台指選擇權短天期契約價差交易績效之探討

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Title:	台指選擇權短天期契約價差交易績效之探討
Other Titles:	Study on the performance of spread trading for Taiwan stock index weekly option 臺指選擇權短天期契約價差交易績效之探討
Authors:	方艦騏;Fang, Chien-Chi
Contributors:	淡江大學財務金融學系碩士在職專班李沃牆;Lee, Wo-Chiang
Keywords:	短天期契約;賣權多頭價差;買權空頭價差;賣出賣權;Weekly Option;bull put spread;bear put spread;short a put
Date:	2013
Issue Date:	2014-01-23 13:30:11 (UTC+8)
Abstract:	本文檢驗台灣期交所於 2012 年11 月14 日推出的週選擇權契約後，選擇權交易量是否會有顯著的影響。進一步探討買進買權、買進賣權、賣出買權、賣出賣權、買權空頭價差、賣權多頭價差、買權多頭價差與賣權空頭價差八種交易策略之最佳運用時機及操作績效。實證結果發現，週選擇權短天期契約推出後，選擇權交易口數顯著的成長，但選擇權總交易量並不顯著。運用八種策略績效實證後發現以賣出賣權策略的績效最穩定，不論從價外四檔至價內四檔各績效都有一定的正成長，其中價平賣權報酬率最高。其他週選擇權交易策略績效並不穩定。期交所推出短天期契約後已使得結算行為變得更為頻繁更為常態，對以往引人垢病的外資操控結算行情的情況應可改善，也讓期貨交易更為自由化、合理化，公平化，進而提升國際競爭力。 This article investigates the trading volume effect of Taiwan stock index weekly option which is issued by Taiwan Futures Exchange on November 14, 2012. Further explores the best timing and performances of eight strategies, including the long a call , long a put, short a call, short a put, bear call spread, bull put spread, bull call spread and bear put spread. The empirical results show that after the weekly option contract be issued, the options trading contracts growth significantly, but the total trading volume is not significant. Among the eight trading strategies, the performance of short a put is the best and stable. No matter the four ticks in the money (ITM) or out of the money (OTM). We also found that the short a put at the money (ATM) has the highest return. However, the other options trading strategies performance are not stable. Taiwan Futures Exchange issues the weekly option contract has been making the settlement behavior becomes more frequent and normal. It can also avoid the manipulation settlement prices via QFII. Finally, let the Taiwan future market more liberalized, rationalizing, and equality. and thus enhance its international competitiveness.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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