* Oil
現在日付 2023/6/15
1st Price 69.41 Q
2nd Price 69.50 U
Mothly change/σ -0.2
Next month's average change/σ -0.2
Daily STDEV 1.65
Monthly STDEV 7.11
Monthly expected return 0.83
HV 0.366
HV/σ -0.14
total premium: -1.6
Net Δ 0.6
Net Γ 0.1
Net Λ -26.7
VaR/Balance (V/B) [%] -102.8%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
1.7 2.0 CLOSE1:Call rev cal spread X 1 94.00 -1 1.78 0.34 0.49 82.93 2022/9/8 0
1.5 2.0 CLOSE2:Call rev cal spread Z 1 94.00 1 3.19 0.42 0.49 82.35 2022/9/8 0
1.7 2.1 CLOSE1: X 1 94.00 1 2.59 0.34 0.43 88.79 2022/9/14
1.5 2.1 CLOSE2: Z 1 94.00 -1 4.50 0.42 0.46 88.07 2022/9/14
2.1 2.1 CLOSE3:CallCalSprd X 1 100.00 1 1.27 0.34 0.44 88.79 2022/9/14 0
1.9 2.1 CLOSE4:CallRevCalSprd:CallCalSprd Z 1 100.00 -1 2.79 0.42 0.46 88.07 2022/9/14 0
2.1 2.2 CLOSE3: X 1 100.00 -1 0.28 0.34 0.54 82.69 2022/9/29
1.2 2.2 ROLL:CLOSE5:Naked:CallRevCalSprd: F 1 100.00 1 2.22 1.00 0.50 81.77 2022/9/29 0
1.9 2.3 CLOSE4: Z 1 100.00 1 0.98 0.42 0.50 84.62 2022/10/14
0.3 2.4 CLOSE6:PutRevCalSprd:ROLL G -1 77.00 1 2.59 1.00 0.52 90.20 2022/11/7 0
1.2 2.4 CLOSE5 F 1 100.00 -1 2.58 1.00 0.47 91.41 2022/11/7
0.3 2.5 CLOSE7:PutRevCalSprd: F -1 77.00 -1 1.59 1.00 0.49 85.77 2022/11/11 0
0.3 2.6 CLOSE6: G -1 77.00 -1 3.78 1.00 0.49 80.66 2022/11/30
0.3 2.6 CLOSE7: F -1 77.00 1 1.77 1.00 0.52 80.62 2022/11/30
-0.1 2.6 CLOSE8:Roll_PutRevCalSprd G -1 68.00 -1 1.39 1.00 0.53 80.66 2022/11/30 0
-0.1 2.6 EXPIRED:LongButterflly:RevRatioSprd:Roll_PutRevCalSprd H -1 68.00 1 2.42 1.00 0.53 80.66 2022/11/30 0
-0.1 2.7 CLOSE8: G -1 68.00 1 0.40 1.00 0.46 77.51 2022/12/28 0
0.1 2.7 EXPIRED:LongButterflly:RevRatioSprd: H -1 73.00 -1 2.92 1.00 0.46 77.61 2022/12/28 0
0.9 2.7 CLOSE9:CallRevCalSprd H 1 91.50 -1 1.05 1.00 0.43 77.61 2022/12/28 0
0.9 2.7 Naked:RevRatio:Naked:CallRevCalSprd J 1 91.50 1 2.07 1.00 0.43 77.61 2022/12/28 0
-0.3 1.0 EXPIRED:LongButterflly: H -1 63.00 -1 0.12 1.00 0.55 80.07 2023/1/25 0
0.9 1.0 CLOSE9: H 1 91.50 1 0.29 1.00 0.39 80.07 2023/1/25 0
0.0 1.0 CLOSE10:Role:PutRevCalSprd H -1 69.50 -1 0.40 1.00 0.47 80.07 2023/1/25 0
0.0 1.0 CLOSE10:Role:PutRevCalSprd J -1 69.50 1 1.22 1.00 0.45 80.38 2023/1/25 0
0.7 1.1 CLOSE11:RevRatio: J 1 87.50 -1 0.44 1.00 0.38 73.97 2023/2/6 0
0.0 1.1 CLOSE10: H -1 69.50 1 0.70 1.00 0.51 73.97 2023/2/6
0.0 1.1 CLOSE10: J -1 69.50 -1 2.14 1.00 0.45 73.97 2023/2/6
-0.3 1.1 CLOSE12:Role-PutRevCal J -1 63.00 -1 0.70 1.00 0.47 73.97 2023/2/6 0
-0.3 1.1 EXPIRED:PARTCLOSE:LongButterfly:RevRatio:Role-PutRevCal K -1 63.00 1 1.38 1.00 0.45 74.25 2023/2/6 0
0.6 1.1 CLOSE14:CallRevCal J 1 83.50 -1 0.89 1.00 0.38 73.97 2023/2/6 0
0.6 1.1 CLOSE13:CallRevCal K 1 83.50 1 1.91 1.00 0.37 74.25 2023/2/6 0
