臺灣於民國九十年推出臺灣股票指數選擇權後，作為健全市場、並提供投資
人充分避險管道之商品，卻少有研究探討臺灣股票指數選擇權在Delta中立交易
策略下的實現報酬。在國外市場的交易策略實證研究中，發現利用賣出選擇權的
Delta中立交易策略，在各種到期日及價性下，實現報酬皆有顯著的獲利空間。
但是相關實證研究，模擬策略的交易資料多取樣於經濟穩定、民生承平的年代。
在遭逢次級房貸金融風暴襲捲的時代背景丕變，我們感興趣的是國內選擇權的交
易策略是否依然有在經濟穩定時期的可觀顯著利潤；若其獲利依然顯著可觀，則
相較經濟風暴尚未發生的年代，交易策略的報酬是增是減，造成此改變的理由是
什麼？在經由設計交易策略實證探究後，本研究發現，在各種避險交易策略的實
現報酬在次級房貸金融風暴發生期間，獲利金額與實現報酬在多數情況下反而更
高、且更為顯著。

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