FangQuant › Financial Futures

Promote the development of the options market and enrich the means of investor allocation

Fang submitted 2019-11-14 15:54:53

On November 9th, at the Shenchenglunjian · 11th Derivatives Hedging Investment (International) Forum and the 9th Annual Meeting of China Absolute Return Investment Management Association, which is called“Derivative Tools – Options, Commodity Futures ETF”sub forum, Participants conducted in-depth discussions on the future development of the options market.
Since the beginning of this year, the domestic options market has expanded rapidly. Since the beginning of the three major commodity options of natural rubber, cotton and corn listed in the Shanghai Futures Exchange, Zhengzhou Commodity Exchange, Dalian Commodity Exchange respectively, on November 8, the CSRC announced the official launch of the pilot program for the expansion of stock index options, which will be approved Shanghai Stock Exchange and the Shenzhen Stock Exchange to list in the CSI300 ETF options, and approve CFFEX to list 300 stock index options. The innovation of option tools not only increases the risk management methods of industrial enterprises and institutions, but also enriches the means of allocation of investors.
"From the perspective of development, the domestic commodity option market has embarked on a smooth and orderly development path, the market scale has steadily expanded, investors have entered the market orderly, rational participation, market pricing is reasonable, and prices are effective." According to relevant persons of ZCE's options business, some sugar and cotton industry enterprises tried and explored the use of option management risks, and the market function was initially revealed. However, there are still some problems in China's commodity option market: the cost of capital is relatively high, the operating efficiency needs to be improved, the liquidity cannot carry the needs of larger-scale industrial preservation and institutional hedging risks, and the development speed of commodity options is different from the expectation of market participants. At present, ZCE is making efforts to promote the listing of PTA, methanol and rapeseed options, and continuously enrich the options tool system. At the same time, we will adjust management measures such as limiting positions, actively carry out business function improvement and technical system optimization, improve the liquidity and operational efficiency of the options market, expand the breadth and depth of the development of the options market, and provide better preservation and investment for industrial enterprises and investment platform.
In the view of relevant persons in the trading department of the DCE., the impact of commodity options on the target market and the spot market is far-reaching. The function of the commodity option against the target market can be summarized into three aspects: insurance, enhanced income and volatility management. First, the separation of option rights and obligations creates a special function of option insurance. Investors can buy option management risks while holding the underlying futures. Second, the option tool can help investors increase their income, and sell futures while holding the target. Third, because options can express volatility, the options tool becomes a unique risk management tool with both directional and volatility management. Finally, the flexible combination of various call and put options can meet the risk management needs of investors with more refined and personalized. At the same time, in terms of the impact of commodity options on the target market, it first has a positive effect on the price stability of the target market. From the comparison of data before and after the soybean meal option, the historical volatility of soybean meal futures decreased from 22% to 17%, and the highest value decreased from 40% to 25%. Second, to improve the liquidity of the target market, especially in the early stage of the listing. Again, the management of the underlying event driven risk. Taking soybean meal as an example, the trading volume of soybean meal options has been greatly enlarged in several important nodes during trade friction, indicating that the market has the initiative to manage this part of the special risk concept through option tools.
“Commodity options also have an associated impact on the corresponding spot market. With the continuous development of the trade with rights, it can be deeply integrated with the basis trade, such as the opportunity to provide a second point price on the basis trade. In this respect, it first affects the pricing of the spot market. On the one hand, the basis trade has realized the pricing of the future markets for the spot market. On the other hand, the on-court option market provides pricing reference for the specific option part of the trade with rights. Secondly, it has realized The seamless connection between price and risk management, whether it is basis pricing or trade in rights, is the trading price in the on-court futures market or the on-court option market, achieving seamless integration of the spot market, futures and derivatives markets; again, Through the transmission of upstream and downstream of the industrial chain, the company's profit management methods and inventory management models are deeply integrated with derivatives market tools. ” The above-mentioned by person from DCE.
"From the current development of the domestic commodity options market, there are still some gaps with the international market." According to the relevant person in the Derivatives Department of the SHFE, the product structure and quantity are first reflected. At present, there are nearly 200 options products of CME Group, and the total number of options launched by the domestic futures exchange is less than 10. CME's options cover most varieties, including non-ferrous metals, precious metals, ferrous metals, agricultural products (5.130, 0.00, 0.00%) and energy varieties, while there are currently only two categories of agricultural products and non-ferrous metals in the country. At present, several domestic commodity futures exchanges are accelerating the pace of research and development, and strive to list more options with higher market demand. Second, the industry customer participation in the options market has not been particularly deep. On the one hand, options as more complex financial derivatives, including a very complex model in terms of pricing, lead to higher overall participation threshold; on the other hand, because options are still niche markets, some industry customers have not too many options intend. This requires the Exchange to continuously strengthen communication with industry customers, allowing the market to recognize that options and futures do have some unique advantages in the service industry, especially in terms of insurance characteristics. In addition, the current domestic option products will be equipped with a market maker system in the process of promotion, aiming to help the market to improve liquidity. As the country has just started, there is a certain gap with the international market. The design of market management indicators for overseas exchanges is relatively mature.
The aforementioned ZCE people also believe that the current domestic commodity options market does have some shortcomings, such as the size of positions, the volume of transactions, the breadth and depth of investor participation, and the gap between market asset allocation needs. To this end, the Exchange is also continuously improving and optimizing relevant business policies, rules and systems, and technical systems.

