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題名 如何解讀台指選擇權的未平倉量
How to explain the open interest of Taiwan Index Option作者 蘇柏軒 貢獻者 李志宏
蘇柏軒關鍵詞 台指選擇權
未平倉量
勒式策略
Taiwan Index Option
Open interest
trading strategy日期 2015 上傳時間 27-Jul-2015 11:22:23 (UTC+8) 摘要 本文利用期交所的公開資訊，研究如何解讀台指選擇權的未平倉量。實證的結果顯示，許多賣出選擇權的投資人具有優勢資訊，也利用賣出價平或價外選擇權來獲利，因此台指選擇權的未平倉量應由賣方角度來解釋。本文進一步研究賣出選擇權的交易策略，發現在考慮了保證金、交易成本以及再投資的考量後，大部分賣出選擇權的交易策略的報酬率表現很差，這與先前的文獻結果不同，造成差異的關鍵在於考慮了持續再投資的交易方式，賣出選擇權策略勝率高但獲利有限，發生損失時往往會嚴重侵蝕先前累積的獲利。但我們發現以未平倉量為依據的Condor Spread(OI)交易策略，它有明顯的超額報酬，根據這個交易策略的特性，我們建議想設計賣出選擇權交易策略的投資人:(1)合適的停損機制是必要的(2)參考未平倉量作為選擇履約價的依據。
In this study, we use the public information from Taiwan Futures Exchange to examine whether the open interest of Taiwan Index Option (TXO) can be explained by the open-sell investors. The results indicate that numerous open-sell investors are informed traders, and they write near-the-money option or out-of-the-money option to earn the premium. Therefore, using sell-side to explain the open interest of TXO is comparatively proper.Further, we research on the performance of selling-option trading strategies including margin, transaction costs and reinvest. Most of trading strategies generate negative return rate and they bear extremely high risk. This result is contrary to some of the previous studies, because the previous studies didn’t consider reinvest. There is a high probability to earn the premium, but when the loss occurs it will severely damage the investor’s net worth.We find a special trading strategy that can realize the excess rate of return. According to the characteristic of this trading strategy, we advised the investors who want to design selling-option trading strategy that: (1) the strict stop loss mechanism is necessary (2) the open interest of option can be a reference to choose the exercise price.參考文獻 Bakshi,G., Kapadia,N. (2003): Delta‐Hedged Gains and the Negative Market Volatility Risk Premium. Review of Financial Studies, Volume 16, Issue 2, pp.527-566.Berkovich, E., Shachmurove, Y. (2011): An Error of Collateral: Why Selling SPX Put Options May Not be Profitable, The Journal of Derivatives, Vol. 20, No. 3, pp.31-42Bondarenko,O. (2003): Estimation of risk-neutral densities using positive convolution approximation. Journal of Econometrics, Volume 116, pp.85-112Chang, Chuang-Chang., Hsieh, Pei-Fang., Lai, Hung-Neng.(2009): Do informed option investors predict stock returns? Evidence from the Taiwan stock exchange. Journal of Banking & Finance, Volume 33, Issue 4, April 2009, pp.757-764Coval, JD., Shumway, T. (2001): Expected Option Returns. The Journal of Finance,Volume 56, Issue 3, pp.983–1009Driessen, J., Maenhout,P. (2007): An empirical portfolio perspective on option pricing anomalies. Review of Finance, Volume 11, Issue 4, pp.561-603Fodor, A., Krieger, K., Doran, JS. (2011): Do option open-interest changes foreshadow future equity returns? Financial Markets and Portfolio Management, Volume 25, Issue 3, pp.265-280 Han, Bing., Lee, Yi-Tsung., Liu, Yu-Jane. (2009): Investor Trading Behavior and