本研究的目的在探究短期選擇權契約-週選擇契約的訊息發現能力。由於近期的研究已佐證標準契約 (如：月選擇權契約）的價格包含訊息交易者之私有訊息(private information)，得做為預測價格報酬及波動度之因子。然而近年推出的週選擇權，因具有低成本及低風險的特性使得週選擇權的成交量與曰倶增，因此本文推測波動度的訊息交易者可能會以週選擇權做為交易私訊的標的。換言之，週選擇權價 格可能包含預測現貨市場波動度的訊息内涵。本研究使用買賣權平價模式(put-call parity)產生波動價差 (volatility spread)，做為檢視短期選擇權契約是否具有預測資產波動度的訊息代理。本研究的主要貢獻 有二，其一由於相關研究為避免契約到期的流動性問題，普遍將距到期日5天至2星期的資料刪除，若短期契約包含重要訊息，那麼上述刪減資料規則可能會產生重要訊息漏損的問題；其二即本研究提供首次探究短期選擇權契約在訊息發現能力之研究，並比較短期契約與標準契約在訊息發現功能的差異。 This study aims to explore the information discovery ability of shorter maturity option contract, weekly option. Recent study have provided evidences to support that the standard option contracts (e.g. monthly contract) carry the private information in predicting the asset price return as well as the price volatility. Since the weekly option is launched, the short maturity market grows dramatically due to its lower cost and lower risk. Then, this study infers that the informed volatility trader might be attracted to trade their private information with shorter maturity contract. That is to say the weekly option might play the noticeable role in the information discovery. The deviation of PCP (put-call parity) calculated by implied volatilities, says volatility spreads, are employed to explore the information content of weekly option in predicting the asset volatility. There are two main contributions of this study, one is that provides the evidence to test whether the important information will be ignored while 5 days to 2 weeks data to maturity are usually be eliminated by most of study while using the standard contracts for avoiding the liquidity problem. Secondly, it is the first study to provide the investigation to compare the information discovery abilities between the shorter maturity contracts and standard contracts.
