How to explain the open interest of Taiwan Index Option

• Main Author: 蘇柏軒
• Other Authors: 李志宏
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/zkc2uf

碩士 === 國立政治大學 === 財務管理研究所 === 103 === In this study, we use the public information from Taiwan Futures Exchange to examine whether the open interest of Taiwan Index Option (TXO) can be explained by the open-sell investors. The results indicate that numerous open-sell investors are informed traders, and they write near-the-money option or out-of-the-money option to earn the premium. Therefore, using sell-side to explain the open interest of TXO is comparatively proper. Further, we research on the performance of selling-option trading strategies including margin, transaction costs and reinvest. Most of trading strategies generate negative return rate and they bear extremely high risk. This result is contrary to some of the previous studies, because the previous studies didn’t consider reinvest. There is a high probability to earn the premium, but when the loss occurs it will severely damage the investor’s net worth. We find a special trading strategy that can realize the excess rate of return. According to the characteristic of this trading strategy, we advised the investors who want to design selling-option trading strategy that: (1) the strict stop loss mechanism is necessary (2) the open interest of option can be a reference to choose the exercise price.