- 學位論文
日內隱含波動度資訊-以虛擬貨幣為例
The intraday information of Implied Volatility - Evidence on crypto currency
摘要
在本篇研究中，我們對新興且發展迅速的加密貨幣期權市場進行了深入探討。我們關注的重點在於選擇權市場的情緒如何影響期貨的未來持有價格回報。我們利用了比特幣（BTC）和以太坊（ETH）的高頻期權數據，進行隱含波動度曲面的解構，並構建了微笑曲線與期限結構，以便更深入地理解這種關係。 我們的實證結果顯示，從微笑曲線中分解出的期限結構變量的隱含收益與日內未來收益相符，並達到了統計顯著性。這表明期限結構變量所隱含的市場情緒預期有效地預測了未來的持有價格回報。此外，我們發現，期限結構變量與未來收益的關係在日內呈現增強動能，且在日內與日級別間進行交替時，會依變量屬性出現反轉效應和動能效應。這兩種效應揭示了短期和長期投資者間的市場情緒差異，以及未來回報差異的現象。 我們的研究結果強調了，隱含波動率曲面變量不僅可以預測未來回報的方向，也可以估計回報的規模。透過長期和短期變量，我們可以實施反轉或動能策略。總結來說，這項研究對於深化我們對於加密貨幣期權市場中市場情緒與未來持有價格回報關係的理解具有重大意義。
並列摘要
In this scholarly investigation, we conduct an in-depth exploration of the nascent yet rapidly advancing realm of cryptocurrency options markets. Our central inquiry pertains to the role of market sentiment within the options landscape and its influence on the future carry price returns of futures. Utilizing high-frequency options data from Bitcoin (BTC) and Ethereum (ETH), we deconstruct the implied volatility surface, further formulating a smile curve and term structure to enhance our understanding of this intricate relationship. Our empirical evidence indicates that the implied returns from term structure variables, derived from the smile curve, align seamlessly with intraday future returns, culminating in statistical significance. This underscores the capacity of term structure variables to effectively prognosticate future carry price returns through implied market sentiment expectations. Additionally, we discern an intraday escalation in momentum within the relationship between term structure variables and future returns. During intraday alternations with daily-level shifts, depending on variable attributes, reversal and momentum effects become apparent. These effects illuminate the disparity in market sentiment between short-term and long-term investors, as well as the variance in future returns. Our research findings emphasize the utility of implied volatility surface variables not only in predicting the direction of future returns, but also in estimating their magnitude. Through the implementation of either reversal or momentum strategies, these variables, whether long-term or short-term, demonstrate their applicability. In essence, this study significantly enhances our understanding of the relationship between market sentiment and future carry price returns within the cryptocurrency options market, rendering it of paramount importance.