0.7 1.2 CLOSE11 J 1 87.50 1 0.13 1.00 0.43 75.02 2023/2/28
-0.3 1.2 CLOSE12: J -1 63.00 1 0.16 1.00 0.52 75.02 2023/2/28
0.6 1.2 CLOSE13: K 1 83.50 -1 1.29 1.00 0.36 75.16 2023/2/28
0.6 1.2 CLOSE14: J 1 83.50 1 0.29 1.00 0.39 75.02 2023/2/28
0.7 1.2 CLOSE15:CallRevCal K 1 86.00 -1 0.87 1.00 0.36 75.16 2023/2/28 0
0.7 1.2 EXPIRED:LongButterfly2:PARTCLOSE2:CallRatio:CallRevCal M 1 86.00 1 1.72 1.00 0.36 75.16 2023/2/28 0
-0.2 1.2 EXPIRED:LongButterfly:RevRatio: K -1 64.00 -1 0.69 1.00 0.41 75.16 2023/2/28 0
-0.3 1.3 EXPIRED:LongButterfly: K -1 62.00 -1 2.02 1.00 0.54 66.82 2023/3/16 0
-0.3 1.3 PARTCLOSE: K -1 63.00 -1 2.33 1.00 0.53 66.82 2023/3/16
0.7 1.3 CLOSE15: K 1 86.00 1 0.18 1.00 0.48 66.82 2023/3/16
0.5 1.3 EXPIRED:LongButterfly2:CallRatio: M 1 82.50 -1 0.92 1.00 0.45 66.67 2023/3/16 0
0.8 1.4 EXPIRED:LongButterfly2: M 1 89.50 -1 1.20 1.00 0.35 80.40 2023/4/3 0
0.7 1.4 PARTCLOSE2: M 1 86.00 -1 2.04 1.00 0.36 80.40 2023/4/3
0.9 1.4 EXPIRED:CallRevCal M 1 91.50 -1 0.88 1.00 0.36 80.40 2023/4/3 0
-0.2 1.6 EXPIRED:PutRevCal M -1 64.00 -1 0.23 1.00 0.49 75.54 2023/4/28 0
-0.4 1.5 Close16::NakedShort M -1 60.50 1 1.36 1.00 1.01 75.54 2023/3/23 0
-0.4 1.6 Close16: M -1 60.50 -1 0.15 1.00 0.57 75.54 2023/4/28
-0.2 1.7 EXPIRED:PutCal M -1 65.50 1 0.21 1.00 0.49 72.71 2023/5/8 0
0.9 1.4 ShortRatio:CallRevCal N 1 91.50 1 1.54 1.00 0.34 80.15 2023/4/3 0
-0.2 1.6 EXPIRED:LongButterfly:PARTCLOS3::PutRevCal N -1 64.00 1 0.79 1.00 0.44 75.36 2023/4/28 0
-0.2 1.7 EXPIRED:LongButterfly:PutCal N -1 65.50 -1 1.18 1.00 0.44 72.71 2023/5/8 0
-0.2 1.8 PARTCLOS3: N -1 64.00 -1 0.80 1.00 0.14 69.41 2023/6/15
-0.3 1.8 EXPIRED:LongButterfly: N -1 62.50 -1 0.61 1.00 0.14 69.41 2023/6/15 0
0.7 1.8 EXPIRED:ShortRatio: N 1 86.00 -1 0.11 1.00 0.09 69.41 2023/6/15 0
0.5 1.8 EXPIRED:CallRevCal N 1 82.00 -1 0.26 1.00 0.09 69.41 2023/6/15 0
1.7 1.8 LongButterfly:PARTCLOSE4:RatioShort:CallRevCal Q 1 82.00 1 0.85 0.09 0.51 69.50 2023/6/15 4
1.6 1.9 LongButterfly:RatioShort: Q 1 81.00 -1 0.61 0.09 0.34 70.22 2023/5/30 2
-1.3 1.9 CLOSE17:PutRevCal-1.5s Q -1 59.50 -1 0.82 0.09 0.46 70.22 2023/5/30 0
-1.0 1.9 RatioShort:PutRevCal-1.5s U -1 59.50 1 1.48 0.17 0.45 70.22 2023/5/30 6
-1.3 2.0 CLOSE17: Q -1 59.50 1 0.38 0.09 0.42 69.41 2023/6/15
-0.9 2.0 RatioShort: U -1 60.00 -1 1.08 0.17 0.41 69.50 2023/6/15 2
1.7 2.0 PARTCLOSE4: Q 1 82.00 -1 0.14 0.09 0.33 69.41 2023/6/15
1.8 2.0 LongButterfly: Q 1 83.00 -1 0.12 0.09 0.34 69.41 2023/6/15 2
Crude oil higher on Chinese optimism; gains hard won
https:/
Investing.com -- Oil prices climbed higher Thursday, bouncing after the previous session’s plunge, helped by substantial demand from Chinese refineries as well as more stimulus from the country’s central bank.
