Dynamic Implied Risk Aversion Term Structure: An Empirical Analysis Based on Shanghai Stock Exchange 50 ETF Option

Table 1

Basic elements of SSE 50 ETF option.

Contract object	SSE 50 ETF
Contract type	Call and put options
Contract expiration month	Current month, next month, and the following two quarterly months
Exercise price	9 (1 flat value contract, 4 virtual value contracts, and 4 real value contracts)
Exercise method	Exercise on the maturity date (European style)
Due date	The fourth Wednesday of the due month (postponed in case of legal holidays)
Transaction time	9:15–9:25 am, 9:30–11:30 am (9:15–9:25 am is the opening time for collective bidding)
	13:00–15:00 (14:57–15:00 is the closing call auction time)
Type of transaction	Purchase opening, purchase closing, sell opening, sell closing, cover opening, cover closing, and other types of trading specified by business rules
Minimum quotation unit	0.0001 yuan