Dissertations / Theses: 'Option trading strategies'

1

Wang, Tong Tong. "Analyzing and simulating stock option trading strategies." Thesis, University of Macau, 2000. http://umaclib3.umac.mo/record=b1636264.

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Ribeiro, André Manuel da Silva. "Option pricing and optimal trading strategies for holding firms." Master's thesis, Instituto Superior de Economia e Gestão, 2010. http://hdl.handle.net/10400.5/2445.

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Mestrado em Matemática Financeira
In the corporate sector it is frequent to observe firms acquiring equity stakes in other firms. This phenomenon has an impact on the observed correlation between the return of the stocks of the two firms and on the suitable stochastic model to describe the behavior of the return of the holding company, which may not be described by a normal distribution anymore. This work aims to explore the implications of this fact on option pricing valuation and in the execution of optimal trading strategies. Concerning option pricing valuation, several methodologies, used in the literature in other contexts, were presented and discussed in this framework. A new hedging strategy was also presented. In a framework of correlated assets and illiquid markets, modeled through the dependence of the price of the holding company on the transactions of the participated company (and vice-versa), an optimal execution trading strategy is analyzed and an efficient frontier is derived. The speed of the transactions proved to be dependent on the risk aversion, variance of the stock, correlation and liquidity parameters.

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Magnusson, Lukas. "Dispersion Trading : Construction and Evaluation." Thesis, KTH, Industriell ekonomi och organisation (Inst.), 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-123733.

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Since the introduction of derivatives into the modern financial market, volatility based tradingstrategies have emerged as important tools for asset managers. Since the financial crisis apopular trading strategy has been dispersion trading, however few published studies ofdispersion trading exist. This thesis aim to perform a study of how dispersion strategies performand their characteristics. This is achieved by finding basic common dispersion trading strategies,isolate and evaluate their attributes to then draw conclusions in general about dispersion trading.Three basic dispersion strategies are found based on vanilla option spreads and their performanceis back-tested. It was found that the strategies delivered positive return with low marketcorrelation and acceptable risk. It is also found that transaction costs is a key-factors tosuccessfully use dispersion trading. Thus it is a vital factor to consider when creating adispersion based trading strategy. An interesting topic for further research is how trading signalssuch as the implied correlation and the implied volatility spread can be used to increaseprofitability. As well to model market impact from dispersion trading.

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Coufalík, Jan. "Opční strategie a oceňování měnových opcí." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-199783.

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The aim of this diploma thesis is to analyze and implement selected option pricing models using statistical software. The first chapter introduces theoretical basics of options as financial instruments ideal for hedging and speculation. The second chapter constitutes the core part of this thesis since it unveils theoretical concepts of risk-neutral pricing and at the same time analyze some basic, as well as highly sophisticated option pricing models. In addition, each model is accompanied by a practical example of their effective implementation. The final chapter characterize the most widely used option trading strategies and defines the ideal expected market development linked to each strategy.

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Sonono, Masimba Energy. "Applications of conic finance on the South African financial markets /| by Masimba Energy Sonono." Thesis, North-West University, 2012. http://hdl.handle.net/10394/9206.

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Conic finance is a brand new quantitative finance theory. The thesis is on the applications of conic finance on South African Financial Markets. Conic finance gives a new perspective on the way people should perceive financial markets. Particularly in incomplete markets, where there are non-unique prices and the residual risk is rampant, conic finance plays a crucial role in providing prices that are acceptable at a stress level. The theory assumes that price depends on the direction of trade and there are two prices, one for buying from the market called the ask price and one for selling to the market called the bid price. The bid-ask spread reects the substantial cost of the unhedgeable risk that is present in the market. The hypothesis being considered in this thesis is whether conic finance can reduce the residual risk? Conic finance models bid-ask prices of cashows by applying the theory of acceptability indices to cashows. The theory of acceptability combines elements of arbitrage pricing theory and expected utility theory. Combining the two theories, set of arbitrage opportunities are extended to the set of all opportunities that a wide range of market participants are prepared to accept. The preferences of the market participants are captured by utility functions. The utility functions lead to the concepts of acceptance sets and the associated coherent risk measures. The acceptance sets (market preferences) are modeled using sets of probability measures. The set accepted by all market participants is the intersection of all the sets, which is convex. The size of this set is characterized by an index of acceptabilty. This index of acceptability allows one to speak of cashows acceptable at a level, known as the stress level. The relevant set of probability measures that can value the cashows properly is found through the use of distortion functions. In the first chapter, we introduce the theory of conic finance and build a foundation that leads to the problem and objectives of the thesis. In chapter two, we build on the foundation built in the previous chapter, and we explain in depth the theory of acceptability indices and coherent risk measures. A brief discussion on coherent risk measures is done here since the theory of acceptability indices builds on coherent risk measures. It is also in this chapter, that some new acceptability indices are introduced. In chapter three, focus is shifted to mathematical tools for financial applications. The chapter can be seen as a prerequisite as it bridges the gap from mathematical tools in complete markets to incomplete markets, which is the market that conic finance theory is trying to exploit. As the chapter ends, models used for continuous time modeling and simulations of stochastic processes are presented. In chapter four, the attention is focussed on the numerical methods that are relevant to the thesis. Details on obtaining parameters using the maximum likelihood method and calibrating the parameters to market prices are presented. Next, option pricing by Fourier transform methods is detailed. Finally a discussion on the bid-ask formulas relevant to the thesis is done. Most of the numerical implementations were carried out in Matlab. Chapter five gives an introduction to the world of option trading strategies. Some illustrations are used to try and explain the option trading strategies. Explanations of the possible scenarios at the expiration date for the different option strategies are also included. Chapter six is the appex of the thesis, where results from possible real market scenarios are presented and discussed. Only numerical results were reported on in the thesis. Empirical experiments could not be done due to limitations of availabilty of real market data. The findings from the numerical experiments showed that the spreads from conic finance are reduced. This results in reduced residual risk and reduced low cost of entering into the trading strategies. The thesis ends with formal discussions of the findings in the thesis and some possible directions for further research in chapter seven.
Thesis (MSc (Risk Analysis))--North-West University, Potchefstroom Campus, 2013.

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Fransson, Oskar, and Almqvist Henrik Mark. "Trading Volatility : Trading strategies based on the VIX term structure." Thesis, Umeå universitet, Företagsekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-172989.

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This study investigates how term structure dynamics of VIX futures can be exploited forabnormal returns. To be able to access volatility as a tradeable asset, the trading strategiesonly trades ETFs which are designed to replicate the movements of VIX futures index. Itis established that such ETFs are unsuitable for buy-and-hold investments because of thenegative roll yield it usually suffers, caused by the slope of the VIX term structure.Consequently, these conditions create opportunities for strategies that use direct andinverse VIX ETFs to be profitable. The study is a quantitative study that uses historicalprice data to back test three different trading strategies. The strategies are tested over theperiod 11-oct-2011 to 31-mar-2020. The authors have deliberately chosen to delimit thestudy by not testing the performance of the ETFs, not statistically test the risk-adjustedreturns and not perform a regression to calculate optimal hedge ratios for the strategies.The results from this study shows that its possible for strategies that exploit the termstructure dynamics of VIX futures to generate abnormal returns.

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Mönch, Burkart. "Strategic trading in illiquid markets /." Berlin [u.a.] : Springer, 2005. http://www.loc.gov/catdir/enhancements/fy0663/2005922554-d.html.

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Macret, Deborah Zilberman. "Relação entre volume e volatilidade no mercado acionário brasileiro." reponame:Repositório Institucional do FGV, 2018. http://hdl.handle.net/10438/24823.

