| Summary: | 碩士 === 開南大學 === 財務金融學系 === 98 === On December 24, 2001, Taiwan Futures Exchange launched the Taiwan index options contract. Since then, the transaction volume is climbing. According to the statistics by Futures Industry Association, the trading volume of Taiwan index options contracts totaled 9,275 million and 7,254 lots in 2008, which is the the 15th largest stock index future market in the world.
Sometimes, the TAIEX index fluctuates severely on the last three trading days before the settlement date of the options contract. Based on this observation, one would like to ask: what is a more profitable trading strategy?
In this study, the Taiwan index option contracts data from January 2003 to December 2009 is collected. The data includes the Friday's closing Taiwan index one week before the monthly settlement date for six different options trading strategies. The six strategies are: 1. buy the call, 2. buy the put, 3. buy the bull spread, 4. short put option spreads, 5. cross-sell and sell Le-style. The study concludes the following:
I. The total gain-loss points, the total rate of return and the
average annual rate of return all are minus if only the first strategy, i.e., buying call options, is used during 2003 to 2009.
II. The total return rate for the buying the out-of-the money 100 points put options is 2.42 % during 2003-2009, the total gain-loss is 81 points, while the annual average rate of return of 38.84 %.
III. Third, buy a bull spread to out-of-the money 100 points, investors are more suitable for reference, 2003-2009, the total gain or loss was 392.1 points, the total return of 12.47 %, while the annual average rate of return of 125.81 %.
IV. selling the right to bear spreads in order to spread 200 points, spread over 300 points better performance, 2003-2009, the total gain or loss according to sequence of 149.7 points, 253.8 points, the total rate of return in order of 3.31 %, 4.83 %.
V. short strangle 2003-2009, the total gain or loss, from the selling price to the price of things outside of 100 points each 300 points in order of 1166 points, 980.4 points, 746.2 points, the total rate of return in order of 18.20 %,30.62 %, 47.52 %, and profits are more than half of the number, the results are good, so short strangle is a very good strategy.
VI. short straddle 2003-2009, the total gain or loss was 1133 points, with a total return of 8.88 %, and the number of more than half of profits, so short straddle of strategy is also quite good.
VII. this study used hierarchical regression, the empirical results for the open interest, implied volatility, in the first quarter, second quarter, the first quarter of the amount outstanding standard of interaction, the five independent variables affect the right to buy profit and loss.
VIII. this study used hierarchical regression, the empirical results for the open interest, price level and the outstanding amount of standardized interaction, season, seasonal interactions with the implied volatility of these variables will affect the right to sell the profit and loss.
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