選擇權賣方價外策略

Seller-Side Out-of-the-money Strategies in Taiwan Stock Index Options

陳惟傑(Wei-Chieh Chen)

指導教授 ： 周炳宏

健行科技大學/商管學院/財務金融系碩士班/碩士(2020年)

摘要

金融商品選擇日趨多樣化，而高報酬往往伴隨著高風險，這是不變的真理，能夠建立勝率高績效穩定的投資策略，是許多投資人期望的操作方式，在達到這項期望前，則需要大量的技術分析和複雜的投資策略，以及龐大的資金，對於大部份投資人來說是一項艱難的任務。本研究透過台指選擇權賣方高勝率高風險，以及賣方權利金時間價值消逝的特性，履約價選擇價外履約價，將以上三種特性建構成一個高勝率穩定報酬的投資策略。2011年9月22日發生臺灣期貨最大違約案，事發原因與選擇權賣方策略有關，因此本研究時間以2011年至2014年的台指選擇權以及台指期貨資料作為研究對象，並加以探討此投資策略是否會造成嚴重的虧損。透過台指期貨收盤指數與選擇權賣方價外履約價及權利金進行分析，實證分析的結果顯示，價外100點至價外500點，勝率隨著履約價提升而增加，報酬率則是降低，應證了高報酬伴著隨高風險，整體實證資料勝率維持於7成以上，績效表現穩定，實證分析結果將可供投資人參考與選擇。

關鍵字

選擇權 ； 期貨 ； 選擇權賣方 ； 選擇權賣方價外

並列摘要

The choice of financial products becomes increasingly diversified. However, high returns are often accompanied by high risks. Investors are always searching for a profitable investment strategy with high and stable performance. The requirement of a large amount of technical analysis, complex investment strategies, and huge funds, is hard to meet for most investors. Through the characteristics of high winning rate and high risk of Seller-Side Strategy in Taiwan Stock Index Option, the decay of the time value of option premium, and an out-of-the-money exercise price, this study attempt to construct an investment strategy with high winning rate and stable returns. Data of TAIEX Options and TAIEX Futures between 2011 and 2014 will be collected as the research targets. The empirical results indicate that for the out-of-the money 100 points to the out-of-the money 500 points, the winning rate increases and the rate of return decreases as the exercise price increases. The winning rates of empirical data are above 70% with stable performance.

並列關鍵字

Options ； Futures ； Seller-Side ； Out-of-the-money

參考文獻

一、英文文獻

1.Broadie, Mark, Mikhail Chernov, and Michael Johannes (2009). Understanding Index Option Returns. The Review of Financial Studies, 22(11), 4493-4529.

2.Chaput, J. Scott and Louis H. Ederington (2003). Option Spread and Combination Trading. Journal of Derivatives, 10, 70-88.

3.Cordier, James and Michael Gross (2004). The Complete Guide To Option Selling: How Selling Options Can Lead To Stellar Returns In Bull And Bear Markets. NewYork：McGraw-Hill.

4.Draper, Paul and Joseph K. W. Fung (2002). A Study of Arbitrage Efficiency between the FTSE-100 Index Futures and Options Contracts. The Journal of Futures Markets, 22(1), 31-58.