指數選擇權之套利機會與套利策略－台指選擇權之研究

Abstract

本文利用選擇權對選擇權套利策略(Options/options strategy)、選擇權對期貨套利策略(Options/futures strategy)，對台指選擇權進行套利機會與套利報酬之研究，研究期間為2004全年。選擇權對選擇權的套利策略，包括了賣出價差策略(Short spread strategy)、凸性策略(Convexity strategy)、與箱形價差策略(Box spread strategy)。選擇權對期貨的套利策略，則延伸自買權、賣權、期貨平價式。本文特別發展提前平倉(early unwinding)策略，現存對台指選擇權市場的研究，仍停留在持有至到期日的靜態策略，提前平倉策略的探討與實證研究未嘗出現。提前平倉策略的採用，係真實反映套利交易者有限資金的限制，且實務上期貨與選擇權交易有保證金之負擔，因此套利部位通常不會真正持有至到期日。本文的研究發現，不論在何種套利策略模型下，提前平倉之報酬均顯著優於持有至到期日，事實上，大部分的套利投資組合部位會在同一天即予以平倉。本文亦特別研究交易延遲(Execution lag)對套利交易之影響。藉著實證分析比較不同的兩種交易執行設定，可明顯看出當不合理價格(Misprice)發生時，市場確有出現調整的力量。此發現顯示現存諸多文獻假設套利交易可在被發動時之不合理價格成交，可能潛在的偏誤。最後，本文利用迴歸分析捕捉影響套利機會發生頻率、與影響套利交易報酬率的因子。結果顯示，現貨指數的日內波動率、選擇權每日成交筆數，對於套利機會發生頻率與套利交易報酬率有顯著的正向影響。總括來說，台指選擇權市場交易量大幅成長至今，與流動性的提高，其潤滑套利交易的效果，似乎超過導正不合理價格的效果。另外，流動性較差的契約序列，較諸流動性高的契約序列，潛在較大的套利報酬。

This paper examines the arbitrage opportunities and profitability of the options/options strategies and the options/futures strategy among TAIEX Options during 2004. The former include the short spread strategy, the convexity strategy, and the box spread strategy, whereas the latter is extended from the put-call-futures parity. In particular, this paper develops early unwinding strategies that have not yet been studied in the Taiwan options market so far. It reflects the capital rationing of arbitrageurs who are burden with margins and initial outlays. For all four strategies examined in the paper, early unwinding significantly exceeds holding to maturity in profitability, and large portions of arbitrage portfolios are even unwound on the same day. The much shorter holding duration helps to significantly unfreeze the limited capital. Moreover, this paper also focuses on the effect of execution lag. Two different execution settings of historical data simulation are made. By comparing the results in realized frequency and profitability, it reveals the adjustment of market force, and points out the misleading nature of naïve price matching criteria which assume arbitrage orders to be dealt at the prevailing mispricing quotes could exist in some previous studies. Finally, regression analyses are performed to capture factors affecting the frequency and profitability of arbitrage trading. The level of stock market volatility and the daily number of index option trades positively enhance the frequency and profitability of arbitrage strategies. It shows that the growing number of trades in TAIEX Options until now may help rather facilitate arbitrage trading than contribute to re-correction of misprices. And illiquid contracts potentially draw larger arbitrage profits than liquid contracts.