要害词：
净收购压力；信息含量；50etf期权

this paper uses the high-frequency data of 50 etf options to study the predictive power of net buying pressure (nbp hereafter) for the underlying stock index return and volatility and compares the difference between different weighting methods, call and put options, options with different degrees of moneyness and information asymmetry. we find that 50etf options’ nbp conveys both the return and volatility information of the underlying stock index. the information of delta-aggregated nbp has already been conveyed by simply aggregated nbp. call, put options and options with different degrees of moneyness contain different informat

ion on underlying stocks’ return and volatility. simply aggregated, gamma- and vega-aggregated nbps convey the index volatility information. the nbp of atm and otm options have better predictability on volatility than itm options. moreover, we identify asymmetric effects of nbps on index return and volatility.

key words:
net buying pressure; information content; 50etf option