在岸与离岸人民币外汇期权差异分析——以人民币兑美元三个月风险逆转期权为例

Group 1 - The article explores the differences between onshore and offshore RMB foreign exchange options markets, focusing on the RMB/USD three-month risk reversal options, analyzing market structure, regulatory environment, and product innovation [1] - The onshore market (CNY) primarily involves domestic financial institutions and enterprises, requiring transactions to meet actual demand, while the offshore market (CNH) is more market-oriented, allowing speculative trading and participation from international investment banks and hedge funds [2] - In the onshore market, the average daily trading volume of RMB foreign exchange options reached $12 billion in 2024, a 35% year-on-year increase, with over 80% of this volume in RMB/USD options [3] Group 2 - The introduction of American and Asian options by the China Foreign Exchange Trade System meets the long-term hedging needs of enterprises, while customized options and "forward+" products enhance service to the real economy [4] - The offshore market has seen product innovation, with Singapore launching RMB hybrid options linked to commodities and stock indices, and Hong Kong establishing a market maker system for RMB options [5] - Empirical analysis indicates that there is no significant Granger causality between onshore and offshore RMB three-month risk reversal options in the short term, but a strong bidirectional relationship emerges in the medium term [12][13] Group 3 - The VAR model analysis shows that the offshore market has a stronger guiding effect on the onshore market in the medium to long term, with the offshore options being more influential [14] - Cross-correlation analysis reveals a strong positive correlation between onshore and offshore options, with onshore options acting as a leading indicator, particularly in the context of changing market dynamics [16] - Seasonal analysis indicates that the leading relationship of onshore options tends to strengthen around mid-year, likely due to corporate financial settlements and currency exchange needs [17] Group 4 - The analysis of three-month ATM options shows that the average volatility in the offshore market is higher than in the onshore market, indicating greater sensitivity to depreciation pressures [18][19] - The future development of onshore and offshore RMB options markets will focus on balancing policy benefits, technological empowerment, and demand expansion, with potential for increased global integration [20]