Time Spreads in China SSE 50 Options

Using day-end pricing data from a comprehensive data base not readily available outside of China, an algorithm to trade near-the-money call option time spreads on China's SSE 50 ETF was developed and tested. Analysis of in-sample data, suggested profitable trading rules that, when applied to limited out-of-sample data, failed to produce superior similar results. A likely explanation for this outcome is offered. Further testing is planned. To our knowledge, there are no known related studies of SSE 50 option time spreads so this work provides a helpful addition to the growing knowledge about the developing China derivatives market. Opportunities for further research are described