統計套利—以相對隱含波幅價差交易對台指選與摩台指選套利

台灣的指數選擇權自上市以來，交易量一值攀升，至2006股票指數選擇權交易量更是全球第三，因此想看看有沒有套利機會。在去年摩台指選擇權上市後，因為台指與摩台指相關性相當高，故此台指選擇權與摩台指選擇權的價格會有一定的關係，定價是否會因為價格錯估而產生套利的機會。本文是以統計套利方法，Ammann和Herriger (2002)所提出的相對隱含波幅作價差交易，主要是兩檔相關性高的指數，可以定義出相對的波動界限，並以此界限對其選擇權設限，取各自的選擇權在日期重合成一對，在同一天的兩個指數選擇權的隱含波幅也應在此界限內，如果違反此界限，就買出被高估的指數選擇權，買進被低估的以進行套利；並再回到界限之內時，賣出之前買的指數選擇權，買回賣出的指數選擇權。

關鍵字

none

並列摘要

This paper adopted the approach of Ammann and Herriger (2002) to investigate whether the spreading trade exists when the index option price is to be overvalued or undervalued. We first analyzed the interrelationships over time of two most highly correlated and liquid pairs of Taiwan stock indices. Based on this analysis, we derived a relative relationship between implied volatilities for each pair. If this relationship was violated, we suspected a relative mispricing.

並列關鍵字

Statistical Arbitrage

參考文獻

1.Ammann,M., and S.Herriger(2002),"Relative Implied-Volatility Arbitrage with Index Options, "Financial Analysts Journal, pp. 42-55

2.Chiras,D.P., and S. Manaster(1978), “The Information Content of Option Prices and A Test of Market Efficienty, “The Journal of Financial Economics, 6,pp213-2343

3.Chung, P. (1991), “A Transactions Data Test of Stocks Index Futures Markets Efficiency and Index Arbitrage Probability.”, Journal of Finance, vol46 , pp1791-1809

4.Gatev, EG. , W.N. Goetzmann, and K.G Rouwenhorst (1999), “Pairs Trading :Performance of a Relative Value Arbitrage Rule”.

5. 徐清俊與康登傑(2004), “台指選擇權套利與效率性之研究”, 遠東學報第二十一卷, 第二期pp.229~248.