Intraday Option Implied Volatility Curve Trading Strategy
碩士 === 國立政治大學 === 金融學系 === 104 === Option’s implied volatility smile curves discontinuous phenomenon exists when general investors buy or sell options, they won’t buy in every strike’s options. This paper attempts to use Taiwan Index Options (trading code: TXO) to construct a trading strategy based...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/14982396536877799563 |
| Summary: | 碩士 === 國立政治大學 === 金融學系 === 104 === Option’s implied volatility smile curves discontinuous phenomenon exists when general investors buy or sell options, they won’t buy in every strike’s options. This paper attempts to use Taiwan Index Options (trading code: TXO) to construct a trading strategy based on the implied volatility. We use curve fitting method to capture volatility smile curve’s instant discontinuous. Although we find out that the strategy won’t make a profit, there were several times when TXO market’s implied volatility smile curves were discontinuous, and the market option price will eventually go back to the theoretical price.
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