KOSPI200 지수옵션 변동성스프레드의 결정요인

This paper investigates the effects of KOSPI200 spot's return moments on KOSPI200 option's volatility spread and tests whether the volatility spread has a predictive power on future index return categorically after constructing 5 categories based on exercise price. Evidence indicates that KOSPI200 spot's past return, historical volatility and skewness are significant and positive determinants of KOSPI200 option's volatility spread. The significant and positive regression coefficient of historical volatility is consistent with the explanation that KOSPI200 option traders shows risk-seeking behavior, and the significant and positive regression coefficient of historical skewness is consistent with the notion that hedge demand pressure increases demand for put options and preference for extreme profit increases demand for call options. Empirical results also suggest that the volatility spread has a predictive power on future index return. The predictive power lasts up to 2 weeks. Summarizing, this paper provides empirical results that KOSPI200 option's volatility spread is negative and the negativity differs categorically, also the volatility spread is affected by historical spot return moments and furthermore the volatility spread has predictive power to future index return and the power differs categorically.