本篇論文第一個策略以買賣權隱含波動差為指標，當指標顯示買權、賣權隱含波動度偏離的時候，即表示一方選擇權相較於另一方選擇權價值被相對高估或低估。此時即進入市場買低賣高，賺取其中的價差。在考慮保證金、交易成本的情況下，報酬仍然明顯高於大盤。本篇論文也發現，當剩餘交易天數介於11~15天建立部位，相較其他時段，可以獲得較高的報酬；而當隱含波動度處於歷史高點時，建立部位，可以獲得的報酬最高。 接著各別探討買權、賣權隱含波動度。因為隱含波動度有均值回歸的特性，因此若買權或賣權隱含波動度偏離其波動度均值過大時，即表示價格可能存在高估或低估。本篇論文第二個策略以偏離值為指標，進入市場買低賣高。買權方面，在考慮交易成本之後，除了深度價外的買權外，其餘皆沒有顯著大於0的報酬。賣權方面，在考慮交易成本之後，價內外共七檔契約的報酬依然顯著大於0。另外，當買、賣賣權契約若不考慮避險，可以獲得更高的報酬。 ;This paper view implied volatility spread of options as a leading indicator, when this indicator shows one option deviates from another, it means that one option undervalue or overvalue relative to another. Then we buy low and sell high in the market. We find out that the portfolio still beat the market after consider the trading cost. We also find out that compared to other period, there has higher return when we build the trading position at about 11-15 remaining day of trading. This paper also discusses the implied volatility of call options and put options respectively. Because one of characteristic of implied volatility is mean reverting, it means that one option undervalue or overvalue if the implied volatility of call or put is much deviates from mean value. We use the stray value as the second indicator, and we buy low and sell high in the market. We find out that after considering the transaction cost, there are not significantly positive returns in call options except for which with deep-out-of-the-money. In contrast to call option, there still have significantly positive return in put options with no matter out-of-the-money or in-the-money. In addition, if we don’t take hedge into account when we buy or sell put option, the portfolios could get higher returns.
