Research of Taiwan Stock Index Option Volatility and Strategies— Short Option Strategy, Long Iron Butterfly and Iron Condor, and Delta-gamma-vega Neutral Strategies
Date Issued
2006
Date
2006
Author(s)
Huang, Yi-Ming
DOI
zh-TW
Abstract
This thesis consists of three major approaches to justify the Stock Index Option Volatility and the best Strategies. First of all, the market close prices in Taiwan derivatives market are collected since December 24th, 2001 to December 21st, 2005 for total 970 trading days and the Volatility Index (VIX) is defined and calculated. Second, this study tries to find out the best volatility estimation model by utilizing the Black-Scholes option pricing model. Third, various debit-premium based short option strategies are simulated to justify the best Strategies.
The results of the research are as follows. First of all, when comparing to the rate of the Taiwan Stock Index Futures (TX), the rate of return of the composed VIX shown asymmetric characteristics, i.e., when the TX declined 1%, VIX went up 1.0624%; however, when the TX increased 1%, VIX will went down 1.316%. Secondly, by comparing various volatility estimation model, three major findings are shown as follows, (1) The goodness of fit of B-S volatility estimation model applied on the TX is better than on the Taiwan Weighted Stock Index (TWSE); (2) The VIX model adopted in this study performs well to estimate the volatility of Call Option than Put Option; (3) Among the historical volatility Model, GARCH model, EGARCH model, and TGARCH model, VIX model performs the best under the appropriate assumption.
Thirdly, based on the hedged or non-hedged strategy, the simulated rate of return will be the highest if we utilized the three strike price Out of Money (OTM) strategy. Fourthly, if the investor held his position until maturity, the simulated rate of return will increase 2.6% under the OTM strategy. However, when the situation is either At the Money (ATM) or nearest-term OTM, it is inappropriate to hold the options till maturity. Last, based on the effectiveness performance of the hedging, this study shows that the performance of Long-Iron Butterfly, Long Iron Condor and Delta-Gamma-Vega Neutral Strategies do not outperform the non-hedged strategies.
Subjects
波動率指數
波動率預估模型
選擇權賣方策略
買進鐵蝴蝶及鐵兀鷹策略
希臘字母參數中立策略
Volatility Index (VIX)
Volatility Estimation Model
Short Option Strategy
Long Iron Butterfly and Iron Condor Strategy
and Delta-gamma-vega Neutral Strategy
Type
thesis
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