選擇權賣方勒式策略投資績效分析:風險值模型之應用

隨著金融市場的發展及金融商品的多樣化，選擇權已漸成為不可或缺的投資工具，優於期貨等其他衍生性商品特性，而受到投資人青睞，亦因觀念及操作也較其他金融商品複雜，對於初次接觸選擇權之投資人，在選擇權交易操作常使用買進策略，聚焦投資獲利而忽略風險，因此投資往往導致損失。本研究以2014~2018年之臺指選擇權共計60個月最近月契約為研究標的，並以ARJI跳躍¬—擴散模型估計風險值，藉由最大損失區間在信心水準1%、5%、10%下，預估選擇權到期結算價區間，再依據選擇權到期結算價預估落點區間以決定勒式投資策略，探討在風險值應用下，進行臺指選擇權賣出勒式交易策略之獲利可行性，並據以比較各區間之獲利表現，本研究結論：比較賣出勒式策略在信心水準1%、5%、10%下，以5%之獲利最佳；比較賣出勒式策略在賣出賣權與賣出買權個別獲利，賣權較買權獲利佳；以持有交易天數10~25天分析，則以持有交易天數20天獲利最佳。

關鍵字

選擇權；賣方勒式策略； ARJI模型；風險值；績效表現

並列摘要

With the development of the financial market and the diversification of financial commodities, the option has gradually become an indispensable investment tool, which is superior to the characteristics of other derivative commodities such as futures, and is favored by investors. Commodities are complex. For investors who are exposed to options for the first time, buy strategies are often used in option trading operations, focusing on investment profits and ignoring risks, so investments often result in losses. In this study, the contract index of a total of 60 months of the most recent month of the 2014 ~ 2018 Taiwan Index option is used as the research target, and the risk value is estimated by the ARJI jump-diffusion model, with the maximum loss interval at the confidence level of 1%, 5%, 10%, To estimate the interval of the option expiry settlement price of each interval, and determine the Strangle strategy based on the possible fall interval of the option expiry settlement price. Explore the application of Value-at-Risk model to the Taiwan index option to sell the Strangle transaction The profitability of the strategy is compared with the profitability performance of each range. The conclusion of this study:Comparing the sell Strangle strategy with the confidence level of 1%, 5% and 10%, the best profit is 5%;To compared with the individual profits of the Sell put and Sell call,the Sell put are better than the Sell call;Based on the analysis of 10 to 25 days of holding trading days, the best profit is the 20 days of holding trading days.