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選擇權隱含波動率偏斜價差交易之實證研究－以台指選擇權為例

APPLYING METHOD AND EMPIRICAL STUDY FOR OPTIONS WITH
USING THE IMPLIED VOLATILITY SKEW SPREADS – EVIDENCES FROM TXOS

黃明官

實踐大學財務金融系教授 

王期平

實踐大學財務金融系研究生

Ming-Guan Huang

Professor, Department of Finance and Banking,
Shih Chien University

Chi-Ping Wang

Graduate Student, Department of Finance and Banking,
Shih Chien University

摘要

標的資產價格波動率為選擇權定價與避險的重要影響因素，也是唯一無法直接觀察取得的參數，因而必須使用一有效估計方法以估測其值，目前主要的估計方法為歷史波動率法與隱含波動率法，多數學者認為隱含波動率應是未來波動率的最佳估計值，使得隱含波動率被學術界及實務界廣泛應用於選擇權評價。然而，根據一系列相同標的資產選擇權契約所推算出之隱含波動率往往因買權與賣權或履約價格不同有所差異，而且這些差異有時會呈現特定的偏斜現象。雖然隱含波動率差異形成原因仍待深入探究，不過，波動率差異的出現應即表示選擇權價格出現失衡情況，此時執行與偏斜情況對應的價差交易策略即可能存在獲取交易利潤的機會。本研究即從實證角度探討隱含波動率偏斜價差交易的實用性與獲利性，並分別以週到期與月到期台指選擇權為實證研究對象，實際觀察台指選擇權短天期與長天期契約之隱含波動率偏斜情況，並且分析根據偏斜情況執行波動率偏斜價差交易的獲利狀況。實證結果顯示，在長期交易之下，隱含波動率偏斜價差交易全部都獲致可觀的累計正報酬，且週到期契約之獲利表現遠優於月到期契約，台指賣權之整體獲利表現又優於台指買權，另外，週到期選擇權之各期到期報酬與該期波動率全距存在顯著正向關聯，週到期選擇權搭配波動率全距之中位數與最低轉點篩選準則，將可大幅提升偏斜價差交易的交易利得，由此可知，波動率偏斜價差交易策略應更適用於短天期選擇權。

關鍵字：隱含波動率、選擇權價差交易、波動率偏斜價差交易、台指選擇權

ABSTRACT

The volatility of underlying asset price is an important influencing factor on options pricing and hedging. It is also only parameter, which cannot directly observe, and hence, its value has to estimate through using an effective evaluation method. Presently, the both of historical volatility and implied volatility are commonly utilized to evaluate the volatility. Most researchers consider that implied volatility, which is reversely solved by bringing the options market price into the pricing model, should be the best estimate of future volatility. Accordingly, implied volatility has been widely applied for the purposes of options pricing and hedging. However, implied volatilities obtained from a series of options, which possess the same underlying asset and duration to maturity, often are difference among a range of exercise prices for call and put options. Sometimes, these different implied volatilities may appear a particular skew pattern. Although the cause for resulting in the different implied volatilities needs to be explored deeper, the existence of various implied volatilities evidently indicates that an imbalance in option prices occurred. In the meantime, there is likely a chance to make profits by means of carrying out a corresponding skew spreads based on the volatility skew pattern. This study thus looks at the practicability and profitability of volatility skew spreads in terms of the empirical study. To this end, the weekly and monthly contracts for Taiwan Index Option (TXO) are taken as the empirical object to actually observe the skew patterns of implied volatility for short-term and long-term TXOs. More importantly, this study also analyzes the resulting profits when performing the volatility skew spreads based on skew patterns. The empirical results show that under long-term trading, the implied volatility skew spreads all yield sizeable cumulative positive returns.  Moreover, the profitability of the weekly options is much better than that of the monthly options, and put options overall is superior to call options in making profits. Additionally, there is a significantly positive relationship between the terminal profit and the volatility range for weekly options. Furthermore, weekly options will greatly boost up the gains of the volatility skew spreads in case of coupled with the median of volatility range and the lowest turning point screening criteria. In total, the volatility skew spread tends to be more suitable for applying in short-term options.

