| Summary: | 碩士 === 國立交通大學 === 管理學院碩士在職專班財務金融組 === 99 === 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.
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