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System No. U0002-2906201122134000
Title (in Chinese) 誰導致台指選擇權隱含波動率偏斜
Title (in English) Study on the Cause of the Skew on Implied Volatility of TXO?
Other Title
Institution 淡江大學
Department (in Chinese) 財務金融學系碩士在職專班
Department (in English) Department of Banking and Finance
Other Division
Other Division Name
Other Department/Institution
Academic Year 99
Semester 2
PublicationYear 100
Author's name (in Chinese) 黃曉雲
Author's name(in English) Hsiao-Yun Huang
Student ID 798530084
Degree 碩士
Language Traditional Chinese
Other Language
Date of Oral Defense 2011-05-20
Pagination 56page
Committee Member advisor - 段昌文
co-chair - 羅庚辛
co-chair - 蕭峯雄
co-chair - 林容竹
Keyword (inChinese) 台指選擇權
Keyword (in English) TAIFEX option
Implied volatility
net buying pressure
volatility smile
Other Keywords
Abstract (in Chinese)
Abstract (in English)
We apply order book data of TAIFEX options (TXO) during periods from Jan-1, 2008 to Dec-31, 2008, and then to explore whether net buying pressure of traders will affect the implied volatility smile or skewness of TXO. Our data source comes from Taiwan Future Exchange and TEJ database. 
The empirical results find that specific option series only exhibit volatility skewness in TAIFEX options market. By observed correlation coefficient tests for between net buying pressure and implied volatility, the skewness of three weeks on deep in-the-money calls are caused by foreign investors, and one month on deep in-the-money puts caused by market makers. 
We compare the gap between TXO’s and S&P500’s option markets on qualifications for market maker of option markets. One of the differences is that TXO’s market makers also as dealers. When market makers have high hedge demands, it would lead TXO to have net buying pressure and then it would happen the phenomenon of the implied volatility skewness in the specific option series. Therefore, we infer that market makers in TAIFEX options market do not only play the role of liquidity provider.     
In addition, the literatures pointed out that the index option had the phenomenon of the volatility skewness because institutional investors would prefer to buy deep out-of-money options for hedge. On the contrary, our empirical results disclose that traders who effect the volatility skewness of TXO would prefer to buy deep in-the-money options. The reason might be that the period of our study took place the financial crisis. When the market might be expected to fall in the future, the foreign investors prefer to buy deep in-the-money calls for hedge. Otherwise, the market makers with the qualification of the future dealer would prefer to buy deep in-the-money puts for making higher profits.
Other Abstract
Table of Content (with Page Number)
第一章   緒論1
第一節	 研究背景與動機1
第二節   研究目的2	                            
第三節   研究架構5 	                               
第四節	 研究流程6	                            
第二章   文獻探討7	                            
第一節   台指選擇權交易巿場結構7	          
第二節   隱含波動微笑相關文獻13	         
第三節   選擇權淨買壓相關文獻18	         
第四節   選擇權造巿者相關文獻20                 
第三章	 研究方法22	                            
第一節	 樣本22	                            
第二節	 資料配對方法 24	                  
第三節	 隱含波動率、淨買壓估計與選擇權分類26	 
第四節	 驗證法29	                            
第四章   實證結果與分析31	                   
第一節  台指選擇權隱含波動率之微笑現象31	 
第二節	 淨買壓分析41	                   
第三節  隱含波動率與淨買壓之相關性分析46	 
第五章   結論與建議52	                    

表2-1      台指選擇權造巿者名單10
表2-2      造巿者報價價差限制11
表2-3      台指選擇權造巿者手續費折減率級距表12
表2-4      台指選擇權造巿者持續報價之手續費折減率級距表12
表3-1      選擇權分類表29
表4-1      所有選擇權之平均隱含波動率32
表4-2      買權之平均隱含波動率34
表4-3      賣權之平均隱含波動率35
表4-4      全部樣本期間之選擇權平均隱含波動率
表4-5      各存續期間下台指選擇權之微笑現象39
表4-5(續)  各存續期間下台指選擇權之微笑現象40
表4-6      買權平均每日淨買壓合約數42
表4-7      賣權平均每日淨買壓合約數44
表4-8      買權淨買壓與隱含波動率之相關係數檢定47
表4-8(續)  買權淨買壓與隱含波動率之相關係數檢定48
表4-9      賣權淨買壓與隱含波動率之相關係數檢定49
表4-9(續)  賣權淨買壓與隱含波動率之相關係數檢定50

圖2-1 詢價與報價流程圖.9
圖3-1 資料配對過程圖例說明25
圖4-1 所有選擇權隱含波動率折線圖33
圖4-2 買權隱含波動率折線圖34
圖4-3 賣權隱含波動率折線圖36
圖4-4 全部樣本期間之選擇權隱含波動率折線圖38
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