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).