台指週選擇權交易策略績效之分析

本研究依據週選擇權特性，檢視週選擇權時間價值最適策略研究，利用6種交易策略買權多頭價差策略、賣權多頭價差策略、買權空頭價差策略、賣權空頭價差策略，依以下在不同條件設定:1、週選擇權建倉持有時間，2、最大未平倉量，3、結算價變化範圍，4、技術分析，探討出週選擇權交易策略對投資績效的影響，研究期間自2018年12月19日至2021年12月15日止，共3年台灣期貨交易所台指選擇權買權和賣權每日的交易資料。實證結果顯示：1、週選擇權建倉持有時間因選擇權時間價值特性，持有時間較長累積損益相對提高。2、以開倉當日收盤價買權、賣權最大未平倉量當支撐壓力配合賣出勒式組合策略，獲利機率為75%，年化報酬率為24%高於大盤指數(23%)。3、結算價變化範圍設定價平正負300點，配合賣出勒式組合策略，獲利機率為83%，年化報酬率為22%低於大盤指數(23%)。4、以移動平均線(MA5_MA20)、 (MA20_MA60)、技術指標KD判斷多空趨勢下的交易策略，結果發現當趨勢判斷向上做多績效分析(MA5_MA20)> (MA20_MA60)> 技術指標KD，當趨勢判斷向下做空績效分析(MA5_MA20)> (MA20_MA60)> 技術指標KD。

關鍵字

週選擇權；價差策略；未平倉量；技術分析；移動平均線

並列摘要

The main research and discussion of this paper is based on the characteristics and the optimum strategy of time vlue of inspecting Weekly Option, Utilize six trading strategies Call long spread strategy, put long spread strategy, call short spread strategy, put short spread strategy. It is set according to the following the different conditions: 1. The holding time of the weekly option to open a position, 2. The maximum open position, 3. The range of the settlement price, 4. Technical analysis, to explore the impact of the weekly option trading strategy on investment performance, During the research period, from December 19, 2018 to December 15, 2021, the daily trading data of Taiwan Futures Exchange Taiwan Index options call and put options for a total of three years. The empirical results show that: 1. Due to the time value characteristics of the option, the holding time of the weekly option is relatively long, and the accumulated profit and loss is relatively increased. 2. The maximum open position of call and put options at the closing price on the day of opening the position is used as a support pressure and combined with a sell-style combination strategy, the profit probability is 75%, and the annualized rate of return is 24% , higher than that of the broader market index (23% ). 3. The range of the settlement price is set at a price level of plus or minus 300 points, and with the sell-style combination strategy, the profit probability is 83%, and the annualized rate of return is 22% lower than that of the broader market index (23%).4. Use moving averages (MA5_MA20), (MA20_MA60), and technical indicators KD to judge the trading strategy under the long and short trend. It is found that when the trend is judged upward, do long performance analysis (MA5_MA20)> (MA20_MA60)> technical indicator KD, when the trend judgment down short performance analysis (MA5_MA20)> (MA20_MA60)> technical indicators KD.