本文主要針對隔夜情緒影響的不對稱性進行研究，本研究以今日開盤的波動率指數(VIX)與昨日收盤的VIX相減代表隔夜資訊，而波動率指數又稱為恐慌指數，就理論上而言，當市場出現恐慌時，波動率指數亦會上升，本文將以區分市場在恐慌普通與樂觀情緒下，波動度與成交量的關係是否有變化，其中成交量又細分為Total volume, Expected volume與Unexpected volume，此成交量分類的概念源自Illueca and Lafuente (2007)，而波動度與交易量的關係則是參考Darrat et al.(2007)中VAR 的方法來探討。本文以台灣股價指數期貨與台灣股價指數作為研究標的。本文的實證結果顯示在不同的情況下，各種成交量與波動度的因果關係及影響方向均有變化，在隔夜有重要資訊發生時(恐慌或樂觀)，開盤時的預期成交量與未預期成交量和波動度的因果關係會發生變化，若是普通情緒下，則各種成交量與波動度之間皆有雙向的因果關係，惟影響方向不同。開盤時段下，預期成交量除了在樂觀情緒下，會預期成交量使得波動度增加，恐慌與普通情緒下，預期成交量會使得波動度減少，類似提供流動性的角色，但極端情緒下，波動度卻無法對未預期成交量產生影響，代表在極端情緒下，波動度是由未預期成交量所導致，表示未預期成交量為波動的製造者，此與本研究推測未預期成交量帶有較大資訊含量相符。

The price of stocks, futures, commodities and currency are for ever changing. Anyone interested in financial prices soon discovers that changes in prices are frequently substantial and are always difficult to forecast. This paper describes the behavior of prices from a statistical perspective. Specifically, employ several technical trading rules to uncover the trend of futures price movement and attempt to make profit out of the trend. In this paper, trading of seven technical trading systems is simulated for three futures contracts from September 1998 to March 2005 to test for market disequilibrium. The results differ by trading systems. Four systems produced positive mean net returns and five systems produced positive gross return when optimal parameters were used. These results indicate that, there exist opportunities to design profitable trading systems for futures markets.

Straddles and strangles are common trading strategies introduced in a lot of textbooks and are widely used for option market participants. However, to our knowledge, we might not know how these trades should be designed, which trades are preferable, and how they are constructed in practice. Thus, we want to apply and discuss straddles and strangles as our trading strategies to the practical market. In our research paper, focusing on the time value and finding some profitable strategies are the two important concepts of our straddles and strangles. Being a sell side to earn the time value is our main goal. Although we may take higher risk, time value decay is helpful for us. The research focuses on straddles and strangles by using historical data of TAIEX futures and options. We use the closing price and settlement price as our trading price from data period January 2005 to December 2010. We also compare two different situations, holding positions to maturity and early offset condition, to our straddles and strangles. The findings show that the straddle strategies have positive earnings by holding positions to maturity, and 3 out of 4 strangle strategies have the same results. We can indeed earn the time value as a seller because time value decays quickly for the last seven days of the options contracts. After considering the early offset condition, the profitability of the ATM straddle and strangles become worse. We might easily fall into a trap in which the index futures price fluctuates greatly for a few days and comes back to the normal level on the settlement date. Therefore, we encounter loss due to selling low and buying high so that the trading performance is poor compared with the positions held to the end. Key words: Straddle Strategy, Strangle Strategy, Time Value, Settlement, Early Offset, TAIEX Options, TAIEX Futures