臺灣金融市場在國際化趨勢發展下,衍生性商品也越趨盛行,同時也提供國人理財創多元化的交易管道,臺灣期貨交易所推出臺灣股價指數期貨及臺灣股價指數選擇權契約商品是占全體市場比例最大的衍生性商品,無論是交易資訊取得或是下單交易都是最有效率,如何以極短時間下單且又能有效控制風險的範疇內獲取長期穩定報酬,所擬定的交易策略。 資料選取自2002/1/16 臺指選擇權上市至2017/1/19 共計179個月份179筆交易資料為研究區間,以臺指期貨及臺指選擇權收盤價為樣本,透過回測方式,以分別A、B兩組: A組只採期貨單一商品(兩口小臺期,運用先買後賣多方單一方向,以結算週期日進場及出場操作方式交易。B組則外加一組比例混合臺指期貨選擇權以賣出2口價外買權及買入1口價外賣權偏空方的險策略操作模式,評估兩組風險及投資報酬差異。 實證結果發現,A組交易只要增加保證金額度控制風險,長期單邊交易多方亦能獲取報酬,而B組增加選擇權反向的保險保護部位後不但不會減少A組獲利反而增加更多的報酬,是一個更優化的交易策略。
Under the development trend of internationalization in Taiwan’s financial market, derivation goods are becoming more popular. In addition, they offer multiple transaction channels for financial management. TAIFEX brings out TAIEX Futures and TAIEX Options, which account for the largest proportion of the market, and work the most efficiently through the obtaining of information and trading. This study focused on how to draft trading strategies to make long-term stable profits in a very short period of time and control the risk effectively. The data covers the time-span from January, 2002 till January, 2017, a period of 179 months with 179 transactions, based on the samples of the closing prices of TAIEX Futures and TAIEX Options. We used the retest method and divided the samples into two groups, group A and group B. Group A was comprised of those that only choose one single commodity futures (two futures of MTX), using the transactions of one single direction to buy first and then sell to handle the approach and appearance. Group B choose one more commodity futures mixed with TAIEX Options, using the selling of two futures of in-the-money and buying one futures of out-of-the-money similar to a bear market to operate, and then estimate the differences of the risk and the return of investment of the two groups. The result shows that if we added the margin to control the risk, we still can benefit from the long-term-one-way transactions. And increasing Group B’s options will not cut down Group A’s income, but on the contrary it will add more income. It seems to indicate that this is a better trading strategy.