  This study examines the performance of a volatility-based strategy using
Chinese equity index ETF options. Initially successful, the strategy's
effectiveness waned post-2018. By integrating GARCH models for volatility
forecasting, the strategy's positions and exposures are dynamically adjusted.
The results indicate that such an approach can enhance returns in volatile
markets, suggesting potential for refined trading strategies in China's
evolving derivatives landscape. The research underscores the importance of
adaptive strategies in capturing market opportunities amidst changing trading
dynamics.
