本論文主要研究期貨與選擇權之跨月價差交易是否有套利空間。觀察期貨與選擇權在不同到期日之價格，可發現其具有高度的相關性。並且由過去文獻指出，我們可根據此不同到期日之期權組成水平價差價格與不同到期日之選擇權的時間價值衰減速度有關。本篇論文便是根據此時間價值的變化進行多種策略模擬，並且期望以實證方式，透過歷史資料回測投資策略績效，檢驗套利空間是否存在。我們以時間價值為目標，探討近月期權及遠月期權組成之投資策略是否能夠賺取時間價差。獲利主要來自於近月期權的時間價值收入，若是價格波動不大，而較快到期之期權的時間價值流失速度快過於較晚到期之期權的時間價值，此投資策略就可以從中套取時間價差，以此達到獲利，但相反的若是加權指數波動過大，此交易策略會隨著價格波動程度過大而加大虧損，故此交易策略為風險套利。針對波動性之於選擇權價格的影響，則視策略績效結果，決定是否依據參考文獻之理論模型改變交易策略的投組配置。

This paper mainly studies whether there is arbitrage space for the cross-price spread trading of futures and options. In view of futures and options at different maturities can be found to be highly correlated. And as indicated in previous literature, we can relate the rate of decline of the time value of the option component price spread price of different maturity date to the option of different maturity date. This essay uses empirical methods to test the performance of investment strategies through historical data to test the existence of arbitrage space. In this context, we aim to explore whether the investment strategy consisting of the options in the recent months and the long-term options can earn a time spread. The profit mainly comes from the time value of the recent options. If the price volatility is not large and the time value of the fast-expiring option loses faster than the time-value of the option due later, The time spread can be set to gain profit, but on the contrary, if the weighted index fluctuates too much, this trading strategy will increase losses as the price volatility is too large. Therefore, the trading strategy is risk arbitrage. In view of the effect of volatility on the price of options, the decision of whether to change the grouping of trading strategies according to the theoretical model of reference is made based on strategic performance results.

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