Study of validation process according to various option strategies in a KOSPI 200 options market

코스피 200 주가지수옵션 데이터의 효율적 가공을 통한 다양한 옵션 전략들의 사후검증에 관한 연구

  • Song, Chi-Woo (Department of Information and Industial Engineering, Yonsei University) ;
  • Oh, Kyong-Joo (Department of Information and Industial Engineering, Yonsei University)
  • 송치우 (연세대학교 정보산업공학과) ;
  • 오경주 (연세대학교 정보산업공학과)
  • Published : 2009.11.30

Abstract

Stock price index option investing is a scientific investment method and various index and investment strategies have been developed. The purpose of this study is to apply the variety of option investment strategies that have been introduced in the market and validate them using past option trading data. Option data was based on an actual stock exchange market tick data ranging from September 2001 to January 2007. Visual Basic is used to propose an option back-testing model. Validation process was carried out by transferring the tick data into ten-minute intervals and empirically analyzed. Furthermore, most option-related strategies have been applied to the model, and the usefulness of each strategies can be easily evaluated. As option investment has high leverage followed by high risks and profit, the optimal option investment strategy should be used according to the market condition at the time to make stable profit with minimum risk.

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