選擇權與股票交易量比例之交易策略投資績效研究

本研究根據Johnson and So(2012)之OS概念，以個股選擇權與其標的股票交易量的比值建構投資組合。首先探討OS策略於市場中獲利情形後，與52週高點、交易量動能、價格動能等策略進行比較來檢測OS策略投資報酬是否優於其他策略；再將OS策略與上述三種策略相互結合形成OS52週高點、OS早晚期、OS價格動能等二維投資策略，檢測OS二維策略是否能幫助投資人賺取超額報酬。本研究發現：隨著持有期越長OS策略投資報酬越好，故OS策略較適用於中長期投資。OS52週高點策略受獲利期間不同影響，投資效果不如預期。OS早期策略隨著持有期(K)越長效果越好；OS晚期策略則明顯無法幫助獲利。OS價格動能策略投資效果顯著，平均報酬可達16%。OS策略投資效果優於交易量動能策略，且報酬差距隨著持有期間越長越明顯；且於中長期投資，報酬優於52週高點策略及價格動能策略。OS二維策略於中長期投資，報酬優於52週高點等形成之二維策略。投資期間設定在1年以上可發現，OS策略確實可幫助投資人獲利，其報酬優於其他策略；且OS二維策略於持有期1年以上時，也可幫助投資人賺取超額報酬。

關鍵字

OS策略；交易策略；二維策略；選擇權交易量

並列摘要

Based on the OS concept of Johnson and So(2012), we construct a portfolio based on the ratio of trading volume of the stock option to its underlying stock. We compare the profitability of the OS strategy with those of 52-week highs, trading volume, and price momentum strategy to examine whether OS investment returns are more profitable. We also combine the OS strategy with the above three strategies to form two-dimensional investment strategies such as OS52-week highs, OS early and lately strategies, OS price momentum strategy to explore whether the two-dimensional OS strategies can help investors earn excess profits. We find that: The longer holding period is associated with the better the OS strategy to earn returns. Thus, the OS strategy is more suitable for long-term investment. The OS52-week high strategy is affected by the different profit period, and the results are not expected. The profit of OS early strategy is better as the holding period is longer, but OS lately strategy is obviously not profitable. The average return of OS price momentum strategy is 16%, which is significant positive. The return of the OS strategy is higher than that of the trading volume strategy. The longer the holding period, the greater the gap is. In long-term investment, return of OS strategy is higher than that of the 52-week high and price momentum strategy. The two-dimensional strategy of the OS is suitable for long-term, and the profit is greater than other two-dimensional strategies. Given the investment period is more than one year, we find that the OS strategy can indeed help investors make profits, and its return is higher than other strategies. Similarly, when the OS two-dimensional strategy is held for more than one year, it can also help investors earn excess returns.