【专题研究】期权:量化视角评估期权组合效益(一)

• The report focuses on constructing a replicable on-exchange options portfolio strategy model, specifically using a case study of a methanol short strangle combination strategy[1] Quantitative Models and Construction Methods 1. Model Name: Statistical Model for Methanol Short Strangle Strategy - Model Construction Idea: The model assumes a risk-neutral condition where the futures price follows a stochastic process[11] - Model Construction Process: - Assume the futures price movement follows: $\frac{dS_t}{S_t} = \mu dt + \sigma dB_t$ where ( S_t ) is the futures price at time ( t ), ( \mu ) is the risk-free rate, ( \sigma ) is the volatility, and ( dB_t ) is a standard Brownian motion[11] - Using Ito's Lemma to handle ( d(\ln S) ): $d(\ln S) = \left( \mu - \frac{\sigma^2}{2} \right) dt + \sigma dB$ [12] - Integrate the above equation and exponentiate to get the relationship between futures prices at any two time points: $S_T = S_t \exp \left( \left( \mu - \frac{\sigma^2}{2} \right) (T - t) + \sigma \sqrt{T - t} \mathcal{E} \right)$ [14] - Use Monte Carlo simulation to generate multiple price paths by setting the time unit to one trading day and the number of simulation paths to 1000[15] - Model Evaluation: The model is computationally intensive but provides a realistic simulation of futures price movements, making it suitable for evaluating options strategies[15] Model Backtesting Results 1. Methanol Short Strangle Strategy: - Annualized Return Matrix: - The highest predicted annualized return is 23.00% for the C2600-P2550 combination[19] - Win Rate Matrix: - The highest predicted win rate is 100.00% for several combinations, including C2600-P2075 and C2600-P2100[19] - Win Rate * Return Matrix: - The highest predicted win rate * return value is 16.30% for the C2600-P2550 combination[21] Quantitative Factors and Construction Methods 1. Factor Name: Methanol Volatility - Factor Construction Idea: The factor is based on the historical volatility of methanol futures contracts[7] - Factor Construction Process: - Calculate the historical volatility of the methanol main continuous contract over the past year[7] - Factor Evaluation: Methanol's volatility is currently at a historical low, making it suitable for a short strangle strategy[7] Factor Backtesting Results 1. Methanol Volatility: - Current Volatility: Methanol's volatility is at a historical low, ranking among the lowest in all commodities over the past year[7]