Abstract:

The SSE 50ETF (Shanghai Stock Exchange 50 ETF) option has enriched the hedging mechanism of market transactions and expanded the field of financial derivatives terminology research. This paper conducts computational study based on transaction data for option trading terms: in-the-money option, at-the-money option, out-of-the-money option and Fibonacci option sequence. Through real-time tracking of options trading data over seven years, we have established an options trading terminology database and conducted data-based research on relevant terms and calculations in options trading using computational terminology methods. We found that: (1) The Fibonacci sequence is a very important trading terminology, and the golden section theory of Fibonacci is suitable for index fluctuations and calculation related to options trading; (2) The option standard contracts of the SSE 50ETF are related to standardization of option trading terminology. The option trading is not an isolated market transaction, and is subject to the impact of related important indexes, such as the Singapore A50 Index; (3) The terminology system of the 50ETF options is open. The Singapore A50 Index has a forward-looking effect on the SSE 50 Index; the SSE 50 Index is used, as the tracking target of the SSE 50ETF, to determine the fluctuation trend of the SSE 50ETF; the SSE 50ETF works as the tracking target of option standard contracts and affects the fluctuation trend of specific transactions of option standard contracts; (4) The core of trading terminology of the 50ETF option is the leveraged volatility; the calculated assignment of the term Delta represents the high leverage characteristic, and the expansion of value domain can easily lead to the deviation of the golden section of the Fibonacci sequence. We concluded that the research on 50ETF options trading terminology is a data-driven research; statistical computational linguistics methods can assign value to option terms and effectively assist option trading; computational terminology research on options will facilitate the development of data-driven terminology.

Key words: Shanghai Stock Exchange (SSE) 50 ETF, computational terminology, options, computational terminology of options, Fibonacci sequence, financial econometrics