誰導致台指選擇權隱含波動率偏斜

Study on the Cause of the Skew on Implied Volatility of TXO?

黃曉雲(Hsiao-Yun Huang)

指導教授 ： 段昌文

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2011年)

https://doi.org/10.6846/TKU.2011.01043

摘要

本文利用2008年1月1日至2008年12月31日之台指選擇權的委託簿資料來探討交易人的淨買壓是否會影響台指選擇權波動率微笑或偏斜現象，我們的資料來源分別來自於期交所與台灣經濟新報資料庫。
實證結果發現，台指選擇權巿場上僅有特定選擇權序列存有偏斜現象。透過淨買壓與隱含波動率的相關係數檢定可發現，三週深價內買權波動率之偏斜現象是由外資的淨買壓所導致，造巿者之擲單則會引起一個月深價內賣權的波動率出現偏斜現象。
窺看台指選擇權巿場中的造巿者資格規範，造巿者是可兼營期貨自營商業務，制度有別於其他成熟國家。因此當造巿者之自營業務有高度避險需求時，將引導台指選擇權有正的淨買壓，並進一步導致台指選擇權巿場中特定選擇權序列的隱含波動率出現偏斜現象。所以我們推論台指選擇權巿場之造巿者並非單純只扮演流動性供給者的角色。
此外，文獻上指出指數選擇權的波動率偏斜現象是由於機構投資者為避險偏好買入深價外選擇權。但我們的實證結果卻顯示，造成台指選擇權波動率偏斜之交易人皆偏好買入深價內選擇權。可能原因是本文研究期間正好發生金融海嘯。在預期巿場未來下跌可能性較高時，外資偏好買入深價內買權避險。具期貨自營商身份的造巿者則偏好買入深價內賣權，以賺取更高額的利潤。

關鍵字

台指選擇權 ； 隱含波動率 ； 淨買壓 ； 波動率微笑

並列摘要

We apply order book data of TAIFEX options (TXO) during periods from Jan-1, 2008 to Dec-31, 2008, and then to explore whether net buying pressure of traders will affect the implied volatility smile or skewness of TXO. Our data source comes from Taiwan Future Exchange and TEJ database.
The empirical results find that specific option series only exhibit volatility skewness in TAIFEX options market. By observed correlation coefficient tests for between net buying pressure and implied volatility, the skewness of three weeks on deep in-the-money calls are caused by foreign investors, and one month on deep in-the-money puts caused by market makers.
We compare the gap between TXO’s and S&P500’s option markets on qualifications for market maker of option markets. One of the differences is that TXO’s market makers also as dealers. When market makers have high hedge demands, it would lead TXO to have net buying pressure and then it would happen the phenomenon of the implied volatility skewness in the specific option series. Therefore, we infer that market makers in TAIFEX options market do not only play the role of liquidity provider.
In addition, the literatures pointed out that the index option had the phenomenon of the volatility skewness because institutional investors would prefer to buy deep out-of-money options for hedge. On the contrary, our empirical results disclose that traders who effect the volatility skewness of TXO would prefer to buy deep in-the-money options. The reason might be that the period of our study took place the financial crisis. When the market might be expected to fall in the future, the foreign investors prefer to buy deep in-the-money calls for hedge. Otherwise, the market makers with the qualification of the future dealer would prefer to buy deep in-the-money puts for making higher profits.

並列關鍵字

TAIFEX option ； Implied volatility ； net buying pressure ； volatility smile

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