Options Trading and Hedging Strategies Based on Market Data Analytics

摘要

Based on mathematics and engineering point of view, we aim to explore the establishment ofmodel structure, and thus calculate the benefits and risks of a financial product. Specifically, weexploit a large amount of market data of futures options so as to address two issues in this work.The first issue is to discover an appropriate product choice and timing for profitable trading.Without loss of generality, we investigate the effectiveness of several trading constraints andtechnical indicators by scrutinizing and back testing with the long-term market data. The secondissue is to use the spread strategies for risk control when being an options seller. Note that aspread position is constituted where one buys an option and sells another option against it. Ingeneral, we develop a scheme to simulate different trading strategies and thus identify somesimple but profitable strategies. Experimental studies show that our strategies yield good profitin the TAIFEX market during 2009 to 2018.