___ GARCH model results review ___
2023年 6月17日 土曜日 14時00分34秒 JST
VolPerSigma : Volatility : Filename : Products
-0.12 : 0.427 : result0.txt : ./Crude Oil WTI Futures Historical Data (7).csv
-0.46 : 0.074 : result6.txt : ./US 10 Year T-Note Futures Historical Data.csv
-0.48 : 0.087 : result5.txt : ./EUR_USD Historical Data.csv
-0.59 : 0.141 : result1.txt : ./Gold Futures Historical Data.csv
-0.82 : 0.270 : result4.txt : ./US Corn Futures Historical Data.csv
-1.84 : 0.130 : result2.txt : ./S&P 500 Futures Historical Data (2).csv
0.23 : 0.242 : result3.txt : ./US Soybeans Futures Historical Data.csv
---
* Oil
現在日付 2023/6/23
1st Price 68.48 Q
2nd Price 68.60 U
Mothly change/σ -0.8
Next month's average change/σ -0.2
Daily STDEV 1.64
Monthly STDEV 7.11
Monthly expected return 0.78
HV 0.404
HV/σ 0.67
total premium: -0.8
Net Δ -0.1
Net Γ 0.0
Net Λ -33.0
VaR/Balance (V/B) [%] -24.7%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
1.8 2.0 CLOSE1:Call rev cal spread X 1 94.00 -1 1.78 0.32 0.49 82.93 2022/9/8 0
1.6 2.0 CLOSE2:Call rev cal spread Z 1 94.00 1 3.19 0.40 0.49 82.35 2022/9/8 0
1.8 2.1 CLOSE1: X 1 94.00 1 2.59 0.32 0.43 88.79 2022/9/14
1.6 2.1 CLOSE2: Z 1 94.00 -1 4.50 0.40 0.46 88.07 2022/9/14
2.3 2.1 CLOSE3:CallCalSprd X 1 100.00 1 1.27 0.32 0.44 88.79 2022/9/14 0
2.0 2.1 CLOSE4:CallRevCalSprd:CallCalSprd Z 1 100.00 -1 2.79 0.40 0.46 88.07 2022/9/14 0
2.3 2.2 CLOSE3: X 1 100.00 -1 0.28 0.32 0.54 82.69 2022/9/29
1.3 2.2 ROLL:CLOSE5:Naked:CallRevCalSprd: F 1 100.00 1 2.22 1.00 0.50 81.77 2022/9/29 0
2.0 2.3 CLOSE4: Z 1 100.00 1 0.98 0.40 0.50 84.62 2022/10/14
0.3 2.4 CLOSE6:PutRevCalSprd:ROLL G -1 77.00 1 2.59 1.00 0.52 90.20 2022/11/7 0
1.3 2.4 CLOSE5 F 1 100.00 -1 2.58 1.00 0.47 91.41 2022/11/7
0.3 2.5 CLOSE7:PutRevCalSprd: F -1 77.00 -1 1.59 1.00 0.49 85.77 2022/11/11 0
0.3 2.6 CLOSE6: G -1 77.00 -1 3.78 1.00 0.49 80.66 2022/11/30
0.3 2.6 CLOSE7: F -1 77.00 1 1.77 1.00 0.52 80.62 2022/11/30
-0.0 2.6 CLOSE8:Roll_PutRevCalSprd G -1 68.00 -1 1.39 1.00 0.53 80.66 2022/11/30 0
-0.0 2.6 EXPIRED:LongButterflly:RevRatioSprd:Roll_PutRevCalSprd H -1 68.00 1 2.42 1.00 0.53 80.66 2022/11/30 0
-0.0 2.7 CLOSE8: G -1 68.00 1 0.40 1.00 0.46 77.51 2022/12/28 0
