The aim of this study is to examine the return rates of the TAIEX options with at most 8 calendar days to maturity using a buy-and-hold strategy. Although our results generally reveal that the index option returns are significantly negative, we also find that whilst the return rates of monthly-expiring calls are inferior to those of weekly-expiring calls, the return rates of monthly puts tend to be less negative than those of weekly puts. Furthermore, as monthly (weekly) options approach their maturity dates, the underlying index returns are found to be negative (positive). Risk-neutral volatility and skewness are used to measure the respective fear and pessimism levels among investors towards the stock market, and indeed, we find that as the expiration date approaches, there is a discernible increase in both the fear and pessimism of investors with regard to monthly options, as compared to a reduction for weekly options.

中文翻译：

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短期指数期权交易是否有利可图？

这项研究的目的是使用“买入并持有”策略来检查TAIEX期权的至多8个日历日的到期收益率。尽管我们的结果通常表明指数期权收益显着为负，但我们还发现，尽管月度看涨期权的收益率低于周度看涨期权的收益，但每月看跌期权的收益率往往比负期权的收益率要小。每周看跌期权的数量。此外，随着每月（每周）期权的到期日临近，基础指数收益被发现为负（正）。风险中性波动率和偏度用于衡量投资者对股票市场的恐惧和悲观程度，实际上，我们发现随着到期日的临近，