台指選擇權交易策略與漲跌幅限制之關係

本文探討賣出價平Delta-neutral跨式策略、買方避險策略及賣方避險策略應用在台指選擇權市場之獲利能力，並研究當漲跌幅限制放寬後獲利行為是否改變。研究發現：(一)以週選擇權及月選擇權建構之賣出價平Delta-neutral跨式策略在距離到期日六天的平均報酬最高。(二)週選擇權應用在買方避險策略上，較接近價平之買方避險策略獲利較佳。(三)以月選擇權檢視賣出價平Delta-neutral跨式策略，在距離到期日二十天以上為負報酬，但使用買方避險策略後，其獲利轉為正報酬。(四) 依年度和月份檢視最佳平均報酬的到期天數獲利來源大多來自賣權。(五)在漲跌幅限制放寬後，相同投資策略的平均獲利減少，風險增加。

關鍵字

選擇權；跨式策略；漲跌幅限制放寬

並列摘要

This article discusses the profitability of the Taiwan index option market, and studies whether profitability behavior changes when the price limit is relaxed. We construct three strategies by selling the ATM delta-neutral straddle, long hedge and short hedge. There are five main findings given as follows: (1) Using the weekly options and monthly options, if we sell an ATM delta-neutral straddle strategy until 6 days before the expiration date, then we will obtain the highest average expected return. (2) Long hedge to the delta-neutral straddle in weekly options, the more close to ATM the more profit you get. (3) In monthly options, selling the ATM delta-neutral straddle with an expiration date more than 20 days have negative return. After we use long hedge strategy, the profit become to positive. (4) According year and month to examine the best average return with an expiration date, most of the profit sources come from put option. (5) After relaxation of price limit, the average expected return decrease and risk increase in the same trading strategy.