選擇權平均價性預測能力的探討

The predicting ability of option moneyness

曹博凱(Bo-Kai,Cao)

指導教授 ： 林蒼祥

共同指導教授 ： 孫效孔(David Sun)

淡江大學/商管學院/財務金融學系碩士班/碩士(2021年)

https://doi.org/10.6846/TKU.2021.00178

摘要

本文以台灣電子指數選擇權(TEO)和金融指數選擇權(TFO)為對象探討一段期間內槓桿對於指數報酬的預測能力，通過使用Bergsma, Csapi, Diavatopoulos, and Fodor (2020)提出選擇權價性交易集中度(AveMoney)的觀念計算不同的選擇權價性交易集中度觀測到，電子選擇權和金融選擇權對於標的指數報酬都存在一定且顯著的預測能力。表明知情的交易者更傾向於高槓桿的選擇權。
我們根據合約的平均到期時間不同定義短期與長期，並分別使用交易量和未平倉量探討發現，價性交易集中度因為短天期價外合約時間價值減小，獲利空間小的緣故不利於其資訊反應，但可以較好的反映長天期資訊。無論是近月、遠月的買權和賣權，在長天期都有一定的預測能力，遠期合約因交易量低的緣故，時間價值無法發揮其資訊意涵，投資人會選擇流動性更高的近月合約進行交易，因此近月買權對於長天期的預測能力最佳。

關鍵字

選擇權價性交易集中度 ； 指數報酬率

並列摘要

This paper discusses the predictive ability of leverage on index returns over a period of time by taking TEO and TFO in Taiwan as the objects. Bergsma, CSAPI, Diavatopoulos, and Fodor (2020) put forward the options moneyness trading concentration (AveMoney) to calculate different option moneyness concentration. Both TEO and TFO have certain and significant predictive ability for the index return. That means informed traders prefer highly leveraged options.
We define short term and long term according to the different average expiration time of the contract, and use trading volume and open interest respectively to discuss. It is found that the options moneyness trading concentration is not good for short-term information reflection because the time value of the out-of-the-money contract decreases and the profit space is small, but it can better reflect the long-term information. Both spot and far options have certain predictive ability in long-term contracts. Due to the low trading volume of far options, the time value cannot give full play to its information meaning. Investors will choose spot contracts with higher liquidity for trading, so spot calls have the best predictive ability for long-term.

並列關鍵字

Options Moneyness Trading Concentration ； Indexes Return

參考文獻

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