Dynamic Option trading strategies of Taiwan Index Options

[[abstract]]本研究利用買賣權評價公式計算出期貨理論價格，求出選擇權的 隱含波動率（Imply Volatility），配合小型台指期貨（MTX）進行避險， 並且使用Long_Gamma 策略及Short_Gamma 策略來進行選擇權動態交 易，進行所有選擇權交易策略，再每一周進行一次結算，研究分析期 間為2005 年到2007 年共計742 個交易日，分為156 周結算，使用 MATLAB 軟體進行統計分析，分別求出Long_Gamma 及Short_Gamma 之各個時點之獲利金額、資金成本、交易成本及報酬率。 本研究因為在交易過程中考慮了期貨與選擇權交易成本，在三年 的研究過程中，發現交易成本是造成選擇權交易之報酬率大幅降低的 主要因素，台灣交易市場中的期貨及選擇權的交易手續費仍然偏高， 如能以更低的手續費來進行期權操作，將可獲得更高之報酬。 本研究亦發現，由於研究過程中是將所有的交易策略都列入投資 組合中進行交易，而在Long_Gamma 策略及Short_Gamma 策略中並沒 有較佳報酬率之結果出現，顯示Long_Gamma 策略及Short_Gamma 策 略並不適合進行實際操作。[[abstract]]This research calculates the stock theoretical price using business power appraisal formula extracts the option the concealment fluctuation rate (Imply Volatility) the coordinate small stations refer to the stock (MTX) to carry on take refuge from danger and uses the Long_Gamma strategy and the Short_Gamma strategy carries on the option dynamic transaction carries on all option transaction strategy each week carries on a settlement again research analysis period is 2005 to 2007 the total 742 trading days divides into 156 weeks to settle accounts uses the MATLAB software to carry on the statistical analysis extracts Long_Gamma and Short_Gamma separately profit of amount the fund cost the transaction cost and the return rate each point in time Because this research had considered in the transaction process the stock and the option transaction cost in three year research process discovered the transaction cost was creates the primary factor which return rate of the option transaction reduced largely in Taiwan trading market stock and the option transaction handling charge was still high if could carry on the option operation by a lower handling charge might obtain a higher reward This research also discovered that because in the research process is includes all transaction strategy in the investment profolio to carry on the transaction but result of the good return rate has not appeared in the Long_Gamma strategy and the Short_Gamma strategy demonstrated that the Long_Gamma strategy and the Short_Gamma strategy are not suitable to carry on the actual operatio