Options Trading and Hedging Strategies Based on Market Data Analytics

Based on mathematics and engineering point of view, we aim to explore the establishment of model structure, and thus calculate the benefits and risks of a financial product. Specifically, we exploit a large amount of market data of futures options so as to address two issues in this work. The first issue is to discover an appropriate product choice and timing for profitable trading. Without loss of generality, we investigate the effectiveness of several trading constraints and technical indicators by scrutinizing and back testing with the long-term market data. The second issue is to use the spread strategies for risk control when being an options seller. Note that a spread position is constituted where one buys an option and sells another option against it. In general, we develop a scheme to simulate different trading strategies and thus identify some simple but profitable strategies. Experimental studies show that our strategies yield good profit in the TAIFEX market during 2009 to 2018.