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研究生：	賴敬堯 Lai, Ching-Yao
論文名稱：	S&P100指數選擇權隱含資訊探討—以delta法驗證 Information content of S&P 100 index option – Delta Approach
指導教授：	王澤世 Wang, Tse-Shih
學位類別：	碩士 Master
系所名稱：	管理學院 - 財務金融研究所 Graduate Institute of Finance
論文出版年：	2010
畢業學年度：	98
語文別：	英文
論文頁數：	43
中文關鍵詞：	隱含波動率、DELTA值
外文關鍵詞：	implied volatility, delta
相關次數：	點閱：97 下載：0
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查詢本校圖書館目錄查詢臺灣博碩士論文知識加值系統勘誤回報

本研究中，我們使用delta法驗證是否股票市場與期貨市場的資訊含量有所差異，並且驗證期貨市場對股票市場的價格預測能力，我們認為，具有較大delta值的選擇權，將會對預期的股票價格變動較敏感，因此具有較大delta值的選擇權其隱含波動率預測能力較佳。
因為OEX屬於美式買權，因此我們引用Geske以及Johnson在1984年所做的結論以避免評價錯誤。此外，淨買壓力理論告訴我們具有較大delta值的選擇權（如深度價內買權）或是具到期期間較長的選擇權預測能力較高，而我們的結果不僅符合此一理論，也符合資訊理論所說，交易量愈大者，其預測能力愈高。

In this paper, we suggest implied volatility can help interpret the difference between stock market and option market, and our main proposition builds on the option delta: options with larger absolute deltas are more sensitive to changes of expected stock prices, so we believe implied volatilities of options with larger absolute deltas contain more information. Because OEX is not an European option, we borrowed the conclusion from Geske and Johnson to avoid misspecification problem. In addition, the “net buying pressure” theory helps explain larger-delta options (like in-the-money call) or longer-maturity options have large predictive power over future index price movements, and our finding of “in-the-money calls and puts and out-of-money calls are proved to be predicative” reconciles with our corollary as well as the trading volume theory.

Contents
Abstract	                                           i
摘要	                                                         ii
致謝	                                                        iii
Chapter 1   Introduction	                           1
Chapter 2   The Delta Method	                           9
2.1： Proposition	                                  10
2.2： Corollary	                                          12
2.2.1：COROLLARY  I	                                  12
2.2.2：COROLLARY  II	                                  13
2.3: implication for volatility smile And  term structure  13
Chapter 3   Regression Models	                          15
3.1：Predictive power of delta weighted implied volatility	                                                  15
3.2：Predictive power of implied volatility	          16
3.3：Predictive power of ratio of implied volatility  	  16
Chapter 4   Data and Empirical Results	18
4.1：Data	                                          18
4.2：Empirical Results	                                  19
Chapter 5   Conclusion	                                  23
Reference	                                          25
Figure
Figure 1 Implied volatility - call option with maturity less than one month                                       28
Figure 2. Implied volatility – call option with maturity less than two months                                      28
Figure 3. Implied volatility - call option with maturity more than 3 months                                        29
Figure 4. Implied volatility – put with maturity less than one month                                                 29
Figure 5. Implied volatility – put with maturity less than 2 months                                                  30
Figure 6. Implied volatility – put with maturity less than 3 months                                                  30
Figure 7 (a) Delta and time to maturity – call            31
Figure 7 (b) Implied volatility and time to maturity – call                                                      31
Figure 8 (a) Absolute delta and time to maturity – put    32
Figure 8 (b) Implied volatility and time to maturity – put      32
Table
Table 1 Moneyness Category Definitions	                  33
Table 2 Descriptive statistics for implied volatility - call	       34
Table 3 Descriptive statistics for implied volatility – put        35
Table 4 Predictive power of delta weighted implied volatility	         36
Table 5 (a) Predictive power of implied volatility - call	             37
Table 5 (b) Predictive power of implied volatility - call	             38
Table 5 (c) Predictive power of implied volatility - call	             39
Table 6 (a) Predictive power of implied volatility – put	             40
Table 6 (b) Predictive power of implied volatility – put	             41
Table 7 (a) Predictive power of ratio of implied volatility	          42
Table 7 (b) Predictive power of ratio of implied volatility	          43
                                    

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