Keywords: Implied Volatility, Options Spreads, Volatility Skew Spreads, Taiwan Index Option (TXO)

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NPO組織氣候對中階管理人員培力之影響

THE IMPACT OF ORGANIZATIONAL CLIMATE ON 
THE EMPOWERMENT OF MID-LEVEL MANAGERS IN NPO

賴育津
 
中原大學企業管理學系博士生

洪光宗

世新大學企業管理系副教授

Yu-Chin Lai

Ph. D. Student, Department of Business Administration, 
Chung Yuan Christian University

Guang-Chu Hung

Associate Professor, Department of Business Administration, 
Shih Hsin University

摘要

組織氣候是員工對組織政策、實務、工作程序共享的知覺，良好的組織氣候對組織績效有正向影響。組織氣候深受組織特性與管理行為的影響，對中階管理人員而言，調整出一個適切的組織氣候便是良好組織績效的重要基礎。本研究以NPO管理人員為研究對象，探討中高階管理人員對組織氣候的感知與調整，及此一過程對中階管理人員培力之影響。本研究以8個台灣中大型NPO為對象，採半結構式訪談，歸納出組織氣候構面中與中階管理人員培力之關係。研究發現當NPO重視認同、人情、支持等構面時，中階管理人員在團隊氛圍營造上會有良好表現；善用非財務獎酬激勵員工，可以更滿足其內在成就。對結構和標準有關之構面，NPO執行力則偏弱，且教育訓練中對於處理組織改造或管理技能的著墨也較為不足。本研究發現：NPO於招募時應重視工作技能與使命認同，從基層幹部就須強化其相關管理技能並重視組織結構設計與作業標準化。在教育訓練設計時應先檢視及注意各部門組織氣候的平衡，強化中階管理人員自我管理、成長並學習開發有效訓練及培力程序。若NPO計劃從外部延攬營利組織的人才，本研究發現從基層幹部聘用會減少組織文化適應的影響。本研究希冀讓NPO對組織氣候的運用有更明確理解，並對中階管理人員有效培力能有更清楚的做法。

關鍵字：NPO、組織氣候、組織文化、中階管理人員、培力

ABSTRACT

An organization's climate is defined as the perceptions of its policies, practices, and programs held by its employees. A positive relationship exists between organizational climate and performance. A company's organizational structure and administrative behavior affect the organizational climate. Therefore, the role of the mid-level manager is to modify the organizational climate in the department to achieve optimal performance. In this study, we target managers who work in Non-Profit Organizations (NPOs), and we study what senior executives sense and adjust for organizational climate, as well as the effect that empowerment has on mid-level managers. An in-depth semi-structured interview with eight large to medium-size non-profit organizations in Taiwan summarized the relationship between organizational climate and empowerment of managers. As a result, mid-level managers have a positive perception of teamwork when NPO values recognition, relationships, and supportiveness highly. Additionally, encouraging your employees with the right non-reward system can make them feel more appreciated. However, the execution of NPO is generally weaker in two of its aspects, namely structure and criteria. In addition, organizational structure and managerial skills are not sufficiently reformed. According to this study, NPOs should pay more attention to the applicant's work skills in the recruitment process and identify the organization's mission. At the junior management level, it is imperative to enforce skills that are associated with management and the design of organizational structures and performance standards. Moreover, it is imperative to enforcing an organizational climate of balance, ensuring staff self-management, and training mid-level managers on the development of effective training and key empowerment procedures. According to this study, it is more appropriate for non-profit organizations to hire talent from profit organizations at the junior management level to reduce the influence on organizational culture adaptation. We aim to clarify how the organizational climate is practiced and regulated in NPOs, and how mid-level managers can be empowered effectively.

Keywords: NPO, Organizational Climate, Organizational Culture, Mid-Level Manager, Empowerment

回目錄

知識基礎理論應用於專業服務廠商提升組織能耐之研究－以資訊服務業為例

HOW KNOWLEDGE-BASED THEORIES APPLY ON THE PROFESSIONAL SERVICE COMPANIES TO IMPROVE ORGANIZATIONAL CAPABILITIES
– AN INFORMATION SERVICE COMPANY EXAMPLE

曾賢德

藍新資訊股份公司總經理

樊祖燁 

致理科技大學商務科技管理系教授

潘博宇

國立政治大學企業管理學系博士生

Shen-Der Tseng

General Manager,
Neweb Information CO., LTD.