0.2 2.7 EXPIRED:LongButterflly:RevRatioSprd: H -1 73.00 -1 2.92 1.00 0.46 77.61 2022/12/28 0
0.9 2.7 CLOSE9:CallRevCalSprd H 1 91.50 -1 1.05 1.00 0.43 77.61 2022/12/28 0
0.9 2.7 Naked:RevRatio:Naked:CallRevCalSprd J 1 91.50 1 2.07 1.00 0.43 77.61 2022/12/28 0
-0.2 1.0 EXPIRED:LongButterflly: H -1 63.00 -1 0.12 1.00 0.55 80.07 2023/1/25 0
0.9 1.0 CLOSE9: H 1 91.50 1 0.29 1.00 0.39 80.07 2023/1/25 0
0.0 1.0 CLOSE10:Role:PutRevCalSprd H -1 69.50 -1 0.40 1.00 0.47 80.07 2023/1/25 0
0.0 1.0 CLOSE10:Role:PutRevCalSprd J -1 69.50 1 1.22 1.00 0.45 80.38 2023/1/25 0
0.8 1.1 CLOSE11:RevRatio: J 1 87.50 -1 0.44 1.00 0.38 73.97 2023/2/6 0
0.0 1.1 CLOSE10: H -1 69.50 1 0.70 1.00 0.51 73.97 2023/2/6
0.0 1.1 CLOSE10: J -1 69.50 -1 2.14 1.00 0.45 73.97 2023/2/6
-0.2 1.1 CLOSE12:Role-PutRevCal J -1 63.00 -1 0.70 1.00 0.47 73.97 2023/2/6 0
-0.2 1.1 EXPIRED:PARTCLOSE:LongButterfly:RevRatio:Role-PutRevCal K -1 63.00 1 1.38 1.00 0.45 74.25 2023/2/6 0
0.6 1.1 CLOSE14:CallRevCal J 1 83.50 -1 0.89 1.00 0.38 73.97 2023/2/6 0
0.6 1.1 CLOSE13:CallRevCal K 1 83.50 1 1.91 1.00 0.37 74.25 2023/2/6 0
0.8 1.2 CLOSE11 J 1 87.50 1 0.13 1.00 0.43 75.02 2023/2/28
-0.2 1.2 CLOSE12: J -1 63.00 1 0.16 1.00 0.52 75.02 2023/2/28
0.6 1.2 CLOSE13: K 1 83.50 -1 1.29 1.00 0.36 75.16 2023/2/28
0.6 1.2 CLOSE14: J 1 83.50 1 0.29 1.00 0.39 75.02 2023/2/28
0.7 1.2 CLOSE15:CallRevCal K 1 86.00 -1 0.87 1.00 0.36 75.16 2023/2/28 0
0.7 1.2 EXPIRED:LongButterfly2:PARTCLOSE2:CallRatio:CallRevCal M 1 86.00 1 1.72 1.00 0.36 75.16 2023/2/28 0
-0.2 1.2 EXPIRED:LongButterfly:RevRatio: K -1 64.00 -1 0.69 1.00 0.41 75.16 2023/2/28 0
-0.3 1.3 EXPIRED:LongButterfly: K -1 62.00 -1 2.02 1.00 0.54 66.82 2023/3/16 0
-0.2 1.3 PARTCLOSE: K -1 63.00 -1 2.33 1.00 0.53 66.82 2023/3/16
0.7 1.3 CLOSE15: K 1 86.00 1 0.18 1.00 0.48 66.82 2023/3/16
0.6 1.3 EXPIRED:LongButterfly2:CallRatio: M 1 82.50 -1 0.92 1.00 0.45 66.67 2023/3/16 0
0.8 1.4 EXPIRED:LongButterfly2: M 1 89.50 -1 1.20 1.00 0.35 80.40 2023/4/3 0
0.7 1.4 PARTCLOSE2: M 1 86.00 -1 2.04 1.00 0.36 80.40 2023/4/3
0.9 1.4 EXPIRED:CallRevCal M 1 91.50 -1 0.88 1.00 0.36 80.40 2023/4/3 0
-0.2 1.6 EXPIRED:PutRevCal M -1 64.00 -1 0.23 1.00 0.49 75.54 2023/4/28 0