Performances: Evidence from Taiwan Stock Index Options. McCombs Research Paper Series, No. FIN-06-09 Jones, CS. (2006): A nonlinear factor analysis of S&P 500 index option returns. The Journal of Finance, Volume 61, Issue 5, pp.2325–2363Lakonishok , J., Lee,I., Poteshman, AM. (2004): Investor Behavior in the Option Market. NBER Working Paper No. 10264Lakonishok, J., Lee, I., Pearson, ND., Poteshman, AM. (2007): Option Market Activity. Review of Financial Studies, Volume 20, Issue 3, pp.813-857.Pan , J., Poteshman, AM. (2003): The information in option volume for stock prices. Working paper, Massachusetts Institute of Technology and University of Illinois at Urbana-Champaign, pp.4275-4303 Santa-Clara, P., Saretto, A. (2009): Option strategies: Good deals and margin calls, Journal of Financial Markets, Volume 12, Issue 3, pp.391-417周孟宣(2006):台指選擇權交易策略實證研究—以期初持有至到期結算為例。國立中山大學財務管理研究所碩士論文。吳秋練(2011):以盒型價差策略探討台指選擇權市場之效率性與套利機會。國立台北大學統計研究所碩士論文。曾緯仁(2008):賣出選擇權跨式策略最適履約價之探討。逢甲大學財務金融研究所碩士論文。 描述 碩士
國立政治大學
財務管理研究所
102357026資料來源 http://thesis.lib.nccu.edu.tw/record/#G0102357026 資料類型 thesis dc.contributor.advisor 李志宏 zh_TW dc.contributor.author (Authors) 蘇柏軒 zh_TW dc.creator (作者) 蘇柏軒 zh_TW dc.date (日期) 2015 en_US dc.date.accessioned 27-Jul-2015 11:22:23 (UTC+8) - dc.date.available 27-Jul-2015 11:22:23 (UTC+8) - dc.date.issued (上傳時間) 27-Jul-2015 11:22:23 (UTC+8) - dc.identifier (Other Identifiers) G0102357026 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/76864 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理研究所 zh_TW dc.description (描述) 102357026 zh_TW dc.description.abstract (摘要) 本文利用期交所的公開資訊，研究如何解讀台指選擇權的未平倉量。實證的結果顯示，許多賣出選擇權的投資人具有優勢資訊，也利用賣出價平或價外選擇權來獲利，因此台指選擇權的未平倉量應由賣方角度來解釋。本文進一步研究賣出選擇權的交易策略，發現在考慮了保證金、交易成本以及再投資的考量後，大部分賣出選擇權的交易策略的報酬率表現很差，這與先前的文獻結果不同，造成差異的關鍵在於考慮了持續再投資的交易方式，賣出選擇權策略勝率高但獲利有限，發生損失時往往會嚴重侵蝕先前累積的獲利。但我們發現以未平倉量為依據的Condor Spread(OI)交易策略，它有明顯的超額報酬，根據這個交易策略的特性，我們建議想設計賣出選擇權交易策略的投資人:(1)合適的停損機制是必要的(2)參考未平倉量作為選擇履約價的依據。 zh_TW dc.description.abstract (摘要) In this study, we use the public information from Taiwan Futures Exchange to examine whether the open interest of Taiwan Index Option (TXO) can be explained by the open-sell investors. The results indicate that numerous open-sell investors are informed traders, and they write near-the-money option or out-of-the-money option to earn the premium. Therefore, using sell-side to explain the open interest of TXO is comparatively proper.Further, we research on the performance of selling-option trading strategies including margin, transaction costs and reinvest. Most of trading strategies generate negative return rate and they bear extremely high risk. This result is contrary to some of the previous studies, because the previous studies didn’t consider reinvest. There is a high probability to earn the premium, but when the loss occurs it will severely damage the investor’s net worth.We find a special trading strategy that can realize the excess rate of return. According to the characteristic of this trading strategy, we advised the investors who want to design selling-option trading strategy that: (1) the strict stop loss mechanism is necessary (2) the open interest of option can be a reference to choose the exercise price. en_US dc.description.tableofcontents 1. 