本篇論文主要研究芝加哥期權交易所下的選擇權策略商品：CBOE S&P 500 PutWrite Index的風險與報酬間的關係。按照該合約內容，透過重組出該投資策略的方式，以風險角度進行被動權益風險、波動風險與動態權益風險的分解，並利用這些風險面向去探討個別風險因子對整個投資策略報酬的影響。而由實證結果可以發現，考慮選擇權delta值而去進行動態調整的動態權益風險為重要的風險來源，並了解到在不同市場狀況下，使用動態調整所帶來的好處。另外，由於動態權益風險為主要的風險來源，故再利用S&P500指數期貨來進行避險，達到完成風險管理的PutWrite指數，進而繼續比較風險與報酬間的關係。

This paper focuses on the return and the risk of one of CBOE options-selling strategies, CBOE S&P 500 PutWrite Index （PUT）. In this strategy, we divide risk into three components, which include passive equity, short volatility and dynamic equity. We will target on the impact to PUT within these risk components. From the empirical results, we find that active equity exposure is a significant source of risk. And this paper also figures out the benefit of using the dynamic equity in different market conditions. In the end, we use S&P500 futures to propose a risk-managed PutWrite strategy to hedge away this active equity exposure and analyze how the adjustment affects the return and risk.

第一章 緒論 1
1-1 研究背景 1
1-2 研究動機 2
1-3 研究目的 3
第二章 文獻回顧 5
第三章 研究方法 7
3-1 風險曝險組成 7
3-2 風險曝險報酬 11
第四章 實證分析 13
4-1 資料 13
4-2 實證結果 14
4-2-1 PutWrite指數 14
4-2-2 風險因子之超額報酬分析 15
4-2-3 權益風險 20
4-2-4 風險控管後的PutWrite指數 27
第五章 結論 31
參考文獻 32

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