Research on the Relationship Between Arbitrage and Spread of Shanghai Stock Exchange 50ETF Based on Parity Option Model

摘要

Based on the parity option model and DD factor separation method, as well as the options trading data of Shanghai Stock Exchange and Shanghai Interbank Offered Rate (SHIBOR), this paper analyzes and studies the relationship between bid-ask spread and options as one of the cost factors. It is found that the option arbitrage with long maturity has more space for arbitrage, and the bid-ask spread can explain the existence of part of the arbitrage space and arbitrage opportunity, especially for the option arbitrage space of long-term contracts.