情緒對台灣指數選擇權市場的Delta避險收益和波動度風險溢酬之影響

Abstract

Delta避險是金融機構和投資銀行常使用的避險策略。我預期透過調查市場「情緒」在台灣指數選擇權市場上，對「波動度風險溢酬」(variance risk premium, VRP) 和「避險收益」的影響，來為金融機構提供有關Delta避險的新想法。在研究結果中，一般情況下，情緒因子對Delta避險收益或波動度風險溢酬沒有顯著的影響力。然而，在極度衰退的經濟情況下（例如2008年的金融危機），市場上過多的悲觀情緒(已扣掉投資人對總體經濟的信心)，將對波動度風險溢酬產生顯著的負面影響，進而導致Delta避險收益從負值轉變為正值，推測其背後原因來自於在股票市場以及選擇權市場上的投資人，對悲觀情緒不一致的反應。總結來說，金融機構在進行Delta避險相關策略時，也應考慮市場情緒。如果忽略了情緒因子，他們可能會面臨額外的風險。

Delta hedging is an important and widely used risk management strategy for institutional option traders. In the thesis, by investigating the sentiment impact on variance risk premium and delta-hedged gains in Taiwan index option markets, I aim to provide a new insight on delta hedging to institutional traders. In my findings, sentiment generally has no impact on the delta-hedged gains or variance risk premium (VRP) in Taiwan index markets. However, during extremely recessed economy such as the 2008 financial crisis, the different responses of the investors in option and stock markets toward pessimistic sentiment provide a potential explanation for the abnormally positive VRP and delta-hedged gains. In conclusion, I believe that the sentiment should also be considered while financial institutions conduct the delta-hedging, or they may face the additional risk (or additional losses) during a recessed situation like 2008 financial crisis.