기관·외국인투자자의 KOSPI 200 옵션거래와 내재변동성 변화
Institutional Investors’ Volatility Trading in the KOSPI 200 Options Market
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본 연구는 KOSPI 200 옵션시장에서 기관투자자의 거래행태가 변동성 변화와 어떠한 관련성을 가지는지 분석하였다. 전체 기관투자자는 국내기관투자자와 외국인기관투자자로 구분하고, 각 거래 주체의 거래강도는 옵션의 매수량과 매도량 차이로 정의하였다. 전체 국내기관투자자의 거래행위는 동시점의 변동성 변화와 유의한 관련성을 찾기 어려웠으나, 외국인기관투자자의 경우 옵션 매수가 변동성 하락과 옵션매도는 변동성 상승과 관계되었다. 옵션거래 전후의 변동성 변화에 대해서도, 국내기관투자자의 경우 유의한 변동성 변화를 확인하지 못한 반면, 외국인투자자는 변동성 하락시 변동성을 매수하고 변동성이 상승한 후 변동성을 매도하는 것으로 나타났다. 이러한 결과에 의하면 외국인투자자는 변동성 거래에 대한 정보거래자라는 사실을 지지하며, 실제로 옵션시장에서 상당한 이익을 거두고 있다는 사실과도 부합한다. 이러한 결과는 거래량 효과 및 실현변동성 변화를 고려한 이후에도 여전히 유의하였다.
Abstract
This study analyzes the relationship between the institutional investors’ trading and volatility changes in the KOSPI 200 options market and examines whether the institutional investors are really informed traders. After classifying institutional investors into domestic institutional investors and foreign institutional investors, we define each investor group’s trading intensity as the net option trading volume. i.e., the buy trading volume minus sell trading volume. According to the results, we cannot find an evident pattern on implied volatilities by the total institutional investors. However, we find that the foreign institutional investors buy options when implied volatilities decrease and they sell options when implied volatilities increase sufficiently. In addition, we investigate before-and-after volatility changes when each investor trades options intensively. While there is no evident pattern on volatilities for domestic investors, implied volatilities decrease (increase) before foreign investors buy (sell) options. This result implies that foreign investors purchase volatilities in low price and sell them in high price and supports the argument such that foreign investors are informationally superior to domestic investors. Our results are robust even after adjusting for trading volume effects and realized volatility effects.
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