買賣權期貨平價誤差與隱含波動度差之應用

Deviations from Put-Call-Futures Parity and the Application of Implied Volatility Spread

買賣權期貨帄價誤差包含許多價格資訊與交易訊息。本文利用隱含波動度差作為解釋買賣權期貨帄價誤差的重要指標，實證結果發現隱含波動度差對該帄價誤差具有顯著的解釋能力。再者，利用隱含波動度差作為動態投資策略的指標，在未考慮交易成本的情況下，每日可獲得的帄均報酬為0.5~0.8%，此結果支持隱含波動度差在期貨與選擇權市場中具有價格發現功能，而此價格發現功能在價帄及近價帄契約中效果較為顯著。此外，實證也發現微笑效應為一重要之影響因子，不論是在買賣權期貨帄價關係或是套利策略上，顯著影響隱含波動度差的價格預測能力。最後，本文發現在2007和2008年期間，依據隱含波動度差所設定的投資策略進行投資，較容易在市場上獲利或降低投資損失。

Deviations from put-call-futures parity contain information about prices and trading activities. The implied volatility spread which calculates differences between call and put options has a dominant power to explain the deviations of put-call-futures parity. Furthermore, when using the implied volatility spread as dynamic investment strategy indicator regardless of trading cost, a daily average return of 0.5%-0.8% can be made. This finding indicates that the implied volatility spread has the function of price discovery which becomes more apparent with respect to at-the-money as well as near at-the-money contracts. In addition, we find that the volatility smile exerts important influence on price predictability of implied volatility spread concerning both deviations of put-call-futures parity and the arbitrage strategy. Last, but not least, we find that from 2007 to 2008, investment strategy based on implied volatility spread can make profits or reduce loss much easier in the market.