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| Title: | 選擇權賣方跨式與勒式交易策略之探討--以台指選擇權為例
A study of straddle and strangle strategies: evidence from TAIEX options |
| Authors: | 王祈凱
Wang, Chi Kai |
| Contributors: | 陳威光
Chen, Wei Kuang
王祈凱
Wang, Chi Kai |
| Keywords: | 跨式策略
勒式策略
時間價值
結算
提早平倉
台指選擇權
台指期貨
Straddle Strategy
Strangle Strategy
Time Value
Settlement
Early Offset
TAIEX Options
TAIEX Futures |
| Date: | 2010 |
| Issue Date: | 2011-09-29 16:50:34 (UTC+8) |
| Abstract: | Straddles and strangles are common trading strategies introduced in a lot of textbooks and are widely used for option market participants. However, to our knowledge, we might not know how these trades should be designed, which trades are preferable, and how they are constructed in practice. Thus, we want to apply and discuss straddles and strangles as our trading strategies to the practical market. In our research paper, focusing on the time value and finding some profitable strategies are the two important concepts of our straddles and strangles. Being a sell side to earn the time value is our main goal. Although we may take higher risk, time value decay is helpful for us. The research focuses on straddles and strangles by using historical data of TAIEX futures and options. We use the closing price and settlement price as our trading price from data period January 2005 to December 2010. We also compare two different situations, holding positions to maturity and early offset condition, to our straddles and strangles.
The findings show that the straddle strategies have positive earnings by holding positions to maturity, and 3 out of 4 strangle strategies have the same results. We can indeed earn the time value as a seller because time value decays quickly for the last seven days of the options contracts. After considering the early offset condition, the profitability of the ATM straddle and strangles become worse. We might easily fall into a trap in which the index futures price fluctuates greatly for a few days and comes back to the normal level on the settlement date. Therefore, we encounter loss due to selling low and buying high so that the trading performance is poor compared with the positions held to the end.
Key words: Straddle Strategy, Strangle Strategy, Time Value, Settlement, Early Offset, TAIEX Options, TAIEX Futures |
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| Description: | 碩士
國立政治大學
金融研究所
97352019
99 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0097352019 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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