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O presente trabalho procura identificar padrões na volatilidade intraday no mercado de ações brasileiro e, em seguida, traçar uma estratégia trading baseada neles. Em alguns estudos, o comportamento da volatilidade é associado ao comportamento do volume negociado. Este, por sua vez, segue o formato em ’U’ durante o dia - maiores negociações nas horas iniciais e finais, sendo relativamente menor no período intermediário. A partir da análise de ações da carteira Ibovespa, concluímos que o mercado brasileiro segue, também, este comportamento. A estratégia escolhida , então, é vender volatilidade no início do dia e comprá-la no período intermediário. Para isso, utilizamos strangles.
This work seeks to identify patterns in intraday volatility in the Brazilian stock market and then outline a trading strategy based on them. In some studies, the behavior of volatility is associated with the behavior of the volume traded. This, in turn, follows the ’U’ format during the day - larger negotiations in the initial and final hours, being relatively smaller in the intervening period. Based on the analysis of shares of the Ibovespa portfolio, we conclude that the Brazilian market also follows this behavior. The strategy chosen, then, is to sell volatility early in the day and buy it in the intervening period. For this, we use strangles.

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Chen, Ming-ying, and 陳明瑩. "Option Trading Strategies with Transaction Costs." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/41805707557609852735.

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碩士
國立政治大學
應用數學研究所
95
There are many researchers focus on constructing the optimal strategies and propose integer linear programming (ILP) for a series of options which are on the same maturity date with different strike price, but they neglect transaction costs in their models. The transaction costs of options are the handling charge and taxes which investors should pay for trading in the market. The thesis proposes an ILP with transaction costs to construct the optimal strategy for an option portfolio of call- and put- options on the same maturity date with different strike price. We leave the distribution of the variety of stock price out of consideration and extend Yang’s (2004) model and Liu & Liu’s (2006) min-max regret model to construct ILP with proportional, fixed, and mixed transaction costs. Finally, we take the trading data of TXO as an empirical study to test and verify the efficiency of our models. Key words: transaction costs, option trading strategies, integer linear programming, option arbitrage opportunities.

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Bagić, Iva. "Single and combined option trading strategies." Master's thesis, 2011. http://hdl.handle.net/10071/4044.

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Options are financial instruments that give the investors a right to exercise, and not the obligation like other derivatives. That is why they are quite interesting to the investors, and why there are numerous possibilities of creating different payoffs with different risks. This thesis investigates the trading strategies involving options and has a goal to show that the investors can create a certain strategy with desirable profits depending on their own preferences, risk aversion and market expectations. The strategies can be simple, holding only one position in an option, with or with no hold of the underlying asset. As there are more option contracts included, the strategies become more complicated with a higher need of following the market movements in order to reduce potential losses, as well as to take further advantage of favorable market movements by taking follow-up actions if possible.
As opções são instrumentos financeiros que dão aos investidores o direito de exercer, e não a obrigação de o fazer como outros derivados. Esta é a razão pela qual estas são bastante interessantes para os investidores, e porque existem numerosas possibilidades de criar diferentes retornos para diferentes riscos. Esta Tese investiga as estratégias de trading que envolvem opções e que têm o propósito de mostrar que os investidores podem criar uma determinada estratégia com os retornos desejados, dependendo das suas próprias preferências, aversão ao risco e expectativas de mercado. As estratégias podem ser simples, fixando apenas uma posição numa opção, mantendo ou não o activo subjacente. Como existem mais contratos de opções incluídos, as estratégias podem tornar-se mais complicadas com uma maior necessidade de seguir os movimentos de mercado de forma a reduzir perdas possíveis, assim como de aproveitar movimentos de mercado favoráveis através de acções de follow-up, se possível.

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楊靜宜. "Option Trading Strategies with Integer Linear Programming." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/51606858789417568198.

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碩士
國立政治大學
應用數學研究所
92
The problem of how to construct the optimal combination trading strategy for investors when they face a series of options of different exercise prices on the same maturity date can be solved by many standard trading rules. Yet these standard trading rules cannot completely cover the complex and highly changeable combination strategy. This thesis proposes an integer linear programming (ILP) model to construct the optimal trading strategy for option portfolio selection. This model focuses on constructing the optimal strategy for an option portfolio of call- and put-options on the same maturity date. Given the investor''s belief of the stock price, we also provide an extended ILP model to include this belief. Finally, an empirical study will be presented by using the ILP model applied to the Ericsson''s call and put options.

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Hung-Ying, Tang, and 湯惠英. "Trading strategies of Taiwan Index Option Volatility." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/99140124913526307415.

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碩士
輔仁大學
金融研究所
96
This research utilizes data from Taiwan Index Futures and Options for a time interval of 9:01 to 13:50 every day during the sample period of September 3rd, 2007 to March 31st, 2008. Implied volatility (IV) and GARCH volatility are calculated per minute from the data and with Volatility Index (VIX) obtained from Taiwan Futures Exchange, these three types of volatility are acting as trading signals and used to define volatility degree (high and low). These three types of volatility with eight strategies (Long Iron Butterfly and Iron Condor, Short Iron Butterfly and Iron Condor, Long Strangle and Straddle, Short Strangle and Straddle) and two market offset methods (offset with stop and offset in next day ) are explored in combination to find a best trading strategy. The empirical results of this research show that short straddle and short strangle one strike price out of money strategies obtain net profit for all three trading signals, no matter the offset methods used and the volatility degree. Thus for these two strategies, further analyses demonstrate that, when taking IV as the trading signal, net profits in average transaction differ by volatility degree for either offset method and profited better in high degree of volatility than in low degree of volatility. This conclusion of net profit maintained for stop offset method when taking VIX as the trading signal. However, when taking GARCH as the trading signal, net profit in average transaction differ by volatility degree only in next day offset method but do not profit better in high degree of volatility. Also, when volatility degree is high, the net profit in average transaction differ by offset methods and profited better by using stop offset method than using next day offset method.

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Yang, Cheng-Feng, and 楊承峯. "Volatility Trading Strategies for US Stock Option Market." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/44721520220221157786.

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Yang, Tsung-Ta, and 楊宗達. "The Impact of Volatility Estimation on Option Trading Strategies." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/3fqa8f.

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碩士
國立臺灣大學
經濟學研究所
107
This paper studies how volatility estimation influences option pricing in Black Scholes model. First, we introduce the Black Scholes option pricing model. Second, we introduce three kinds of volatility estimation models. Then, we input the estimated volatilities estimated by these models into Black Scholes option pricing model to obtain theoretical call and put price. Then, we compare these theoretical option prices with the real world market option price data, and compare them with different approach to figure out which volatility estimate model is better.

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Hsu, Chia-Wei, and 許家瑋. "Using Option and Stock Volume Ratio as Trading Strategies." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/59602911037853725661.

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碩士
國立臺灣大學
財務金融學研究所
104
Using the OS concept of Johnson and So(2012),constructing OS Index, Delta OS Index, PS Index, Delta PS Index, CS Index and Delta CS Index as trading index. With the half year moving average of SP500, there are 12 kinds of trading strategies. Delta OS Index and half year moving average of SP500 is the most outstanding trading strategy. On the buy side, the return is significant large than zero. The wining rate is over 60%. Overall, it is a good trading strategy. The first trading signal of the change between long and short transition is a strong one. It can be the signal when SP500 is going up or going down. It is a very useful information for investors.

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Huang, Yu-Bin, and 黃裕斌. "Application of Extreme Value Theory for Option Trading Strategies." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/26726626473356117969.

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碩士
中原大學
工業工程研究所
94
Option pricing model is developed very mellow now, and it is to make use of financial derivatives popularly in practice. However, the time that option is to enter the market is not too long, so there has not too much research with option. The research is chose TXO and MTX to research, and using of the two financial derivatives developed a portfolio. Furthermore, we use the spread to estimate the threshold with extreme value theory, and using the threshold to decide that when should we trade the portfolio more flexible. The spread is option money between call option and put option and futures price and option strike price. Finally, we join the threshold between option theoretical price and market price to decide that we should clear the portfolio early or not.

