台指選擇權賣方價差交易策略可行性的探討

在低利時代，常見保守性資金選擇存放銀行定存以求保本但無法抗通膨。有些則購買股票型基金或債券型基金其報酬也只比定存好些。除此之外有無比上述投資工具更好的呢？答案是確定的。目前在台灣期貨選擇權市場上，投資報酬不錯的操作模式~台指選擇權賣方策略的交易操作，只是這項操作還是有它操作風險存在並不適合一般保守性的投資。但是卻是一些專業法人、交易員及追求高報酬投資人所喜愛的操作選項，本論文研究目的就在探討台指選擇權賣方策略套利的可行性。本研究樣本期間從有盤後交易開始既2018年4月開始到2020年5月31日的台指期貨與選擇權資料，分別對跨式、跨式加碼與勒式三種交易進行績效實測。實證結果這三種策略交易在趨勢盤表現較佳而在盤整盤表現較差，主要原因在避險成本過高影響績效表現。而跨式交易績效普遍較勒式交易為佳，且跨式加碼交易績效最佳其三年投報率為127.83%。

關鍵字

賣方策略交易；跨式交易；勒式交易

並列摘要

In the era of low profits, it is common for conservative funds to choose to deposit with banks for capital preservation but not to resist inflation. Some buy stock funds or bond funds and their returns are only better than fixed deposits. Is there any better tool than the above investment? The answer is yes. At present, in the Taiwan futures option market, the mode of operation with good investment returns ~ the trading operation of the Taiwan Index option seller strategy, but this operation still has its operational risks and is not suitable for general conservative investment. However, it is a favorite operation option of some professional legal persons, traders and investors who pursue high returns. The purpose of this thesis is to discuss the feasibility of the strategic arbitrage of Taiwanese option sellers. During the sample period of this study, from the beginning of after-hours trading, the data of the futures of the Taiwan Index and the options of the Taiwan Index from April 2018 to May 31, 2020, respectively. Measured. The empirical results of these three strategic transactions perform better in the trend market and worse in the overall market. The main reason is that the high hedging costs affect the performance. The performance of cross-type transactions is generally better than that of Le-type transactions, and the best performance of cross-type overweight transactions has a three-year investment rate of 127.83%.