臺灣股票指數選擇權之相對隱含波幅價差交易策略實證分析

Abstract

隱含波動率作為選擇權交易策略的套利基礎已有一段時間，但限於同一現貨標的物之不同契約。而Ammann和Herriger (2002)提出了以相對隱含波幅作價差交易的統計套利策略，選取兩個相關性高的指數，以歷史資料定出其相對隱含波動幅度的界限，當超出此界限時，根據Black-Scholes定價模型，選擇權價格可能被高估或低估，此時便可買進被低估的選擇權、賣出被高估的選擇權並且從中獲利。本研究試圖驗證此方法是否可用於交易台灣的股票指數選擇權，檢驗台灣股票指數選擇權市場是否具有利用相對隱含波幅作價差交易的機會與市場，以及投資人是否能從這些交易機會中獲得正的報酬，同時考慮交易成本對此交易策略的影響。 在採用2005年4月至2010年12月間以發行量加權股價指數、金融保險類指數及電子類指數為標的之指數選擇權為樣本建立隱含波動邊界及執行交易策略後，發現雖然臺灣指數選擇權市場存在價格被高估或低估的價差交易機會，但並無法保證這些交易機會都能帶來正的報酬率，且交易成本並非影響策略執行結果的主要因素，故無法推論臺灣指數選擇權市場不具效率性。

Implied volatility has been used in arbitrage strategies of options for a long time but only for different contracts of one spot asset. Ammann and Herriger (2002) investigated the efficiency of markets as to the relative pricing of similar risk by using relative volatilities of options on highly correlated indexes and statistical arbitrage strategy to profit from potential mispricings. In this study, we follow the method derived by Ammann and Herriger, and try to examine whether it is suitable for Taiwan index options market or not, that is, to find out the potential arbitrage opportunities in Taiwan index option market with relative implied volatility and to take transaction cost into consideration. We used TXO, TEO and TFO as our sample, and derived their relative relationship of implied volatility from corresponding stock indexes. After exercising our trading strategy, we found out that there existed arbitrage opportunities in Taiwan index option market but the results didn’t show positive returns in all pairs of our index pair samples, so we cannot conclude that the market is not efficient.