Improve the return of long strangle by return in Taiwan SE weighted index

• Main Authors: LIN,JIA-MING, 林家鳴
• Other Authors: LEE,SHEN-MING
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/q5q9dp

碩士 === 逢甲大學 === 統計學系統計與精算碩士班 === 107 === In Taiwan, the volume of options has a massive increase compared with 2001. Both futures and options are derivative instruments, but futures are more popular than options in Taiwan because the retail trader has little understanding of how it works. Though both of them are derived from the underlying asset that they track, the price of options has combined with complicated elements. Options are low cost and flexible financial instruments if we can understand price and strategies, its more friendly than stock, futures, bond, fund. This study uses the Taiwan index options, try to find out the relationship between historical volatility and strangle. The evidence shows that the Taiwan index has a large move at a specific point in time. Due to the option is a nearby contract, there is a political or international effect on the market. Thus we can gain profit out of expecting. Use appropriate strategy at a specific point in time with risk control can improve the traders performance.