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Chen, Ming-te, and 陳明德. "A study on profitability of option trading strategies-with TXO." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/66975882898752794241.

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碩士
國立雲林科技大學
財務金融系碩士班
97
This research goal lies in the basis Chaput & Ederington(2003) 「Option Spread and Combination Trading」Mentioned most often four kind of transaction strategies which carries out: The straddle type combination, the ratio spreads, the vertical spreads and the strangles type combination, in addition the naked position takes the investment profolio the transaction strategy, Discusses TXO to refer to real diagnosis of research the option transaction strategy profit, the penetration fixed approach point in time hypothesis, strike price adjustment as well as has to the settlement date principle, calculated the different transaction strategy from January, 2002 to December, 2008 the altogether seven years 79 issues (to deduct 5 issue of transaction informations uncompletely) the investment achievements. Real diagnosis our country “TXO” 79th the issue of due contracts settlement, its result showed: 1. The naked position transaction strategy are: The operation sells surpasses buys; Sell puts in- the- money the average achievements to surpass sell puts out-of- the money, but the profit time sell puts out-of- the-money surpass sell puts in- the-money. 2. In the vertical spreads transaction strategy are: Operate bull spreads to surpass the operate bear spreads.Buy Bull call spraed transaction strategy in- the-money at 2 strike prices profit time number to be highest; Buy Bear call spread transaction strategy out-of- the-money at 2 strike prices profit time number to be highest. 3. Straddle、strangle transaction strategy are: Sell straddle and sell strangle, these two strategy performance relative surpasses other various types strategy. sell straddle transaction strategy , Sells out-of-the-money at 1 strike price call transaction strategy and selling at 1 strike price in-the-money put profit time number to be highest , sell out-of- the-money at 2 strike price call and sell in-the-money at 2 strike prices put the average achievements to be highest; Sell strangle transaction strategy,sell out-of-the-money at 2 prices call and sell at-the-money put the profit time number to be highest , sell out-of- the-money at 2 strike prices call and sell in- the-money at 1 strike price put the average achievements are highest. 4. The ratio spreads transaction strategy are: The ratio call front spreads transaction strategy and the ratio put front spreads transaction strategy, these two strategy performance relative surpasses other various types strategy.The ratio call front spreads transaction strategy buy 1 unit out-of-the money at 1 strike price call and sell 2 units out-of-the-money at 2 strike prices call the profit time number to be highest; The ratio put front spread transaction strategy buy 1 unit at-the-money put and sell 2 units out-of-the-money at 1 strike price put the profit time number to be highest.

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Lee, Lu-Han, and 李如翰. "The Optimal Option Trading Strategies under Different Volatilities and Interest Rate." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/34144811827133516897.

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碩士
國立高雄應用科技大學
商務經營研究所
97
Within the past research in the field of finance, volatility has always been a significant subject of discussion. The application of volatility concepts to design option trading strategies has been actively explored. Investors should have certain understanding in volatility as to select their proper trading strategy, their long or short position, and their timing of trade. It is known that option investors utilize volatility as a trading indicator and combine it with trading strategies to maximize trading profits. This thesis starts of with a basic introduction of option trading strategies. We then perform a Monte Carlo simulation to produce simulated stock prices and input them into the Black-Scholes formula to calculate the the oretical profit outcomes of different stock option trading strategies. While varying stock return volatility and interest rates, we investigate the strategies that produce the maximum profits, and finally analyze and discuss the results. We find that after 10,000 simulations, the average rate of return of “Straddles” and “Strangles” are positive, and “Short Straddles” show a higher rate of return when volatility is low. For “Spreads,” the outcomes are dubious. Simulations also show that “Straddles” and “Strangles” are more sensitive to volatility, whereas “Spreads” are less sensitive to volatility. We conclude that regardless of the value of volatility, “Short Straddles” should be applied since return outcomes are better than “Short Strangles” strategies. When interest rates are low, “Short Straddles” also produce higher returns.

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Cho, I.-Wei, and 卓奕瑋. "The Relative Trading Strategies Research of the Volatility Index of TAIFEX Option." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/70862740812509076676.

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碩士
雲林科技大學
財務金融系碩士班
96
The Volatility Index-VXO and VIX are constructed by Chicago Board Options Exchange (CBOE) in 1993 and 2003 successively. After being given authorization from CBOE, Taiwan Futures Exchange (TAIEX) started constructing the Volatility Index (VIX and VXO) in Taiwan option market which provides the references for market investors. Based on the characteristic of mean-reverting of the Volatility Index, the present study analyzed the trading strategies that are concerned with futures and options. It is hoped that the Volatility Index that has been constructed by Taiwan Futures Exchange could provide investors with some information, such as when to buy or sell in option market and futures market.The results of this study are as follow: 1. Significantly negative correlations were found between Taiwan stock index and Volatility Index. 2. After the transaction cost was calculated, the significant abnormal return was not found in all simulated trading strategies. 3. As regard to the timing ability of Volatility Index, parts of trading strategies can increase the Sharpe Index after the trading conditions were set which can provide inventors with a reference when they are trading.

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Humphreys, Mark. "Covered call trading strategies in the South African retail equity market." Thesis, 2015. http://hdl.handle.net/10539/17047.

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Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2014.
The use of a Covered Call strategy has long been favoured by investors the world over for its potential to enhance yield in a long-only equity portfolio. There already exists a wealth of research examining the risk and return features and theories of this strategy. This paper aims to contribute to this debate by conducting research that is specific to the South African equity market and considered from the perspective of a retail investor, particularly by tracking the negative friction induced by transaction costs. It also seeks to answer the question of which Covered Call strategies provide the best risk-adjusted returns by pricing various expiry range and moneyness combinations over differing market trend phases during a 13-year period of trade on the JSE.

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Kau, Un-Hoei, and 高妏惠. "The Effect of Paying Cash Dividend on Taiwan Index Option and Related Trading Strategies." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/34880043452940385075.

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碩士
東吳大學
國際貿易學系
94
The market price of the index options will converge to theoretical price when the option contract is close to maturity. According to the feature, this paper is using the spread between the market price and theoretical price of the index options as an indicator for deciding to when to sell or buy the index options. Then, this paper uses the inverse strategies to simulate the transactions. Subsequently, we will discuss the lead-lag relationship between the overestimating percentage of market price of index option and the daily changing ratio of return index after doing Granger Causality test. At last we will discuss the relationship between the outcome of simulating transactions and the result of the Granger Causality test. From the result, we will know the overestimating percentage of market price of Taiwan index call option after considering cash dividends is greater than that not considering cash dividends and the overestimating percentage of market price of Taiwan index put option after considering cash dividends is less than that not considering cash dividends. We find that two methods making up with six strategies-buy on a call option, write on a call option, buy and write on a call option, buy on a put option, write on a put option and buy and write on a put option will have positive returns after simulation transactions. The returns of first three strategies are listed as below: buy and put on a call option, buy on a call option and buy and put on a put option. At the same time, we know the strategies about call option after considering cash dividends are better than those not considering cash dividends. However, the strategies about put option after considering cash dividends aren’t better than those not considering cash dividends. Relating to the Granger Causality test, we find the result that the relationship between the overestimating percentage of market price of call option and the changing ratio of return index is two-way causality and the relationship between the overestimating percentage of market price of put option and the changing ratio of return index is one-way causality. Then after using the VAR model, we know that the lag time of the changing ratio of return index brings negative effect to the overestimating percentage of market price of call option and the lag time of the overestimating percentage of market price of call option brings positive effect to the changing ratio of return index. The overestimating percentage of market price of put option is leading the changing ratio of return index and the relationship is negative effect. At last, about the relationship between the outcome of simulating transactions and the result of the Granger Causality test, we find the strategies about call option after considering cash dividends are better than those not considering cash dividends, however, the strategies about put option after considering cash dividends aren’t better than those not considering cash dividends. This fact is relating to the result that the relationship between the overestimating percentage of market price of call option and the changing ratio of return index is two-way causality and the relationship between the overestimating percentage of market price of put option and the changing ratio of return index is one-way causality.

