波動門檻值在賣出勒式策略應用之研究－以台指選擇權為例

Empirical Study of the Volatility Threshold Indicator on the Decision-making Basis for Establishing the Short Strangle Position-A Case Study of the TAIEX Options

許江河(Philip Hsu) ； 唐繼舜(Ji-Shun Tang)

《國立虎尾科技大學學報》 30卷4期 (2012/06) Pp. 19-26

https://doi.org/10.6425/JNHUST.201206.0019

摘要

本研究試著透過選擇權隱含波動度與波動門檻模型建置一個預測未來波動度的指標，亦即波動門檻值，以作為建立賣出勒式部位的決策依據。使用的資料為2002年1月至2010年10月近月份台指選擇權及其現貨指數日資料。分析結果發現，該指標的正確訊號產生機率為72.86%。使用卡方齊一性檢定檢驗正確訊號次數與錯誤訊號次數，結果顯示兩者呈現顯著差異。為了得知此波動度指標是否能作為建立賣出勒式部位的決策依據，本研究使用建立賣出勒式部位並持有到期的方式進行驗證。實證結果顯示，當波動門檻值小於波動門檻臨界值時所建立部位之結算總獲利點數為3635點，而波動門檻值大於波動門檻臨界值時所建立部位之結算總獲利點數則為-2578點。將兩種情況的損益平均數進行t檢定，統計結果顯示兩種情況的損益有顯著差異。此結果顯示，本研究所使用的波動度指標可用來作為建立賣出勒式部位的決策依據。

關鍵字

台指選擇權 ； 隱含波動度 ； 實際波動度

並列摘要

By using the implied volatilities of TAIEX options and their underlying index, this study tries to build an indicator, namely the volatility threshold indicator, to predict the future volatitlity of TAIEX Index and to serve as the decision-making basis for establishing the Short Strangle position. The data used are the daily data and span from January 2002 to October 2010. Our results show that the probability of correct signal generated by the volatility threshold indicator is 72.86%, and the chi-square homogeneity test reveals significant difference between the numbers of the correct and the wrong signal. In order to investigate whether the volatility threshold indicator could be used as the decision-making basis for Short Strangle strategy, we establish a Short Strangle position each month and hold the position till maturity. Our results show that there is 3,635 points profit when the position is built as the volatility threshold indicator is less than the critical value. On the contrary, there is 2,578 points loss when the position is built as the volatility threshold indicator is greater than the critical value. The t-test shows that the average profits of both cases are statistically different. Our findings suggest that the volatility threshold indicator could serve as the decision-making basis for Short Strangle strategy.

並列關鍵字

TAIEX options ； implied volatility ； actual volatility

參考文獻

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