選擇權交易獲利性之分析：以交易資料為例

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姓名

羅宏民(Hung-Ming Lo) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

選擇權交易獲利性之分析：以交易資料為例
(The Anatomy of Option Trading Profitability: Evidence from Transaction Data)

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摘要(中)

本篇論文利用獨特的交易資料探討選擇權實際的交易報酬與獲利，並檢視是否賣出價外賣權可以獲利。相較於過去的文獻，不論是價外賣權或買權，投資人的賣出部位皆可獲得較高的報酬。然而，價內的選擇權即便極少被交易，其買入部位一樣也有不錯的獲利。這些交易部位的獲利在考慮常見的交易成本後並未消失，但價外選擇權獲利的分配卻非常地極端。當交易價平與價內選擇權時，預測標的指數的能力是較為重要的，然而，交易價外選擇權時，其時間價值與波動度才是影響交易獲利最重要的因素。

摘要(英)

This paper investigates real option trading returns and profits using a unique dataset to examine whether selling out-of-the-money (OTM) put options are profitable. Contrary to previous studies, investor short positions of both OTM put and call options earn higher returns. However, buying in-the-money options are also profitable, although they are rarely traded. The profitability of those trading positions is not eliminated from the prevailing friction cost, but the distribution of the OTM option return is very extreme. The predictability of an underlying index is more important when trading at-the-money and in-the-money options, while for OTM options, time value and the volatility are the most important factors that determine an investor’s trading profits.

關鍵字(中)

★ 選擇權實際的交易報酬與獲利
★ 獲利能力
★ 預測能力
★ 賣出價外賣權

關鍵字(英)

★ Predictability
★ Selling out-of-the-money (OTM) put options
★ Real option trading returns and profits
★ Profitability

論文目次

Contents
Abstract in Chinese i
Abstract ii
Acknowledgements iii
Contents iv
List of Tables vi
List of Figures vii
1. Introduction 1
2. Data 5
2.1. Description of Data 5
2.2. Summary Statistics 6
2.2.1. Summary Statistics of Investors and Their Trading Performance 6
2.2.2. Frequency of Contracts Opened 8
3. Empirical Results 9
3.1. Real Option Return and Profit 9
3.1.1. Summary Statistics of the Index Option Monthly Return 10
3.1.2. Implied Volatility of Call and Put Options by Different Moneyness 11
3.1.3. Trading-Dollar-Weighted Average Return 11
3.1.4. Winning Percentage and Average Points Earned per Contract 14
3.2. Analysis of Option Return and Profit 17
3.2.1. Distribution of Option Return 17
3.2.2. The Effect of Friction Cost 19
3.2.3. Order Aggressiveness 22
3.3. Factors of Option Profit 25
3.3.1. Changes in Option Determinants 25
3.3.2. Calculation under Black and Scholes Model 27
4. Conclusion 30
Reference 33
Appendix A 49
Appendix B 54
Appendix C 58

參考文獻

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指導教授

賴弘能(Hung-Neng Lai)

審核日期

2009-12-23

推文