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| Title: | 如何解讀台指選擇權的未平倉量
How to explain the open interest of Taiwan Index Option |
| Authors: | 蘇柏軒 |
| Contributors: | 李志宏
蘇柏軒 |
| Keywords: | 台指選擇權
未平倉量
勒式策略
Taiwan Index Option
Open interest
trading strategy |
| Date: | 2015 |
| Issue Date: | 2015-07-27 11:22:23 (UTC+8) |
| Abstract: | 本文利用期交所的公開資訊，研究如何解讀台指選擇權的未平倉量。實證的結果顯示，許多賣出選擇權的投資人具有優勢資訊，也利用賣出價平或價外選擇權來獲利，因此台指選擇權的未平倉量應由賣方角度來解釋。
本文進一步研究賣出選擇權的交易策略，發現在考慮了保證金、交易成本以及再投資的考量後，大部分賣出選擇權的交易策略的報酬率表現很差，這與先前的文獻結果不同，造成差異的關鍵在於考慮了持續再投資的交易方式，賣出選擇權策略勝率高但獲利有限，發生損失時往往會嚴重侵蝕先前累積的獲利。
但我們發現以未平倉量為依據的Condor Spread(OI)交易策略，它有明顯的超額報酬，根據這個交易策略的特性，我們建議想設計賣出選擇權交易策略的投資人:(1)合適的停損機制是必要的(2)參考未平倉量作為選擇履約價的依據。
In this study, we use the public information from Taiwan Futures Exchange to examine whether the open interest of Taiwan Index Option (TXO) can be explained by the open-sell investors. The results indicate that numerous open-sell investors are informed traders, and they write near-the-money option or out-of-the-money option to earn the premium. Therefore, using sell-side to explain the open interest of TXO is comparatively proper.
Further, we research on the performance of selling-option trading strategies including margin, transaction costs and reinvest. Most of trading strategies generate negative return rate and they bear extremely high risk. This result is contrary to some of the previous studies, because the previous studies didn’t consider reinvest. There is a high probability to earn the premium, but when the loss occurs it will severely damage the investor’s net worth.
We find a special trading strategy that can realize the excess rate of return. According to the characteristic of this trading strategy, we advised the investors who want to design selling-option trading strategy that: (1) the strict stop loss mechanism is necessary (2) the open interest of option can be a reference to choose the exercise price. |
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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。國立中山大學財務管理研究所碩士論文。
吳秋練(2011):以盒型價差策略探討台指選擇權市場之效率性與套利機會。國立台北大學統計研究所碩士論文。
曾緯仁(2008):賣出選擇權跨式策略最適履約價之探討。逢甲大學財務金融研究所碩士論文。 |
| Description: | 碩士
國立政治大學
財務管理研究所
102357026 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0102357026 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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