국내 개별주식 옵션 가격 구조에 대한 체계적 위험의 영향

This paper investigates the impact of systematic risk on the price structure of individual equity options in the Korean market. The price structures is represented by the level and slope of implied volatility curves, and the systematic risk is measured by the systematic risk proportion, defined as the ratio of the systematic variance over the total variance. Using daily out-of-the-money (OTM) and at-the-money (ATM) option quotes for 12 firms from Oct. 2008 to April 2011, we first demonstrate that across most maturity and moneyness groups, the systematic risk proportion of the underlying asset explains the crosssectional differences in the level of implied volatilities. Specially, the level effect is robust for the short-term ATM options and the mid-term OTM call options as analyzed through Fama-Macbeth (1973) 2 pass-regression and panel regression. Second, we find that unlikely to U.S. options market, the slope of implied volatility is not strongly related to the systematic risk proportion of the underlying asset. Both Fama-Macbeth (1973) analysis and panel regression analysis do not show any significant slope effect across all groups except the ATM options group. Finally, the panel analysis controlling for firm-specific variables shows a unique result that firm size plays better role than the systematic risk in explaining the cross-sectional differences of the long-term or OTM call option prices.