市場高度不確定下選擇權組合策略之有效性

The Usefulness of Option Combination Strategies under Highly Market Uncertainty

在市場高度不確定下，市場方向的走勢往往難以預測。例如，2016美國總統大選的高度不確定性。因此，常用的投資工具如股票與期貨等，獲利不易，因只能押注一邊。若標的資產價格的波動幅度夠大，運用選擇權的組合策略（跨式策略、勒式策略等），即使投資人事前無法確知價格的變動方向，亦可獲利。本文旨在應用理論分析，以跨式及勒式策略為例，探討其報酬／風險特徵以及損益兩平之資產價格變動臨界點，讓學界與實務界瞭解使用組合策略最為有效的經濟環境條件。研究結果顯示，影響組合策略到期報酬率與獲利機率的經濟變數中主要受到股價的變動率影響最大。有趣的是，市場越有大幅度之變動，使用勒式策略之獲利機率大於跨式之獲利機率。此外，投資人可透過履約價的選擇使跨、勒式策略到期報酬率為最大，但值得注意的是，其到期預期報酬率之波動度遠高於市場之波動度。總之，組合策略在市場高度不確定下是極為有效的策略。

In highly uncertain markets in which the market directions (up or down) are difficult to predict, e.g., the surprising outcome of the 2016 US Presidential Election, most common investment vehicles, such as stocks and futures, are not easy to make profits since traders can only bet one side. Option combination strategies, however, can easily make profits if the price changes are large enough, even though traders do not know the market direction will be. The purpose of this paper is to theoretically analyze the risk/return characteristics of option combination strategies and the critical points of asset price changes for making profits; thereby the academic workers and practitioners can understand the best economic environments for using combination strategies. The results reveal that the most important factor of influencing the holding-up-to-expiration returns and profitable probabilities for combination strategies is the magnitude of change in underlying asset prices. Interestingly, the more market price change, the more likely that the profitable probabilities for strangle strategies are larger than those for straddle strategies. Moreover, by carefully choosing the optimal strike prices traders can make their expected returns maximum. However, it is worthwhile to mention that the volatilities of combination strategies are for larger than that of the underlying asset. In sum, combination strategies are very useful in highly uncertain markets.