台指選擇權價內之高勝率價差策略 交易模型之實證研究

顏呈賢(CHENG-HSIEN YEN)

指導教授 ： 陳安行

國立中正大學/管理學院/財務金融學系/碩士(2016年)

摘要

本文探討台灣期貨交易所，股價指數選擇權商品，以價格價差 (Price spread)，及買進兀鷹價差 (long Condor spread ) 的交易策略。
選擇權契約存續期間，賣方(Short Position)有保證金追繳風險；而價差交易策略，等同於賣方策略交易中，加進買方部位保護，可控制損失在有限範圍。
在價格價差交易基礎，加入移動平均線、最大未平倉合約量，輔助判斷多空趨勢，共計六種交易模型比較。買進兀鷹價差策略，參考賣方勒式策略歷史文獻，與每月結算漲跌統計分配，以每月開倉日價平正負 400 點，設計涵蓋最大獲利為 600 點、 800 點區間，兩種交易模型比較。

本研究樣本期間為 2002年 1 月至 2015 年 12 月為止，共計 14 年 168 期，實證結果如下：

1.價格價差策略交易，增加最大未平倉量，作為輔助判斷多空策略，可以提高價差交易績效

2.買進兀鷹價差設定區間越大，受限於損益報酬償付結構，不一定產生正向報酬

3. 報酬與風險衡量，買進兀鷹價差較價格價差平穩

關鍵字

價格價差 ； 買進兀鷹價差 ； 賣方 ； 保證金追繳

並列摘要

The Thesis mainly discussedthe trading strategies of price spread and long condor spread on Taiwan Index option market.The short position had the risk of margin call during option duration. But the spread strategies was like that the short position added the protective buy-side position and this spread could controlled the limit downside risk.
We included the methods of moving average、maximum OI and the other methods of distinguishing trend to construct six trading models. Long condor spread strategies referred to the literatures of short strangle strategies and the distribution of the difference of high and low price per month. I designed that the strategy of the price that up and down 400 points on open interests date and covered the maximum profit 600 points.

The research period was from January, 2002 to December, 2015. The totally trading year were 14 years and the trading numbers were 168.The empirical conclusionswere as follow:

1.Price spread strategy which added the maximum OI to distinguish tread could upgrade the performance of price spread strategy.

2.Long condor spread strategy could be limited the payoff construction could not produce the positive performance.

3.Long condor spread was better than price spread on return and risk measurement.

並列關鍵字

Price Spread ； Long Condor Spread ； Short Position ； Margin Call

參考文獻

1.Chaput and Ederington (2003), “Option Spread and Combination Trading”, The Journal of Derivatives Summer 2003,10.

4.Santa-Clara, P. , and Saretto, A. , 2002, Option strategies：good deals and margin calls, University of California.

參考文獻

中文部份

1.呂傳結(2010)，台指選擇權賣方最佳交易策略實證分析，東海大學財務金融學系碩士在職專班論文