-0.3 1.5 Close16::NakedShort M -1 60.50 1 1.36 1.00 1.01 75.54 2023/3/23 0
-0.3 1.6 Close16: M -1 60.50 -1 0.15 1.00 0.57 75.54 2023/4/28
-0.1 1.7 EXPIRED:PutCal M -1 65.50 1 0.21 1.00 0.49 72.71 2023/5/8 0
0.9 1.4 ShortRatio:CallRevCal N 1 91.50 1 1.54 1.00 0.34 80.15 2023/4/3 0
-0.2 1.6 EXPIRED:LongButterfly:PARTCLOS3::PutRevCal N -1 64.00 1 0.79 1.00 0.44 75.36 2023/4/28 0
-0.1 1.7 EXPIRED:LongButterfly:PutCal N -1 65.50 -1 1.18 1.00 0.44 72.71 2023/5/8 0
-0.2 1.8 PARTCLOS3: N -1 64.00 -1 0.80 1.00 0.13 68.48 2023/6/23
-0.2 1.8 EXPIRED:LongButterfly: N -1 62.50 -1 0.61 1.00 0.13 68.48 2023/6/23 0
0.7 1.8 EXPIRED:ShortRatio: N 1 86.00 -1 0.11 1.00 0.10 68.48 2023/6/23 0
0.5 1.8 EXPIRED:CallRevCal N 1 82.00 -1 0.26 1.00 0.09 68.48 2023/6/23 0
2.1 1.8 LongButterfly:PARTCLOSE4:RatioShort:CallRevCal Q 1 82.00 1 0.85 0.07 0.63 68.60 2023/6/23 4
2.0 1.9 LongButterfly:RatioShort: Q 1 81.00 -1 0.61 0.07 0.34 70.22 2023/5/30 2
-1.4 1.9 CLOSE17:PutRevCal-1.5s Q -1 59.50 -1 0.82 0.07 0.46 70.22 2023/5/30 0
-0.9 1.9 RevCalSprdVar:RatioShort:PutRevCal-1.5s U -1 59.50 1 1.48 0.15 0.45 70.22 2023/5/30 6
-1.4 2.0 CLOSE17: Q -1 59.50 1 0.38 0.07 0.42 69.41 2023/6/15
-0.9 2.0 RevCalSprdVar:RatioShort: U -1 60.00 -1 1.08 0.15 0.41 69.50 2023/6/15 2
2.1 2.0 PARTCLOSE4: Q 1 82.00 -1 0.02 0.07 0.33 69.41 2023/6/15
2.3 2.0 LongButterfly: Q 1 83.00 -1 0.12 0.07 0.34 69.41 2023/6/15 2
-1.4 2.1 RevCalSprdVar: Q -1 59.50 -1 0.43 0.07 0.47 68.48 2023/6/23 4
1.6 2.1 CallRevCal Q 1 78.50 -1 0.17 0.07 0.34 68.48 2023/6/23 4
1.0 2.1 CallRevCal U 1 78.50 1 0.76 0.15 0.33 68.60 2023/6/23 4
https:/
Crude oil lower; hefty weekly losses likely
Investing.com -- Oil prices retreated Friday, heading for hefty weekly losses, after a series of rate hikes, and the indication of more to come, added to concerns over global economic growth.
ーーー
https:/
Wall St kicks off week on mixed note as rate worries persist
(Reuters) - Wall Street opened mixed on Monday, pressured by investor fears the Federal Reserve's aggressive monetary tightening will hurt the U.S. economy and a decline in Pfizer (NYSE:PFE) after its decision to drop the development of a weight loss drug.
