| URN | etd-0119125-155504 | Statistics | This thesis had been viewed 48 times. Download 0 times. |
| Author | Pei-Hua Tai | ||
| Author's Email Address | No Public. | ||
| Department | Institute of Industrial Management | ||
| Year | 2024 | Semester | 1 |
| Degree | Master | Type of Document | Master's Thesis |
| Language | zh-TW.Big5 Chinese | Page Count | 117 |
| Title | An Empirical Study on the Taiwan Index Option Short Strangle Strategy | ||
| Keyword | |||
| Abstract | This study takes the Taiwan Index weekly options and the Taiwan Index monthly options as the research object, explores the use of short strangle trading strategies, and determines the market trend based on the support pressure line of open interest or trading volume and the Put/Call Ratio value. Conduct empirical trading performance statistics and comparisons. The research data is weekly options and monthly options from 2019 to 2023. Empirical research results show that the average returns of weekly options and monthly options are both positive returns, so it is profitable to use the selling strangle as a trading strategy. The average winning rate of both is over 70%, so it is feasible to use the support and pressure line strategy and the Put/Call Ratio strategy to judge the long and short market. There is no loss in the cumulative return of the weekly option and the return is better than that of the monthly option, so the weekly option has the best profit. From the results, we know that the weekly option is more suitable for the Put/Call Ratio strategy, while the monthly option is more suitable for the support and pressure line strategy. |
||
| Advisor Committee | |||
| Files | indicate access worldwide | ||
| Date of Defense | 2024-12-28 | Date of Submission | 2025-01-20 |