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Lin, Rou-ping, and 林柔萍. "The research of Trading Strategies of Implied Volatility Spreads in Taiwan Index Option market." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/4f3zqc.

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碩士
國立中央大學
財務金融學系
103
This paper view implied volatility spread of options as a leading indicator, when this indicator shows one option deviates from another, it means that one option undervalue or overvalue relative to another. Then we buy low and sell high in the market. We find out that the portfolio still beat the market after consider the trading cost. We also find out that compared to other period, there has higher return when we build the trading position at about 11-15 remaining day of trading. This paper also discusses the implied volatility of call options and put options respectively. Because one of characteristic of implied volatility is mean reverting, it means that one option undervalue or overvalue if the implied volatility of call or put is much deviates from mean value. We use the stray value as the second indicator, and we buy low and sell high in the market. We find out that after considering the transaction cost, there are not significantly positive returns in call options except for which with deep-out-of-the-money. In contrast to call option, there still have significantly positive return in put options with no matter out-of-the-money or in-the-money. In addition, if we don’t take hedge into account when we buy or sell put option, the portfolios could get higher returns.

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H124410033, WU PO, and 吳柏昇. "The Performance of Trading Strategies based on the Ratio of Option and Stock Volume." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/mjd7dn.

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碩士
中原大學
財務金融研究所
106
Based on the OS concept of Johnson and So(2012), we construct a portfolio based on the ratio of trading volume of the stock option to its underlying stock. We compare the profitability of the OS strategy with those of 52-week highs, trading volume, and price momentum strategy to examine whether OS investment returns are more profitable. We also combine the OS strategy with the above three strategies to form two-dimensional investment strategies such as OS52-week highs, OS early and lately strategies, OS price momentum strategy to explore whether the two-dimensional OS strategies can help investors earn excess profits. We find that: The longer holding period is associated with the better the OS strategy to earn returns. Thus, the OS strategy is more suitable for long-term investment. The OS52-week high strategy is affected by the different profit period, and the results are not expected. The profit of OS early strategy is better as the holding period is longer, but OS lately strategy is obviously not profitable. The average return of OS price momentum strategy is 16%, which is significant positive. The return of the OS strategy is higher than that of the trading volume strategy. The longer the holding period, the greater the gap is. In long-term investment, return of OS strategy is higher than that of the 52-week high and price momentum strategy. The two-dimensional strategy of the OS is suitable for long-term, and the profit is greater than other two-dimensional strategies. Given the investment period is more than one year, we find that the OS strategy can indeed help investors make profits, and its return is higher than other strategies. Similarly, when the OS two-dimensional strategy is held for more than one year, it can also help investors earn excess returns.

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24

Wu, Hsiao-Sung, and 吳曉松. "The Study of Insider Trading Strategies with Asymmetric Information in the Stock and Option Markets." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/25639329810360116726.

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碩士
輔仁大學
金融研究所
94
Easley & O’Hara(1992) provide two uncertainty in their one-shot model.Market makers do not understand the type of his trading matches—liquidity trader or informed trader and whether the informed trading happen. They provide an equilibrium strategy which can satisfy a market maker and an informed trader trade behavior. In this article I extend the above one-shot model that assume the informed trading must happen and consider incorporating options how affect the stock market. I find that the risk-free rate could affect informed traders adapt large size or mix their trading quantity . And I constrain leverage in order to avoid informed trades manipulating prices. Informed traders trade large quantity in the stock market, since the order information could flow to the option market, market maker could rise call option price to prevent loss from trades. The condition that informed traders trade in large quantity could not be strong and informed traders have the motivation to trade mixed amounts in the stock market.

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25

Kuo, Wen-jui, and 郭文瑞. "The Feasibility Study of “Filter Rules’ Trading Strategies”－Applying Option Volatility Implied from TAIFEX Futures Contracts." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/12276015651252925028.

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碩士
國立高雄第一科技大學
金融營運所
92
The research is going to find out the fluctuation of implied volatility of Taiwan Stock Index Options between 2002 and 2003. We would like to know if it’s possible to make excess return through those trading strategies of filter rule. Furthermore, we would understand the efficiency of option market too. In the research, the implied volatility of Taiwan Stock index options is standardized by Black-Scholes pricing model. It’s applied to fixed filter that means the options of selling implied volatility at high position and buying it at low position. At the same time, it’s also applied to dynamic filter that includes the options of selling implied volatility going up rapidly and buying it dropping down quickly. In these two trading strategies, you would search the best and the worst filter ratio under the assumption without expiration-day effects. Listed bellows are the results we approved: (1)When using the fixed filter trading strategies, most of them should obtain positive excess return, no matter it’s involved in expiration-day effects of not. Moreover, the range of plus excess return is much bigger than the range of minus excess return. (2)When using the dynamic filter trading strategies, all of them should obtain positive excess return no matter it’s impacted by expiration-day effects or not. (3)Ether dynamic filter or static filter, you would obtain higher excess return if there’s no consideration about expiration-day effects in average. (4)No matter you think about expiration-day effects or not, the fluctuation will be little for the excess return of dynamic filter. It approves that you would take higher risk when you decide to adapt to static filter principle.

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26

Lin, Jung-hui, and 林榮輝. "Design of Options Trading Strategies Based on AiSM." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/6m7aq8.

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碩士
國立臺灣科技大學
資訊工程系
94
This thesis focuses on applying AiSM model to build the transaction modules for Trader. Five trading strategies of Trader for TXO are proposed, and they are ETD (Easy Trader Decision), TSTD (Time-Space Trader Decision), BTD (Bulwark Trader Decision), MTD (Movement Trader Decision) and CTD (Contrarian Trader Decision). Through the experimental analysis, the total net profit is higher using ETD and MTD for TXO transaction than using the other three strategy algorithms. By using the TSTD, the total net profit is lower than ETD and MTD, but it has the benefit of short holding time, which can reduce the pressure on the investor. Finally, if using the same operation signal to do the TX and TXO transaction, the profit ratio for (OP/FP) ranges from 0.62 to 0.76.

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27

Chen, Wei, and 陳威. "Pricing and Trading Strategies of Euro FX Options." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/11895161641829965409.

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碩士
國立清華大學
計量財務金融學系
104
The purpose of this paper is to evaluate the value of Euro FX options (EC) which is available at CME Group exchanges by combining the option pricing theory with practical trading strategy. By using Least-Squares Method (LSM) of Longstaff and Schwartz (2001) to estimate its early exercising value and using EGARCH model to estimate its volatility, we then combines LSM algorithm with the gain-loss ratio of Bernardo and Ledoit (2000) to create the trading strategies. Then we compare the pricing bounds with real trading prices to find existence of semi-arbitrage opportunities. The empirical results show that the higher the gain-loss ratio we set, the wider the option bounds we get. The wider pricing bounds lower trading frequency, but decrease the numbers of extreme loss. Meanwhile, using higher frequency data to estimate volatilities would reduce the risk and increase the trading performance; the trading strategies perform better on the back month Euro FX options than the front month Euro FX options.

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LIN, SIANG-JYU, and 林祥裾. "Trading Strategies using Indicator Based on Options Premium." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/40833589104940080496.

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碩士
國立臺灣科技大學
資訊工程系
96
This study is based on the premium variation to develop other technical indicator(Indicator of Premium, IOP), implied volatility and premium fluctuating rate etc. to design options trading strategies. From the study results of the above, respectively design options trading strategies: FB(First Breakout), SL(Support Level) and CA(Continuity Ascending) in bull market; RL(Resistance Level) and CBB(Continuity Break Bottom) in bear market. Because considering premium’s reaction, so we could design options programming trading system with IOP indicator easily. Overall, the evaluation of trading strategies based on IOP has a maximum actual profit of 209 points; 488 points max unit gain , and the average trade is 36 points. Furthermore, these algorithms satisfied the philosophy of trading with the trend, thus every swing will produce some trading signals

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29

Wu, Cheng-Yu, and 吳正玉. "The trading strategies and commoditization of the TAIEX index options." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/55633488704886398005.

