上证50etf期权与标普500股指期权的对比分析王思源-河北金融学院.pdfVIP

上证50ETF 期权与标普500 股指期权的对比分析 王思源 摘 要：2015 年2 月9 日，随着上证50ETF 期权在上海证券交易所的正式推出，我国拉开 了期权市场的序幕。股指期权作为股市套期保值工具的一种，能够有效的对冲股市的市场风 险，现已成为世界成熟金融市场最重要的金融衍生工具之一。随着我国股票市场发展繁荣， 风险也随之提高，迫切需要更多更好的风险管理工具。上证50ETF 期权在股指期货之外，给 股票市场提供了又一有效的风险管理工具。但由于我国股指期权只推出了上证50ETF 期权一 种产品，仍存在许多不足，所以我国本文研究了美国股指期权的发展路径，并以成交量最大， 影响力最大，套期保值效果最好的标普500 股指期权为例。从股指期权的合约设计、风险管 理制度、交易情况、交易管理体系等方面进行对比分析，为我国股指期权的发展提供参考。 关键词：上证50ETF 期权；标普500 股指期权；合约条款；对比分析 Abstract ： With the official launching of Shanghai 50ETF options in the Shanghai Stock Exchange on th February 9 ,2015,China opened the prelude to the options market. Stock index options as one of the stock market hedging tools, can effectively hedge the market risk of the stock market, and now has become one of the most important financial derivatives in mature world financial market. With the prosperity of Chinas stock market, the risk will be increased as well, there is an urgent demand for more and better risk management tools. Except for stock index futures, the Shanghai 50ETF options provide another effective risk management tools to stock market. Due to there was only one options product launched in China, many problems still exists, the development path of the American stock index options have been studied in this paper. This paper was partly inspired by the development of the American stock index options, which has the largest traded volume, the greatest influence and the best effect on hedging as an example. Comparative analysis provides a reference for the development of stock options from the design of the contract, the risk management systems, transactions, the transaction management systems and so on. Keywords ：Shanghai 50ETF options；S P 500 index options；Contract terms ；Comparative analysis 一、引言 1.1 研究背景和研究意义 股指期权作为最重要的金融衍生品工具之一，在国际金融市场中占有重要地位。2014 年全世界期权市场总成交量达486 万亿美元，其中股指期权成交量就有148 万亿美元，占其 总成交量的3