本文探討外匯期貨選擇權市場與即期外匯市場的領先落後關係，我們以隱含波動度偏斜作為衡量隱含波動度曲線之陡峭程度，探討外匯期貨選擇權隱含波動度曲線之陡峭程度是否隱含未來匯率報酬走勢的資訊，並具體定義隱含波動度偏斜為價外賣權之隱含波動度減同標的之價平買權隱含波動度。本文以芝加哥商品交易所內最具流通性的六種外匯期貨選擇權為研究對象，探討外匯期貨選擇權隱含波動度偏斜是否可以預測下週的即期匯率報酬，實證結果指出隱含波動度偏斜與未來即期匯率走勢沒有一個顯著的關係，其可能因為隱含波動度偏斜主要是被設計為捕捉負面資訊，所以在全樣本期間很難指出隱含波動度偏斜與未來匯率走勢有一定的關聯性。因此，本文針對特定事件來做進一步延伸，探討在何種情況下，隱含波動度偏斜具有預測能力。實證結果顯示，在非就業人口、消費者物價指數和工廠訂單的總體經濟事件宣告下，澳幣和加拿大幣期貨選擇權之平均隱含波動度偏斜具有顯著的預測能力，且其與總體經濟宣告日當天之匯率變動呈顯著正向關係。

This paper provides a new perspective on the informational leading role of the foreign exchange futuresoptions market relative to the foreign exchange market. We use all foreign exchange futures optionswhich are traded on CME from January 2007 to May 2013, and focus on the predictability and information contents of implied volatility skew, defined as the difference between the implied volatility of out-the-money put options and the implied volatility of at-the-money call options.At first, we examine whether implied volatility skew can predict the next week’s returns. However, empirical results indicate implied volatility skew can’t predict the next week’s foreign exchange returns. Next, we examine the predictive ability of implied volatility skew around major macroeconomic events including nonfarm payroll employment, consumer price index, and factory orders, and we find that implied volatility skew before these events has the predictive ability for spot exchange rate.

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參考中文書籍
張錦源，康蕙芬，國際金融與匯兌，第十版，五南圖書出版股份有限公司，民國一零一年