台指選擇權交易量隱含之資訊內涵與交易策略

Abstract

本論文包含兩項關於台灣加權股價指數選擇權市場交易量隱含資訊與交易策略之研究所構成。 藉由台灣證券期貨交易所提供之台灣指數選擇權所有交易人日內下單資料，本論文第一部分實證分析台灣指數選擇權市場是否存在訊息交易者。因台灣證券期貨交易所較股票現貨市場提早15分鐘開盤，擁有隔夜訊息之交易者能在現貨市場開盤前先行在交易成本較低之選擇權市場建立部位。本論文第二部分研究選擇權盤前交易市場是否提供台股指數開盤資訊。 論文第一部分利用買權、賣權交易量之差異預測隔日股價指數報酬率。實證結果發現：外資法人為主要訊息交易者，其預測能力在指數下滑(亦即壞消息)交易日較顯著。為獲取高槓桿報酬且減緩選擇權價值隨履約日愈近而遞減之情況，價外選擇權與短天期(30-90天)選擇權較高流動性之價平與近月(0-30天)選擇權更能預測隔日指數報酬率。憑藉優越之訊息解釋能力，外資法人對總體市場即將發生之重大利空消息具有顯著預測能力。為防止大單交易導致市場價格劇烈波動，外資法人利用限價單與拆單隱藏欲交易之部位。 論文第二部分利用盤前選擇權多單(買買權+賣賣權)和空單(賣買權+買賣權)交易量之差異探討選擇權延長交易時間是否隱含資訊內涵。實證結果顯示:開盤指數下跌時，外資法人盤前交易量具有預測能力且長達至開盤後25分鐘；價外與短天期(30-90天)選擇權隱含資訊內涵較佳，搭配拆單交易避免價格大幅波動。當隔夜NASDAQ指數大幅下滑，選擇權盤前交易量隱含之資訊內涵大幅提昇，顯示盤前市場較現貨市場提早揭露隔夜海外市場發生之重大消息。穩健性分析進一步顯示開盤後選擇權各15分鐘交易量對日內報酬不具預測能力，強化選擇權盤前交易在同日價格揭露所扮演之重要角色。 實證證據顯示外資法人在台灣股價指數選擇權市場上為訊息交易者。雖然指數選擇權市場在過去文獻中多被視為無訊息之流動性交易，惟藉由本研究分析得知特定交易者的選擇權交易量仍然具有訊息揭露之能力。

This dissertation contains two studies on information content of index option volume and trading strategies in the Taiwan index market. In the first study, we examine the predictive ability of index option put-call volume on next-day index movements in the Taiwan market. We find that foreign institutional investors are the most informed traders, with their predictive ability being more apparent in a downward market. When engaging in informed trading, foreign institutional investors tend to use out-of-the-money options to achieve high leverage, along with medium-term options to obtain large delta exposure and low theta risk, whilst also sacrificing liquidity by forgoing the use of short-term options. The predictive ability of foreign institutional investors is found to be significantly enhanced on days with important macroeconomic news, thereby indicating their superior interpretative ability of publicly-accessible information. Based upon their long-lived informational advantage, foreign institutional investors will tend to engage in informed trading using limit orders and medium-sized trades in order to camouflage their information. In the study, we examine the ability of pre-open index option trading to predict subsequent stock index returns. Using the imbalance between positive volume (long calls and short puts) and negative volume (short calls and long puts) as a proxy of trading intention, we find that on days of index decline, foreign institutions’ option volume imbalance facilitates predicting the subsequent spot index opening returns up to 25 min after spot market opening. This suggests that foreign institutions are informed traders in Taiwan. When engaging in informed trading, foreign institutions prefer medium-sized trades, out-of-the-money options, and medium-term options to balance the trade-off among leverage, liquidity, and the option characteristic of value decay over time. The predictive ability of foreign institutions is enhanced significantly for days on which the NASDAQ index drops severely during the previous overnight interval, a finding that indicates that pre-open option trading serves as the front line of the overseas contagion effect prior to the spot market opening. The informational role of options is found at the pre-open interval but not during the regular trading session when options are traded side by side with spot assets, which indicates a unique price discovery role for options during the pre-open trading session. Our findings confirm the information role of foreign institutional investors in the index option market, a market generally deemed to be less important in information discovery than stock markets. The findings in this dissertation provide broader views concerning the way in which how valuable information is incorporated into prices.