Table 2 Description of CSI 300 index...

Table 2

Description of CSI 300 index 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	5.4	29.78	0.7951	58	39.4	26.89	0.7865	177
Min	2.0	19.94	0.5539	18	4.9	19.38	0.6199	91
Max	23.6	56.58	0.8498	90	154.9	38.93	0.8496	347
SD	3.4	5.02	0.0526	16	31.1	3.52	0.0541	68
N	743				1,208
B. OTM put (0.85<Moneyness<1)
Mean	50.2	22.34	0.9304	51	175.8	23.67	0.9234	220
Min	2.0	12.36	0.8500	10	8.7	17.05	0.8500	91
Max	260.3	43.09	0.9999	90	519.8	31.66	0.9998	361
SD	47.6	3.23	0.0390	22	95.5	2.60	0.0417	79
N	7,442				4,858
C. OTM call (1<Moneyness<1.15)
Mean	52.3	18.99	1.0647	51	155.7	16.12	1.0707	222
Min	2.1	10.67	1.0001	10	13.6	9.98	1.0003	91
Max	232.1	41.62	1.1498	90	437.9	25.09	1.1498	361
SD	44.1	3.51	0.0420	22	74.1	2.26	0.0443	79
N	4,634				2,913
D. Deep OTM call (Moneyness>1.15)
Mean	7.4	25.94	1.2050	54	42.1	19.95	1.2064	182
Min	2.0	16.98	1.1500	10	4.5	14.21	1.1500	91
Max	46.6	47.28	1.3470	90	172.0	29.59	1.3470	342
SD	6.7	4.42	0.0432	19	28.2	2.62	0.0409	63
N	837				1,162

	Short (10–90 days)				Long (>90 days)
	Price	$σ$ (%)	MN	Mat	Price	$σ$ (%)	MN	Mat
A. Deep OTM put (Moneyness<0.85)
Mean	5.4	29.78	0.7951	58	39.4	26.89	0.7865	177
Min	2.0	19.94	0.5539	18	4.9	19.38	0.6199	91
Max	23.6	56.58	0.8498	90	154.9	38.93	0.8496	347
SD	3.4	5.02	0.0526	16	31.1	3.52	0.0541	68
N	743				1,208
B. OTM put (0.85<Moneyness<1)
Mean	50.2	22.34	0.9304	51	175.8	23.67	0.9234	220
Min	2.0	12.36	0.8500	10	8.7	17.05	0.8500	91
Max	260.3	43.09	0.9999	90	519.8	31.66	0.9998	361
SD	47.6	3.23	0.0390	22	95.5	2.60	0.0417	79
N	7,442				4,858
C. OTM call (1<Moneyness<1.15)
Mean	52.3	18.99	1.0647	51	155.7	16.12	1.0707	222
Min	2.1	10.67	1.0001	10	13.6	9.98	1.0003	91
Max	232.1	41.62	1.1498	90	437.9	25.09	1.1498	361
SD	44.1	3.51	0.0420	22	74.1	2.26	0.0443	79
N	4,634				2,913
D. Deep OTM call (Moneyness>1.15)
Mean	7.4	25.94	1.2050	54	42.1	19.95	1.2064	182
Min	2.0	16.98	1.1500	10	4.5	14.21	1.1500	91
Max	46.6	47.28	1.3470	90	172.0	29.59	1.3470	342
SD	6.7	4.42	0.0432	19	28.2	2.62	0.0409	63
N	837				1,162

Note(s): OTM: out-of-the-money. 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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