選擇權價性交易集中度對期貨報酬率之預測能力

The predictive power of options moneyness trading concentration on futures return

蔡侑翰(Yu-Han Tsai)

指導教授 ： 林蒼祥

共同指導教授 ： 蔡蒔銓

淡江大學/商管學院/財務金融學系碩士班/碩士(2020年)

https://doi.org/10.6846/TKU.2020.00302

摘要

依循Bergsma, Csapi, Diavatopoulos, and Fodor (2019)提出之選擇權價性交易集中度(AveMoney)為基礎，當價性小於1時，表示交易人交易越多的價內買權或價外賣權；當價性大於1時，表示交易人交易越多的價外買權或價內賣權。探討不同價性交易集中度之選擇權交易活動，計算出台指選擇權價性交易集中度對期貨報酬率之預測能力，並分成三類：買賣權價性交易集中度(All AveMoney)、買權價性交易集中度(Call AveMoney)、賣權價性交易集中度(Put AveMoney)，再根據Lin, Tsai, Zheng, and Qiao (2017)將台指選擇權價性交易集中度分為全市場、散戶、外資、本地法人進行探討，以利分析不同投資人在台指選擇權價性交易集中度對期貨報酬率之預測能力。
透過選擇權價性交易集中度可發現，期貨報酬會隨著買權價性交易集中度增加而變高，且當只看買權價性交易集中度時，迴歸結果最為顯著正向影響，這可能是因為賣權通常用於避險，而買權則經常用於預測未來期貨報酬。
總而言之，買權價性交易集中度對未來期貨報酬具有顯著的預測能力，與Bergsma et al. (2019)所得出之結論相同。

關鍵字

選擇權價性交易集中度 ； 期貨報酬率

並列摘要

Based on options moneyness trading concentration (AveMoney) proposed by Bergsma, Csapi, Diavatopoulos, and Fodor (2019), When the moneyness is less than 1, it means that the trader trades more in-the-money call options or out-of-the-money put options; when the moneyness is more than 1, it means that the trader trades more out-of-the-money call options or in-the-money put options. Discuss the option trading activities with different moneyness trading concentration, the predictive power of options moneyness trading concentration on futures return is calculated by TXO, divide it into three categories: call options and put options moneyness trading concentration (All AveMoney), only call options moneyness trading concentration (Call AveMoney), only put options moneyness trading concentration (Put AveMoney). Then, according to Lin, Tsai, Zheng, and Qiao (2017), the moneyness trading concentration of TXO is divided into market, individual, foreign, and domestic, in order to analyze the ability of different investors to predict the futures return on the TXO's moneyness trading concentration.
It can be found by choosing the moneyness trading concentration that the futures return will increase as Call AveMoney, and when looking only at Call AveMoney, the regression results have the most significant positive impact. It may be because the put options is usually used for hedging, while the call options is often used to predict futures returns.

並列關鍵字

Options Moneyness Trading Concentration ； Futures Return

參考文獻

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