本篇論文主要探討選擇權與股票市場的資訊內容不對稱以及選擇權價
格領先之特性。資訊擁有者假如擁有私有資訊，會優先購買槓桿性最高的
金融商品 ( 選擇權 )，故藉由觀察價平且近期到期的買賣權之隱含波動度
價差，使用技術分析判斷隱含波動度價差是否偏離理論值區間，並產生出
買進或放空訊號，最後利用現貨市場資訊反應落後選擇權市場的特性，購
買或放空台灣50 ( 0050 )現貨，進行統計套利。
最後經由實證結果發現使用隱含波動度價差交易策略的確可以賺取超
額報酬，尤其是布林通道交易策略以及KD交易策略報酬最為穩定，在考慮
了證券交易稅與手續費所造成的影響後，年報酬率還可以有著10%以上的水
準，可以說是超乎預期。由於選擇權的隱含波動度價差為公開資料，因此
也證明了台灣市場為不效率市場。

In this paper, we investigate the information asymmetry between option
market and stock market, and we also investigate the characteristics of option
price leading stock price. If informed trader has private information, first of all,
they will invest high leverage financial product, such as option. By observing
the implied volatility spread of near the money and recent month option, we use
technical analysis to determine whether implied volatility spread will diverge
from theory interval or not and basing on these information we will get a buy or
sell signal. Finally, since the information in stock market will lag behind the
option market, we can do statistics arbitrage by buying or selling ETF ( 0050 )
in stock market.
Empirical results suggest that using strategy of implied volatility spread can
earn abnormal return, especially for Bollinger band strategy and KD strategy.
After considering about transaction cost (tax and fee), these strategies still make
unexpected return higher than 10%. Since the data of implied volatility spread
are public resources, it proves that the stock market in Taiwan is inefficiency.

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41
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