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。 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.
