The Performance of Trading Strategies Based onDeviations from Put-Call Parity of Stock Options

• Main Authors: Chien-Sheng Wen, 溫建盛
• Other Authors: Han-Ching Huang
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/78n24p

碩士 === 中原大學 === 財務金融研究所 === 107 === According to Cremers and Weinbaum (2010), I compute the implied volatility spread by option put-call parity theory. Then, I build strategy based on implied volatility spread, and compares it with OS, 52-week high, and contrary investment strategies to explore whether the investment performance of the implied-volatility-spread strategy is better than other strategies. Moreover, this study combines the implied-volatility-spread strategy with other strategies to form the two-dimensional investment strategy to explore whether the performance of two-dimensional implied-volatility-spread strategy is better than one-dimensional implied-volatility-spread strategy. The empirical results show that it needs more than one year of investment to get positive abnormal return by implied-volatility-spread strategy. Otherwise, it will only receive negative abnormal return when the investment horizon is less than one year. In addition, two-dimensional strategy improves bad performance of one-dimensional strategy. After combining the contrary 52-week high and contrary investment strategy with implied-volatility-spread strategy, I find that there is the best strategic effect when the holding period is 12. Nevertheless, the abnormal returns decrease after the holding period is 24.