“In terms of market cultivation, it is also necessary to innovate in the training of investors in the exchange to improve the market's understanding of options tools. At the same time, the Exchange has adopted a variety of ways to attract institutional investors to participate. For many institutional investors to consider the market liquidity risk, transaction costs, etc., the exchange will continue to optimize the corresponding business functions, providing better Commodity options investment opportunities and platforms.”The person said.


推动期权市场发展 丰富投资者配置手段
11月9日,在申城论剑·第十一届衍生品对冲投资(国际)论坛暨中国绝对收益投资管理协会第九届年会“衍生品工具——期权、商品期货ETF”分论坛上,与会人士就未来期权市场发展进行了深入探讨。
今年以来,国内期权市场迅速扩容。自年初天然橡胶、棉花和玉米三大商品期权分别在上期所、郑商所和大商所挂牌后,11月8日证监会宣布正式启动扩大股票股指期权试点工作,将按程序批准上交所、深交所上市沪深300ETF期权,中金所上市沪深300股指期权。期权工具的推陈出新不仅增加了产业企业和机构的风险管理方式,也丰富了投资者的配置手段。
“从发展看,国内商品期权市场走出了一条平稳有序的发展路径,市场规模稳步扩大,投资者有序入市、理性参与,市场定价合理、价格有效。”郑商所期权业务相关人士介绍,部分白糖、棉花产业企业尝试和探索利用期权管理风险,市场功能初步显现。但我国商品期权市场仍存在一些问题:资金成本相对较高,运行效率有待提升,流动性不能承载更大规模产业保值和机构对冲风险需要,商品期权发展速度与市场主体的期待有差距。目前,郑商所正在着力推进PTA、甲醇和菜粕期权上市,不断丰富期权工具体系。同时,调整限仓等管理措施,积极开展业务功能完善和技术系统优化,提升期权市场流动性和运行效率,拓展期权市场发展的广度和深度,为产业企业、投资者提供更好的保值与投资平台。
在大商所交易部相关人士看来,商品期权对标的市场及现货市场产生的影响是深远的。商品期权对标的市场的功能发挥可以总结为保险、增强收益和波动率管理三个方面。首先,期权权利与义务的分离,产生了期权保险的特殊功能,投资者在持有标的期货的同时,可以买入期权管理风险。其次,期权工具可以帮助投资者增强收益,通过在持有标的的同时卖出期权获得收入。再次,由于期权可以对波动率进行观点表达,期权工具就成了兼有方向性和波动性管理的独具一格的风险管理工具。最后,各式看涨、看跌期权的灵活组合,可以满足投资者更加精细化和个性化的风险管理需求。同时,在商品期权对标的市场的影响方面,首先对标的市场的价格稳定有积极作用。从豆粕期权上市前后的数据对比看,豆粕期货的历史波动率从均值22%降低到17%,最高值从40%降到25%。其次,提升标的市场的流动性,尤其体现在上市初期。再次,对标的期货事件驱动型风险的管理。以豆粕品种为例,在贸易摩擦期间的几个重要节点,豆粕期权的成交量都有大幅放大,说明市场有主动通过期权工具管理这部分特殊风险的观念意识。
“商品期权对相应现货市场也产生关联性影响。随着含权贸易的不断发展,可以与基差贸易进行深度结合,比如在基差贸易上提供二次点价的机会等。在这方面,首先影响了现货市场定价,一方面基差贸易由期货市场实现了对现货市场的定价,另一方面场内期权市场为含权贸易当中的具体期权部分提供定价参考;其次实现了价格和风险管理的无缝衔接,不管是基差定价还是含权贸易,都是在场内期货市场或者场内期权市场交易价格,实现了现货市场、期货及衍生品市场的无缝衔接;再次,通过产业链上下游的传导,使企业利润管理方式、库存管理模式等与衍生品市场工具深度融合。”上述大商所人士说。
“从当前国内商品期权市场的发展看,与国际市场仍存在一些差距。”上期所衍生品部相关人士表示,首先体现在产品结构及数量上,目前CME集团的期权产品有近两百个,而国内期货交易所推出的期权品种总计不到10个。CME的期权产品覆盖了大多数品种,包括有色金属、贵金属、黑色金属、农产品(5.130, 0.00, 0.00%)及能源品种,而国内目前只有农产品和有色金属两个门类。目前,国内几家商品期货交易所正在加快研发步伐,争取上市更多市场需求较高的期权品种。其次,产业客户参与期权市场还没有特别深入。一方面,期权作为较为复杂的金融衍生产品,包括在定价方面也有非常复杂的模型,导致整体参与门槛较高;另一方面,由于期权目前还是小众市场,部分产业客户对期权还没有太多打算。这需要交易所不断加强和产业客户的沟通,让市场认识到期权和期货相比在服务产业方面确实有一些独特的优势,尤其是在保险特性上。此外,目前国内期权产品在推进过程中都会配备一套做市商体系,旨在帮助市场提高流动性,由于国内刚刚起步,与国际市场也有一定差距。境外交易所在做市商管理指标设计等方面相对比较成熟。
前述郑商所相关人士也认为,当前国内商品期权市场确实存在一些不足,例如在持仓规模、交易量、投资者参与的广度和深度等方面,与市场资产配置需求的差距还很大。为此,交易所也在持续对相关业务政策、规则制度及技术系统等进行完善和优化。
“在市场培育方面,还需要交易所在投资者培训上创新举措,提高市场对期权工具的认识。与此同时,交易所也采取了多种方式吸引机构投资者参与,对于不少机构投资者考虑到的市场流动性风险、交易成本等,交易所都会对相应业务功能进行不断优化,提供更好的商品期权投资机会和平台。”该人士说。

Currently no Comments.