* E-mini S&P500
現在日付 2023/6/26
1st price 4,401.00 month= 9
2nd price 4,401.00 month= 9
Daily extected return 6.73
Daily Stdev 34.24
Monthly expected return 56.33
Monthly Stdev 195.13
Monthly change sigma 0.9
Next month's average sigma 0.8
HV 0.10
HV/σ -1.4
Earned premium 21.35
Net Δ 0.1
Net Γ -0.0
Net Λ -401.6
VaR/Balance (V/B) [%] -15.5%
σ Version Tactics Code C1/P-1 権利行使価格 Sell1/Buy-1 プレミアム(>0) 残存期間 IV Price エントリ日 qty
-0.8 1.0 EXPIRED:1stPutCal K -1 3,830 1 11.00 1.00 0.226 4,127.25 2023/5/5 -
-8.0 1.0 Virt:1stPutCal M -1 3,830 -1 33.00 0.01 0.240 4,163.75 2023/5/5 1
-6.3 1.1 Virt: M -1 3,950 1 20.25 0.01 0.221 4,254.25 2023/5/22 1
1.8 1.2 CallRevCal+1.5s M 1 4,530 -1 1.45 0.01 0.113 4,236.75 2023/5/31 2
0.6 1.2 CLOSE:CallRevCal+1.5s N 1 4,530 1 6.50 0.10 0.101 4,236.75 2023/5/31 0
0.6 1.3 CLOSE: N 1 4,530 -1 12.25 0.10 0.087 4,401.00 2023/6/26
-1.4 1.3 PutRevCal N -1 4,100 -1 11.00 0.10 0.187 4,401.00 2023/6/26 2
-1.0 1.3 PutRevCal Q -1 4,100 1 29.75 0.18 0.192 4,401.00 2023/6/26 2
---
現在日付 2023/6/15
1st Price 69.41 Q
2nd Price 69.50 U
Mothly change/σ -0.2
Next month's average change/σ -0.2
Daily STDEV 1.65
Monthly STDEV 7.11
Monthly expected return 0.83
HV 0.366
HV/σ -0.14
total premium: -1.6
Net Δ 0.6
Net Γ 0.1
Net Λ -26.7
VaR/Balance (V/B) [%] -102.8%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
1.7 2.0 CLOSE1:Call rev cal spread X 1 94.00 -1 1.78 0.34 0.49 82.93 2022/9/8 0
1.5 2.0 CLOSE2:Call rev cal spread Z 1 94.00 1 3.19 0.42 0.49 82.35 2022/9/8 0
1.7 2.1 CLOSE1: X 1 94.00 1 2.59 0.34 0.43 88.79 2022/9/14
1.5 2.1 CLOSE2: Z 1 94.00 -1 4.50 0.42 0.46 88.07 2022/9/14
2.1 2.1 CLOSE3:CallCalSprd X 1 100.00 1 1.27 0.34 0.44 88.79 2022/9/14 0
1.9 2.1 CLOSE4:CallRevCalSprd:CallCalSprd Z 1 100.00 -1 2.79 0.42 0.46 88.07 2022/9/14 0
2.1 2.2 CLOSE3: X 1 100.00 -1 0.28 0.34 0.54 82.69 2022/9/29
1.2 2.2 ROLL:CLOSE5:Naked:CallRevCalSprd: F 1 100.00 1 2.22 1.00 0.50 81.77 2022/9/29 0
1.9 2.3 CLOSE4: Z 1 100.00 1 0.98 0.42 0.50 84.62 2022/10/14
0.3 2.4 CLOSE6:PutRevCalSprd:ROLL G -1 77.00 1 2.59 1.00 0.52 90.20 2022/11/7 0
1.2 2.4 CLOSE5 F 1 100.00 -1 2.58 1.00 0.47 91.41 2022/11/7
0.3 2.5 CLOSE7:PutRevCalSprd: F -1 77.00 -1 1.59 1.00 0.49 85.77 2022/11/11 0
0.3 2.6 CLOSE6: G -1 77.00 -1 3.78 1.00 0.49 80.66 2022/11/30
0.3 2.6 CLOSE7: F -1 77.00 1 1.77 1.00 0.52 80.62 2022/11/30
-0.1 2.6 CLOSE8:Roll_PutRevCalSprd G -1 68.00 -1 1.39 1.00 0.53 80.66 2022/11/30 0
-0.1 2.6 EXPIRED:LongButterflly:RevRatioSprd:Roll_PutRevCalSprd H -1 68.00 1 2.42 1.00 0.53 80.66 2022/11/30 0
