台灣選擇權市場的隱含波動度價差之探討與研究

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吳家陞(Jia-sheng Wu) 查詢紙本館藏

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財務金融學系

論文名稱

台灣選擇權市場的隱含波動度價差之探討與研究
(The Signaling of Option Implied Volatility Spread and The Relevant Trading Strategy: Evidence from Taiwan Option Market)

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摘要(中)

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。

摘要(英)

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.

關鍵字(中)

★ 買賣權隱含波動度價差
★ 資訊優勢者
★ 保力加通道

關鍵字(英)

★ Implied Volatility Spread
★ Imformed Trader
★ Bollinger Band

論文目次

目錄
一、緒論 1
1-1 研究動機 1
1-2 研究目的 3
1-3 研究架構 4
二、文獻回顧 6
三、Volatility Spread之交易策略 9
3-1理論基礎 9
3-2資料來源 11
3-3隱含波動度 13
3-4交易策略 15
3-4-1價平選擇權之Volatility Spread交易策略 15
3-4-2價平選擇權變動百分比之Volatility Spread交易策略 19
3-4-3口數加權選擇權之Volatility Spread 交易策略 19
3-5 價平選擇權之Volatility Spread交易策略之實證結果 20
四、Volatility Spread之交易策略應用在選擇權 32
4-1理論基礎 32
4-2交易策略 34
4-3交易策略實證結果 37
4-4考慮保證金與交易成本之實證結果 41
4-5綜合分析與解釋 43
五、結論 45
參考文獻 46
附錄一 49
附錄二 50

參考文獻

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Chang, C.-C., Hsieh, P.-F., Wang, Y.-H., 2010. Information content of options trading volume for future volatility: Evidence from the Taiwan options market, Journal of Banking and Finance 34, 174–183.

指導教授

吳庭斌(Ting-Pin Wu)

審核日期

2013-7-25

推文