This thesis focuses on developing and analyzing the trading strategies of KOSPI 200 Index call option using differences between historical volatility and implied volatility. First, we found that average investment yield for a year is 20.65% from the volatility day trading using more than 15% volatility differences. This is very useful result when we consider that this yield is calculated after the deduction of trading costs and interest costs. Second, we test null hypothesis “The investment average profits per transaction will be zero.” with t-test. The result of test is that we can reject null hypothesis with 95% confidence interval (critical value:1.96) because t-value is 2.19 when we trade same as above. Third, the yields of ITM(in the money) call option will be the best. Lastly, especially ITM call option, the correlation between volatility differences and investment profits per transaction is very high. The implications of these four conclusions are that the market prices are sometimes overvalued or undervalued compared with Black - Scholes model prices. Therefore, using the BS model price, we may make good profits if we can find good chances of enough volatility differences in the market.
