買賣權隱含波動度差與現貨報酬動能：ETF選擇權與ETF市場分析

Abstract

摘 要 本研究主要在探討ETF選擇權價格與ETF現貨報酬動能之間的動態關係，採用美國S&P 500指數、Nasdaq 100指數及DJIA指數的ETF與ETF選擇權商品來研究，觀察資訊傳遞在不同的指數類型中有何差異。利用時間序列模型檢驗ETF選擇權隱含波動度差與ETF過去報酬期間的相關性，以觀察在ETF選擇權市場中是否存在動能交易的現象，藉此了解ETF選擇權交易者除了對於未來趨勢的捕捉之外，是否會參考過去ETF現貨市場的績效。另外比較ETF化與非ETF化的指數選擇權商品，對於動能交易的影響性，以了解指數的可交易性是否為研究選擇權與現貨市場相關議題時，必須控制的重要因素。

The purpose of this study is to investigate the dynamic relationship between ETF options’ prices and the ETF market momentum. Using the ETF and the ETF option collected from U.S. S&P 500 Index, Nasdaq 100 Index, and DJIA Index, we observe the difference on information transmission among different types of Indices. To examine our thesis, we employ the time-series model to investigate the relation between the implied volatility spreads of ETF options and the returns on ETF during a period. In other words, we observe whether there exists momentum trading in ETF option market and attempt to recognize that whether the traders of ETF options not only chase the market trend but also refer to the ETF performance in the past. Finally we compare the impacts on momentum trading between ETF option and index option to realize that whether the trading practicability of index is the essential factor to control when investigating the related subjects of option market and spot market.