台指選擇權價內之高勝率價差策略 交易模型之實證研究
碩士 === 國立中正大學 === 財務金融學系碩士在職專班 === 104 === The Thesis mainly discussedthe trading strategies of price spread and long condor spread on Taiwan Index option market.The short position had the risk of margin call during option duration. But the spread strategies was like that the short position added th...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/32756646246545288909 |
| Summary: | 碩士 === 國立中正大學 === 財務金融學系碩士在職專班 === 104 === The Thesis mainly discussedthe trading strategies of price spread and long condor spread on Taiwan Index option market.The short position had the risk of margin call during option duration. But the spread strategies was like that the short position added the protective buy-side position and this spread could controlled the limit downside risk.
We included the methods of moving average、maximum OI and the other methods of distinguishing trend to construct six trading models. Long condor spread strategies referred to the literatures of short strangle strategies and the distribution of the difference of high and low price per month. I designed that the strategy of the price that up and down 400 points on open interests date and covered the maximum profit 600 points.
The research period was from January, 2002 to December, 2015. The totally trading year were 14 years and the trading numbers were 168.The empirical conclusionswere as follow:
1.Price spread strategy which added the maximum OI to distinguish tread could upgrade the performance of price spread strategy.
2.Long condor spread strategy could be limited the payoff construction could not produce the positive performance.
3.Long condor spread was better than price spread on return and risk measurement.
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