基于实例的上证50ETF期权Fibonacci数列的计算术语学研究

上证50ETF期权的推出丰富了市场交易的对冲机制,拓展了金融衍生品术语研究的领域。本文对期权交易术语的实值期权、平值期权、虚值期权和Fibonacci期权数列进行了基于交易数据的计算研究。通过对七年来期权交易数据的实时跟踪,我们建立了期权交易数据库,并采用计算术语学方法对期权交易进行了计算研究。我们发现:(1)Fibonacci期权数列是非常重要的期权交易术语,其黄金分割点适用于期权交易的波动测算;(2)上证50ETF期权合约涉及到期权交易术语的标准化问题,其交易并不是孤立的市场行为,同时受到新加坡A50指数等相关指数波动的影响;(3)上证50ETF期权交易体系是开放的:新加坡A50指数对我国上证50指数有交易的前瞻效应;上证50指数作为上证50ETF跟踪标的决定上证50ETF走向;上证50ETF作为期权标准合约跟踪标的影响到具体的合约交易;(4)上证50ETF期权交易的核心术语是杠杆波动率;Delta的计算赋值代表了高杠杆特性,其值域扩大将导致Fibonacci期权数列的黄金分割点出现偏差。最后得出结论:上证50ETF期权交易的研究是数据驱动的研究;基于统计的计算语言学方法可对期权术语进行赋值,并有效辅助期权交易;期权的计算术语学研究将促进数据驱动的术语学发展。

Computational Terminology on SSE 50ETF Options on the Fibonacci Sequence

The SSE 50ETF (Shanghai Stock Exchange 50 ETF) option has enriched the hedging mechanism of market transactions and expanded the field of financial derivatives terminology research. This paper conducts computational study based on transaction data for option trading terms: in-the-money option, at-the-money option, out-of-the-money option and Fibonacci option sequence. Through real-time tracking of options trading data over seven years, we have established an options trading terminology database and conducted data-based research on relevant terms and calculations in options trading using computational terminology methods. We found that: (1) The Fibonacci sequence is a very important trading terminology, and the golden section theory of Fibonacci is suitable for index fluctuations and calculation related to options trading; (2) The option standard contracts of the SSE 50ETF are related to standardization of option trading terminology. The option trading is not an isolated market transaction, and is subject to the impact of related important indexes, such as the Singapore A50 Index; (3) The terminology system of the 50ETF options is open. The Singapore A50 Index has a forward-looking effect on the SSE 50 Index; the SSE 50 Index is used, as the tracking target of the SSE 50ETF, to determine the fluctuation trend of the SSE 50ETF; the SSE 50ETF works as the tracking target of option standard contracts and affects the fluctuation trend of specific transactions of option standard contracts; (4) The core of trading terminology of the 50ETF option is the leveraged volatility; the calculated assignment of the term Delta represents the high leverage characteristic, and the expansion of value domain can easily lead to the deviation of the golden section of the Fibonacci sequence. We concluded that the research on 50ETF options trading terminology is a data-driven research; statistical computational linguistics methods can assign value to option terms and effectively assist option trading; computational terminology research on options will facilitate the development of data-driven terminology.