本論文是由兩篇關於選擇權市場資訊內涵之研究所構成。 由於取得台灣股價指數選擇權所有交易人之成交資料，使得本研究得以提供有關資訊交易者是否存在選擇權市場的相關證據。在本論文的第一部份，我們使用台灣指數選擇權所有交易人日內的成交資料討論選擇權之買權及賣權開平倉交易是否隱含不同的資訊內涵。我們發現全市場交易量的研究結果並無隱含顯著的現貨指數報酬率變動之資訊。但相反地，若分投資人之交易量來看，雖然外國機構投資人的交易量佔全市場交易量比重並不大，但其交易卻能夠顯著的預測現貨指數報酬率之變動。我們也進而發現，外國機構投資人之價平及短天期選擇權交易量在預測現貨指數報酬率上更具顯著性。 在本論文的第二部份，我們使用Ni, Pan and Poteshman (2008)之探討選擇權交易是否隱含現貨波動率資訊的研究方法，沿用其加權淨波動率需求指標(vega-weighted net demand for volatility)討論台灣指數選擇權交易是否隱含現貨波動率之資訊。我們的研究結果指出外國機構投資人使用期貨及選擇權所建立之組合交易部位隱含最顯著的現貨波動率資訊。另外，我們也發現少數(不到全市場交易量1%)的個人投資者，其勒式部位(strangle)可預測未來現貨指數波動率。而與過去文獻不同的為，我們發現過去文獻認為最多人使用之波動率交易策略-跨式部位(straddle)，其交易量在台灣指數選擇權市場中對未來現貨指數波動率並無任何預測能力。 本論文除提供證據顯示外資在台灣股價指數選擇權市場的交易確實對於現貨指數的變動有預測能力外，且雖然指數選擇權交易在過去文獻中被視為較少資訊交易者存在，而本論文進一步指出台灣股價指數選擇權市場確實存在資訊交易者。 This essay contains two studies on information content in options markets. Having obtained a unique dataset with detailed information on transaction records in the TAIEX option market, we provide evidence of varying degrees of predictability from different classes of investors. In the first part of this essay, we set out to investigate the information content of options trading to examine the predictive power of the put and call positions of different types of traders in the TAIEX option market. We find that options volume, as a whole, carries no information on TAIEX spot index changes. On the other hand, however, although foreign institutional investors do not engage in much trading, there is strong evidence to show that the trading in which they do engage has significant predictive power on the underlying asset returns. We also find that foreign institutional investors have greater predictive power with regard to in near-the-money and middle-horizon options. In the second part of this study, we follows the approach of Ni, Pan and Poteshman (2008) – based upon the vega-weighted net demand for volatility – to determine whether volatility information exists within the Taiwan options market. Our empirical results show that foreign institutional investors possess the strongest and most direct volatility information, which is realized by the delta-neutral options/futures trades. In addition, a few individual investors’ trading volume from strangles (less than 1% of individuals’ trades) show some predictive power of future volatility. Surprisingly, we find no evidence to support the predictive ability of the volatility demand from straddle trades, despite the widespread acknowledgement that such trades are sensitive to volatility. Our study sheds some light on the foreign capital flows in the Taiwan option market which may have predictive power with regard to the underlying asset. Our investigation may provoke further study of the information content of index option markets, which are generally viewed as being less informative than individual stock markets.
