An Empirical Study on Building Trading Strategies for TAIEX Options

• Main Authors: Li, Mei-Chun, 李美君
• Other Authors: Wu, Ming-Cheng
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/6zep5w

碩士 === 國立彰化師範大學 === 財務金融技術學系 === 105 === At present, index options take an leading part in options trading volumes of Taifex, so TAIEX Options is undoubtedly the main options product in Taiwan. This study primarily discusses how those investors who don’t understand upward and downward market trends build up the most suitable trading strategies for Taiex Options through the fluctuations of the capitalization weighted stock closing index. The study uses TAIEX Options market datas from July 2012 to June 2015 as the research samples and build the basic trading strategies according to the daily ROC’s(Rate of Change) fluctuations of the capitalization weighted stock closing index. At the same time, the monthly settlement prices are used to build the strangle investment strategies on the monthly settlement days and then the income situations and returns in every strategy are empirically analyzed, which will be utilized as a reference for other investors hereafter.