SABR모형을 이용한 변동성 스마일에 관한 연구 : 중국 SSE 50ETF 주가지수옵션을 중심으로

The volatility smile represents the relationship between an option's implied volatility and its strike price. Research on volatility smiles helps predict volatility, which is of great significance for option pricing, option investment, and risk management. This paper analyzes implied volatilities smile, which is computed of the SSE 50ETF index options daily minute data closing prices and the implied volatility is computed using the SABR model. The research process is divided into three phases to examine entire period(February 9, 2015-December 31, 2021), year(2015-2021), and before the outbreak of the COVID-19(2015-2019) and after the outbreak of the COVID-19(2020-2021) implied volatility smile characteristics. The empirical findings are as follows: Firstly, the entire period call options and put options appeared to be the asymmetrical smile. Secondly, the yearly analysis results, call options showed a skew shape in 2017, and the other years are asymmetrical smiles. The put options all show an asymmetric smile. Third, the implied volatility of call options and put options before and after the outbreak of the COVID-19 showed are asymmetrical smiles. Since the implied volatility of put options out-of-the-money and in-the-money after the outbreak of the COVID-19 appeared almost identical, the degree of symmetry of the smiley shape became more pronounced.