Tsu-Yeh Fan

Professor, Department of Commerce Technology and Management,
Chihlee University of Technology

Bo-Yu Pan

Ph. D. Student, Department of Business Administration, 
 National Chengchi University

摘要

組織能耐為企業維持長期競爭優勢的關鍵因素。一個組織要持續提升其組織能耐，必須要在其知識基礎上不斷地累積其競爭能量，至於其具體方法為何？即是本研究欲探討之問題。本研究將知識基礎理論應用於「組織能耐」的診斷，以個案研究法對一家台灣的資訊服務業廠商進行研究，並利用深度訪談法對個案公司的利害關係人進行訪談，發展解決方案以解決經營上遇到的問題。研究結果發現，資訊服務業提升組織能耐的關鍵在於透過專案團隊的建立來發展「適用於特定領域中通用的整體解決方案」與「提供顧客全方位的資訊系統整合專業服務」，以利於與其他同業的解決方案形成差異化。並經由在發展解決方案的過程中進行「組織內知識管理與分享制度的建立」、「服務流程SOP1設計」以及「提供硬體銷售」等策略的實施，以降低人員的流動率，在知識基礎上維持其競爭優勢。

關鍵字：知識基礎理論、資訊服務業、專業服務、解決方案、組織能耐

ABSTRACT

Organizational capability is a key factor for a company to maintain its long-term competitive advantage. If a company wants to continuously enhance its organizational capabilities, it must continue to accumulate its competitive energy on the basis of its knowledge. But how can a company to do it, this is the goal of the study wants to explore. This research applies the knowledge-based theory to the organizational capacity diagnosis, and uses a case study method to study a Taiwanese information service company. This research used the in-depth interview method to conduct interviews with the stakeholders of the case company, and develop solutions to solve the problems encountered in the company running. The results of the study found that the key factors to improve organizational capabilities in the case company are "developing universal solutions applicable to specific fields" and "providing customers with comprehensive professional services for information system integration" through building up project teams. Then the company through the implementation of solutions such as "establishment of knowledge management and sharing system within the organization", "service process SOP design" and "provide hardware sales", not only reducing the turnover rate of personnel, but also enhancing its competitive advantage.

Keywords: Knowledge-Based Theory, Information Service Industry, Professional Services, Solutions, Organizational Capabilities

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做中學教學活動設計－以大學行銷研究課程為例

‘LEARNING BY DOING’ TEACHING ACTIVITIES DESIGNED FOR UNIVERSITY STUDENTS
IN MARKETING RESEARCH COURSE

林珍如 

慈濟大學國際服務產業管理學士學位學程教授

Chen-Ju Lin

Professor, Bachelor Program in International Service Industry Management, 
Tzu Chi University

摘要

以教導行銷研究課程釋例，本研究作者闡釋以綜效性觀點為行銷系學生設計一系列教學活動，課程教師先行研究與預備市場調查活動之題材，以整合學生與教師研究旨趣為方向，將教師深層學術研究議題鑲嵌於教學素材與有助益的教學活動中，藉此設計所獲取的調查資料成果可貢獻於教學、學習以及學術研究中。本研究作者為大學教師，以有彈性方式讓課程學生參與調查主題決策以提升學生的學習自發性動機，經由課程教師嚴謹的要求學生妥善操作訪調流程，整體有效調查問卷的質量皆能得到提升，授課教師不僅提供學生有效的操作建議使其通盤理解，亦從學生端接收到實用性的觀點與意見回饋，據此以改善與促進未來相關市場研究設計活動。

關鍵字：做中學、調查研究、教學活動設計、觀光行銷
 

ABSTRACT

Exemplifying with teaching marketing research course, the author illustrates a synergetic perspective to design a serial of teaching activities for marketing department students. The topics of survey activities, combining student’s and teacher’s interests, are previously prepared and studied by teachers. The deep-down survey issues therefore can be embedded in the teaching materials and implemental activities, and the result of survey data contributes to teaching, learning and academic studying. The author, a university teacher, adopts a flexible approach that allows students to participate in a part of the decision making for enhancing students’ autonomous motivation to learn. Through the instructor’s stringent requirements and enforcement of the interview survey procedures, the quality and quantity of primary data collected increase. The instructor not only provides effective suggestions to enhance students’ comprehensive learning, but also receives valuable outlook and recommendations from students’ feedback, in order to improve and reinforce similar market research design activities in the future.

Keywords: Learning by Doing, Survey Research, Teaching Plan Design, Tourism Marketing

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