Table 1 Description of 50EFT options...

Table 1

Description of 50EFT options from January 4, 2021 to December 31, 2021

	Short (10–90 days)				Long (>90 days)
	Price	$σ$ (%)	MN	Mat	Price	$σ$ (%)	MN	Mat
A. Deep OTM put (Moneyness<0.85)
Mean	0.0044	31.66	0.8188	45	0.0210	25.06	0.8164	139
Min	0.0010	20.54	0.7478	14	0.0085	21.53	0.7478	97
Max	0.0130	43.90	0.8499	89	0.0688	29.77	0.8499	225
SD	0.0027	4.75	0.0239	19	0.0106	1.75	0.0247	27
N	182				145
B. OTM put (0.85<Moneyness<1)
Mean	0.0268	21.46	0.9316	42	0.0951	23.08	0.9274	145
Min	0.0010	13.76	0.8502	12	0.0076	15.50	0.8502	91
Max	0.1607	38.15	0.9997	90	0.2742	28.39	0.9997	237
SD	0.0279	3.20	0.0391	20	0.0581	2.64	0.0420	40
N	2,171				863
C. OTM call (1<Moneyness<1.15)
Mean	0.0302	20.55	1.0713	42	0.1076	20.24	1.0726	145
Min	0.0010	12.97	1.0003	12	0.0152	15.27	1.0003	91
Max	0.1640	36.78	1.1498	90	0.2725	24.53	1.1498	237
SD	0.0285	3.18	0.0417	20	0.0566	1.97	0.0424	40
N	2,139				843
D. Deep OTM call (Moneyness>1.15)
Mean	0.0043	28.06	1.2176	50	0.0289	22.72	1.2056	139
Min	0.0010	19.05	1.1501	13	0.0062	19.12	1.1501	91
Max	0.0184	48.06	1.3942	90	0.0900	27.48	1.2945	210
SD	0.0031	5.22	0.0544	20	0.0172	1.56	0.0360	35
N	624				366

	Short (10–90 days)				Long (>90 days)
	Price	$σ$ (%)	MN	Mat	Price	$σ$ (%)	MN	Mat
A. Deep OTM put (Moneyness<0.85)
Mean	0.0044	31.66	0.8188	45	0.0210	25.06	0.8164	139
Min	0.0010	20.54	0.7478	14	0.0085	21.53	0.7478	97
Max	0.0130	43.90	0.8499	89	0.0688	29.77	0.8499	225
SD	0.0027	4.75	0.0239	19	0.0106	1.75	0.0247	27
N	182				145
B. OTM put (0.85<Moneyness<1)
Mean	0.0268	21.46	0.9316	42	0.0951	23.08	0.9274	145
Min	0.0010	13.76	0.8502	12	0.0076	15.50	0.8502	91
Max	0.1607	38.15	0.9997	90	0.2742	28.39	0.9997	237
SD	0.0279	3.20	0.0391	20	0.0581	2.64	0.0420	40
N	2,171				863
C. OTM call (1<Moneyness<1.15)
Mean	0.0302	20.55	1.0713	42	0.1076	20.24	1.0726	145
Min	0.0010	12.97	1.0003	12	0.0152	15.27	1.0003	91
Max	0.1640	36.78	1.1498	90	0.2725	24.53	1.1498	237
SD	0.0285	3.18	0.0417	20	0.0566	1.97	0.0424	40
N	2,139				843
D. Deep OTM call (Moneyness>1.15)
Mean	0.0043	28.06	1.2176	50	0.0289	22.72	1.2056	139
Min	0.0010	19.05	1.1501	13	0.0062	19.12	1.1501	91
Max	0.0184	48.06	1.3942	90	0.0900	27.48	1.2945	210
SD	0.0031	5.22	0.0544	20	0.0172	1.56	0.0360	35
N	624				366

Note(s): OTM: out-of-the-money. 50ETF: China 50 ETF. MN: moneyness, the ratio of an option’s strike price to its underlying price. Mat: maturity (in calendar days). Max: maximum. Min: minimum. SD: standard deviation. N: number of options. Price: computed using the implied volatility from the Wind database via Black-Scholes-Merton formulas. $σ$ ⁠: the Black-Scholes-Merton-implied volatility of “Price” re-computed in this paper. The options data is filtered by nine criteria described in Section 3.1

Source(s): Authors’ own work

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