A study on profitability of option trading strategies-with TXO

• Main Authors: Ming-te Chen, 陳明德
• Other Authors: Chin-sheng Huang
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/66975882898752794241

碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 97 === This research goal lies in the basis Chaput & Ederington(2003) 「Option Spread and Combination Trading」Mentioned most often four kind of transaction strategies which carries out: The straddle type combination, the ratio spreads, the vertical spreads and the strangles type combination, in addition the naked position takes the investment profolio the transaction strategy, Discusses TXO to refer to real diagnosis of research the option transaction strategy profit, the penetration fixed approach point in time hypothesis, strike price adjustment as well as has to the settlement date principle, calculated the different transaction strategy from January, 2002 to December, 2008 the altogether seven years 79 issues (to deduct 5 issue of transaction informations uncompletely) the investment achievements. Real diagnosis our country “TXO” 79th the issue of due contracts settlement, its result showed: 1. The naked position transaction strategy are: The operation sells surpasses buys; Sell puts in- the- money the average achievements to surpass sell puts out-of- the money, but the profit time sell puts out-of- the-money surpass sell puts in- the-money. 2. In the vertical spreads transaction strategy are: Operate bull spreads to surpass the operate bear spreads.Buy Bull call spraed transaction strategy in- the-money at 2 strike prices profit time number to be highest; Buy Bear call spread transaction strategy out-of- the-money at 2 strike prices profit time number to be highest. 3. Straddle、strangle transaction strategy are: Sell straddle and sell strangle, these two strategy performance relative surpasses other various types strategy. sell straddle transaction strategy , Sells out-of-the-money at 1 strike price call transaction strategy and selling at 1 strike price in-the-money put profit time number to be highest , sell out-of- the-money at 2 strike price call and sell in-the-money at 2 strike prices put the average achievements to be highest; Sell strangle transaction strategy,sell out-of-the-money at 2 prices call and sell at-the-money put the profit time number to be highest , sell out-of- the-money at 2 strike prices call and sell in- the-money at 1 strike price put the average achievements are highest. 4. The ratio spreads transaction strategy are: The ratio call front spreads transaction strategy and the ratio put front spreads transaction strategy, these two strategy performance relative surpasses other various types strategy.The ratio call front spreads transaction strategy buy 1 unit out-of-the money at 1 strike price call and sell 2 units out-of-the-money at 2 strike prices call the profit time number to be highest; The ratio put front spread transaction strategy buy 1 unit at-the-money put and sell 2 units out-of-the-money at 1 strike price put the profit time number to be highest.