國內外文獻均有指出賣出跨式交易策略有獲利的機會，因而引發本文探討是否適用於2012年11月21日上市的台灣指數週選擇權，因週選擇權擁有短天期结算的特性，所以本文使用賣出價平Delta-neutral跨式交易策略。本文研究結果發現賣出跨式交易策略除了2012年樣本數不足之外其餘每年都有可觀獲利並且勝率高達62%，這也說明了台灣加權指數週選擇權隱含波動度一般上會大於實際的波動度。
本文分別探討影響賣出價平Delta-neutral跨式交易策略報酬率的變動因子及影響賣出價平Delta-neutral跨式交易策略中時間價值流失點數的變動因子。其中發現賣出價平Delta-neutral跨式交易策略報酬率與隱含波動率、時間價值平均變動呈正向關係，而標的物成交量平均變動與報酬率呈負相關。再來探討影響賣出價平Delta-neutral跨式交易策略中時間價值流失點數的變動與隱含波動率、加權指數漲跌及Gamma呈正相關，而與買賣權Delta有著負向關係。

Research has found out that short straddle have opportunity to profit, thereby triggering this paper discusses whether the TAIEX Weekly options have opportunity to profit or not. This paper has found out short straddle TAIEX Weekly options have opportunity to profit from 2013. Beacause the implied volatility of TAIEX Weekly option is generally higher than the volatility of TAIEX, it makes the short straddle has the opportunity to profit.
This paper proposed regression formulas to find the reason that makes the at the money short straddle has opportunity to profit. This paper has found out that return of strategies have positive correlation with the implied volatility and the changes in time value but have negative correlation with changes in volume. Moreover, time value change have positive correlation with TAIEX change, Implied volatility, and Gamma but have a negative correlation with Delta.

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