以買賣權隱含波動率差值及選擇權內外盤比預測加權指數日內走勢

Abstract

本文使用買賣權隱含波動率差值(CPIV)，以2015至2019年期交所提供的選擇權資料，研究是否對加權指數日內走勢有正向關係，研究發現，08:45 ~ 09:00的買賣權隱含波動率差值對於當日加權指數報酬率確實有解釋能力，且其解釋能力在 (i)VIX值高的區間 (ii)選擇權流動性高的區間更為顯著，除此之外，本文也利用期交所大額交易人未平倉資料，間接證明CPIV有可能是大額交易人的交易結果，並且成功利用統計數據建構日內交易策略，在2015 ~ 2019年打敗台指期貨近月報酬。

This thesis uses intraday option data from Taiwan Futures Exchange to calculate intraday call-¬put implied volatility spreads (CPIV) with maturity adjustment and examines the explanatory power of CPIV for intraday returns of TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock index) to Taiwan Capitalization Weighted Stock Index. I find that CPIV exhibits strong relationship with intraday TAIEX index returns. This relationship is more significant for the periods during the period when (i) VIX index is extremely high (ii) option liquidity is relatively high. In addition, I use open interests of large traders data from Taiwan Futures Exchange to partially explain that CPIV may be highly sensitive to the trading behavior of large traders. I also construct an intraday trading strategy based on the research resulted associated with TAIEX Futures. This strategy successfully earns abnormal return during 2015 — 2019.