台指選擇權波動率與交易策略之實證研究-- 賣方策略、買進鐵蝴蝶及鐵兀鷹策略、Delta-gamma-vega Netural策略

Abstract

本研究以台灣期貨市場與選擇權市場為背景，研究期間為2001年12月24日至2005年12月21日。以上述共970個日資料之每日收盤價格進行分析，編製台指選擇權波動率指數。並利用Black-Scholes 選擇權評價模型探討波動率最適模型，以及模擬各式以收取權利金為主要交易目的之選擇權賣方交易策略。 實證結果如下：首先，台指期貨報酬率上升與下降對台指VIX指數的影響方向與效果，則呈現出不對稱情形。意即當台指期貨報酬率下降1%時，台指VIX指數增加的幅度為1.0624%。相較於台指期貨報酬率上升1%時，台指VIX指數減少的幅度1.316%為小。第二、就波動率預估模型得知：1.分別針對加權指數與台指期貨為標的物進行分析比較。得知以台指期貨為B-S模型之標的物，可得較佳之波動率預估模型。此結論亦與實務操作上較為貼近；2.本研究所採用之波動率預估模型，針對買權波動率預估之效果相對較賣權波動率預估之較為佳；3.與其他包括歷史波動率、GARCH、EGARCH、TGARCH等模型相較，最佳波動率預估模型為VIX模型。第三、就未避險與避險交易策略部份而言：本研究所採用的交易策略中是以未避險交易策略中的賣出勒式價外三檔策略的報酬率為最佳；第四、就參與結算是否有利可圖而言：本研究經由實證得知價外三檔參與結算平均月報酬率可增加2.6%。而價平及價外一檔的賣方是不宜參與結算。第五、就檢驗避險的有效性部份：買進鐵蝴蝶策略及買進鐵兀鷹策略的避險策略及Delta-Gamma-Vega Neutral策略，並未優於未避險策略。

This thesis consists of three major approaches to justify the Stock Index Option Volatility and the best Strategies. First of all, the market close prices in Taiwan derivatives market are collected since December 24th, 2001 to December 21st, 2005 for total 970 trading days and the Volatility Index (VIX) is defined and calculated. Second, this study tries to find out the best volatility estimation model by utilizing the Black-Scholes option pricing model. Third, various debit-premium based short option strategies are simulated to justify the best Strategies. The results of the research are as follows. First of all, when comparing to the rate of the Taiwan Stock Index Futures (TX), the rate of return of the composed VIX shown asymmetric characteristics, i.e., when the TX declined 1%, VIX went up 1.0624%; however, when the TX increased 1%, VIX will went down 1.316%. Secondly, by comparing various volatility estimation model, three major findings are shown as follows, (1) The goodness of fit of B-S volatility estimation model applied on the TX is better than on the Taiwan Weighted Stock Index (TWSE); (2) The VIX model adopted in this study performs well to estimate the volatility of Call Option than Put Option; (3) Among the historical volatility Model, GARCH model, EGARCH model, and TGARCH model, VIX model performs the best under the appropriate assumption. Thirdly, based on the hedged or non-hedged strategy, the simulated rate of return will be the highest if we utilized the three strike price Out of Money (OTM) strategy. Fourthly, if the investor held his position until maturity, the simulated rate of return will increase 2.6% under the OTM strategy. However, when the situation is either At the Money (ATM) or nearest-term OTM, it is inappropriate to hold the options till maturity. Last, based on the effectiveness performance of the hedging, this study shows that the performance of Long-Iron Butterfly, Long Iron Condor and Delta-Gamma-Vega Neutral Strategies do not outperform the non-hedged strategies.