THE RELATIONSHIP BETWEEN THE IMPLIED VOLATILITIES OF TXO AND THE SPOT PRICE UNDER MONEYNESS

• Main Authors: Lee, Sui-Ja, 李穗佳
• Other Authors: Goo, Yeong-Jia
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/26939625245976079614

碩士 === 國立臺北大學 === 企業管理學系 === 92 === The options was noticed by the investor gradually in Taiwan. The price is change very fast in the options market and the investors use it to arbitrage or to hedge. The investor to care about the most is the options price when they buy the derivative merchandise. If they buy the wrong way will cause a large of loss. The first step to transaction the merchandise is to judge the options price, but the major important factor to affect the price is the implied volatilities. The implied volatilities stand for the equity risk. The contemporary and cause—effect relations between volatility changes and equity price changes can be explained by two different rationales─the leverage-effect and time-varying risk premiums theories. The leverage-effect theory suggests a cause—effect from equity price changes to expected volatility changes, whereas the time-varying risk premium theory suggests an opposite cause—effect relation. We use option’s delta in classifying option moneyness (in-the-money, at-the-money, and out-of-the-money). We will find that asymmetric responses are essentially driven by which one of moneyness and the TXO options market follow which one theory The rewards of financial market have volatility clustering, when the news to the market it will cause the different impact that is asymmetric. We will use the GARCH model and EGARCH model to test the news impact, when it is optimistic or negative will cause the diverse affect. Many studies have documented a positive contemporaneous correlation between price volatility and trading volume .Hence, the relation between volatility changes and equity price changes could be attributed to trading volume. We will find the relationship between the price volatility and trading volume in the TXO options market. 1. The relationship between volatilities of TXO options and equity price is symmetry. 2. The volatilities of TXO options are essential Based on TXO options transaction data, we find that asymmetric responses are essentially driven by in-the-money call options. 3 .When the options market suffer the good and bad news impact, the all data is follow the GARCH model and the other moenyness is follow the EGARCH model. 4. The trading volume and volatilities is positive correlation when the data is at the money and out of the money