| Summary: | 碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 100 === This research is based on daily “Open Interest and Volume” of Buy and Sell strike price changes of the Taiwan index options. Establish an open interest volume-weighted arithmetic average index to infer long and short breakeven point. The change of Index trading volume can be generalize three trends to operate long, short and correction trading strategies, and to survey the outstanding profit.
This research is able to calculate every number of profits, number of profit and loss, rate of average profit and loss, average return, and standard deviation number. It also add Kelly formula to regulate the invest region of trading strategies and observe the operated results.
This research selected the buy long call, long put and long condor spread these three kinds of option strategies for the study. During the study period “January 2002 to December 2011”, a total nine years consecutive contracts information. The results show that given outstanding indicators can be easily observed price rise, fall and consolidation trends of the index used in options trading and bring profit. Apply Kelly formula can improve use of efficiency of capital, and it can also improve and control the performance of risk.
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