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碩士
國立交通大學
管理學院碩士在職專班財務金融組
99
This research is focus on option strategies of TAIEX.and applies Put / Call ratio, Two Institutional Investors and VIX data from July 2, 2007 to June 30th, 2009 to July 1, 2010. The paper will simulate the return of plain villain option and vertical spread with at the money position and out of money position by data of three years. All of these strategies will be calculated the transaction costs and stop loss to monitor its return. Meanwhile, the search will take the commoditized cases of trading strategy for examples. There are five dimensions to show the commoditization of strategy, including strategy research、trading applications、marketing、chains and service. Hopefully, If the strategy can go through the five process providing the total solution for customer. Maybe the life cycle of trading strategy could be lasted longer than it was not promote to customers. The results of research are as following：First of all, The Put / Call ratio, Two Institutional Investors and VIX could be effective indicators for plain villain option to make profit. The best payoff strategy is plain villain option trading three strike price out of money position. Moreover, if the vertical spread of 200 point spread be hold with three strike price out of money position that also could be positive return. This result will match what Kaput & Ederington in「Vertical Spread Design」mentioned about the investors will take the vertical spread to reduce the transaction cost. In addition , If apply the indicators of this research as a trading strategy that will trade three times during one month and the maximum lose is within 5%.The strategy could be a way to educate the beginners how to make profit with limited risk for the long-term to trade option.

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30

Lien, Shih-Chieh, and 連士傑. "A Research on TAIEX Forecast and TAIEX Options Trading Strategies." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/36015082947400960869.

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碩士
國立臺灣大學
經濟學研究所
95
As the futures and options markets began to rise, more investment targets are available for people now. We can use options not only to hedge. Most investors even trade them for speculation purposes. We expect this thesis could help investors find an effective method to forecast the value of “Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX)”in order to gain profits from options. On the other hand, for the academic consideration, we will test the efficiency of Taiwanese stock market by this research. See if we can find an effective way to predict the trend of the index value successfully and gain profits continuously. In this thesis we gathered daily historical data of TAIEX and several variables that are considered to be influential to TAIEX from 2002 to 2006. These variables are for example: volume, Dow Jones Industrial Average Index, Nasdaq Composite Index and foreign capital. By using econometrics methods such as “Probit and Logit” models, we can build probabilities of predicting the daily fluctuation of TAIEX. Along with previous day’s GDR prices changes of the three main stocks of TAIEX, we can then buy or sell “TAIEX Options (TXO)” and determine if this method correctly predicts the future trend of TAIEX by observing the profits from TXO. Followings are empirical conclusions available from this thesis: 1.The two models in this thesis bring no significant difference in predicting index value fluctuations. But Logit model has probabilities that are more extreme than Probit. 2.We cannot get a better performance with these econometric models than random predictions. That is, in the long run, they are not applicable. 3.These models will be most useful in the bull market, and least useful in the bear market. 4.Taking previous day’s GDR prices changes of the three main stocks of TAIEX as an accordance showing how fluctuant TAIEX will be, really helps us earn more money in option trading. 5.We cannot use any past information to predict the trend of TAIEX continuously and effectively. That is, the weak form of market efficiency does exist in Taiwan stock market.

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31

ZHANG, YAN-LING, and 張晏玲. "The Options Trading Strategies With Volatility Forecasting Recruiting Sentiment Indicators." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/g7k58n.

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碩士
國立高雄應用科技大學
金融系金融資訊碩士班
105
This study adopts Engle and Gallo（2006） historical volatility model using TXO data and also recruiting the five indicators as investor sentiment indexes included: ARMS index, Turnover ratio(TO), Put-call trading volume ratio(PCV), Put-call option interest ratio(PCO), and Option volatility index(VIX) in order to forecast future volatility and using MAPE to evaluate the accuracy of future volatility for different model, finally we apply to forecasting future volatility to construct recruiting different sentiment indexes of options trading strategies to compare its performance. Our research uses TXO daily data from 2012 to 2016 before h days of settlement date (h=5,10,15,20) to construct options straddle and one call(put) strategies. The empirical results find that recruiting sentiment indexes of TO and VIX can decline MAPE effectively, followed by PCV, ARMS and PCO. In terms of average return, the straddle strategy recruiting ARMS index and executed on 20 days before the settlement day achieves the best return of 28.96% among all straddle strategies. The second best return is 27.39% obtained by the straddle strategy recruiting ΔTO or PCO and executed on 20 days before the settlement day. Both returns exceed the benchmark model（MHV）return of 25.72%. For call option strategy the one recruiting PCO and ΔTO, executed on 20 days before the settlement day generates the best and the second best return of 53.51% and 26.75%, respectively. Both are larger than their benchmark return 12.28%. For put option strategy the one recruiting ΔVIX and TO, executed on 15 days before the settlement day generates the best and the second best return of 11.93% and 10.65%, respectively. Both are greater than their benchmark return 9.00%. In terms of Reward-to-risk ratio（RRR）, the straddle strategy recruiting ΔPCO and executed on 15 days before the settlement day achieves RRR of 2.00 which has the largest incremental improvement relative to its benchmark RRR of 0.92. The straddle strategy recruiting ΔPCO and executed on 10 days before the settlement day generates RRR of 3.26 which exceeds its benchmark RRR by 0.49 and is the highest RRR among all straddle strategies. For call option strategy the one recruiting ΔPCO and executed on 15 days before the settlement day generates the best RRR of 0.78, larger than its benchmark RRR of 0.23. The second best RRR is 0.38 obtained by the strategy recruiting PCO and executed on 20 days before the settlement day, which is also bigger than its benchmark RRR of 0.09. For put option strategy the one recruiting VIX index and executed on 20 days before the settlement day achieves RRR of 0.70 that exceeds its benchmark RRR of 0.6. The strategy recruiting ΔPCO and executed on 10 days before the settlement day brings RRR of 0.92, which exceeds its benchmark RRR by 0.09 and is the best RRR among all put option strategies.

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32

Huang, Hao-Hsuan, and 黃浩軒. "Approximate arbitrage trading strategies for cross-month futures and options." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/eu7aa5.

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碩士
國立清華大學
計量財務金融學系
106
This paper mainly studies whether there is arbitrage space for the cross-price spread trading of futures and options. In view of futures and options at different maturities can be found to be highly correlated. And as indicated in previous literature, we can relate the rate of decline of the time value of the option component price spread price of different maturity date to the option of different maturity date. This essay uses empirical methods to test the performance of investment strategies through historical data to test the existence of arbitrage space. In this context, we aim to explore whether the investment strategy consisting of the options in the recent months and the long-term options can earn a time spread. The profit mainly comes from the time value of the recent options. If the price volatility is not large and the time value of the fast-expiring option loses faster than the time-value of the option due later, The time spread can be set to gain profit, but on the contrary, if the weighted index fluctuates too much, this trading strategy will increase losses as the price volatility is too large. Therefore, the trading strategy is risk arbitrage. In view of the effect of volatility on the price of options, the decision of whether to change the grouping of trading strategies according to the theoretical model of reference is made based on strategic performance results.

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33

Li, Mei-Chun, and 李美君. "An Empirical Study on Building Trading Strategies for TAIEX Options." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/6zep5w.

