本篇論文主要研究一般化的掩護性買權交易策略。我們先利用價平掩護性買權策略，進行股權風險以及波動度風險兩面向的分析，以風險的角度看策略的報酬，並進而推導出價內及價外掩護性買權策略的分割通式。利用此一通式拆分掩護性買權的交易策略，以實證方式探討股權和波動度兩面向的曝險狀況及風險溢酬。此外，利用單一的隱含波動率進行波動度風險分析不符合現實狀況，我們加入隱含波動度與實現波動度價差的考量，以Black-Scholes定價公式反推得的隱含波動率和實證資料計算出的實現波動率進行比較，衡量其波動度風險。最後針對不同條件的掩護性買權策略進行分析。

This paper investigates generalized covered call strategies. At first, we target on at the money covered call strategy and observe it from both equity and volatility degrees. Different from other related papers about covered call, we focus on its risk rather than return. We get the generalized equation to segment covered call into long equity and short volatility parts, and use empirical data to discuss various kinds of covered call by both its risk and risk premium. Besides, it’s not corresponding to the reality by using a fixed implied volatility, we also consider the difference between the implied volatility and the realized volatility and get the implied volatility by backward calculated, comparing with the realized volatility during the same period, and finally acquire the size of volatility effect. Finally, observing and analyzing covered call strategies under different conditions.

第⼀章、 緒論 1
第⼀節：研究動機與⽬的 1
第⼆節：研究架構 2

第⼆章、⽂獻回顧 3

第三章、研究⽅法 5
第⼀節：⼀般化拆解通式 5
第⼆節：特殊案例 7
第⼀項： 偏空跨式策略（Strip） 7
第⼆項： 偏多跨式策略（Strap） 8
第三項： CBOE S&P 500 30-Delta Buy-Write Index（BXMD） 9
第三節： Black-Scholes 期權訂價模型 11
第四節： 隱含波動度 11
第五節： 歷史波動度 12
第六節： 掩護性買權報酬 13
第⼀項： 股權超額報酬（Equity Excess Return） 13
第⼆項： 波動度超額報酬（Volatility Excess Return） 14
第三項： 掩護性買權總超額報酬（Total Excess Return） 17

第四章、實證分析 18
第⼀節：資料 18
第⼀項：Standard & Poor 500 Index（SPX） 19
第⼆項：Standard & Poor 500 Index Options 19
第⼆節：實證結果 20
第⼀項：隱含波動度、實現波動度與波動度超額報酬 22
第⼆項：⼀般化掩護性買權報酬分布狀況 22
第三項：價平掩護性買權策略敘述統計資料 25
第四項：3%價外掩護性買權策略敘述統計資料 27
第五項：價平、3%價外掩護性買權與指數的⽐較 28
第六項：區間價平掩護性買權報酬 32

第五章、結論與未來發展 36

參考⽂獻 38

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