| Summary: | 碩士 === 輔仁大學 === 金融研究所 === 93 === This paper applies the concept of theta ratio of hedging to the construction of investment strategy and changes the goal of hedging into the pursuit of returns. This study designs an options trading strategy of preset return and to examine whether one can use this investment strategy to gain the preset return.
In this study, the research targets are Taiwan Stock Index Options and the sampling period is from January 2003 to March 2005. The call and put that have the same expiration date and the same exercise price are selected. This investor is assumed to carry a call and change the position of put every trading day. Therefore, the portfolio is composed of a call and a determined amount of puts. So there will be two trading strategies, buy straddles and reversals. Three types of models are employed under this study. Model A uses the calculated theta ratio to obtain the position of put. Model B based on the option price forecasted decides the put position. Model C according to the option price forecasted adjusts the put position under the constraint of a maximum loss. The portfolio return is calculated on next trading day. The main empirical results are as follows:
1. Among the three models, the result demonstrated that Model C has superlative performance, Model B is the next and Model A is the worst.
2. Comparing the performance of option price forecasts on nearby contracts and the second nearby contracts, the latter one is better than the former one. This result leads to a better performance for the portfolio with second nearby contracts. However, the actual rate of return for the second nearby contract portfolios are negative in general.
3. From the results of Genetic Adaptive Neural Network forecast of option price, the forecasting performance of call and put are better when the option goes in the money and deep in the money. And the forecasting performance of call is better than put.
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