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15

1. 15 3

http://thesis.lib.ncu.edu.tw/paper.htm
2.

3.

4.

2006

Ammann Herriger (2002)

Statistical Arbitrage:Relative Implied-volatility

Arbitrage with Taiwan Index Option
Student:Wei-Ting Lin

Advisor: Dr. Wei-Cheng Miao

Graduate Institute of Statistics

National Central University
ABSTRACT

The volume of Taiwan index option is continually increasing, and

it is hence interesting to find an artitrage opportunity in it. Since
the correlation between Taiwan index and MSCI Taiwan index is very
high,mis-pricing of the options on two indices, TXO and MSO, may
yield an arbitrage opportunity.
This paper adopted the approach of Ammann and Herriger (2002) to
investigate whether the spreading trade exists when the index option
price is to be overvalued or undervalued. We first analyzed the
interrelationships over time of two most highly correlated and
liquid pairs of Taiwan stock indices. Based on this analysis, we
derived a relative relationship between implied volatilities for
each pair. If this relationship was violated, we suspected a
relative mispricing.

ii

1.2
2.6
3.11

15

16

20
20

26
27

iii

MSCI
MSCI

Ammann Herriger

1.
(call option)
(put option)

(maturity)
(strike price)

(American option)

(European option)

()

call ()

put()

(Premium)

(margin)

3 3 4 7000
() 180 6728 4 21
7800 180
800
(800180)50 31,000

3 3
4 5000 () 80
4950 4 21
4420
80
(58080)50 25,000

1.

2.

3.

4.

2.

(
)

TXO

()

50

3000
50 100
3000
8000 100
200

8000
12000 200
6

 400
12000
400 800

1.

2.

10 0.1 (5
)
10 50
0.5 (25 )
50 500

1 (50 )
500 1000

5 (250 )
1000 10
(500 )

1. 8,000
2. 16,000
3.

4.

100
100 *50(/)*1.25/1000=6.25

200
200 *50(/)*1.25/1000=12.5

6000 6000 *50( /

)*0.25/1000=75

120 66

10

3.
2006 27
(MSCI) MSCI
MSCI MSCI MSCI
MSCI

(1) MSCI

MSO

(2)

(3)

(4)

11

(5)

(6)

(7)

(8)

12

(9)

(10)

20 50
24 1

13

TAIFEX

MSCI Taiwan Index

NTD50

US20

TX:TXO = 1:4

MSF:MSO = 1:5

14

Black-scholes

(2004) B-S
B-S

Ammann Herriger(2002)
1995 2000

15

OLS(ordinary least square)

Yi= 1 + 2 X i + u i
YiYt
XiXt
u i

125 t-124 t tt-123

t+1 t+1

2 2
max( 2 ) t 125 25 2
2

16

 2
2 low(t)= 2 (t) - max( 2 )* 2 (t)
2 high(t)= 2 (t) + max( 2 )* 2 (t)
2 (t)t-124 tt

XY Y=a+bX+u ab X u

Var(Y)=b Var(X)+Var(u)

var25days( u i)t 125 25

u i
var( u t)lowmin[var25days( u i)]
var( u t)highmax[var25days( u i)]

17

 X Y

var(Y) Y 25
var(X) X 25

Y
[ 2 low(t)] var(X)+ var( u t)low
2

[ 2 high(t)] var(X)+ var( u t)high

2

[ 2 low(t)] var(X)+ var( u t)low-

2

[ 2 high(t)] var(X)+ var( u t)high+

2

0
0.250.51

18

varimpl(Y)Y
varimpl(X)X
varimpl(Y)
[ 2 low(t)] varimpl(X)+ var( u t)low
2

[ 2 high(t)] varimpl(X)+ var( u t)high

2

Y Y
Y
X Y X
Y
X Y

19

2005
2007 2006 2007
2006 2007

MSCI

MSCI

2005 6 2007 5
0.955

20

Yi= 1 + 2 X i + u i
Yit
Xit

2 2

21

2006 12 7000 2006 12

290 3 27 12 20 187

22

 12 7 12 19 12 20
12 20 12
7 12 8
Y 12 7
1
1

23

 12 7 705 26
705*50=35250
2.027 2.027*26*20*33.44=35250
12 8 640
23.3
640*50=32000
2.027 2.027*23.3*20*33.44=31586.82

(705+640)*50*1.25/1000=84
1 33.44
414
66 66
2007 3

24

10

954

13

95.4

98.971

25

2006 3
2007 3 20

1.
1.25

2.

26


1.Ammann,M.,

and

S.Herriger(2002),Relative

Implied-Volatility Arbitrage with Index Options, Financial

Analysts Journal, pp.42-55.
2.Chiras,D.P., and S. Manaster(1978), The Information
Content of Option Prices and A Test of Market Efficienty, The
Journal of Financial Economics, 6,pp213-234
3.Chung, P. (1991), A Transactions Data Test of Stocks Index
Futures Markets Efficiency and Index Arbitrage Probability.,
Journal of Finance, vol46 , pp1791-1809
4.Gatev, EG. , W.N. Goetzmann, and K.G Rouwenhorst (1999),
Pairs Trading :Performance of a Relative Value Arbitrage
Rule.
5. (2004), ,
, pp.229~248.
6.(2003)

27