本研究主要探討幾個廣受市場投資人所使用的波動度預測模型，如歷史波動度法、指數加權移動平均法、GARCH、EGARCH以及隱含波度，另外再考慮近年才被學者提出的RLS模型與A-RLS模型，一同比較它們對於台灣市場波動度的預估能力，並擇一最優者，作為從事波動度交易的訊號依據。本文在進行波動度交易之實證，主要是利用選擇權與期貨組合、選擇權與delta期貨組合、跨式交易策略與勒式交易策略等四種廣為波動度交易者使用之波動度交易策略，進而比較它們在樣本外的交易績效。本波動度預測的實證發現，樣本內的預測能力，是以GARCH和RLS模型最佳，而樣本外的預估能力，則是GARCH表現最好。另外，波動度交易的驗證結果顯示，若持有至次一交易日即平倉，勒式交易策略於買進波動度時會有最高的績效，而當放空波動度時，則是跨式交易策略會有最佳的表現。

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