本研究標的是「臺灣證券交易所發行量加權股價指數選擇權」(簡稱為台指選擇權，英文代碼是TXO)。利用台指選擇權的賣方跨式組合與賣方勒式組合投資策略，使用歷史台指選擇權資料驗證。實證期間為2012年1月至2015年12月的，共計結算48期到期契約，本研究以每期交易成交之 7 檔履約價格選擇權為主要結算依據，賣方跨式有7個部位組合交易部位，賣方勒式有21個部位組合交易部位。
本研究就201201-201512共取48期大樣本，其歷經兩個上漲超過 1,000點的多頭趨勢市場（合計14期），一個下跌超過 1,000 點的空頭趨勢市場（合計3期），以及三個盤整趨勢市場（合計31期），總計48期結算價格指數，就此 48 期大樣本而言是屬於超過 1,000 點的多頭格局。
由實證資料說明分類統計彙整各式策略及交易部位所有結算損益狀況，如依群組績效分析，群組跨式組合7個部位及群組勒式組合21個部位，分別從每月入倉持有至參與結算，從201201-201512共48期，其中群組跨式組合7個部位損益總計為2092.3點，而群組勒式組合21個部位損益總計為11443.9點，就群組績效而言勒式優於跨式，此乃因跨式只能忍受狹幅波動及盤整，而勒式可忍受盤整及波動區間較大故而獲利優於跨式。再來就個別單一部位績效來看，可發現賣出跨式組合策略部位之總和損益在48期中表現最佳前三者，依序為Sell 7C Sell 7P、Sell 6C Sell 6P、及Sell 5C Sell 5P部位，此三個部位均為偏多操作之跨式部位，而夏普指標最佳前三者亦為Sell 7C Sell 7P、Sell 6C Sell 6P、及Sell 5C Sell 5P與總和損益與最佳前三者相呼應。賣出勒式組合策略之部位損益在48期中表現最佳前三者，依序為Sell 7CSell 6P、Sell 7CSell 5P、Sell 7CSell 3P等三個部位，此三個部位亦均為偏多操作之勒式部位，但夏普指標最佳前三者卻是Sell 7CSell 1P、Sell 7CSell 2P、Sell 7CSell 3P等三個部位，未與總和損益與最佳前三者相呼應，造成此結果應是與各操作部位之投資組合報酬率標準差較低；加上其總和損益逾千點所致。而勒式前三名績效較平均且總和優於勒式前三名，此原因仍應是跨式為狹幅波動盤整而勒式可忍受區間波動盤整之故•

This study is the subject of the "Taiwan Stock Exchange Capitalisation Weighted Stock Index Option" (abbreviated as Taiwan refers to the right to choose, English code is TXO). The use of Taiwan means that the seller of the option straddle the seller Le style portfolio strategies using historical data validation station refers to the right to choose. Positive period from January 2012 to December 2015, for a total settlement of 48 contract expiration, this study each issue Turnover of the seven-speed option strike price as the main basis for settlement, the seller has seven parts straddle combination transaction site The seller Le formula, 21 parts of a combination transaction site.This study will take a total of 48 201201-201512 large sample, which after two rose more than 1,000 points in the bull market trend (total 14), a bear market trend fell more than 1,000 points (total of 3), and three consolidation market trend (total 31), a total of 48 settlement price index, in terms of this 48 large sample belongs to more than 1,000 points long pattern.
Positive information on the aggregate statistics of all kinds of trading strategies and all parts of the settlement and loss situation, according to groups such as performance analysis, group straddle seven parts and group Le combo 21 parts, respectively, from warehousing to hold monthly to participate in the settlement, from 201201-201512 total of 48, which groups seven sites straddle losses totaled 2092.3 points, while the group of 21 sites Le combo losses totaled 11,443.9 points, the performance of the group in terms of Legendre formula superior to straddle, which was due to straddle can only tolerate a narrow width fluctuations and consolidation, while Le formula tolerable consolidation trading range and therefore a greater profit than straddle.And the individual parts of a single performance point of view, can be found in the total loss to sell parts of the straddle strategy the best performance in the 48 period the first three, in order, is Sell 7C Sell 7P, Sell 6C Sell 6P, and Sell 5C Sell 5P parts of this site are the ones straddle three parts of the operation, while Sharp best indicators of the first three Zheyi Sell 7C Sell 7P, Sell 6C Sell 6P, and Sell 5C Sell 5P and the sum of the loss and the best front three Echoes. Le site loss selling style of portfolio strategy in the first three best performing 48 period, in order, is Sell 7CSell 6P, Sell 7CSell 5P, Sell 7CSell 3P the three parts of this three parts are also above normal operation of Le type site, but the best indicators of the first three Sharp is Sell 7CSell 1P, Sell 7CSell 2P, Sell 7CSell 3P and other three parts, not the sum of loss and echoes with the best front three, causing this result should be with each operation standard statistical distribution of the difference between the lower portion; plus the sum of its losses caused by over 1,000 points. Le style and performance than the average of the top three and the sum of the top three is better than Le formula, this should remain the reason for the narrow web cross-type fluctuations and consolidation Le formula tolerable rangebound consolidation.

壹、網路部分
1.台灣期交所網站：http://www.taifex.com.tw/
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貳、中文部分
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參、英文部分
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