Market Sentiment Indicator Analysis - Option Greeks

市场情绪指标分析 - 希腊期权

• 批准号: 2891454
• 金额: --
• 依托单位: University of Southampton
• 依托单位国家: 英国
• 项目类别: Studentship
• 财政年份: 2023
• 资助国家: 英国
• 起止时间: 2023 至 无数据
• 项目状态: 未结题
• 来源: https://gtr.ukri.org/projects?ref=studentship-2891454
• 关键词: Market; Sentiment; Indicator; Analysis; Option

This article finds sentiment factors that reflect the views of professional investors in the market by dismantlingoptions greeks, and explains and back-tests these factors. This research addresses two pain points: firstly, currentresearch on options is more focused on option hedging strategies and pricing, and not enough research has beendone on options reacting to the underlying price; secondly, current research on market sentiment indicators ismostly focused on technical analysis and macro analysis, etc. This mode of analysis either only reflects the tradingbehaviour of retail investors in the market, or is too far from actual market trading behaviour distant.This study intends to find the changes in the trading capital flows of professional market investors through optiongreeks, and then study the investment behaviour patterns and logic of professional market investors, and usethese behaviours to make reasonable inferences about the current position of the market and the future trends.The empirical results show that such factors work well for both short-term and long-term market judgements.

本文通过拆解期权希腊人，找到反映市场专业投资者观点的情绪因素，并对这些因素进行解释和回测。本研究解决了两个痛点：首先，目前对期权的研究更多集中在期权对冲策略和定价上，而对于期权对标的价格的反应研究还不够。其次，目前对市场情绪指标的研究多集中于技术分析和宏观分析等，这种分析方式要么只能反映市场中散户的交易行为，要么与实际市场交易行为相差太远。通过期权希腊语发现专业市场投资者交易资金流向的变化，进而研究专业市场投资者的投资行为模式和逻辑，并利用这些行为对市场当前的状况和未来的趋势做出合理的推断。结果表明这些因素对于短期和长期市场判断都很有效。