-0.1 2.7 CLOSE8: G -1 68.00 1 0.40 1.00 0.46 77.51 2022/12/28 0
0.1 2.7 EXPIRED:LongButterflly:RevRatioSprd: H -1 73.00 -1 2.92 1.00 0.46 77.61 2022/12/28 0
0.9 2.7 CLOSE9:CallRevCalSprd H 1 91.50 -1 1.05 1.00 0.43 77.61 2022/12/28 0
0.9 2.7 Naked:RevRatio:Naked:CallRevCalSprd J 1 91.50 1 2.07 1.00 0.43 77.61 2022/12/28 0
-0.3 1.0 EXPIRED:LongButterflly: H -1 63.00 -1 0.12 1.00 0.55 80.07 2023/1/25 0
0.9 1.0 CLOSE9: H 1 91.50 1 0.29 1.00 0.39 80.07 2023/1/25 0
0.0 1.0 CLOSE10:Role:PutRevCalSprd H -1 69.50 -1 0.40 1.00 0.47 80.07 2023/1/25 0
0.0 1.0 CLOSE10:Role:PutRevCalSprd J -1 69.50 1 1.22 1.00 0.45 80.38 2023/1/25 0
0.7 1.1 CLOSE11:RevRatio: J 1 87.50 -1 0.44 1.00 0.38 73.97 2023/2/6 0
0.0 1.1 CLOSE10: H -1 69.50 1 0.70 1.00 0.51 73.97 2023/2/6
0.0 1.1 CLOSE10: J -1 69.50 -1 2.14 1.00 0.45 73.97 2023/2/6
-0.3 1.1 CLOSE12:Role-PutRevCal J -1 63.00 -1 0.70 1.00 0.47 73.97 2023/2/6 0
-0.3 1.1 EXPIRED:PARTCLOSE:LongButterfly:RevRatio:Role-PutRevCal K -1 63.00 1 1.38 1.00 0.45 74.25 2023/2/6 0
0.6 1.1 CLOSE14:CallRevCal J 1 83.50 -1 0.89 1.00 0.38 73.97 2023/2/6 0
0.6 1.1 CLOSE13:CallRevCal K 1 83.50 1 1.91 1.00 0.37 74.25 2023/2/6 0
0.7 1.2 CLOSE11 J 1 87.50 1 0.13 1.00 0.43 75.02 2023/2/28
-0.3 1.2 CLOSE12: J -1 63.00 1 0.16 1.00 0.52 75.02 2023/2/28
0.6 1.2 CLOSE13: K 1 83.50 -1 1.29 1.00 0.36 75.16 2023/2/28
0.6 1.2 CLOSE14: J 1 83.50 1 0.29 1.00 0.39 75.02 2023/2/28
0.7 1.2 CLOSE15:CallRevCal K 1 86.00 -1 0.87 1.00 0.36 75.16 2023/2/28 0
0.7 1.2 EXPIRED:LongButterfly2:PARTCLOSE2:CallRatio:CallRevCal M 1 86.00 1 1.72 1.00 0.36 75.16 2023/2/28 0
-0.2 1.2 EXPIRED:LongButterfly:RevRatio: K -1 64.00 -1 0.69 1.00 0.41 75.16 2023/2/28 0
-0.3 1.3 EXPIRED:LongButterfly: K -1 62.00 -1 2.02 1.00 0.54 66.82 2023/3/16 0
-0.3 1.3 PARTCLOSE: K -1 63.00 -1 2.33 1.00 0.53 66.82 2023/3/16
0.7 1.3 CLOSE15: K 1 86.00 1 0.18 1.00 0.48 66.82 2023/3/16
0.5 1.3 EXPIRED:LongButterfly2:CallRatio: M 1 82.50 -1 0.92 1.00 0.45 66.67 2023/3/16 0
0.8 1.4 EXPIRED:LongButterfly2: M 1 89.50 -1 1.20 1.00 0.35 80.40 2023/4/3 0
0.7 1.4 PARTCLOSE2: M 1 86.00 -1 2.04 1.00 0.36 80.40 2023/4/3
0.9 1.4 EXPIRED:CallRevCal M 1 91.50 -1 0.88 1.00 0.36 80.40 2023/4/3 0
-0.2 1.6 EXPIRED:PutRevCal M -1 64.00 -1 0.23 1.00 0.49 75.54 2023/4/28 0
-0.4 1.5 Close16::NakedShort M -1 60.50 1 1.36 1.00 1.01 75.54 2023/3/23 0
-0.4 1.6 Close16: M -1 60.50 -1 0.15 1.00 0.57 75.54 2023/4/28
-0.2 1.7 EXPIRED:PutCal M -1 65.50 1 0.21 1.00 0.49 72.71 2023/5/8 0
0.9 1.4 ShortRatio:CallRevCal N 1 91.50 1 1.54 1.00 0.34 80.15 2023/4/3 0
