中国股指期权与ETF期权套利策略

ChinaEquity IndexandETFOptionsArbitrageStrategy中国股指期权与ETF期权套利策略 康遵禹Kang Zunyu从业资格号Qualification No:F3090802投资咨询号Consulting No:Z016853姜沁JiangQin从业资格号Qualification No: F3005640投资咨询号Consulting No:Z0012407桂晨曦Gui Chenxi从业资格号Qualification No:F3023159投资咨询号Consulting No:Z0013632 CITIC Futures International Service Platform：https://internationalservice.citicsf.com 摘要Abstract In terms of the logic of the strategy, theat-the-money implied volatilityofCSI300ETF options andCSI300Index options(IO)ishighly correlated.More specifically, the central level of IO's implied volatility is slightlyhigher, and the volatility spread between the two shows the characteristics of short-term mean reversion, whichindicates trade opportunities when volatility deviates. Based on this, an intermarketarbitrage strategy betweenCSI 300 ETF options and IO can be constructed, which buys straddles to take a long position on IO's volatilityand sellsstraddles to take a short position on CSI 300 ETF's volatility whentheir spread narrows or evenbecomes inverted. Under different back-testing parameters combinations, the average annualized return is7.07%, the average maximum drawdown is 7.31%, and the average Calmar ratio is 0.97. In terms of the transaction feasibility of the strategy,we increasedthe friction cost for opening andclosing positions during periods of high volatility,and the impactturned out to belimited.The reason lies in thelow correlation between high volatility and high volatility spread, and the fact that high-volatility periods accountonlyfor a small proportionof the window time for arbitrage opportunities.Additionally, as the intermarketarbitrage strategy mentioned in this article mainly targets next-month at-the-money contracts, a rough estimateof the capacity is around 3 million CNY.The capacity can be expanded by selectingcurrent-month contractsorcontracts with more strike price, but the performance of the strategy will be weakened accordingly. Risks:The options market may lack liquidity, and historical experience may become ineffective. 策略底层逻辑方面，300ETF期权与IO的平值隐波高度相关，其中IO隐波中枢略微偏高，且二者波差呈现短期均值回归特征。因此，品种间波动率偏离存在交易机会，可构建300ETF和IO之间的跨品种套利策略。该策略在二者波差短期收窄甚至倒挂时，选择买跨做多IO隐波、卖跨做空300ETF隐波。不同回测参数组合下，平均年化收益7.07%，最大回撤7.31%，卡玛比率0.97。 策略可交易性方面，首先在高波动时增加了策略开平仓的摩擦成本，发现影响相对小，原因是波动差相对高位与波动相对高位相关性并不高，套利信号发出时间中高波时段占比较小。其次经粗略测算策略容量约300万，原因是仅交易次月平值合约。若扩展到当月以及其他档位的合约上，策略或可扩容，但表现削弱。 风险提示：期权市场流动性不及预期，历史经验失效 Content目录 1. The Mechanism套利原理...............................................................................................41.1 Similar Products in Different Markets不同市场存在相似品种.......................................41.2 Implied Volatility Shows Correlation相似品种隐波相关.................................................51.3 Strategy Details策略细节..............................................................................................61.3.1 Contract selection合约选择...............................................................................................................................61.3.2 IV calculation and dividend隐波计算及分红.......................................................................................................61.3.3 Handling of contract size合约规模处理..............................................................................................................71.3.4 Alignment of expiration dates between the two markets两市场到期时间对齐...................................................72. Back-testing策略回测...................................................................................................82.1 Back-testing Under Different Parameters不同参数下策略回测.....................................82.2 Transaction Feasibility of the Strategy策略的可交易性..............................................102.3 Capacity of the Strategy策略容量...............................................................................11 Related Reports相关报告： 20250728 Enhancement of Covered Call Strategy for China Equity Index Futures中国股指期权备兑策略优化20250626 China Gold Options Volatility and Strategies中国黄金期权波动率及策略配置20250325 China Natural Rubber Futures Cross-Border Arbitrage中国天然橡胶期货跨境套利框架20250116 China Soybean Futures Cross-Border Arbitrage Framework中国豆类期货跨境套利框架20250115 China Copper Futures Cross-Border Arbitrage Framework中国铜期货跨境套利框架20250114 China Iron Ore Futures Cross-Border Arbitrage Framework中国铁矿石期货跨境套利框架 * Click on the hyperlink of report titles to read historical reports Charts图表 图表1：Comparison of CSI 300 ETF Options and CSI 300 Index Options Contracts....................4沪深300ETF期权及沪深300股指期权合约比较.............................................................................4图表2：Implied Volatility of CSI 300 ETF Options and CSI 300 Index Options.............................5沪深300ETF期权及沪深300股指期权隐波....................................................................................5图表3：IV Spread of CSI 300 ETF Options and CSI 300 Index Options.......................................5沪深300ETF期权及沪深300股指期权隐波差...........................................................................