台灣指數週選擇權上市對月選擇權影響

Abstract

新金融商品上市，容易導致原本舊金融商品的交易者改變交易行為， 本研究在探討2012 年11 月底上市的台灣指數週選擇權上市後，對同樣 標地的月選擇權影響。本研究將可能影響分成三個方向，分別是成交量、 未平倉量及VIX 指數，研究的方法包含兩個部分，第一個部分為探討 對整體月選擇權影響，建立成交量、未平倉量及VIX 指數個別的預測 模型，並且加入虛擬變數，檢測週選擇權上市對於預測模型是否帶來結 構性改變；第二個部分則是把價性與距到期日做分類，探討，週選擇權 上市各種價性與距到期日分類的影響是否一致。研究資料採取2012 年 1 月至2014 年12 月的日資料。研究結果發現，週選擇權上市後，月選 擇權的成交量有顯著的下降，並且以深度價內的選擇權最為明顯，下降 約8 成，相較之下，價平的選擇權下降約五成，但是對於距到期日大於 兩週以上，下降比例則約為3 成，顯示週選擇權上市對於月選擇權有明 顯的替代的效果。而在未平倉量方面，首先發現月選擇權賣權未平倉量 顯著大於買權未平倉量，推測與賣權的避險價值大於買權導致，而週選 擇權上市，也對月選擇權未平倉量顯著的減少，深度價內與價外的減少 了約6 成，價平的選擇權影響則相對少，距到期日大於兩週的價平月選 擇權買權只減少一成以內，而賣權則減少兩成左右。在VIX 指數分析 上，利用GARCH 模型做分析下，週選擇權上市也對VIX 指數有顯著 下降，VIX 為各履約價的權利金所計算出，VIX 指數下降也代表了月選 擇權的權利金有下降的趨勢，表示在週選擇權上市後，整體交易者做月 選擇權買方的意願降低，而做選擇權買方的交易者，大多數為投機者， 當週選擇權的投機環境更好的時候，月選擇權的買方意願降低也是可預 期的。

The launch of a new financial instrument tends to change the way the existing instruments are traded. This study investigates the impact that the launch of TAIEX weekly options after late November 2012 had on the monthly options of the same target. In this study, the possible effects are examined in terms of trading volume, open interest, and VIX. This study divides the analysis into two parts. The first part, to discuss the overall impact on monthly options, provides three models that forecasts trading volume, open interest and VIX respectively, and with dummy variables taken into account, tests whether the launch of the weekly options causes any structural change in the forecast models. The second part includes categorization of moneyness and duration to further look at whether the launch’s impacts on each category of moneyness and of duration are consistent. The collected data consists of daily data from January 2012 to December 2014. This study has three findings. First of all, after weekly options were launched, the trading volume of monthly options drops significantly. Specifically, the deep-in-the-money options drops about 80%, while the at-the-money options decreases about 50%. However, the over-two-week duration options decreases merely around 30%, which shows obviously that the weekly options launch, one way or another, replaces the existing monthly options. In addition, it was found that the open interest of the monthly put options is significantly larger than that of the call options. It is inferred that this is because the value of hedging of the put options is higher than that that of the call options. The weekly options’ launch results in a significant drop in the open interest and a 60% decrease in deep-in-the-money and out-of-the-money options. As for the at-the-money options, the decline is relatively modest; the monthly call options of over two week duration drop only by less than 10%, and the put options, around 20%. Finally, in the VIX analysis, which was conducted using the GARCH model, the launch of weekly options also causes VIX to go down significantly. As VIX is calculated based on the premium at each strike price, a decrease of VIX means the declining tendency of the monthly options’ premium, that is, after the weekly options are launched, the traders are generally less willing to be monthly options buyers. On the other hand, those still as monthly options buyers are mostly speculators; it is also expected that a better investment environment for weekly options comes with the speculators’ lower willingness to buy monthly options.