本篇論文延續Cremers and Weinbaum (2010) 之研究，探討選擇權買賣權隱含波動度之價差(Implied Volatility Spread)，將其視為市場的一個領先指標，反應了市場可能存在的隱含資訊，以及投資人對於整體市場未來之預期。本篇主要利用此指標建立了兩個不同的交易策略，第一個交易策略探討選擇權和股票市場對於相同隱含資訊反應的快慢程度，首先觀察選擇權買賣權隱含波動度之價差(Implied Volatility Spread)，當其顯示為多頭走勢時，進一步購買現貨股票，反之則放空現貨股票。研究結果顯示，隨著選擇權買賣權隱含波動度之價差(Implied Volatility Spread) 衡量方式的不同，此交易策略之報酬有顯著差異，當進一步考慮交易成本時，則無顯著正向超額報酬。 由於第一個交易策略結果顯示台灣選擇權市場與股票市場對於相同隱含資訊的反應方向未必相同，因此第二個交易策略直接使用選擇權買賣權隱含波動度之價差(Implied Volatility Spread) 建構買權與賣權之配對交易，透過選擇權之買賣套利，賺取波動度的價差。因選擇權本身具有高槓桿，在不考慮交易成本、保證金時可獲得高報酬，進一步考慮保證金、交易成本的情況下，報酬顯著下降，但仍然明顯高於大盤。 Extending from Cremers and Weinbaum (2010), this paper mainly examines the implied volatility spread of options, which is viewed as a leading indicator, impling the informed information and the expectation of the investors to the future. This paper uses leading indicator, the implied volatility spread of options, to construct two different strategies. The first strategy tries to see that whether the option market react the informed information pior to the stock market. It buys stocks when the implied volatility spread of options indicates an upward trend and short stocks when the implied volatility spread of options indicates a downward trend. The empirical results are mixed with the different measurements of the implied volatility spread of options. And there are no positive abnormal returns under this strateg when the trading cost is considered. For the first strategy indicates that the stock market and the option market might have different reaction to the same informed information in Taiwan market, this paper directly uses the implied volatility spread of options in pairs trading of options as the second strategy. The result shows that the second strategy produces high returns due to the highly-leveraged characteristic of options. Although the returns go down obviously as the trading cost is considered, they still beat the market over half of the years in the sample period.