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碩士
國立彰化師範大學
財務金融技術學系
105
At present, index options take an leading part in options trading volumes of Taifex, so TAIEX Options is undoubtedly the main options product in Taiwan. This study primarily discusses how those investors who don’t understand upward and downward market trends build up the most suitable trading strategies for Taiex Options through the fluctuations of the capitalization weighted stock closing index. The study uses TAIEX Options market datas from July 2012 to June 2015 as the research samples and build the basic trading strategies according to the daily ROC’s(Rate of Change) fluctuations of the capitalization weighted stock closing index. At the same time, the monthly settlement prices are used to build the strangle investment strategies on the monthly settlement days and then the income situations and returns in every strategy are empirically analyzed, which will be utilized as a reference for other investors hereafter.

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34

Huang-MingChen and 陳鍠銘. "Options Trading and Hedging Strategies Based on Market Data Analytics." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/4b67s2.

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碩士
國立成功大學
工程科學系
107
Financial engineering is based on mathematics and engineering point of view to explore and calculate the benefits and risks of financial products. Unlike common approaches proposed by financial researchers, we attempt to solve some practical problems with a data-oriented approach. In this work, we exploit a large amount of market data of futures options to address two issues in this work. The first issue is to discover an appropriate product choice and timing for profitable trading. Without loss of generality, we investigate the effectiveness of several trading constraints and technical indicators by scrutinizing and backtesting with the long-term market data. The second issue is to use the spread strategies for risk control when being an options seller. Note that a spread position is constituted where one buys an option and sells another option against it. In general, we develop a scheme to simulate different trading strategies and thus identify some simple but profitable strategies. Additionally, a backtesting platform is developed to constitute a practical experimental environment. A user may combine and test his or her own strategies freely on this platform. Experimental studies show that our strategies yield good profit in the TAIFEX market from 2004 to 2018.

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35

Dong, Yuan-Cheng, and 董元晟. "A Study of Appling VIX Index to Options Trading Strategies." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/s5wssr.

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碩士
銘傳大學
財務金融學系碩士在職專班
97
Based on the volatility index of CBOE (Chicago Board Options Exchange), Taiwan Futures Exchange constructed the Taiwan VIX Index to help TAIEX options traders to analyze market trends and make finanacial decision of trading strategy. In this study, the options trading strategy are formulated utilizing the signal of VIX Index to improve the trading performance. The period of this study is from Jan. 1, 2007 to Dec. 31, 2008. The empirical results indicate that our methodology can improve trading performance in considering with net profit, Sharpe Ratio, trading volumes and profit ratio. At the same time, the strategy of writing calls and the spread trading strategy could obtain better performance in our trading experiments.

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36

Huang, Mei-hsueh, and 黃美雪. "A study on profitability of trading strategies in TAIEX options." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/78737353552587319624.

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碩士
國立雲林科技大學
財務金融系碩士班
95
Abstract Since first lunched into the market, TAIEX options have been popularized among investors. However, in the option market, the naïve investors, when trading, usually restricted themselves in single buy or sell position separately. These investors actually neglect the characters of risk and performance, and therefore lose on those investments. Empirically this study aims at testing the profitability of 16 trading strategies in TAIEX options. By setting fixed entry timing, adjusting strike price, and holding positions to settlement day, this study calculates the investment performance of these 16 strategies during the period January 2002- January 2007, amounting to 61 months. The main findings in this study including: 1. Selling options is more profitable than buying, as well as trading put is better than call. 2. In terms of profit frequencies, trading strategies such as short call, short put, bull put spread, short straddle, and short strangle, have better performance and outperform TAIEX. 3. In terms of total rate of return, short put hits 25%-38% and bull put spread scores 3%-5%, both strategies are more suitable for investors to adopt in their trading processes. 4. Strategies of short put with out-of-the-the-money one-to-three series outperform market at 77% of the time and have average return at 25%. 5.Strategies of short bull put spread with out-of-the- the-money one-to-two series outperform market at 69% of the time but only have 3%~5% rate of return. 6. Strategy of selling strangle with out-of- the-money at three strike prices away outperforms market at 77% of the time and has the rate of return about 25%. Hopefully, the conclusions drawn from this study can help investors to construct profitable option portfolios. Through these strategies, investors can adjust the reality of market and increase the probability of outperforming the market. Key words: option, trading strategy, gain or loss at expiration

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37

Su, Yi-Cheng, and 蘇宜政. "The Empirical Study of Options Volatility Trading Strategies under Delta-Neutral." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/97049536544938787597.

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碩士
東吳大學
財務工程與精算數學系
98
As the trading volume of TAIEX options increases, the number of participant increases too. Options investors have progressed from directional trading to build up their own position.Volatility is the only factor which can not be directly observed from the market information of from options’ contracts. Thus, trading options is like trading volatility. Option’s volatility has mean reversion character, how to make profit by taking advantage of the mean reversion character is the purpose of this study. This study applies historical volatility, implied volatility, VXO and VIX data from December 1st, 2006 to June 30th, 2009 to derive profitable trading condictions under different options hedging and combination strategies, and applies volatility data from July 1st, 2009 to January 19th, 2010 to test the trading strategies. The conclusions of this study are listed below: 1. Long Volatility strategies do not derive positive return. 2. Short Volatility strategies derive positive returns under one day trading selling 400 out-of-money strangle daily change VIX. 3. Short High-Volatility strategies derive positive returns under three days trading selling straddle and 200 out-of-money strangle Bollinger Band implied volatility and three days trading selling straddle and 400 out-of-money strangle daily change VXO. 4. Short Low-Volatility strategies derive positive returns under one day trading selling straddle daily change historical volatility. 5. Short Volatility at the earlier stage of options contracts derive positive returns under three days trading selling 200 out-of-money strangle Bollinger Band implied volatility and three days trading selling 400 out-of-money strangle daily change VXO. 6. Short Volatility at the later stage of options contracts derive positive returns under one day trading selling 200 out-of-money strangle daily chang implied volatility and one day trading selling four kinds of option strategies daily change VXO. 7. Applying trading strategies derived from December 1st, 2006 to June 30th, 2009 volatility data to test trading strategies from July 1st, 2009 to January 19th, 2010 derive positive return.

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38

Chia-JungLu and 呂佳蓉. "Developing Trading and Hedging Strategies for Options Based on Market Data." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/40911705631903720534.

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碩士
國立成功大學
工程科學系碩士在職專班
104
Financial engineering is based on mathematics and engineering point of view to explore the establishment of model structure, and thus calculate the benefits and risks of financial products issued by the financial markets of a subject. In this work, we exploit a large amount of market data of futures options to address two issues. The first is to develop investment strategies based on an appropriate pricing model, and the second is to develop hedging strategies for risk control when the market trend is not as expected. Note that the trading of futures options can be modeled as a zero-sum game. Moreover, it is reported that 75% to 80% of options held through expiration will indeed expire worthless. Therefore, our goal in this work is to explore some simple but effective strategies for being option sellers. Exeperimental results show that our strategies have yielded good profit in the TAIFEX market in the past ten years.

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39

"An ex-post analysis of trading strategies in Hang Seng Index options." Chinese University of Hong Kong, 1994. http://library.cuhk.edu.hk/record=b5888071.

