在選擇權的訂價上，波動度是無法直接觀察到的參數。然而，芝加哥選擇權交易所(CBOE)於1993年公佈VXO波動度指標(Volatility Index)，用來衡量選擇權交易人對於未來股票市場波動率之預期，故波動率指標亦被稱為「投資人恐懼指標」，之後CBOE在2003年推出新的波動度指標，稱為VIX。當波動度指標越高時，表示投資者預期未來股價指數的波動程度越劇烈，亦即投資人越感到不安，反之，當波動度指標越低時，表示投資者對未來感到樂觀的。本研究的目的是參考CBOE的VXO與VIX 的編制方法，嘗試編制一套符合台灣選擇權交易市場的波動度指標並研究其特性。本研究的結論如下 1、在研究影響波動度指標的景氣循環因子時，發現領先指標與製造業新接訂單指數影響新舊波動度指標。 2、在分析波動度指標在空頭市場與多頭市場下的趨勢方面，排除了股市盤整期 間後，空頭市場的VXO、VIX均高於多頭市場。 3、在波動度指標與台灣加權股價指數報酬率的同期間關係方面下， VXO、VIX 與台灣加權股價指數報酬率有顯著負向關係；在波動度指標之預測能力下，波動度與未來報酬呈正向關係，VXO對台灣加權股價指數報酬率有5、10、20、30、60天期間的預測能力，VIX則只有20、30、60天期間的預測能力。 4、在衍生波動度指標交易策略方面中，參考Pierre Giot (2005)的方法論，VXO在極高波動度指標水準下，隱含著市場上有過度賣出、投資人過度恐慌之現象，此時可視為是一種買進訊號，可採取買入策略獲取正報酬；VIX則無法成為一個有效的買進訊號。 In an option pricing framework, volatility is the only input that cannot directly observed by market participants. In 1993, the Chicago Board Options Exchange (CBOE) introduced the Market Volatility Index (VXO) which measures market expectations of near term volatility conveyed by stock index market. VXO can be called the market's "fear gauge". Later in 2003, The CBOE has announced a new computation of its Volatility Index（VIX）. During times of uncertainty and market turmoil, the VIX will rise to reflect greater expectations regarding future volatility. When the VIX rises, it is a sign of investors' nervousness; when the VIX falls to low levels, it suggests investor bullishness or complacency. The purpose of this study is to construct Taiwan Volatility Index (VIX and VXO) using CBOE methodology, and explore some of its properties. Our findings are as follows: 1、MLED and NL can influence implied volatility indices. 2、In Bear Market’s implied volatility indices is higher than Bull Market’s implied volatility indices. 3、There is a strong negative relationship between the contemporaneous changes in the stock index returns and implied volatility indices(VIX and VXO).And there is a positive relationship between implied volatility indices and forward-looking stock index returns. 4、There is some evidence that extremely high levels of implied volatility signal attractive buy points for traders. And extremely high volatility markets are oversold, trader should benefit traders entering long positions.
