Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022)

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Research Report from Equity Group: Premium Selling

Authors
Siyun Li1, *, Chengxuan Liu2, Weicong Liang3
1Investment Associate, Shanghai Everbright Asset Management, Shanghai, 200070, China
2School of Mathematical Science, University of Xi′an Jiaotong-Liverpool, SuZhou, 215000, China
3School of science and technology, University of United International College, Zhuhai, 519087, China
*Corresponding author. Email: edwardlee95@sohu.com
Corresponding Author
Siyun Li
Available Online 31 December 2022.
DOI
10.2991/978-94-6463-036-7_191How to use a DOI?
Keywords
Premium selling; Performance analysis; Delta; Chinese option market
Abstract

This article illustrates the premium selling strategy and its performance in Chinese option market. Analyzing the advantages and disadvantages of strategy application. This work will show the performance of traditional option strategy in Chinese market, whether it is effective or not. We choose options whose delta that is most close to our target value. Selling the option and collecting the premium as profit, undertaking extreme fluctuation of option price as risk, which is the main theme of our strategy. Furthermore, this paper will include backtest procedure and all major parts that should be involved in trading strategy such as signal generation, quotative analysis, qualitative analysis, portfolio construction and performance analysis.

Copyright
© 2022 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022)
Series
Advances in Economics, Business and Management Research
Publication Date
31 December 2022
ISBN
10.2991/978-94-6463-036-7_191
ISSN
2352-5428
DOI
10.2991/978-94-6463-036-7_191How to use a DOI?
Copyright
© 2022 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Siyun Li
AU  - Chengxuan Liu
AU  - Weicong Liang
PY  - 2022
DA  - 2022/12/31
TI  - Research Report from Equity Group: Premium Selling
BT  - Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022)
PB  - Atlantis Press
SP  - 1291
EP  - 1305
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-036-7_191
DO  - 10.2991/978-94-6463-036-7_191
ID  - Li2022
ER  -