The Empirical Study on the Long Straddle Strategies of TAIEX Options

• Main Authors: Jun-Hong Zhou, 周俊宏
• Other Authors: 林盈課
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/98755632406468767748

碩士 === 國立中興大學 === 財務金融學系所 === 105 === This study construct the long straddle strategies by buying TAIEX Options with an expiration date in one week to capture volatility in the market. There are three main findings given as follows: (1) Without considering the transaction costs, buying 2 days to expiration of TAIEX Options is the only straddle strategy has positive profit, showing that this strategy should be able to capture market volatility. (2) This study construct the long straddle strategies by buying TAIEX Options with an expiration date in 2 days and use the implied volatility as the selection mechanism. It shows that implied volatility can be used as a selection value to increase the effect of catching the market volatility. (3) The strategy can capture the market volatility to obtain positive profit by using the ninety percentile of the implied volatility as the selection mechanism to construct the long straddle strategy by buying TAIEX Options with an expiration date in 2 days. Since the implementation of the system, the number of transactions is 37, the total net rate of return is 357.64%, the average net return on each transaction is 9.67%.