本研究探討基於外匯選擇權波動率風險溢酬（VRP）的投資策略有效性，並試圖找出與Corte et al. (2014) 使用的無模型隱含波動率不同，更簡單且易得的隱含波動率指標。資料涵蓋2010年10月18日至2023年10月18日，包括10個已開發國家和8個新興市場貨幣，以一年歷史波動率與價平隱含波動率建立VRP策略。結果顯示，未來一個月波動率風險溢酬較高的貨幣容易升值，較低的貨幣容易貶值，但這種關係並非在每個時期都存在，導致VRP策略表現受時期影響。市場恐慌造成的隱含波動率錯誤定價可能是使策略失效的主要原因。
在與Corte et al. (2014)的比較上，本研究的超額報酬不及文獻且在部分時期出現虧損。然而本研究仍證實不論樣本是否包含新興國家，VRP策略超額報酬來源始終來自於匯差預期而非利差。

This study investigates the effectiveness of an foreign exchange trading strategies based on the volatility risk premia (VRP) of currency options and attempts to identify a simpler and more accessible implied volatility measure compared to the model-free implied volatility used by Corte et al. (2014). The data covers the period from October 18, 2010, to October 18, 2023, including 10 developed countries and 8 emerging market currencies. The VRP strategy is established using one-year historical volatility and at-the-money implied volatility. The results show that currencies with higher volatility risk premiums tend to appreciate, while those with lower premiums tend to depreciate over the next month. However, this relationship does not hold in every period, causing the VRP strategy's performance to be period-dependent. Mispricing of implied volatility due to market panic is likely a key factor for the strategy's failure.
In comparison with Corte et al. (2014), the excess returns of this study are lower and show losses in some periods. Nevertheless, this study confirms that the excess returns of the VRP strategy, regardless of the inclusion of emerging market currencies, are always derived from exchange rate returns rather than interest returns.

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