本研究將台指選擇權的波動率透過模型分析探討在到期日（第三週星期三）前的效應變化。研究結果顯示：異常的歷史波動率與未平倉量變化來看風險性的分佈並不會在到期日前一日發生，在到期日的前六天當中都有可能出現。到期日前出現異常交易量波動時間點發生時間點出現在第三週星期一和第三週星期二這二天交易日出現正相關，表示波動的變化是隨著交易量異常變化而增加強度。平均報酬率所發生反轉現象則是出現在第三週的星期二、第二週的星期四和第二週的星期五這三天的交易日，相似於星期效應。交易市場上因接近週末或到期日關係，預測行情可能出現急速變化因而在市場上面進行大量買進或賣出造成波動變化
This study applies statistical analysis model to investigate the abnormal variation of the volatility, price reversal and volume changes of TAIEX options near the expiration date. The result can help the investors to decide the appropriate timing for hedging to reduce the probability of losing the premium. The main findings of this study are as follows:
1. According to the risk distribution with reference to the abnormal History Volatility and the Open Interest variation, the risk probably occurs during the period of the one to six days before the expiration date, and therefore it shall not only occur at the day before the expiration date.
2. A positive correlation exists when the volatility caused by the abnormal volume occurs at the one and two days before the expiration date. It means that the volatility is increased intensity with the variation of the abnormal volume.
3. Similar to the week effect, trading near the expiration dates or the weekend often occurs a flurry of trading activity and large price changes. In this study, the average rate of return have been observed in inversion phenomenon on three specific trading date as Tuesday of the 3rd week, Thursday of the 2nd week, and Friday of the 2nd week of every delivery month.
