earticle

영어

This paper examines the effect of issuance of ELS(Equity Linked Security) with the Hong Kong HSCEI index as an underlying asset, on the volatility skew in the Hong Kong options market. The most common structure of ELS includes an autocallable option every 6 month and 3-year time-to-maturity, which pursues medium-return along with medium-risk. When trading ELS as an issuer, traders are exposed to various risks in the process of hedging - typically the vega risk caused by changes in volatility. In the case of ELS with knock-in put option, the issuer’s position is generally similar to taking a long position in a put option at the moment of issuance, so vega hedge is normally executed through selling vanilla options. As the ELS with global stock indices as underlying assets has become popular since 2014, local securities companies have begun to adopt volatility surfaces to evaluate the fair price of ELS for the purpose of increasing the book sizes and enhancing trading performance. Accordingly, the demand for selling options with specific strike prices is matched with the autocall barriers. We analyze the effect of ELS issuance on market volatility including the VHSCEI index. The volatility skew is defined as the difference between the volatility indexes of the OTM(Out-of-The-Money) put option and those of the ATM(At-The-Money) option. Since the first autocall barriers of ELS are located on 80% to 95% of the strike price, the volatility index of the 90% strike put option is used. So far, most studies related to ELS examined the effect of issuance on the trading volume and volatility of underlying assets. Even in the previous studies on the effects of delta and gamma (or vega) risk hedging on the volatilities, the effect on only short-term volatility such as realized volatility or VKOSPI index was analyzed. Also there are various studies on the way of calculating the volatility surface depending on maturity and strike price. But there was no studies on the effect of the issuance of structured products in one country on the option market in another country. This study is the first study on the effect of issuance of structured products in Korea on the volatility skew in the Hong Kong options market. The detailed results are as follows. First, as the issuing volume of ELS increases, market volatility such as VHSCEI index decreases, and in particular, VHSCEI index decreases more relative to the realized volatility. This is consistent with the results of previous studies. Also, issuance of ELS lowers the volatility index of the 90% put option compared with the VHSCEI index. Second, with respect to the volatility skew of the same maturity, a strong negative correlation between the ELS issuance volume and the volatility skew since 2014 is observed. It can be interpreted that the volatility of OTM put options decreases compared with the ATM ones as the selling pressure for the OTM increases compared to the ATM. These results are the same for all OTM put options. As a result, if the volume of financial products with the same structure increases significantly, and in particular, if the underlying assets, maturities, and strike prices of the financial products are concentrated, the impact of volatility on the options market can be expected to be larger. It is necessary to sophisticate the issuing and book-managing strategies to diversify the risk of the ELS issuer and to enhance the product’s yield in the future.

한국어

본 연구는 홍콩 HSCEI지수를 기초자산으로 하는 한국 ELS(Equity Linked Security) 발행량이 홍콩 옵션시장의 변동성 스큐에 미치는 영향을 분석하였다. 국내 ELS의 대표적인 구조는 3년 만기의 6개월마다 자동행사 옵션을 부여한 상품으로서 중위험 중수익을 추구하는 상품이다. ELS를 자체 운용하는 경우 헤지 운용과정에서 다양한 위험에 노출되게 되는데, 그중 대표적인 위험이 변동성 변화에 기인하는 베가위험이다. 일반적으로 녹-인 풋옵션이 내재된 ELS는 발행시점에 발행자의 입장에서 풋옵션 매수 포지션과 유사하여 변동성 헤지거래는 옵션 매도를 통하여 이루어진다. 2014년 이후 국내 증권사는 ELS 평가시 변동성 곡면 도입과 동시에 베가위험을 곡면의 형태로 산출하기 시작하였다. 따라서 이후 특정 행사가격과 잔존만기에 해당하는 옵션에 대한 매도 수요가 증가하였다. 이를 확인하기 위해 ELS 발행량이 외가격 풋옵션과 등가격 옵션의 변동성 차이로 정의된 변동성 스큐에 미치는 영향을 분석한 결과, ELS 발행량과 변동성 스큐에는 강한 음(-)의 상관관계가 나타났다. 특히 2014년 이전과 이후를 비교하였을 때, 이전대비 2014년 이후 강한 상관관계가 있음을 확인하였다. 이는 국내 증권사의 변동성 곡면 도입 이후 ELS 발행이 증가함에 따라 특정 행사가격의 옵션 매도 수요가 증가하여 나타난 결과임을 시사한다.