臺指選擇權交易策略之研究與商品化之推展

Abstract

本文以台指選擇權策略為主要核心，研究期間自2007年7月2日起至2010年7月1日之資料，並以Put/Call ratio、兩大法人(法人及自營)未平倉多空淨額之增減、VIX為指標，以檢測單邊價差及垂直價差策略之價平與價外三檔之操作績效，以計算交易成本並嚴設停損點之以計算其報酬。

同時，本文輔以本文輔以實例分享，分別就商品、平台、行銷、通路、服務五個方面，提供系統性的整體規劃規劃其生命週期，以期交易策略透過商品化過程，更能為交易策略延伸生命週期。 從研究的結果，以Put/Call ratio、兩大法人(法人及自營)未平倉多空淨額之增減、VIX為指標以單邊策略整體皆為正報酬，且以單邊價外三檔獲利最高，而垂直策略僅以價差200點且價外三檔為正報酬，此結果符合Chaput & Ederington於「Vertical Spread Design」所表示一般投資人使用垂直價差策略以降低買進部位成本以增加獲利較減低賣出風險更為看重的主要原因。 此外，本策略平均每月進出僅三次，且最大損失於5%內，符合本文所希望提供給初學者之提供穩健獲利且風險掌控之策略。

This research is focus on option strategies of TAIEX.and applies Put / Call ratio, Two Institutional Investors and VIX data from July 2, 2007 to June 30th, 2009 to July 1, 2010. The paper will simulate the return of plain villain option and vertical spread with at the money position and out of money position by data of three years. All of these strategies will be calculated the transaction costs and stop loss to monitor its return.

Meanwhile, the search will take the commoditized cases of trading strategy for examples. There are five dimensions to show the commoditization of strategy, including strategy research、trading applications、marketing、chains and service. Hopefully, If the strategy can go through the five process providing the total solution for customer. Maybe the life cycle of trading strategy could be lasted longer than it was not promote to customers.

The results of research are as following：First of all, The Put / Call ratio, Two Institutional Investors and VIX could be effective indicators for plain villain option to make profit. The best payoff strategy is plain villain option trading three strike price out of money position. Moreover, if the vertical spread of 200 point spread be hold with three strike price out of money position that also could be positive return. This result will match what Kaput & Ederington in「Vertical Spread Design」mentioned about the investors will take the vertical spread to reduce the transaction cost.

In addition , If apply the indicators of this research as a trading strategy that will trade three times during one month and the maximum lose is within 5%.The strategy could be a way to educate the beginners how to make profit with limited risk for the long-term to trade option.