英文摘要 |
The volatility of underlying asset price is an important influencing factor on options pricing and hedging. It is also only parameter, which cannot directly observe, and hence, its value has to estimate through using an effective evaluation method. Presently, the both of historical volatility and implied volatility are commonly utilized to evaluate the volatility. Most researchers consider that implied volatility, which is reversely solved by bringing the options market price into the pricing model, should be the best estimate of future volatility. Accordingly, implied volatility has been widely applied for the purposes of options pricing and hedging. However, implied volatilities obtained from a series of options, which possess the same underlying asset and duration to maturity, often are difference among a range of exercise prices for call and put options. Sometimes, these different implied volatilities may appear a particular skew pattern. Although the cause for resulting in the different implied volatilities needs to be explored deeper, the existence of various implied volatilities evidently indicates that an imbalance in option prices occurred. In the meantime, there is likely a chance to make profits by means of carrying out a corresponding skew spreads based on the volatility skew pattern. This study thus looks at the practicability and profitability of volatility skew spreads in terms of the empirical study. To this end, the weekly and monthly contracts for Taiwan Index Option (TXO) are taken as the empirical object to actually observe the skew patterns of implied volatility for short -term and long-term TXOs. More importantly, this study also analyzes the resulting profits when performing the volatility skew spreads based on skew patterns. The empirical results show that under long-term trading, the implied volatility skew spreads all yield sizeable cumulative positive returns. Moreover, the profitability of the weekly options is much better than that of the monthly options, and put options overall is superior to call options in making profits. Additionally, there is a significantly positive relationship between the terminal profit and the volatility range for weekly options. Furthermore, weekly options will greatly boost up the gains of the volatility skew spreads in case of coupled with the median of volatility range and the lowest turning point screening criteria. In total, the volatility skew spread tends to be more suitable for applying in short-term options. |