台指選擇權賣方避險策略之探討

The Study on TAIFEX Options(TXO) Hedging Strategies Adopted by Sellers

彭信溫(Hsin-Wen Peng)

指導教授 ： 丘 邦 翰

元智大學/管理學院/管理研究所/碩士(2009年)

摘要

本研究之目的在探討賣方之避險策略，以期對台指選擇權賣方之投資人有所助益。
本研究針對賣出跨式組合策略做避險之探討，先將賣出跨式組合分成兩類 : 一、逢價平賣出跨式；二、期初賣出上下一〜五檔跨式；合計六種操作策略。接著，針對此六種操作策略擬定避險策略，再依2005年2月至2008年12月共47個當月契約之每日收盤價帶入計算，比較避險前與避險後之損益，實證避險策略之效益。
實證結果顯示，獲利最佳之策略為賣出上下三檔與賣出上下五檔之混合策略加上避險，在不計交易成本下，47個月之總和報酬率約為89%。
關鍵字：台指選擇權、賣方、避險策略

關鍵字

台指選擇權 ； 賣方 ； 避險策略

並列摘要

This study aimed to examine hedging strategies adopted by sellers of options in the hope of finding a favorable trading strategy for this type of investors.
The study looked at two types of sell straddle hedging strategies: (1) the strategy to sell straddle which is at-the-money and (2) the strategy to sell one to five pairs of straddles above and below the strike price at the commencement of trading. A total of six sub-strategies were studied and corresponding hedging strategies were adopted. The daily closing prices between February of 2005 and December of 2008 (47 months) during the contract period were collected and calculated to compare the levels of profitability before hedging and after hedging in order to verify the effectiveness of the hedging strategies.
The results show that the most profitable strategy is a combination of the strategies to sell three pairs and five pairs of straddles above and below the strike price, coupled with corresponding hedging strategies. The total rate of return for the contract period was 89%, without taking the cost of trading into account.
Key Words: TAIFEX Options(TXO), sellers, hedging strategies

並列關鍵字

TAIFEX Options(TXO) ； sellers ； hedging strategies

參考文獻

4.李佳玲(2006)。台指選擇權波動度指標與景氣指標之關係性研究。國立中央大學企業管理研究所碩士論文，未出版，桃園。

9.張尚原(2006)。台指選擇權市場最適波動度指標之研究。國立中央大學企業管理研究所碩士論文，未出版，桃園。

10.廖宏盛(2005)。隱含波動率之研究。臺中健康暨管理學院經營管理研究所，碩士論文，未出版，台中。

參 考 文 獻

1.台灣期貨交易所（2009）。交易統計，期貨快訊月刊，3（4），頁12-19。