Study on the Performance of Spread Trading forTaiwan Stock Index Weekly Option

• Main Authors: Chien-Chi Fang, 方艦騏
• Other Authors: Wo-Chiang Lee
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/39532799617460494435

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 101 === This article investigates the trading volume effect of Taiwan stock index weekly option which is issued by Taiwan Futures Exchange on November 14, 2012. Further explores the best timing and performances of eight strategies, including the long a call , long a put, short a call, short a put, bear call spread, bull put spread, bull call spread and bear put spread. The empirical results show that after the weekly option contract be issued, the options trading contracts growth significantly, but the total trading volume is not significant. Among the eight trading strategies, the performance of short a put is the best and stable. No matter the four ticks in the money (ITM) or out of the money (OTM). We also found that the short a put at the money (ATM) has the highest return. However, the other options trading strategies performance are not stable. Taiwan Futures Exchange issues the weekly option contract has been making the settlement behavior becomes more frequent and normal. It can also avoid the manipulation settlement prices via QFII. Finally, let the Taiwan future market more liberalized, rationalizing, and equality. and thus enhance its international competitiveness.