選擇權平均價性對期貨報酬之預測能力-以台灣期貨市場為例

The predictive power of options average moneyness on futures market return-Evidence from Taiwan Futures Market

顏筠(Yen Yun)

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/NTNU202201090

摘要

本研究探討不同選擇權價性交易集中度對於期貨報酬率之預測能力，使用台灣股價指數選擇權市場之逐筆交易資料，對於臺指選擇權的成交量與未平倉量之資訊內涵進行實證研究。本文依循Bergsma et al. (2020)提出之選擇權價性交易集中度（Average Moneyness，簡稱AveMoney)為基礎，並將價性計算公式加入Beber, A. (2001)提出之調整過價性計算方法加入隱含波動度與到期時間，並與成交量和未平倉量做加權所計算出選擇權之價性交易集中度，並分為兩類：買權價性交易集中度(〖AveMoney〗^Call) 、賣權價性交易集中度 (〖AveMoney〗^Put) ，分別檢驗投資人在選擇不同到期時間與隱含波動度之合約與交易（以成交量做加權）及持有（以未平倉量做加權）合約之資訊內涵。
AveMoney數值的大小可以透露出在該時段下交易人對於市場的價性交易重心，用於探討選擇權交易人對價內外合約的選擇是否對期貨報酬率具有預測能力。經過實證結果發現選擇權市場的交易人偏愛交易並持有價外（OTM）選擇權，而就買權而言，以未平倉合約做加權之價外買權相較於以成交量做加權之價外買權更具資訊性，就賣權而言，價外賣權之避險功能搭配到期時間與隱含波動度合約操作對於期貨報酬率預測能力更高，整體上以未平倉加權之價性相較於以成交量加權更具資訊量。因此價性搭配時間與波動度有揭露投資人對於市場看法的特性，進而對市場走勢與報酬產生預測能力。

關鍵字

選擇權價性交易集中度 ； 時間價值 ； 隱含波動度 ； 期貨報酬率

並列摘要

This article discusses the predictive power of options trading activities with different moneyness trading concentrations on futures returns. An empirical study was conducted to examine the information implications of the volume and open interest of TXO using transaction-by-transaction data from the Taiwan stock index options market. This paper is based on the options average moneyness (AveMoney) proposed by Bergsma et al. (2020), incorporating the adjusted valence formula proposed by Beber, A. (2001) with implied volatility and maturity time, weighted by volume and open interest to calculate the average moneyness. Options moneyness is divided into two categories: Call options average moneyness (AveMoney_Call) and Put options average moneyness (AveMoney_Put). The two items examine the information implications of the selection of contracts with different moneyness, maturities, and implied volatilities. As proposed by Beber, A. (2001), this study considers the weight of trading volume (contracts traded) and the weight of open interest (contracts held), respectively.
The value of the AveMoney indicates whether the trader's choice of in-the-money and out-of-the-money contracts is predictive of futures returns. As a result of the empirical study, this study concluded that informed traders in the options market prefer to trade and hold out-of-the-money (OTM) options, and that call options average moneyness weighted by open interest is relatively more informative than weighted by trading volume, whereas put options average moneyness with hedging functions combined with maturity time and implied volatility contracts are more predictive of futures returns and the weighting of open interest is more informative than the weighting of the trading volume. Consequently, the combination of moneyness with maturity time and implied volatility provides an indication of the preference of informed traders in selecting contracts, which in turn provides predictive power for futures price and returns.

並列關鍵字

Options Moneyness concentration ； Time Value ； Implied Volatility ； Futures Return

參考文獻

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Beber, A. (2001). Determinants of the implied volatility function on the Italian Stock Market.

Bergsma, K., Csapi, V., Diavatopoulos, D., & Fodor, A. (2020). Show me the money: Option moneyness concentration and future stock returns. Journal of Futures Markets, 40(5), 761-775.