The Trading Strategy of TXOs &TXs Based on VIX Trends

• Main Authors: Chia-ching Lin, 林家慶
• Other Authors: En-der Su
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/34045500587785229839

碩士 === 國立高雄第一科技大學 === 風險管理與保險所 === 98 === The purpose of the research is to find the relation between the Taifex VIX index and Taiwan Weighted Stock Index within 3 years. By using taifex futures and options to test the real time research of Taifex VIX index, we found some conclusion as below: 1. Taifex VIX index provided useful information for Taifex options traders. Regression Analysis shows the negative correlation between Taifex VIX index movement and market return still exist. 2. By using this negative correction between Taifex VIX index and Taiwan Weighted Stock Index, the correspondent trading system provided 847.96% return. 3. Combine the research by Matlab language function and regression analysis, we found that bear put spread and bull call spread provide best performance and return.