| Summary: | 碩士 === 實踐大學 === 財務金融學系碩士班 === 105 === This study creates the theoretical foundation of options’ combination strategy, which is frequently practiced by the traders of options, through using the concept of mathematical expectation. More specifically, this study uses the concept of "function of return" and "function of probability" to derive the expected return model. Then, the expected return model is used for establishing and screening the short Straddle strategy and the short Strangle strategy of options. Additionally, the samples of empirical study that is conducted to verify the precision of study model are the weekly contracts and monthly contracts for TXO. The duration of empirical study covers a total of 182 weekly TXOs and 162 monthly TXOs. In the design of study process, firstly, the expected terminal return of options' combination strategy for writers is estimated by the expected return model deduced in this study. Meantime, the short Straddle strategy includes weekly and monthly expired contracts, three window sizes for estimating volatility and five exercise prices, and thus creates a total of 30 strategies, while the short Strangle strategy also includes weekly and monthly contracts, three window sizes and 10 exercise price intervals, and thus creates a total of 60 strategies. The expected terminal returns obtained from various strategies are compared and analyzed with actual terminal returns to verify the accuracy and effectiveness of the expected terminal return model.
Empirical results show that weekly options with 30-day volatility window and monthly option with 365-day volatility window appear to be most accurate when comparing to other volatility windows. Also, the error rate of short Strangle strategy is lower than that of the short Straddle strategy in terms of application precision of expected terminal model. Moreover, short Strangle strategy can identify the maximum actual terminal returns more times than short Straddle strategy. Furthermore, comparing with the combination strategy using fixed exercise price, traders can acquire more investment advantage when using the optimal expected return to select and build periodic investment strategy. In conclusion, according to the empirical results, this study is confident that the expected terminal return model is suitable for taking as the reference when making decisions of options’ combination strategy in the case of the long-term investment.
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