Discovery Analysis of Chinese Soybean Meal Futures and Options Prices

Abstract

The trading of soybean meal futures and soybean meal options (the fi rst option in China) on the Dalian Commodity Exchange of China plays an important role in stabilizing the spot market of agricultural products and enhancing the independent price discovery function. This article uses 30 minute high-frequency price data of soybean meal futures and options from October 27, 2017 to October 27, 2018, and uses the VEC model, common factor model, and option parity theory to study the price discovery function of soybean meal futures and options. The results show that: (1) the cointegration coeffi cient of soybean meal futures and options is (1, -0.9796), indicating a high pricing effi ciency; (2) Soybean meal futures have a strong and unidirectional guidance on options; (3) There are diff erences in the impact of soybean meal futures on options under diff erent fl uctuations, with asymmetric characteristics of stronger rising period than falling period; (4) The price discovery ratio of soybean meal futures is higher than that of options, which is the main force in the process of price discovery information transmission.