Fixed-income plus vanilla options (CSI1000 index options)

Fang • submitted 2022-09-25 21:22:03

For SOEs
Fixed-income plus vanilla options (CSI1000 index options)

The advantages of CSI1000 index:
1. The notional value of the underlying of CSI1000 index option per lot is large, then clients need less lots to trade, hence less trading commission fee spent.
2. The discount of CSI1000 index futures is deeper than which of the CSI300 index futures and CSI500 index futures. There is potential cushion to long CSI1000 index options call.
3. From the view of the volatility curve, the OTM call options volatility is often undervalued. That is, the premium of the call options is often cheaper than the put options.
4. Higher volatility, higher wining odd of the long positions
5. Cash settlement, lower delivery cost.

The product:
The fixed-income part, 99.2% of the fund invested in fixed-income assets, such as rate bonds and 1-3 year period high rating credit bonds.
The options part, 0.8% of the fund invested in float return vanilla options, in this case, the CSI1000 index options.

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author: Fang

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