選擇權交易站在買方或賣方？理論分析與釋義

Options Trading, Buy Side or Sell Side? Theoretical Analysis and Interpretation

長久以來，實務界有個未經證實的疑惑：即選擇權的賣方比買方具有交易優勢，因此，平均而言，選擇權的賣方是贏家？大部分實務界所引用的論點主要係依據Summa （2003）利用芝加哥商品交易所（CME）的一個三年期的期貨選擇權交易資料實證分析，結果發現70~80%的選擇權持有至到期變成一文不值（即價外）。然而，這個迷至今未經嚴謹的理論證實。而且，此一交易秘笈是否適用於其他非期貨選擇權？最後，若此疑惑被證明為真，理由何在？本文的目的有二：（1）提出理論分析來驗證，（2）提出經濟上及財務上的解釋。利用嚴謹的數理統計分析，本文證明在正常經濟情況下，出售選擇權變成價外或獲得正利潤的機率遠比買進選擇權獲得正利潤為高。之所以有這種不對稱現象，本文認為有兩點理由：（1）不同於其他資產（如股票），選擇權具有獨特的時間價值，將隨時間的流逝而消失掉。（2）選擇權為一種廣義的保險商品，可視為廢棄資產，而非主要的投資性商品。保險商品的賣方應獲得經濟上及財務上足夠的利潤，否則無法維持長期生存。準此，買進選擇權（尤其賣權）的動機若非保險需求，則主要因投機性需求；但非期貨標的之買權應還具有投資動機的本質。

There has long been a puzzle in practice that option sellers, as appose to option buyers, have a trading edge and thus option sellers on average are the winners. Most of the argument is mainly based on an empirical study of a three-year CME data for options on futures by Summa (2003) who found that 70~80% of options expire worthless (i.e., out of the money). However, this puzzle has never been rigorously examined. Additionally, is this practice still applicable to other non-futures options? Finally, if this is true, how to interpret it? The purposes of this paper are (1) to propose a theoretical analysis for examination and (2) to provide the economical and financial interpretations. By using a rigorous statistical analysis, we prove that the probabilities of options expiring worthless or positive profits for sellers are much higher than those of positive profits for buyers under most scenarios. The reasons for that are: (1) Options, as appose to other assets (e.g., stocks), have a unique property of time value that will decay away as time elapses, and (2) options are a type of insurance products which can be viewed as a wasting asset rather than an investment asset. The sellers of insurance products on average must earn, economically and financially, sufficient profits, otherwise they cannot exist in the long run. Therefore, if the motive of buying options is not for insurance, then it must be mainly for speculation. But non-futures call options should have an additional motive of investment nature.