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SSRNDerivatives & Volatility

Short-Selling Cost and IV Spreads in Chinese SSE 50ETF Options Market

The article explores the link between option-implied volatility spreads and option-implied borrow rate in Chinese SSE 50 ETF options, discovering a significant negative correlation and nonlinearity.

Featured in No. 17 on 28 Sep 2023 · 3 days after release

Released
25 Sep 2023
First featured
No. 17 · 28 Sep 2023
Published in
Not yet, as far as Semantic Scholar knows
Shares when featured
2
Identifier
SSRN 4583012

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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