- 學位論文
Test the Arbitrage Opportunities of European Futures Options: Using Box Spread Strategy
Test the Arbitrage Opportunities of European Futures Options: Using Box Spread Strategy
並列摘要
This paper discusses the arbitrage opportunities of four energy futures options by using box spread strategies. Set up the half of box spread (long strangle: buy a call with lower strike price and buy a put with higher strike price) at the first trade date and the other half (short strangle: sell a call with higher strike price and sell a put with lower strike price) at the next trade date in four kinds of energy options. There are four findings in this research. First, there is no regular box spreads, which establishes box spreads on one day. Second, the modified box spreads are few and only occur in Henry Hub natural European-style options. Third, the average profit in succeed box spreads is $398.51 per contract. The average loss in failed box spreads is smaller than the maximal loss in failed box spreads. Last but not least, investing in succeed box spreads can earn the positive excess risk-free interest rates but how to find out the succeed box spreads depends on timing and transaction costs. Besides, the choice of options is also an important factor of using box spread strategies.