折式合成期权策略在黄金套利中的应用

Group 1: Growth of Gold Options Market - The gold options market has experienced significant growth since its launch on December 20, 2019, becoming a core pillar of the domestic gold derivatives market with annual trading volume increasing from hundreds of thousands to tens of millions of contracts [2] - In 2025, the annual trading volume of domestic gold options reached 32.22 million contracts, with a trading value of 241.93 billion yuan and an average daily open interest of 134,800 contracts, making it the leader in the domestic commodity options market [2] - The speculative nature of gold options has increased, with daily trading volume often exceeding open interest, and in 2024, the daily trading volume reached five times the daily open interest [2] Group 2: Innovative Strategies for Gold Arbitrage - The demand for stable return strategies in gold, such as gold spot-futures arbitrage, has been rising, leading to the proposal of an innovative strategy using gold options for spot-futures arbitrage [3] - The strategy involves using synthetic futures strategies in the options market, such as buying call options and selling put options to create a long position, or vice versa for a short position [3] Group 3: Example of Synthetic Futures Construction - An example on January 2, 2025, illustrates constructing a synthetic futures short position by selling a call option at 6 yuan/gram and buying a put option at 7.46 yuan/gram, resulting in a cost of 625.46 yuan/gram [4] - The strategy allows for limited losses when the futures settlement price exceeds the strike price, while potential losses are tied to the futures contract's price fluctuations [4] Group 4: Advantages of Synthetic Options - The use of a folded synthetic options strategy can significantly reduce costs or even create a negative cost position, enhancing capital efficiency and lowering margin risks [6][7] - This strategy allows investors to profit without needing precise price predictions, particularly useful in volatile markets where prices may not decline sharply [8] Group 5: Basis Trading in Gold Futures and Options - Understanding the construction of synthetic futures can be applied to gold spot-futures arbitrage, capturing irrational price differences between futures and spot prices, known as basis [9] - In 2025, the basis showed a contango state, leading to a common strategy of buying spot gold and establishing futures positions [9] Group 6: Backtesting Results and Future Outlook - Backtesting for the year 2025 showed that there were basis opportunities across multiple contracts, yielding a return of 65.60% with a maximum drawdown of 6.61% and a Sharpe ratio of 4.258 [11] - The development of the gold options market provides richer risk management tools, and the future may see more diverse applications of options, including complex arbitrage and enhanced yield strategies [12]