臺指選擇權時間價值之研究

A Research of Time Value for TXO

張穆奎(Mu-Kuei Chang)

指導教授 ： 林建甫

國立臺灣大學/社會科學院/經濟學研究所/碩士(2008年)

https://doi.org/10.6342/NTU.2008.00624

摘要

金融商品日新月異，衍生性金融商品日漸眾多。而衍生性金融商品的運用，可以使投資人選擇投資目標，針對個人風險偏好，進行多樣化的投資策略。選擇權便是衍生性金融商品的一種。
選擇權是一種契約，這個契約賦予投資者有選擇執行與不執行契約的權利。而這項契約是可以買賣的。支付買賣選擇權契約的代價為權利金。此權利金為選擇權的買方必須支付賣方的金額。權利金的大小為買賣雙方於交易中所議定的。著名的B/S模式為評估權利金價值的方式之一。權利金包含內含價值與投資人願意支付的時間價值兩部份。時間價值反映出投資人對於未來市場價格的看法，其多寡說明了投資人對標的資產價格的期望。
臺灣期貨交易所於民國90年與94年分別推出臺指選擇權(TXO)與個股選擇權(STO)，並於民國96年推出電子選擇權(TEO)與金融選擇權(TFO)。由成交量來看，臺指選擇權近百倍於其他三種選擇權。因此本研究採用臺指選擇權為研究對象，擬取民國96年12個月的買權與賣權之日交易資訊，以近月與遠月為標的，做實證分析，探討時間價值之衰減現象，影響時間價值之因素，以及影響時間價值大幅波動之因素。而設定影響時間價值之因素有五: 距離到期日的遠近、經濟環境景氣與否、選擇權之價內價外程度、選擇權之日交易量, 及選擇權之日未平倉量。實證結果如下：
1.無論是買權或賣權，遠月或是近月契約，隨著履約日期的接近，時間價值衰退的現象是顯著的。
2.無論是買權或賣權，遠月或是近月契約，距離到期日的遠近、選擇權之日交易量，對於時間價值之影響最為重要。
3.無論是買權或賣權，遠月或是近月契約，距離到期日的遠近對於時間價值之大幅波動有著重要的影響。
綜合以上之研究結果發現，交易之時間點以及日成交量對於投資人而言，應該列為極重要之考量因素。

關鍵字

選擇權 ； B/S模式 ； 時間價值 ； 時間價值衰退 ； 波動性

並列摘要

Option is one of derivatives on the financial market. Through various strategies, the investors are able to gain profit or lower the risk in the market.
Option is a kind of contract on which the investor has the right to choose if honoring the agreement or not. The contract of option is tradable among investors. The value of option is so called the premium for which the buyer has to pay the seller. The value of the premium is decided on the platform of the trading market. The famous B/S model evaluates the option value. The premium consists of the intrinsic value and the time value. The intrinsic value is the difference between the market price and the strike price for an option contract. The time value implies the expectation of the investors for the future value of option. If the value of underlying asset has the potential to rise, the investors are willing to spend more to buy the option. The time value will rise accordingly.
TXO (Taiwan Stock Exchange Capitalization Weighted Stock Index Options), STO (Taiwan Stock Exchange Options), and both TEO (Taiwan Stock Exchange Electronic Sector Index Options) and TFO (Taiwan Stock Exchange Finance Sector Index Options) were launched since 2001, 2003, and 2005 on Taiwan Futures Exchange. The annual treading volume for TXO is almost hundred times of the other three options’. In this research, all contracts of option for TXO in 2007 are investigated. Three topics are discussed: the time decayed phenomenon for time value, the affected factors for time value, and the affected factors of big volatility for time value. The assumed factors to affect the time value are time left to maturity, the economic climate, the ratio between the underlying asset and the strike price, the daily trading volume, and the daily volume of open interest. The empirical results and conclusions of the three topics are as follows.
1.The phenomenon of time value decay is proved for both the call and put party.
2.The time left to the maturity and the daily trading volume are the most two important factors to affect the time value both for the call and put party.
3.The time left to the maturity is the most important factor for the big volatility of time value both for the call and put party.
In a summary, the trading and the daily trading volume are the two most important issues for investors when trading.

並列關鍵字

Option ； B/S Model ； Time Value ； Time Value Decay ； Volatility

參考文獻

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