臺指選擇權波動率偏斜對臺股期貨報酬率的影響

The Impact of Taiwan Stock Index Option Volatility Skewness on Taiwan Stock Index Futures Returns

王立辰(Edward Zion Wang)

指導教授 ： 林蒼祥

共同指導教授 ： 蔡蒔銓(Shih-Chuan Tsai)

淡江大學/商管學院/財務金融學系碩士班/碩士(2022年)

https://doi.org/10.6846/TKU.2022.00774

摘要

本研究針對臺灣股價指數選擇權(TXO)市場之波動率偏斜對於臺灣股價指數期貨(TX)之關係進行探討。由於價平選擇權之合約交易量較大、流動性較高，且近月合約之臺灣股價指數選擇權為臺灣選擇權市場最熱門之產品，故本文依循Baltussen, Grient, Groot, Hennink, and Zhou (2012)之變數設計，分別篩選出價平選擇權隱含波動率偏斜，與價平選擇權波動率偏斜之變化進行研究。
首先，使用上述兩變數檢測臺指選隱含波動率偏斜與臺股期貨報酬率之關係。結果表明，無論是隱含波動率偏斜，或是隱含波動率偏斜之變化，與期貨報酬率都具有顯著的負向因果關係。接著探討選擇權波動率偏斜能否預測期貨之報酬率，結果發現波動率偏斜之變化，對於期貨報酬率具有顯著的預測能力。最終
檢測，當市場處於高波動與非高波動區間之價格預測能力，結果顯示，含有選擇權波動率偏斜之變化的交易模型，惟獨在非高波動市場具有顯著的價格預測能力。

關鍵字

隱含波動率偏斜 ； 價性 ； 期貨報酬率

並列摘要

This study discusses the relationship between implied volatility skewness in the
Taiwan Capitalization Weighted Stock Index Options (TXO) market and Taiwan Stock
Index Futures (TX). Due to the large trading volume and high liquidity of the at-themoney option contracts, and the TXO of the nearby contracts is the most popular
product in the Taiwan option market, this study refers to the variables designed by
Baltussen, van der Grient, Groot, Hennink, and Zhou (2012), respectively screening out the at-the-money option implied volatility skewness, and the change in the at-themoney option volatility skewness to study.
First, two variables above are used to test the relationship between the implied
volatility skewness and the Taiwan stock futures return. The result shows that both the at-the-money implied volatility skew and the change in the at-the-money implied
volatility skewness have significant negative causality with futures returns.
Next, it is discussed whether the implied volatility skewness of Taiwan index
selection can predict the rate of return of Taiwan stock futures. Finally, the price
prediction ability is tested when the market is in high-volatility interval and in non-high volatility interval.
The result shows that the trading model with the change in the at-the-money option
volatility skewness shows the significant price prediction ability only in the non-high volatility market.

並列關鍵字

Implied volatility skewness ； Moneyness ； Futures return

參考文獻

參考文獻

一、國外文獻

1. Ackert, L. F., Tian, Y. S. (1998). The introduction of Toronto index participation units and arbitrage opportunities in the Toronto 35 index option market. Journal of Derivatives, 5(4), 44.

2. Black, F., Scholes, M. (1973). The pricing of options and corporate liabilities.

Journal of political economy, 81(3), 637-654.