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Method and system for risk early warning by calculating fluctuation ratio index based on options

A risk warning and volatility technology, applied in the field of option trading algorithms, can solve problems such as deviation, fewer samples that can be calculated, and increase calculation results, so as to prevent normal operation, optimize user experience, and improve computing power distribution.

Pending Publication Date: 2021-02-19
上海九方云智能科技有限公司
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  • Summary
  • Abstract
  • Description
  • Claims
  • Application Information

AI Technical Summary

Problems solved by technology

[0003] The main disadvantage of the existing technology: the existing CBOE VIX calculation method adopts strict data screening standards when calculating the volatility index, resulting in too few samples that can be calculated and increasing the deviation of the calculation results

Method used

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  • Method and system for risk early warning by calculating fluctuation ratio index based on options
  • Method and system for risk early warning by calculating fluctuation ratio index based on options
  • Method and system for risk early warning by calculating fluctuation ratio index based on options

Examples

Experimental program
Comparison scheme
Effect test

Embodiment 1

[0063] According to a method for calculating volatility index based on options to carry out risk early warning provided by the present invention, it includes: figure 1 as shown,

[0064] Step M1: Use Internet intelligent information collection technology and data interface to obtain all options data that meet the preset requirements from data service providers and exchanges;

[0065] Step M2: Preprocess the collected option data that meets the preset requirements and store the preprocessed option data in the server or local hard disk;

[0066] Step M3: Calculate the corresponding implied volatility for each option using the option data stored on the server or local hard disk using the BS option pricing formula and dichotomy;

[0067] Step M4: According to the corresponding implied volatility of each option, calculate the volatility index of the day, and store the calculated volatility index of the day to the server or local hard disk;

[0068] Step M5: According to whether ...

Embodiment 2

[0127] Embodiment 2 is a modification of embodiment 1

[0128] For option 10002690, its closing price on July 27, 2020 was 0.5598, its trading volume was 87, the price of 50ETF at that time was 3.211, the strike price of the option was 3.7, and the implied volatility calculated by the dichotomy method was 0.3255 , and the distance from the option to the exercise date is 0.4 (years), so the contribution of the option to IPvix is ​​as follows:

[0129] molecular part:

[0130] Volume*StrikeWeight*ImpVol*MaturityWeight=87*0.859*0.3255*1=24.325

[0131] Denominator part:

[0132] Volume*StrikeWeight**MaturityWeight=87*0.859*1=74.733

[0133] Go through all the options that can be traded that day, and know that its volatility index is: 28.09. However, IPvix has a certain mean regression property, and its high probability should be between 15 and 25. Therefore, the volatility index of the day is relatively high, and the risk of sharp rise and fall should be guarded against.

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Abstract

The invention provides a method and a system for risk early warning by calculating a fluctuation ratio index based on options. The method comprises the following steps: adopting all transaction options data meeting preset requirements; preprocessing all acquired option data which meet preset requirements and are being transacted, and storing the preprocessed option data to a server or a local harddisk; calculating a corresponding implicit fluctuation rate for each option by using a BS option pricing formula and a dichotomy according to the stored option data; calculating according to the implicit fluctuation ratio to obtain a current-day volatility index, and storing the current-day fluctuation ratio index in a server or a local hard disk; judging whether a fluctuation rate risk exists infuture preset time according to whether the fluctuation rate index of the day deviates from a preset value or not; pre-judging the increase or decrease of the transaction volume according to the fluctuation ratio risk; and determining a potential hotspot transaction of the transaction according to the increase or decrease of the transaction volume, and determining a database hotspot of the transaction system according to the potential hotspot transaction. According to the invention, errors and subjective influences possibly caused by human intervention are reduced.

Description

technical field [0001] The present invention relates to option trading algorithms, in particular, to a method and system for risk warning based on option calculation of volatility index, and more specifically, to the measurement and realization of future financial market volatility risk based on the calculation of volatility index early warning. Background technique [0002] The Chicago Board Options Exchange (CBOE) volatility index (VIX index, panic index) compilation method is currently the main algorithm for compiling the volatility index. This method uses the academic variance swap pricing principle to calculate the volatility index. The algorithm of CBOE is the same as There are certain deviations in theory, mainly truncation error and discrete error. In reality, both truncation error and discrete error cannot be avoided, resulting in excessive deviation of calculation results from the real value. The core of the volatility index methodology is to minimize calculation ...

Claims

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Application Information

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IPC IPC(8): G06Q10/04G06Q10/06G06Q20/40G06Q40/04
CPCG06Q10/04G06Q10/06393G06Q20/4016G06Q40/04
Inventor 安润民王宁朱珺
Owner 上海九方云智能科技有限公司
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