台指選擇權波動率微笑決定因子之研究

Determinants of the Volatility Smile –Evidence from the TAIEX Option

本研究目的旨在觀察台指選擇權隱含波動率微笑之形狀，並進一步探究市場上何種因素顯著造成微笑曲線形狀的變化。實證結果發現台指選擇權之隱含波動率的確存在微笑效應，但卻不嚴重，其主要特徵為隨著時空環境的不同，波動率微笑的形狀也不斷在改變。再者，以考慮了微笑曲線的斜率與曲度兩大因素的模型最能解釋台指選擇權隱含波動率微笑的變化，隨後透過複迴歸分析發現近期現貨市場的表現、大盤指數報酬率的偏態係數、以及交易壓力三項變數為最重要的決定性因子，均能有效捕捉台指選擇權微笑曲線形狀的變化。

This paper is in an attempt to understand the volatility smile pattern of TAIEX options. The determinants of the implied volatility function, explaining directly the smile, are further explored in this research. The results characterize that the shape of volatility smile changes over time due to different scenarios. Also, the model incorporating the consideration of smile’s slope and curvature performs very well in interpreting the volatility smile. Finally, the results of multiple regressions suggest that market momentum, skewness of market return, and market sentiment are the major determinants to capture the pattern of volatility smile shape.