隱含波動度價差之交易策略 - 技術分析應用操作; Trading strategy of implied volatility spread - Using technical analysis

NCUIR > School of Management at National Central University > Graduate Institute of Finance > Electronic Thesis & Dissertation > Item 987654321/60026

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Title:	隱含波動度價差之交易策略 - 技術分析應用操作;Trading strategy of implied volatility spread - Using technical analysis
Authors:	鍾函訓;Chung,Han-hsun
Contributors:	財務金融學系
Keywords:	技術分析;隱含波動度價差;Technical analysis;Implied volatility spread
Date:	2013-06-28
Issue Date:	2013-07-10 12:01:37 (UTC+8)
Publisher:	國立中央大學
Abstract:	本篇論文主要探討選擇權與股票市場的資訊內容不對稱以及選擇權價格領先之特性。資訊擁有者假如擁有私有資訊，會優先購買槓桿性最高的金融商品 ( 選擇權 )，故藉由觀察價平且近期到期的買賣權之隱含波動度價差，使用技術分析判斷隱含波動度價差是否偏離理論值區間，並產生出買進或放空訊號，最後利用現貨市場資訊反應落後選擇權市場的特性，購買或放空台灣50 ( 0050 )現貨，進行統計套利。最後經由實證結果發現使用隱含波動度價差交易策略的確可以賺取超額報酬，尤其是布林通道交易策略以及KD交易策略報酬最為穩定，在考慮了證券交易稅與手續費所造成的影響後，年報酬率還可以有著10%以上的水準，可以說是超乎預期。由於選擇權的隱含波動度價差為公開資料，因此也證明了台灣市場為不效率市場。 In this paper, we investigate the information asymmetry between option market and stock market, and we also investigate the characteristics of option price leading stock price. If informed trader has private information, first of all, they will invest high leverage financial product, such as option. By observing the implied volatility spread of near the money and recent month option, we use technical analysis to determine whether implied volatility spread will diverge from theory interval or not and basing on these information we will get a buy or sell signal. Finally, since the information in stock market will lag behind the option market, we can do statistics arbitrage by buying or selling ETF ( 0050 ) in stock market. Empirical results suggest that using strategy of implied volatility spread can earn abnormal return, especially for Bollinger band strategy and KD strategy. After considering about transaction cost (tax and fee), these strategies still make unexpected return higher than 10%. Since the data of implied volatility spread are public resources, it proves that the stock market in Taiwan is inefficiency.
Appears in Collections:	[Graduate Institute of Finance] Electronic Thesis & Dissertation

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