買賣權平價偏離、預測指數報酬之能力及交易績效：台灣指數選擇權市場之實證研究

Violations of put-call parity, index return predictability, and trading performance: Evidence from the Taiwan index options market

買賣權平價關係背離現象可能蘊藏標的資產未來報酬之訊息，因而運用買賣權價格偏離資訊進行交易，有可能為投資人帶來獲利。以2007至2020年為研究期間，本研究發現買賣權平價背離導致的台指選擇權隱含波動度價差對其後5分鐘的現貨指數報酬率具備顯著預測能力。即使將交易成本納入考量，以買賣權平價背離為訊號建構的期貨部位之五分鐘報酬率平均可達0.144%。上述以波動度差為訊號的交易策略具備顯著獲利能力之發現，進一步佐證了選擇權訊息交易活動，是導致台指選擇權波動度價差蘊藏指數未來走勢訊息的重要因素。

Violations of put-call parity arising from option-informed trading are capable of conveying information about subsequent returns of the underlying asset, and thereby exploiting these price violations may produce profit. This research finds that the volatility difference caused by put-call parity violations in the Taiwan index options market has significantly predictive power on the next-five-minute returns of the spot index over the period ranging from 2007 through 2020. Trades on the nearest-month TAIEX futures executed at the time when bullish or bearish information embedded in the volatility spread is signaled generate an average fiveminute return of 0.144% after imposing transaction costs. The statistically significant profits made by the investigated volatility-spread strategy can be regarded as further evidence corroborating the notion that the volatility spread of TAIEX options contains information about subsequently index returns as a result of option-informed trading.