市場中性下選擇權交易策略之風險與報酬分析──理論與實證

A Risk-Return Analysis of Option Trading Strategies under Neutral Markets: Theory and Empirical Tests

在「中性市場」下，證券價格在特定時間內狹幅移動，因此報酬為線性的證券（如股票、期貨等）較難獲利，但使用中性市場選擇權交易策略（如賣出跨式、賣出勒式、蝶式價差、鐵蝴蝶）仍可獲利。為解決中性市場下標的證券難以獲利，並考量「風險控管」因素，本文以蝶式價差及鐵蝴蝶策略為例，從理論與實證兩方面探討其風險與報酬特徵，最後總結使用中性市場策略最為有效的市場環境及策略特徵。本文發現一個重要而且有趣的現象：蝶式價差與鐵蝴蝶策略損益圖形看似一樣，風險與報酬特徵卻截然不同，但均具有保險效果；而同樣中性市場策略的賣出跨式、勒式則無保險效果。影響中性市場策略報酬最重要的變數是股價成長率μ，股市長期平均趨勢（μ＞0）並非是中性市場，使用中性市場策略無法獲利。臺灣股市常出現特定時間屬於中性市場，標的資產難以獲利，若能善用中性市場策略，並有效設定履約價格與μ方向及幅度一致，可以穩定獲利。研究發現，實證結果與理論模型趨勢完全吻合。

In neutral markets, asset price changes within a narrow window, thus securities with linear returns, such as stocks or futures, are difficult to profit; however, using neutral option trading strategies (like short straddles, short stangles, butterfly spreads, or iron butterflies) are easy to profit in such markets. To take advantages of both “being not easy to profit for the underlying securities in neutral markets” and “risk controll”, this paper uses a butterfly spread strategy and an iron butterfly strategy as examples to theoretically and empirically investigage their risk/return characteristics and then to infer the effective market environments and strategy features of using neutral option trading strategies. An important and interesting finding is that the profiles of profit/loss diagrams of a butterfly spread strategy and an iron butterfly strategy are similar; however, the risk/return characteristics of these two strategies are totally different. Nevertheless, both two strategies share the insurance effect, while other neutral option trading strategies such as short straddles and short stangles have not. This paper also finds that the most important variable that influences the strategy returns is the growth rate of stock prices μ. For most markets, the long-term growth rates of stock prices are not neutral (μ>0), thus application of neutral option market strategies is not profitable. In Taiwan, stock market often shows a neutral market feature (μ≈0) in some specific periods, trading underlying stocks is not easy to profit, however, using neutral option strategies and properly adjusting the strike price in consistent with the growth rate can be profitable. Finally, our empirical results are consistent with the theoretical trends.