A Study on the Profitability of Options Taiwan Stock Index Trading Strategies
碩士 === 國立雲林科技大學 === 財務金融系 === 102 === The changing economic environments have developed the needs for more financial derivatives. Meanwhile, options markets can also provide a safe and flexible vehicle for trading risk management. The study aims to explore the relative performance of 16 options...
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ndltd-TW-102YUNT03040552016-02-21T04:27:16Z http://ndltd.ncl.edu.tw/handle/44714725969893538010 A Study on the Profitability of Options Taiwan Stock Index Trading Strategies 臺股指數選擇權交易策略獲利可能性之研究 Chih-Hsuan Huang 黃智萱 碩士 國立雲林科技大學 財務金融系 102 The changing economic environments have developed the needs for more financial derivatives. Meanwhile, options markets can also provide a safe and flexible vehicle for trading risk management. The study aims to explore the relative performance of 16 options trading strategies in the the sample period of from January 2004 to December 2013. The empirical results are: (1) The short positions are better than long positions, and put options are better than call options. (2)From the frequency of trading profit, short call, short put, put bull spread, short straddle, and short strangle can beat the market. (3) For the total trading returns, short put and short put bull spread create the return among the range of 18% to 20% and 5% to 7%, respectively. Our empirical results indicate both strategies are profitable from the trading profit viewpoint. (4) The empirical results show short put at first, second, and third out-of-money positions have the chances of winning over 77% and the rate of return above 18%. (5) The results also indicate the short put bull spreads at the first and second out-of-money positions (spreads 100,200), can produce morethan 70% success rate and the rate of return of about 5 to7%. (6) Finally, short strangle at the three out-of-money positions also bring forth the winning rate of 66.66% and the rate of return of 5%. Chin-Sheng Huang 黃金生 2014 學位論文 ; thesis 91 zh-TW |
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碩士 === 國立雲林科技大學 === 財務金融系 === 102 === The changing economic environments have developed the needs for more financial derivatives. Meanwhile, options markets can also provide a safe and flexible vehicle for trading risk management.
The study aims to explore the relative performance of 16 options trading strategies in the the sample period of from January 2004 to December 2013.
The empirical results are: (1) The short positions are better than long positions, and put options are better than call options. (2)From the frequency of trading profit, short call, short put, put bull spread, short straddle, and short strangle can beat the market. (3) For the total trading returns, short put and short put bull spread create the return among the range of 18% to 20% and 5% to 7%, respectively. Our empirical results indicate both strategies are profitable from the trading profit viewpoint. (4) The empirical results show short put at first, second, and third out-of-money positions have the chances of winning over 77% and the rate of return above 18%. (5) The results also indicate the short put bull spreads at the first and second out-of-money positions (spreads 100,200), can produce morethan 70% success rate and the rate of return of about 5 to7%. (6) Finally, short strangle at the three out-of-money positions also bring forth the winning rate of 66.66% and the rate of return of 5%.
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author2 |
Chin-Sheng Huang |
author_facet |
Chin-Sheng Huang Chih-Hsuan Huang 黃智萱 |
author |
Chih-Hsuan Huang 黃智萱 |
spellingShingle |
Chih-Hsuan Huang 黃智萱 A Study on the Profitability of Options Taiwan Stock Index Trading Strategies |
author_sort |
Chih-Hsuan Huang |
title |
A Study on the Profitability of Options Taiwan Stock Index Trading Strategies |
title_short |
A Study on the Profitability of Options Taiwan Stock Index Trading Strategies |
title_full |
A Study on the Profitability of Options Taiwan Stock Index Trading Strategies |
title_fullStr |
A Study on the Profitability of Options Taiwan Stock Index Trading Strategies |
title_full_unstemmed |
A Study on the Profitability of Options Taiwan Stock Index Trading Strategies |
title_sort |
study on the profitability of options taiwan stock index trading strategies |
publishDate |
2014 |
url |
http://ndltd.ncl.edu.tw/handle/44714725969893538010 |
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