옵션전략들의 사후검증에 관한 연구", 한국데이터정보과학회지, 제20권(2009), pp.1061-1073.
  5. 윤영호, 교과서보다 쉬운 옵션투자 바이블, 국일증권경제연구소, 2003.
  6. 윤종인, 원리로 배우는 주가지수 200 선물, 옵션투자, 새문사, 2006.
  7. 정기원, 삼산이수 선물옵션 실전교실, 태일사, 2006.
  8. Arisoy, Y., A. Salih, and L. Akdeniz, "Is volatility risk priced in the securities market? Evidence from S&P 500 index options," The Journal of Futures Markets, Vol.27(2007), pp.617-642. https://doi.org/10.1002/fut.20242
  9. Bakshi, G. and N. Kapadia, "Delta-hedged gains and the negative market volatility risk premium," The Review of Financial Studies, Vol.16(2003), pp.527-566. https://doi.org/10.1093/rfs/hhg002
  10. Coval, J. and T. Shumway, "Expected Option Returns," The Journal of Finance, Vol.56 (2001), pp.983-1009. https://doi.org/10.1111/0022-1082.00352
  11. Jackwerth, J. and M. Rubinstein, "Recovering probability distributions from contemporary security prices," The Journal of Finance, Vol.51(1996), pp.1611-1631. https://doi.org/10.2307/2329531
  12. Kim, S.W., "Negative asymmetric relationship between VKOSPI and KOSPI 200," Journal of the Korean Data Analysis Society, Vol.12(2010), pp.1761-1773.
  13. Low, B. and S. Zhang, "The volatility risk premium embedded in currency options," Journal of Financial and Quantitative Analysis, Vol.40(2005), pp.803-832. https://doi.org/10.1017/S0022109000001988
  14. Sheikh, A and E. Ronn, "A Characterization of the daily and intraday behavior of returns on options," The Journal of Finance, Vol.49 (1994), pp.557-579. https://doi.org/10.2307/2329163