中金：期权隐含波动的多重观察与择时应用

Core Viewpoint - Recent tariff events have led to significant market volatility, prompting the construction of VIX indicators for major A-share indices and the use of Spline interpolation to create implied volatility surfaces, which revealed effective timing strategies across various indices, particularly with a 22.3% annualized absolute return for the China Securities 1000 Index [1][43]. Group 1: VIX and Market Timing - The VIX is a benchmark indicator for measuring the expected volatility of the S&P 500 index over the next 30 days, reflecting market participants' consensus on short-term risk [2][6]. - The VIX's effectiveness as a timing indicator is limited in the A-share market due to differing market dynamics compared to the US, where VIX peaks often correlate with market bottoms [2][7]. - A-share indices do not exhibit the same clear relationship between VIX peaks and market bottoms, leading to weaker overall timing effectiveness [2][7]. Group 2: Implied Volatility and Timing Strategies - Implied volatility (IV) provides a richer data dimension compared to VIX, allowing for more nuanced insights into market sentiment through the construction of an implied volatility surface [3][15]. - The study found that the ratio of deep out-of-the-money put options' IV to call options' IV can serve as a timing indicator, with varying effectiveness based on the expiration dates of the options [3][20]. - Spline interpolation was employed to create a more stable IV surface, enhancing the reliability of the timing indicators derived from it [3][23]. Group 3: Performance of Timing Strategies - The timing strategy based on IV sentiment indicators showed significant effectiveness, particularly for the China Securities 1000 Index, achieving an annualized absolute return of 18% and an excess return of 24% [4][31]. - The strategy's success is attributed to a high win rate rather than the profit-loss ratio, with the China Securities 1000 Index options demonstrating the best performance among tested indices [4][31]. - The use of index futures in conjunction with the timing strategy further enhanced returns, with an annualized absolute return of 22.3% and an excess return of 28.5% when using the China Securities 1000 index futures as the trading vehicle [4][38].