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| Title: | 台指選擇權買方單一策略及賣方跨式策略分別探討交易實證分析
Empirical Study of TAIEX Options on Buy Side Single Strategy and Sell Side Strangle Strategy Respectively |
| Authors: | 吳尚融 |
| Contributors: | 張興華
吳尚融 |
| Keywords: | 台指選擇權
買方策略
賣方策略
TAIEX option
Long option strategy
Short option strategy |
| Date: | 2021 |
| Issue Date: | 2021-07-01 18:06:55 (UTC+8) |
| Abstract: | 台指選擇權於西元2001年12月上市至今，而本研究以西元2002年初至2020年底，共19年以來的日資料，探討在台指選擇權市場擔任買方及賣方，並各自使用基本的交易策略，長期下來獲得的勝率、報酬情形及分布，想提供一般投資人具有數據驗證的交易參考。買方使用單一策略，分別探討單買買權跟單買賣權的績效，而賣方則是使用合成策略－賣出扁狀跨式策略，並調整不同的契約履約價區間，找出長期下最佳的範圍。
由於一般投資人對於短期內的震盪是難以預測的，本文所用的策略建立在，不判斷短期多空走勢的基礎下，並統一在當月契約前一個月的結算日下單，並放到契約結算日為止，因此中間不需平倉的操作，且在契約結算當天，同時也建構下一個月的契約，實務操作上具有規律性及簡便性，對於一般投資人來說會很好上手。
實證結果發現，若站在買方，長期下來買權單一策略能夠為投資人帶來正的報酬，而賣權單一策略則無法；若站在賣方，扁狀跨式策略能為投資人帶來高勝率的績效，且最佳的履約價區間能夠提供約5%-6%的年化報酬率。
TAIEX options appeared on the market in December, 2001. This empirical study researches the winning rate and profit rate distribution as buy-side and sell-side respectively by using the daily data from the beginning of 2002 to the end of 2020, a totally 19 years daily data and the target is to provide general investors with a data-verified trading suggestion. Buyers use single strategy to trade call and put respectively, and sellers use strangle strategy. By adjusting the strike price range, I want to find the best range to use trading strategy.
Since it is difficult for general investors to predict the short-term change of stock market, the strategy above is based on not judging short-term trends. Besides, transaction is made on the maturity day of last month and kept to the maturity of option contracts. Therefore, there is no need to close the position in the middle, and the contract for the next month is also constructed on the same day. The practical operation has regularity and simplicity, and it will be convenient for ordinary investors to get started.
The result shows that option buyers can earn long-term profit by single position of longing call. However, longing put can’t bring positive profit. The result also shows that option sellers can have high probability of gain by strangle strategy, and the best strike range can bring sellers about 5% to 6% of annual return rate. |
| Reference: | 中文文獻
1. 台灣期貨交易所網站，https://www.taifex.com.tw/cht/index。
2. 周孟宣(2006)。台指選擇權交易策略實證研究－以期初持有至到期結算為
例，中山大學財務管理學系研究所，碩士論文。
3. 林昱呈(2014)。臺指選擇權買進策略獲利性之研究，開南大學財務金融學系研
究所，碩士論文。
4. 許溪南(2015)。選擇權交易站在買方或賣方？理論分析與釋義。期貨與選擇權
學刊，第8卷第3期。頁97-148。
5. 陳惟傑(2020)。選擇權賣方價外策略，健行科技大學財務金融系碩士班，碩
士論文。
6. 陳威光(2010)。選擇權理論、實務與風險管理。智勝文化事業有限公司。
7. 陳威光(2019)。金融創新與商品個案。新陸書局股份有限公司。
英文文獻
8. Black, F. and M. Scholes. (1973), “The Pricing of Options and Corporate
Liabilities,” Journal of Political Economy, Vol. 81, No. 3, pp. 637-654.
9. Hull, J. C. (2015), Options, Futures and Other Derivatives, 9th edition, Pearson.
10. Stoll, H. R. (1969), “The Relationship Between Put and Call Option Prices,” The
Journal of Finance, Vol. 49, No. 5, pp. 801-824. |
| Description: | 碩士
國立政治大學
金融學系
108352027 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0108352027 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202100572 |
| Appears in Collections: | [金融學系] 學位論文
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