| Summary: | 碩士 === 輔仁大學 === 金融研究所 === 97 === The study is to investigate the empirical operations between the straddle trading portfolio of selling TXO upper and lower one-pan to six-pan built by the TXO deal data and the straddle option portfolio of dynamic selling TXO upper and lower two pan .The period of searching is from January 2002 to December 2008.
This study is mainly based on the seller strategy having more favorable than the buying strategy, and the time value of option contracts will be diminished by the time pass and the possibility of the performance will be reduced, so it can earn the option time value. According to the past seven years data of Taiwan index options, it shows that fluctuations of the month no more than 500 points on the expiration date of the most the index futures.
Empirical results：although the straddle trading strategy of selling TXO upper and lower one-pan to six-pan is not better than expected but the straddle option portfolio of dynamic selling TXO upper and lower two pan remains to achieve a certain degree of investment performance. It is to be classified and analysed ,and than it is to be distinguished by the opening price :
When the sum of the opening price are under 500 points , use the straddle option portfolio of dynamic selling TXO upper and lower two pan to reduce investment risks.
When the sum of the opening price are over 500 points, use the straddle trading strategy of selling TXO upper and lower one-pan to six-pan to expand the profit.
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