緒論 12. 研究樣本 63. 實證研究 103.1 P/C OI ratio與台灣期貨指數報酬率 123.2選擇權序列的未平倉量與期貨指數報酬率 163.3價平選擇權的未平倉量與期貨指數報酬率 234. 選擇權賣方交易策略 264.1簡介賣方選擇權交易策略 264.2交易成本 274.3保證金的假設與投資人風險態度 284.4交易策略的績效回測 295. 結論 35附錄 37參考文獻 47 zh_TW dc.format.extent 1563031 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0102357026 en_US dc.subject (關鍵詞) 台指選擇權 zh_TW dc.subject (關鍵詞) 未平倉量 zh_TW dc.subject (關鍵詞) 勒式策略 zh_TW dc.subject (關鍵詞) Taiwan Index Option en_US dc.subject (關鍵詞) Open interest en_US dc.subject (關鍵詞) trading strategy en_US dc.title (題名) 如何解讀台指選擇權的未平倉量 zh_TW dc.title (題名) How to explain the open interest of Taiwan Index Option en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Bakshi,G., Kapadia,N. (2003): Delta‐Hedged Gains and the Negative Market Volatility Risk Premium. Review of Financial Studies, Volume 16, Issue 2, pp.527-566.Berkovich, E., Shachmurove, Y. (2011): An Error of Collateral: Why Selling SPX Put Options May Not be Profitable, The Journal of Derivatives, Vol. 20, No. 3, pp.31-42Bondarenko,O. (2003): Estimation of risk-neutral densities using positive convolution approximation. Journal of Econometrics, Volume 116, pp.85-112Chang, Chuang-Chang., Hsieh, Pei-Fang., Lai, Hung-Neng.(2009): Do informed option investors predict stock returns? Evidence from the Taiwan stock exchange. Journal of Banking & Finance, Volume 33, Issue 4, April 2009, pp.757-764Coval, JD., Shumway, T. (2001): Expected Option Returns. The Journal of Finance,Volume 56, Issue 3, pp.983–1009Driessen, J., Maenhout,P. (2007): An empirical portfolio perspective on option pricing anomalies. Review of Finance, Volume 11, Issue 4, pp.561-603Fodor, A., Krieger, K., Doran, JS. (2011): Do option open-interest changes foreshadow future equity returns? Financial Markets and Portfolio Management, Volume 25, Issue 3, pp.265-280 Han, Bing., Lee, Yi-Tsung., Liu, Yu-Jane. (2009): Investor Trading Behavior and Performances: Evidence from Taiwan Stock Index Options. McCombs Research Paper Series, No. FIN-06-09 Jones, CS. (2006): A nonlinear factor analysis of S&P 500 index option returns. The Journal of Finance, Volume 61, Issue 5, pp.2325–2363Lakonishok , J., Lee,I., Poteshman, AM. (2004): Investor Behavior in the Option Market. NBER Working Paper No. 10264Lakonishok, J., Lee, I., Pearson, ND., Poteshman, AM. (2007): Option Market Activity. Review of Financial Studies, Volume 20, Issue 3, pp.813-857.Pan , J., Poteshman, AM. (2003): The information in option volume for stock prices. Working paper, Massachusetts Institute of Technology and University of Illinois at Urbana-Champaign, pp.4275-4303 Santa-Clara, P., Saretto, A. (2009): Option strategies: Good deals and margin calls, Journal of Financial Markets, Volume 12, Issue 3, pp.391-417周孟宣(2006):台指選擇權交易策略實證研究—以期初持有至到期結算為例。國立中山大學財務管理研究所碩士論文。吳秋練(2011):以盒型價差策略探討台指選擇權市場之效率性與套利機會。國立台北大學統計研究所碩士論文。曾緯仁(2008):賣出選擇權跨式策略最適履約價之探討。逢甲大學財務金融研究所碩士論文。 zh_TW