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by Ng Kit Yin Kitty, Yu Koon Ying Harry.
Thesis (M.B.A.)--Chinese University of Hong Kong, 1994.
Includes bibliographical references (leaves 72-75).
ACKNOWLEDGEMENTS --- p.i
ABSTRACT --- p.ii
LIST OF FIGURES --- p.v
LIST OF TABLES --- p.vi
Chapter
Chapter I. --- INTRODUCTION --- p.1
Chapter II. --- LITERATURE REVIEW --- p.3
The Black-Scholes Model --- p.3
Option Pricing --- p.4
Price of the underlying asset --- p.4
Volatility of the underlying asset --- p.5
Time to expiration --- p.5
The risk-free interest rate --- p.5
Users of Options --- p.6
Chapter III. --- HANG SENG INDEX OPTIONS --- p.8
The Hang Seng Index (HSI) --- p.8
Mechanics of Trading in HSI Options --- p.9
Features of HSI Options --- p.10
European Style --- p.11
Cash Settlement on Exercise --- p.12
Risk of Trading Options --- p.13
Similarities and Differences Between HSI Options on the Futures Contracts and HSI Futures --- p.13
Chapter IV. --- OPTIONS TRADING STRATEGIES --- p.15
Rising Market Strategies --- p.15
Declining Market Strategies --- p.17
Volatile and Stable Market Strategies --- p.18
Butterfly Spread --- p.20
Calendar Spread --- p.20
Chapter V. --- EX-POST STUDIES OF OPTION TRADING STRATEGIES --- p.23
Methodology --- p.24
Data Requirement --- p.25
Assumptions --- p.25
Empirical Results --- p.26
Analysis of the First Scenario - Bullish Anticipation on the HSI Market --- p.32
Ranking of Profits --- p.32
Mechanics of the Bull Spread --- p.32
Mechanics of the Calendar Call Spread --- p.32
Analysis of the Second Scenario - Bearish Anticipation on the HSI Market --- p.39
Ranking of Profits --- p.39
Mechanics of the Calendar Put Spread --- p.40
Analysis of the Third Scenario - Volatile Aniticipation on the HSI Market --- p.43
Analysis of the Fourth Scenario - Stable Anticipation on the HSI Market --- p.47
Summary of Our Analysis --- p.47
Limitations --- p.48
Recommendations --- p.49
Chapter VI. --- REVIEW ON HANG SENG INDEX OPTIONS: THE 1993 EXPERIENCE --- p.50
Relationship Between HSI Futures and HSI Options --- p.50
Trading Volume --- p.51
Open Positions --- p.51
Volatility --- p.52
Chapter VII. --- PROSPECTS FOR OPTIONS IN HONG KONG --- p.54
Chapter VIII. --- CONCLUSION --- p.56
APPENDIX --- p.57
REFERENCES --- p.72

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40

Huang, Chih-Hsuan, and 黃智萱. "A Study on the Profitability of Options Taiwan Stock Index Trading Strategies." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/44714725969893538010.

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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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41

Lin, Chiu-Chun, and 林秋君. "An Empirical Study of Spread Trading Strategies Model for Taiwan Stock Index Options." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/t3dq8q.

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碩士
朝陽科技大學
保險金融管理系碩士班
93
ABSTRACT This research takes transaction data in 2004 Taiwan Stock Index Options to deduce the relations of option striking price. This research works to days as a subject by using the relations of Put-Call-Futures Parity discuss on an issue if call option and put option money fluctuation of different striking prices is closely linked to movement in the market through analysis of negotiators’ transaction data. It further uses least squares method to conduct regression analysis to find if there exists efficiency in the market of Taiwan Stock Index Options through the inference of spread strategy. Empirical results show that fluctuation between each striking price of put is faster than that of call, and the efficiency of put strategy is better than that of call strategy. In the context that spreads of call strategy are larger than that of put strategy, there appears opportunity of interest arbitrage for call spread strategy, while there would no opportunity of interest arbitrage after considering each transaction cost. Therefore, only checking spread strategy and learning call option and put option money goes through certain special and reasonable equilibrium any time can changes of call and put option money at any time and place present changes matched to market price, thus indicating the price change of Taiwan Stock Index Options market to be efficient. Key words：Taiwan Stock Index Options，Put-Call-Futures Parity， Spread Strategy

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42

Chun-Tung, Liu, and 劉峻彤. "Intraday Trading Strategies of Options Based on the Technical Analysis of Futures Price." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/58135691264579262642.

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碩士
國立高雄應用科技大學
金融資訊研究所
102
This research takes transaction tick data constructing of different frequencies K charts then uses a different cycle of moving averages to triggering Options trading strategies investigate performance of Intraday Trading Strategies of Options Based on high Frequency Environment. These Strategies including : Long Call、Short Call、Long Put、Short Put、Long Call Spread、Short Call Spread、Long Put Spread、Short Put Spread、Long Call Butterfly Spread、Long Put Butterfly Spread、Long Call Condor Spread、Long Put Condor Spread、Long Straddle、Short Straddle、Long Strangle、Short Strangle. A total of 16 types of Option Strategies. Our results shows, under transaction costs are not taken into account, the K charts cycle longer, better performance, but when transaction costs are counted into it, most of option strategies are gain no positive return, it shows transaction costs reduce Intraday Trading performance heavily, taking more longer-term K chats can filter noise of signal better, resulting in a more stable performance. Further, Compared to construct signals using 3-MA, using 4-MA to determine the point of trading can filtering noise and reduce the trading frequency better.

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43

Pereira, Catarina da Silva Ferro Costa. "Testing high volatility expectation trades on macroeconomic and political events of 2016." Master's thesis, 2017. http://hdl.handle.net/10071/15995.

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Trading volatility is a challenge to every speculating trader. Rather than prediction whether the price of a certain asset will move upwards or downwards, a trader who seeks to trade volatility, is concerned with how much movement in any direction will occur. Recognizing the difficulty on obtaining return with the most common volatility investment solutions (ETF’s, CFD’s and futures), one seeks to test an alternative strategy, without being exposed to high levels of risk. Using data from May through December of 2016, on a back-testing basis, it examines the relative performance of speculation strategies with options, namely the high volatility expectation strategies. Specifically, using three different equity indices, one evaluates the daily returns form the strategies that include long strangle, long straddle and short butterfly spread with calls, when applied on the past data of two political and macro-economic events of 2016: the United Kingdom Referendum and the United States presidential elections. This thesis proves, that it would have been possible to gain with the volatility occurred on the events of 2016, applying speculation strategies with options, through the usage of real past data.
A negociação de volatilidade é um corrente desafio para todos os traders de activos financeiros. No lugar de prever se o preço de um determinado activo se irá valorizar ou desvalorizar, um "trader" de volatilidade procura a quantidade em que o activo se poderá mover em qualquer direcção. Reconhecendo a dificuldade dos investidores de retalho, em obter retorno com as soluções de investimento em volatilidade mais comuns (como ETF's, CFD's e contratos de futuros), procuramos testar estratégias alternativas, com níveis de exposição ao risco, mais reduzidos. Usando dados de mercado desde maio a dezembro de 2016, aplicando um modelo de "back-testing", foram aplicados testes ao desempenho relativo de estratégias de especulação com opções, nomeadamente as estratégias de espectativa de alta volatilidade. Concretamente, através do uso de três índices de ações diferentes, avaliamos os retornos diários das seguintes estratégias: "long straddle", "long strangle" e "short butterfly spread with calls". As estratégias serão aplicadas em dados de mercado durante os eventos políticos e macro-económicos de 2016: o referendo do Reino Unido e as eleições presidenciais dos Estados Unidos da América. Esta tese comprova que teria sido possível obter ganhos com a volatilidade ocorrida nos eventos de 2016, aplicando estratégias de especulação com opções, através do uso de dados passados.

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44

Wen, Chien-Sheng, and 溫建盛. "The Performance of Trading Strategies Based onDeviations from Put-Call Parity of Stock Options." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/78n24p.

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碩士
中原大學
財務金融研究所
107
According to Cremers and Weinbaum (2010), I compute the implied volatility spread by option put-call parity theory. Then, I build strategy based on implied volatility spread, and compares it with OS, 52-week high, and contrary investment strategies to explore whether the investment performance of the implied-volatility-spread strategy is better than other strategies. Moreover, this study combines the implied-volatility-spread strategy with other strategies to form the two-dimensional investment strategy to explore whether the performance of two-dimensional implied-volatility-spread strategy is better than one-dimensional implied-volatility-spread strategy. The empirical results show that it needs more than one year of investment to get positive abnormal return by implied-volatility-spread strategy. Otherwise, it will only receive negative abnormal return when the investment horizon is less than one year. In addition, two-dimensional strategy improves bad performance of one-dimensional strategy. After combining the contrary 52-week high and contrary investment strategy with implied-volatility-spread strategy, I find that there is the best strategic effect when the holding period is 12. Nevertheless, the abnormal returns decrease after the holding period is 24.

