A Design of Options Price Spread Trading System

• Main Authors: YUE-LIN LI, 李岳霖
• Other Authors: Yen-Tseng Hsu
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/49414160499391672097

碩士 === 國立臺灣科技大學 === 資訊工程系 === 96 === The thesis helps investors to trade options by using the price spread strategy. Because the price spread has the following advantages: the spread strategy has a lower cost, lower risk and the premium’s price’s standard deviation is not as large as a naked position. In a spread strategy, investors can change the range between the strike prices and combine the advantage of program trading to avoid the uncertainty when they are trading and this helps them to gain steady profits by the price spread strategy. When developing price spread program trading strategy, we bring up seven algorithms and split them into four parts to compare each other. We come up with the following conclusions: 1. Expanding the range between the strike prices of the price spread can increase the average profits of one trade. 2. Controlling the positions of the price spread can also increase the total profits. 3. When using a debit spread strategy or a credit spread strategy, the cost and profit under the same exercise price is also different. 4. If we put a naked position into the price spread strategy, the profit would increase tremendously.