Posted inChina, Hong Kong

Falling systemic risk explains declining volatility on Chinese ETF options

The chart below shows that systemic risk (co-movement of components) has declined in the Hong Kong China Enterprises Index, as measured by the cross-sectional standard deviation of daily returns to index components. This corresponds to declining implied volatility in the Chinese market (as measured by the CBOE’s index of volatility for options on the large-cap […]

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