選擇權隱含波動度微笑曲線對期貨市場下單積極度之影響

The Effects of options implied volatility smile on Order Aggressiveness in futures market

劉昀晴(Liu Yun-Ching)

指導教授 ： 蔡蒔銓 ； 賴慧文

國立臺灣師範大學/管理學院/管理研究所/碩士(2022年)

https://doi.org/10.6345/NTNU202201361

摘要

選擇權商品具有損失有限及高槓桿之特性，使得資訊交易者優先於選擇權市場中交易，並使選擇權市場具有價格發現的功能，因此本研究希望探討期貨交易人是否參考選擇權市場中的隱含波動度微笑曲線之斜率及曲度而決定其下單積極度，並再進一步分析不同類型的期貨市場交易人，在獲取選擇權市場之資訊時，對於其下單積極度的影響。
實證結果顯示，選擇權隱含波動度微笑曲線之斜率及曲度對期貨下單積極度有顯著之影響。選擇權之買權斜率上升時，外資、國內法人及散戶之買方下單積極度與國內法人及散戶之賣方下單積極度皆上升，外資之賣方下單積極度則下降。而選擇權之賣權斜率上升時，國內法人及散戶之買方下單積極度下降，國內法人及散戶之賣方下單積極度上升，外資之買方可能因認為市場有較悲觀之看法時，投資人可能會過度反應負面消息或忽視正面之消息使下單積極度不減反增及賣方下單積極度不增反減。
外資及國內法人當選擇權之曲度增加時，下單積極度將增加，但國內法人於選擇權之買權對於買方下單積極度及外資於選擇權之賣權對於賣方下單積極度則呈負相關，可能因國內法人及外資在投資策略上較保守。散戶之下單積極度在曲度增加時不減反增，可能因散戶對於投資時有過度自信之現象，因此低估市場之風險。

關鍵字

下單積極度 ； 隱含波動度微笑曲線

並列摘要

The limited loss and high leverage characteristics of options make informed traders preferentially trade in the options market and make the options market a price discovery function. Therefore, this study aims to examine whether futures traders determine their order aggressiveness with reference to the slope and curvature of implied volatility smile in the options market, and further analyze the impact of information from the options market on order aggressiveness by different types of futures traders.
The results show that the slope and curvature of the implied volatility smile of the options have a significant effect on the aggressiveness of futures orders. When the slope of the call options increases, the aggressiveness of buy orders placed by foreign institutional investors, domestic institutional investors and retail investors, and the aggressiveness of sell orders placed by domestic institutional investors and retail investors all increase, while the aggressiveness of sell orders placed by foreign institutional investors decreases. When the slope of the put options increases, the aggressiveness of buy orders placed by domestic institutional investors and retail investors decreases, while the aggressiveness of sell orders placed by domestic institutional investors and retail investors increases. Foreign institutional investors may consider that investors tend to overreact to negative news or ignore positive news when they think the market has a more pessimistic view, leading to an increase rather than a decrease in foreign institutional buyers' order aggressiveness and a decrease rather than an increase in foreign institutional sellers' order aggressiveness.
When the curvature of the options increases, the order aggressiveness will increase for both foreign and domestic institutional investors, but there is a negative correlation between the buyers' order aggressiveness of the domestic institutional investors for the call options and the sellers' order aggressiveness of the foreign institutional investors for the put options. It is probably because domestic institutional investors and foreign institutional investors are more conservative in this investment strategy. When the curvature increases, retail investors' aggressiveness of orders increases rather than decreases, perhaps because they are overconfident in their investments and therefore underestimate the market risk.

並列關鍵字

Order Aggressiveness ； implied volatility smile

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