指數選擇權之套利機會與套利策略－－台指選擇權之研究

The Arbitrage Opportunities, Strategies and Profits of TAIFEX Index Options

本研究探討2004年中TAIFEX台指選擇權之間，以及選擇權與期貨之間的套利機會與獲利狀況。台指選擇權之間的套利策略包括價差部位、凸性部位以及盒狀部位。選擇權與期貨間之套利策略則由買、賣權平價關條修正而得。套利部位可視情況提前平倉，以緩和套利者資金有限的問題，這是截至目前為止有關TAIFEX指數商品之套利研究所未考慮到的。針對上述各種套利策略，可提前平倉的套利策略均比持有至最後結算日之獲利來得多。事實上許多套利的部位均可在當日之內即行平倉，使得同一套資金可以捕捉到更多的套利機會。套利操作可能面臨的時間落差亦納入考量，以反映套利者不一定能以所觀察到之價格成交的實務問題。影響套利機會與套利利潤的因素亦透過回歸分析加以探討，發現標的物之價格波動性、每日選擇權成交筆數與套利機會、套利利潤均有正向關係，而TAlFEX台指選擇權龐大的交易量事實上使套利交易更為方便，而非使價格更往無套利的方向靠攏。

This paper examines the arbitrage opportunities and profitability of the options/options strategies and the options/futures strategy among TAIEX Options during 2004. The former include the short spread strategy, the convexity strategy, and the box spread strategy, whereas the latter is extended from the put-call-futures parity. In particular, this paper develops early unwinding strategies that have not yet been studied in Taiwan so far. It reflects the capital rationing of arbitrageurs who are burden with margins and initial outlays. For all four strategies examined in the paper, early unwinding significantly exceeds holding to maturity in profitability, and large portions of arbitrage portfolios are even unwound on the same day. The much shorter holding duration helps to significantly unfreeze the limited capital. Moreover, this paper also focuses on the effect of execution lag. Two different execution settings of historical data simulation are made. By comparing the results in realized frequency and profitability, it reveals the misleading nature of naive price matching criteria which assume arbitrage orders to be dealt at the prevailing mispricing quotes could exist in some previous studies. Finally, regression analyses are performed to capture factors affecting the frequency and profitability of arbitrage trading. The level of stock market volatility and the daily number of index option trades positively enhance the frequency and profitability of arbitrage strategies. It shows that the growing number of trades in TAIEX Options until now may help rather facilitate arbitrage trading than contribute to re-correction of misprices.