本文利用探討賣出價平Delta-neutral跨式交易策略在台指選擇權上的報酬與風險，用以探討距離到期日一個月內台指選擇權之隱含波動率是否總是高於實際波動度。本研究主要有以下發現: (一)賣出價平Delta-neutral跨式交易策略有正報酬，顯示隱含波動度高於實際波動度，其中以賣出距離到期日六天的平均報酬最高。(二)賣出跨式交易若經空方避險較多方避險報酬為高，顯示指數短期內大跌易、大漲難的特性(三)賣出當天的平均隱含波動度與報酬成正相關，顯示在隱含波動度較高時更容易高估實際的波動程度(四)賣出價平Delta-neutral跨式交易平均報酬有逐年降低的趨勢。

he purpose of this study is to investigate whether the imply volatility in Taiwan Index Option (TXO) is always greater than the true volatility. So, we construct a strategy by selling the ATM delta-neutral straddle, and then analyze the profits and risk of the strategy to examine the difference between imply volatility and true volatility. Then, we construct other trade strategies on this basis. There are four main findings given as follows: (1) Selling an ATM delta-neutral straddle always has positive profit, showing that its imply volatility always greater than its true volatility. In addition, selling six days due straddle is most profitable. (2) Selling with short hedge is more profitable than with long hedge to the delta-neutral straddle, proofing that index more easily goes down than up. (3) It is more likely to overestimate the true volatility when the implied volatility is at high level, since there is a positive relationship between the implied volatility and the returns on the selling day.(4) The profits of selling the ATM delta-neutral straddle is declining in recent years.

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