| dc.contributor.advisor | 陳威光 | zh_TW |
| dc.contributor.advisor | Chen, Wei Kuang | en_US |
| dc.contributor.author (Authors) | 王祈凱 | zh_TW |
| dc.contributor.author (Authors) | Wang, Chi Kai | en_US |
| dc.creator (作者) | 王祈凱 | zh_TW |
| dc.creator (作者) | Wang, Chi Kai | en_US |
| dc.date (日期) | 2010 | en_US |
| dc.date.accessioned | 29-Sep-2011 16:50:34 (UTC+8) | - |
| dc.date.available | 29-Sep-2011 16:50:34 (UTC+8) | - |
| dc.date.issued (上傳時間) | 29-Sep-2011 16:50:34 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0097352019 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/50845 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 金融研究所 | zh_TW |
| dc.description (描述) | 97352019 | zh_TW |
| dc.description (描述) | 99 | zh_TW |
| dc.description.abstract (摘要) | Straddles and strangles are common trading strategies introduced in a lot of textbooks and are widely used for option market participants. However, to our knowledge, we might not know how these trades should be designed, which trades are preferable, and how they are constructed in practice. Thus, we want to apply and discuss straddles and strangles as our trading strategies to the practical market. In our research paper, focusing on the time value and finding some profitable strategies are the two important concepts of our straddles and strangles. Being a sell side to earn the time value is our main goal. Although we may take higher risk, time value decay is helpful for us. The research focuses on straddles and strangles by using historical data of TAIEX futures and options. We use the closing price and settlement price as our trading price from data period January 2005 to December 2010. We also compare two different situations, holding positions to maturity and early offset condition, to our straddles and strangles. The findings show that the straddle strategies have positive earnings by holding positions to maturity, and 3 out of 4 strangle strategies have the same results. We can indeed earn the time value as a seller because time value decays quickly for the last seven days of the options contracts. After considering the early offset condition, the profitability of the ATM straddle and strangles become worse. We might easily fall into a trap in which the index futures price fluctuates greatly for a few days and comes back to the normal level on the settlement date. Therefore, we encounter loss due to selling low and buying high so that the trading performance is poor compared with the positions held to the end. Key words: Straddle Strategy, Strangle Strategy, Time Value, Settlement, Early Offset, TAIEX Options, TAIEX Futures | en_US |
| dc.description.tableofcontents | 1. Introduction 1 1.1. Motivation 1 1.2. Purpose and Structure 5 2. Literature Review 6 3. Methodology and Data 9 3.1. Data Descriptions 9 3.2. Research Design 15 3.3. Data Processing Analysis 18 4. Empirical Evidence and Analysis 23 4.1. Straddle Strategy 23 4.2. Strangle Strategy 27 4.3. Comparing Straddle with Strangle Strategies 31 4.4. Early Offset Condition for ATM Straddle 32 4.5. Early Offset Condition for Strangles 34 5. Conclusions 36 5.1. Research Findings 36 5.2. Further Research 38 References 39 Appendices 41 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0097352019 | en_US |
| dc.subject (關鍵詞) | 跨式策略 | zh_TW |
| dc.subject (關鍵詞) | 勒式策略 | zh_TW |
| dc.subject (關鍵詞) | 時間價值 | zh_TW |
| dc.subject (關鍵詞) | 結算 | zh_TW |
| dc.subject (關鍵詞) | 提早平倉 | zh_TW |
| dc.subject (關鍵詞) | 台指選擇權 | zh_TW |
| dc.subject (關鍵詞) | 台指期貨 | zh_TW |
| dc.subject (關鍵詞) | Straddle Strategy | en_US |
| dc.subject (關鍵詞) | Strangle Strategy | en_US |
| dc.subject (關鍵詞) | Time Value | en_US |
| dc.subject (關鍵詞) | Settlement | en_US |
| dc.subject (關鍵詞) | Early Offset | en_US |
| dc.subject (關鍵詞) | TAIEX Options | en_US |
| dc.subject (關鍵詞) | TAIEX Futures | en_US |
| dc.title (題名) | 選擇權賣方跨式與勒式交易策略之探討--以台指選擇權為例 | zh_TW |
| dc.title (題名) | A study of straddle and strangle strategies: evidence from TAIEX options | en_US |
| dc.type (資料類型) | thesis | en |
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