加總自現貨與波動率選擇權市場之波動率資訊

Abstract

過往的文獻除了佐證了選擇權市場資訊內涵的價值外，也歸納出隱含波動率對於標的物資產未來的波動率而言是個良好的估計式，也探討了如何加總選擇權資訊內涵的方式，不過大部分的文獻僅著重於如何萃取標的物資產所對應選擇權市場的資訊內涵而已。然而以S&P500指數為例，投資人實現其波動率資訊的方式除了交易S&P500指數選擇權之外，也可以交易VIX選擇權。因此本文將採用Holowczakm, Hu, and Wu(2014)的加總方式並建立迴歸模型分別檢驗S&P500指數選擇權和VIX選擇權的資訊內涵，探討這兩個選擇權市場的資訊內涵是否對於S&P500指數的波動率有著顯著的預測能力。其檢驗結果為S&P500指數選擇權的波動率資訊內涵尚未顯示具有顯著的預測能力，而VIX選擇權的波動率資訊內涵則是不論使用哪個加權方式皆呈現顯著性，再次佐證資訊交易者會選擇在VIX選擇權市場中交易有關於S&P500指數的波動率資訊。 而針對S&P500指數選擇權市場與VIX選擇權市場兩個市場呈現不同的結果，本文也提出了一項解釋。其可能的原因為市場上多為實現其價格資訊的資訊交易者，雖然干擾了S&P500指數選擇權市場中萃取波動率變動的資訊內涵，但並沒有干擾在VIX選擇權市場中萃取其價格變動的資訊內涵，所以才使得S&P500指數選擇權的資訊內涵不具有預測能力，但同時VIX選擇權所萃取的資訊內涵卻具有顯著性。

Most of the literature focuses only on how to extract the information from spot options market. However, for the S&P500 index, for example, investors can process volatility information by trading S&P500 index options and VIX options, or both. Therefore, this article follows Holowczakm, Hu, and Wu (2014) to aggregate information in option transactions and implements a regression model to test the proxy of volatility information generated from S&P500 index options and VIX options. The result shows there is a lack of sufficient evidence to indicate the volatility information from the S&P500 index option has a significant predictive ability. Yet the volatility information from the VIX option is meaningful. The reason for the different results is possibly the type of informed traders in the market. If there are much more price informed traders than volatility informed traders in the market, to extract volatility information may face the potential interference. The volatility information in S&P500 index option market may be interfered, but the volatility information about S&P500 index realized volatility is extracted from the price information of VIX options market. This is why information content of the S&P500 index option does not have the predictive ability, but at the same time information content extracted from VIX option is significant.