由於台灣選擇權市場已具有相當之市場深度，本文使用台灣股價指數選擇權市場的詳細數據，對於台指選擇權的成交量及未平倉量的資訊意涵進行實證研究。本文依循Bergsma et al. (2020)提出之選擇權平均價性AveMoney為基礎，計算出台指選擇權平均價性長短期之資訊意涵，並分成三類：買賣權平均價性(All AveMoney)、買權平均價性(Call AveMoney)、賣權平均價性(Put AveMoney)，其次將三種價性指標分別對近月、次近月及第一季月三種合約檢驗其長短期之資訊意涵，並定義短期為1至15天、中期為16至45天以及長期為46至60天。
AveMoney特別能夠反映槓桿使用的以及所衍生的獲利機會，選擇權交易的槓桿優勢，可以在短時間吸引較大的交易量及未平倉量，這些資訊使AveMoney對報酬產生預測能力。經過我們的實證研究發現越偏價外(OTM)的選擇權，越能吸引長期資訊交易者，從長遠來看，指數選擇權比指數期貨更好地預測了股價指數，而我們預測報酬率的結果則是買權比賣權有更顯著的預測能力，而以未平倉量計算之價性指標，也更能顯現對現貨指數報酬的長期預測能力。
本文與Pan and Poteshman (2006)使用賣買權未平倉比率(PCR)預測報酬率的不同之處在於，我們是以最直接的證據顯示OTM具有槓桿的優勢，此方法上的突破是我們最大的貢獻，才能深入探討長天期的預測能力。

Studies in literature have shown that informed traders are more inclined to trade in the options market than in the stock market because the former allows the use of higher leverage. As Taiwan’s options market has exhibited adequate market depth, this article employs daily data from the Taiwan’s index option market to investigate its informational implications of moneyness based on trading volume and open interest. According to the average moneyness (AveMoney) definition proposed by (Bergsma et al., 2020), this study analyzes the Informativeness of options moneyness. The analysis is conducted moneyness separately for the entire market (All AveMoney), call options only  (Call AveMoney) and put options only(Put AveMoney). The analysis for each category is further applied separately on expiration in the nearest month, the next nearest month, and the first quarter monthly contracts to test their long- and short-term informational implications. We define 1 to 15 days as short-term, 16 to 45 days as medium-term, and 46 to 60 days as long-term.
The leverage advantage and potential profits of options trading, which can be reflected by AveMoney, can attract a larger amount of volume and open interest. The amount of information coming out of trading and positions makes AveMoney possessing predictive power for returns. In the study I found that the more an option is out of the money, the more it can attractive long-term information traders. In the long run, index options predicts stock indices better than index futures. Furthermore, I found that call options have significantly more predictive power than put options. Also, open-interest-based AveMoney often predicts better than its volume-based counterparts.
The difference between this article and Pan and Poteshman (2006) using Put-Call Ratio to predict return is that we use the most direct evidence to show that OTM has the advantage of leverage. The breakthrough in this method is our greatest contribution. Long-term forecasting ability.

目錄
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 5
第三節 研究架構 6
第四節 研究流程 7
第二章 文獻探討 8
第一節 指數與衍生性商品之相關文獻 8
第二節 預測報酬率之相關研究 11
第三節 選擇權價性之相關研究 13
第三章 研究方法 16
第一節 選擇權市場結構概述 16
第二節 研究樣本資料篩選 18
第三節 迴歸模型 22
第四節 變數說明 24
第四章 實證結果與分析 28
第一節 敘述統計分析 28
第二節 未消除自我相關迴歸結果分析 34
第三節 消除自我相關迴歸結果分析 42
第四節 穩健性檢定 51
第五章 結論與建議 58
參考文獻	60

表目錄
【表3-1】2007年至2017年各類選擇權商品年成交量統計表	17
【表3-2】台灣證券交易所股價指數選擇權合約規格表 18
【表3-3】台指選擇權各種合約之成交量占比表 21
【表4-1】高波動下選擇權平均價性成交量之敘述統計表 29
【表4-2】非高波動下選擇權平均價性成交量之敘述統計表 29
【表4-3】高波動下選擇權平均價性未平倉量之敘述統計表 30
【表4-4】非高波動下選擇權平均價性未平倉量之敘述統計表 30
【表4-5】樣本期間vix高波動與非高波動占比 31
【表4-6】選擇權價性之成交量敘述統計表 32
【表4-7】選擇權價性之未平倉量表敘述統計表 33
【表4-8】變數之敘述統計表 33
【表4-9】選擇權成交量平均價性之長短期資訊意涵 36
【表4-10】選擇權未平倉量平均價性之長短期資訊意涵 41
【表4-11】選擇權成交量平均價性之長短期資訊意涵 45
【表4-12】選擇權未平倉量平均價性之長短期資訊意涵 50
【表4-13】選擇權成交量平均價性之長短期資訊意涵 54
【表4-14】選擇權成交量平均價性之長短期資訊意涵 57

圖目錄
【圖1-1】研究流程圖 7
【圖4-1】樣本期間內的vix分布圖 31
【圖4-2】近月合約選擇權成交量平均價性之長短期資訊意涵t值圖 34
【圖4-3】次近月合約選擇權成交量平均價性之長短期資訊意涵t值圖 35
【圖4-4】遠月合約選擇權成交量平均價性之長短期資訊意涵t值圖 35
【圖4-5】近月合約選擇權未平倉量平均價性之長短期資訊意涵t值圖 38
【圖4-6】次近月合約選擇權未平倉量平均價性之長短期資訊意涵t值圖 	38
【圖4-7】遠月合約選擇權未平倉量平均價性之長短期資訊意涵t值圖 39
【圖4-8】近月合約選擇權成交量平均價性之長短期資訊意涵t值圖 42
【圖4-9】次近月合約選擇權成交量平均價性之長短期資訊意涵t值圖 43
【圖4-10】遠月合約選擇權成交量平均價性之長短期資訊意涵t值圖 43
【圖4-11】近月合約選擇權未平倉量平均價性之長短期資訊意涵t值圖 	46
【圖4-12】次近月合約選擇權未平倉量平均價性之長短期資訊意涵t值圖 	47
【圖4-13】遠月合約選擇權未平倉量平均價性之長短期資訊意涵t值圖 	48
【圖4-14】近月合約選擇權成交量平均價性之長短期資訊意涵t值圖 51
【圖4-15】次近月合約選擇權成交量平均價性之長短期資訊意涵t值圖 	52
【圖4-16】遠月合約選擇權成交量平均價性之長短期資訊意涵t值圖 52
【圖4-17】近月合約選擇權成交量平均價性之長短期資訊意涵t值圖 55
【圖4-18】次近月合約選擇權成交量平均價性之長短期資訊意涵t值圖	55
【圖4-19】遠月合約選擇權成交量平均價性之長短期資訊意涵t值圖 56

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