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博碩士論文 etd-0029118-142947 詳細資訊
Title page for etd-0029118-142947
論文名稱
Title
波動度與尾端風險交易策略
Tail Risk Trading Strategy Using Volatility-of-volatility Index
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
51
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2017-06-15
繳交日期
Date of Submission
2018-01-29
關鍵字
Keywords
VVIX指數、選擇權造市商動態避險、委託簿失衡、證券市場微觀結構、Lee and Ready委託單分類演算法、尾端風險、波動度的波動度
Lee and Ready Classification Algorithm, Tail Risk, Volatility-of-volatility, VVIX index, Market Maker Delta Hedge, Order Imbalance, Market Microstructure
統計
Statistics
本論文已被瀏覽 5754 次,被下載 7
The thesis/dissertation has been browsed 5754 times, has been downloaded 7 times.
中文摘要
本研究係以選擇權造市商委託簿所擷取之每日選擇權避險數量變化來預測市場尾端風險事件(或為黑天鵝事件),並以恐慌指數選擇權(VIX Options)建構多頭跨式部位的方式獲取尾端風險報酬。相關文獻指出美國芝加哥選擇權交易所(CBOE)於2012年推出的VVIX指數隱含大量尾端風險資訊,其是以VIX選擇權為標的,套用VIX指數計算方法而得的指數,故VVIX又稱為VIX of VIX或波動度的波動度(Volatility-of-volatility)。本研究透過造市商在VIX選擇權市場造市後,於期貨市場進行動態避險的委託簿失衡比例(OOIB)預測VVIX指數走勢。結果顯示OOIB具有VVIX指數價格變化的預測能力,進一步檢測後發現主要預測力來自價平選擇權,本研究遂以VIX價平選擇權建構尾端風險交易策略。
根據全樣本資料,當造市商選擇權委託簿失衡的避險比例(OOIB)為正且足夠大時,交易策略能產生正報酬。即便OOIB於2011年後有大幅收斂的情況,策略修正後亦能成功取得波動度預測所產生之尾端風險報酬。此一結果反映出VIX選擇權造市商的避險部位隱含大量極端事件發生的資訊與預測能力,為市場動能與市場波動度的綜合體現,機構投資者能以此做為避險策略。
Abstract
The purpose of this paper is to use a new model-free measure to proxy for tail risk and exploit option induced order imbalance (OOIB) to predict the return of this tail risk indicator. Unlike VaR or VIX based literatures, this paper exploits the volatility of volatility as measured by the CBOE VVIX index to measure tail risk events. In this study, the option induced order imbalance (OOIB) is the dynamic hedging position from VIX option market makers. The OOIB positively and significantly predicts the return of VVIX index, and it was mainly contributed by at-the-money options. This result indicates that the order imbalance in VIX option market has the information and predictability toward market volatility of volatility and tail risk events, this paper then develops a long straddle position on VIX options to capture tail risk returns.
目次 Table of Contents
摘要 i
ABSTRACT ii
I. Introduction 1
II. Literature Reviews 6
III. Methodology 10
3.1 Order Imbalance and Control Variables 10
3.2 Hypothesis and Main Test 13
3.3 Option Leverage Level Test 14
3.4 Data Description 15
IV. Empirical Results 17
4.1 Main Regression 17
4.2 Option Leverage Level Test 19
V. Tail Risk Trading Strategy 21
5.1 Description of Tail Risk Trading Strategy 21
5.2 Trading Strategy and Performance 22
5.3 Revision and Best Strategy 25
VI. Conclusion 27
References 28
參考文獻 References
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Huang, D. and Shaliastovich, I. (2014). Volatility-of-Volatility Risk. SSRN
Kelly, B., and Jiang, H. (2012). Tail Risk and Hedge Fund Returns. SSRN, 12-44
Kyle, A. P. (1985). Continuous Auctions and Insider Trading. Econometrica, 1315-1336.
Lee, C. M. C. and Ready, M. J. (1991). Inferring Trade Direction from Intraday Data. Journal of Finance, 733-746
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Park, Y. H. (2015). Volatility-of-volatility and tail risk hedging returns. Journal of Financial Markets, 38-63
Pavlova, I. and Daigler, R. (2008). The non-convergence of the VIX Futures at expiration. Review of the Future Markets, 201-223
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Simon, D. P. (2015). Trading the VIX Futures Roll and Volatility Premiums with VIX Options. Journal of Futures Markets, 184-208
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