The Strategy Analysis to Trade at a Deep-out-of-the-money Strike Price in terms of TAIEX Options
碩士 === 國立中正大學 === 財務金融所 === 98 === Abstract Of the products in Taiwan Futures Exchange, TAIEX Options has only traded for less than 8 years since launched in 2001, but its volume has ranked the top one since 2003. The result shows that trading TAIEX Options arouses the interest of the investors....
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/23727086645138335938 |
| Summary: | 碩士 === 國立中正大學 === 財務金融所 === 98 === Abstract
Of the products in Taiwan Futures Exchange, TAIEX Options has only traded for less than 8 years since launched in 2001, but its volume has ranked the top one since 2003. The result shows that trading TAIEX Options arouses the interest of the investors.
The thesis studies the strategy to make a profit on TAIEX Options in terms of adopting the deep-out-of-the money options after researching a grand total of 40 months TAIEX Options from May 2006 to August 2009.
The empirical result shows that traders should take into account the difference between the strike price of the month and the settlement price of the previous month. The sellers gain an advantage over the buyers as the difference is more than 500 index points. If the difference is less than 500 index points, the profit of TAIEX Options traders then goes to the buyers.
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