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45

Chiu, Chun-Neng, and 邱俊能. "An Empirical Study on Building Out of The Money Trading Strategies for TAIEX Weekly Options." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/zk9646.

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碩士
國立彰化師範大學
財務金融技術學系
107
The purpose of this study was to investigate TXO and TX trading strategy relationship, use an out of the money trading strategies to give investors a profit indicator. The buyer of the option has the characteristics of small and big, and the risk is limited, but the market of choice is a zero-sum game. If the buyer enters the market, there must be investors who believe that the seller's market has a zero-sum, the seller has a profit opportunity to collect the buyer's option premium, so this article will study how to use the trading strategy out of the money trading strategies to make a stable profit. During the research period, a total of 143 weeks of option expiration contract was covered, and the seller’s trading strategy of 150 points, 200 points, 250 points, 300 points and intervals outside the selling price of the selling rights and the selling rights was used. Trading strategy model.

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46

Wang, Jen-Chieh, and 王仁傑. "A study of Trading Strategies on Optimization Hedging Portfolio of TAIEX Futures and TAIEX Options." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/rn2ff8.

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碩士
國立臺中科技大學
企業管理系碩士班
105
Under the development trend of internationalization in Taiwan’s financial market, derivation goods are becoming more popular. In addition, they offer multiple transaction channels for financial management. TAIFEX brings out TAIEX Futures and TAIEX Options, which account for the largest proportion of the market, and work the most efficiently through the obtaining of information and trading. This study focused on how to draft trading strategies to make long-term stable profits in a very short period of time and control the risk effectively. The data covers the time-span from January, 2002 till January, 2017, a period of 179 months with 179 transactions, based on the samples of the closing prices of TAIEX Futures and TAIEX Options. We used the retest method and divided the samples into two groups, group A and group B. Group A was comprised of those that only choose one single commodity futures (two futures of MTX), using the transactions of one single direction to buy first and then sell to handle the approach and appearance. Group B choose one more commodity futures mixed with TAIEX Options, using the selling of two futures of in-the-money and buying one futures of out-of-the-money similar to a bear market to operate, and then estimate the differences of the risk and the return of investment of the two groups. The result shows that if we added the margin to control the risk, we still can benefit from the long-term-one-way transactions. And increasing Group B’s options will not cut down Group A’s income, but on the contrary it will add more income. It seems to indicate that this is a better trading strategy.

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47

YAO, YIN-LUO, and 姚吟濼. "The Profitability of TAIEX Weekly Options with Dynamic Trading Strategies- An Application of Random Forest Algorithm." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/54cq9w.

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碩士
國立雲林科技大學
財務金融系
106
In recent years, artificial intelligence, big data analysis and the issue of financial robots have drawn much attention. Therefore, this study uses random forest algorithm, which is very efficient in handling large amounts of data and has high accuracy for data prediction . This paper explores whether the trend of TAIEX can be accurately predicted in next week and the selection of dynamic trading strategies based on the forecast results combined with practical trading options to explore whether its profitability is effectively improved. Parameter settings include fundamentals, technical, and chip data, a total of about 30 parameters. The study sample period from January 9, 2008 to May 31, 2017, 480 Wednesday data, and the information is divided into 360 training and 120 test samples. In random forest algorithm, two forecasting models for data validation are set and applied to different data categories. The results confirmed that the conditions for the data were classified into three categories with 2% as a trend screening, and deleted the less significant variables, used in the deferred verification model with an accuracy rate of 70%. And use the probability data to evaluate the difference between the predicted classification results, the classification results will be too small, the selection strategy will be used to protect the site, to avoid the misjudgment of the forecast results and loss, the average of the loss were be under control.

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48

Chiu, Hsin Yu, and 邱信瑜. "Two Essays on the Disposition Effect of the Options Market and Similarity-based Futures Trading Strategies." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/07887701598918365629.

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博士
國立政治大學
金融學系
104
The disposition effect, which refers to the tendency of investors to selling their winning investments too soon and to hold losing investments too long, has been well-documented in the extant literature. However, while empirical researches focus on examining the behavioral bias in the stock market, little attention is paid to the option market, where most informed investors and sophisticated traders gather. This essay tests for the disposition effect on the index options market. We argue that moneyness, the most salient and readily available information for option investors, is a natural reference point for potential gains and losses, which likely attracts market participants’ attention more than traditional measures that are based on past trading prices. Based on the Moneyness-based Propensity to Sell (MPS) measure that we introduce and an adjusted capital gains overhang (ACGO) measure of Grinblatt and Han (2005), we find that a strategy formed by buying calls/puts in the highest MPS or ACGO quintile and selling those in the lowest quintile would generate significant abnormal returns, suggesting the presence of the disposition effect. Using double sorting method, we find that the MPS is better as a measure in capturing the disposition effect on the options market than the ACGO. While the literature documents mixed results for the profitability of technical trading rules, the use of technical buy/sell signals based on analyzing past prices is widely accepted by practitioners. The existing literature on testing the predictive ability of technical trading mostly assumes that a technical investor consistently makes investment decisions based on the buy/sell signals according to one particular trading rule during the entire sample period. However this may be far from reality. Technical investors may simultaneously make predictions based on different technical indicators and follow different technical signals. Furthermore, they analyze historical price patterns that are similar to the current market condition and make assessment of future returns based on the subsequent returns of these similar patterns. The process is known as charting. We attempt to propose a more realistic decision-making process that incorporates the similarity-based predictors to account for technical investors’ decisions in the real world and reexamine the profitability of technical trading rules. The proposed process includes three steps. First, the investor attempts to predict future returns based on a vector of current characteristics that is sufficient for his assessment of the future returns and to depict the present scenario of the stock market. Second, the investor searches for the similar patterns in a specific time window prior to the current date and make an assessment of the future returns based on how similar these past patterns and the current pattern are and how rewarding the subsequent returns of the similar patterns are. Third, the investor is assumed to form a similarity-based indicator which is an assessment of the future returns depended on the similarity-weighted average of all previously observed values of the subsequent returns. The technical investor is then assumed to buy/sell according to the signals generated by the similarity-based trading rules (SBTR). We examine the profitability of the SBTR in nine futures markets and find significantly positive and robust returns after considering the data-snooping adjustments and transaction costs in six of the nine markets.

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49

Hsieh, Jia_Jiun, and 謝家鈞. "The Research of Taiwan 50 index Fund and Mini Taiwan stock index Futures、Options hedge trading strategies." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/36154878922112247120.

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碩士
國立臺北大學
國際財務金融碩士在職專班
96
This research refers to the TXO (Taiwan index options) short side transaction strategies and sell the MTX (Mini Taiwan stock index futures) to avoid the system risk of holding the Taiwan 50 index fund. The sample periods from January 28, 2004 to December 20, 2007, the month materials of total four years, treat as the Taiwan 50 index funds and each simulation strategies by the cost of each month new warehouse date of various commodities closing price , and refers to the MTX and TXO settlement price and the same day of the Taiwan 50 index fund closing price computation profit and loss, According to actual numeral compares TXO with MTX to avoid the system risk effect for holding Taiwan 50 index funds, These results provide the choice of investing portfolio or hedging tools for popular investors and the corporation. The real result discovered, When Taiwan weighting stock price index in falling tendency, Operates the TXO conversion strategy (sell call and buy put) and sell the MTX that effect of avoiding system risk by holding Taiwan 50 index fund is better, Besides, When Taiwan weighting stock price index in rising or shaking tendency, both are operates the TXO sell call out-of-price 300 point contract is better. This research expect the Taiwan stock market as the example, referred the foundation of actual calculation the hedge break-even for popular investors and the corporation that choice the portfolio or hedge trading strategies.

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Dissertations / Theses on the topic 'Option trading strategies'

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