More than three months after the official release, the Shanghai Stock Exchange 50ETF volatility index (also known as the “China wave index”) closed at 10.57 yesterday, hitting a record low of 10.31 during the day.市场人士指出，该指数反映了投资者对上交所50指数后市的预期，指数越低，投资者对后市的预期越稳定。
以上述芝加哥波动率指数为例。该指数在2008年9月初迅速上涨，并于当年10月24日达到89.53的历史峰值。在此期间，著名投资银行雷曼兄弟倒闭，全球金融危机爆发，引发全球资本市场大幅波动。In June last year, the index rose sharply from about 13.5 at the beginning of June to 26.7 at the end of the month due to the great divergence in the market over brexit.
From the data during the trial operation of China wave index, from June to September 2015, during the period of A-share market volatility, China wave index also maintained high operation, and reached the highest on August 25, 2015, with the index reaching 66.82.In the secondary market, the Shanghai Stock Exchange 50 index fell 7.01% on the same day, with a cumulative decline of 15.31% in the previous three trading days.However, in the next three trading days, the market staged a “Jedi counterattack”, a number of stocks opened a continuous limit after retaliatory rebound, the Shanghai Stock Exchange 50 index also rose nearly 13% in the last three trading days, the market volatility can be seen.
Since its official release three months ago, China’s wave index has been relatively stable, and has shown a downward trend in the near future, indicating that investors’ expectations of future market fluctuations tend to be stable.In terms of the secondary market, as of March 9, the Shanghai Stock Exchange 50 index had a small decline of 1.98% compared with November 28 last year, with the maximum amplitude of 9.05%.
Ma Gang, an analyst at Zhongtai securities, pointed out that China wave index will pave the way for the further development of futures and options based on volatility, and provide more risk management and volatility trading tools for market participants.It is reported that in the United States, derivatives based on the volatility index include futures, options and ETFs, among which the volatility index option is the most active and has become one of the important options.
In fact, with the continuous development of options business and the continuous promotion of Shanghai Stock Exchange, the insurance function of options is gradually recognized by the market.According to the data of Shanghai Stock Exchange, the total turnover of 50 ETF options of Shanghai Stock Exchange in 2016 was 79.069 million, with an average daily turnover of 324 000 and a maximum daily turnover of 1.067 million.Compared with the average daily turnover of 255 000 and the maximum daily turnover of 613 000 in the first month of listing in early 2015, the development momentum is rapid.
It is worth mentioning that at the beginning of this year, the Shanghai Stock Exchange’s stock option market development report also clearly pointed out that in the past two years since the listing of Shanghai Stock Exchange’s 50 ETF options, the market has been running smoothly and orderly, with steady growth in scale and initial demonstration of functions.同时，2017年，上交所将加强市场培育和推广，推动新增股票期权交易标的，推出组合保证金、区块匹配交易机制等创新制度安排。