-0.2 1.6 EXPIRED:LongButterfly:PARTCLOS3::PutRevCal N -1 64.00 1 0.79 1.00 0.44 75.36 2023/4/28 0
-0.2 1.7 EXPIRED:LongButterfly:PutCal N -1 65.50 -1 1.18 1.00 0.44 72.71 2023/5/8 0
-0.2 1.8 PARTCLOS3: N -1 64.00 -1 0.80 1.00 0.14 69.41 2023/6/15
-0.3 1.8 EXPIRED:LongButterfly: N -1 62.50 -1 0.61 1.00 0.14 69.41 2023/6/15 0
0.7 1.8 EXPIRED:ShortRatio: N 1 86.00 -1 0.11 1.00 0.09 69.41 2023/6/15 0
0.5 1.8 EXPIRED:CallRevCal N 1 82.00 -1 0.26 1.00 0.09 69.41 2023/6/15 0
1.7 1.8 LongButterfly:PARTCLOSE4:RatioShort:CallRevCal Q 1 82.00 1 0.85 0.09 0.51 69.50 2023/6/15 4
1.6 1.9 LongButterfly:RatioShort: Q 1 81.00 -1 0.61 0.09 0.34 70.22 2023/5/30 2
-1.3 1.9 CLOSE17:PutRevCal-1.5s Q -1 59.50 -1 0.82 0.09 0.46 70.22 2023/5/30 0
-1.0 1.9 RatioShort:PutRevCal-1.5s U -1 59.50 1 1.48 0.17 0.45 70.22 2023/5/30 6
-1.3 2.0 CLOSE17: Q -1 59.50 1 0.38 0.09 0.42 69.41 2023/6/15
-0.9 2.0 RatioShort: U -1 60.00 -1 1.08 0.17 0.41 69.50 2023/6/15 2
1.7 2.0 PARTCLOSE4: Q 1 82.00 -1 0.14 0.09 0.33 69.41 2023/6/15
1.8 2.0 LongButterfly: Q 1 83.00 -1 0.12 0.09 0.34 69.41 2023/6/15 2
Crude oil higher on Chinese optimism; gains hard won
https:/
Investing.com -- Oil prices climbed higher Thursday, bouncing after the previous session’s plunge, helped by substantial demand from Chinese refineries as well as more stimulus from the country’s central bank.
___ GARCH model results review ___
2023年 6月17日 土曜日 14時00分34秒 JST
VolPerSigma : Volatility : Filename : Products
-0.12 : 0.427 : result0.txt : ./Crude Oil WTI Futures Historical Data (7).csv
-0.46 : 0.074 : result6.txt : ./US 10 Year T-Note Futures Historical Data.csv
-0.48 : 0.087 : result5.txt : ./EUR_USD Historical Data.csv
-0.59 : 0.141 : result1.txt : ./Gold Futures Historical Data.csv
-0.82 : 0.270 : result4.txt : ./US Corn Futures Historical Data.csv
-1.84 : 0.130 : result2.txt : ./S&P 500 Futures Historical Data (2).csv
0.23 : 0.242 : result3.txt : ./US Soybeans Futures Historical Data.csv
---
* Oil
現在日付 2023/6/23
1st Price 68.48 Q
2nd Price 68.60 U
Mothly change/σ -0.8
Next month's average change/σ -0.2
Daily STDEV 1.64
Monthly STDEV 7.11
Monthly expected return 0.78
HV 0.404
HV/σ 0.67
total premium: -0.8
Net Δ -0.1
Net Γ 0.0
Net Λ -33.0
VaR/Balance (V/B) [%] -24.7%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
1.8 2.0 CLOSE1:Call rev cal spread X 1 94.00 -1 1.78 0.32 0.49 82.93 2022/9/8 0
1.6 2.0 CLOSE2:Call rev cal spread Z 1 94.00 1 3.19 0.40 0.49 82.35 2022/9/8 0
1.8 2.1 CLOSE1: X 1 94.00 1 2.59 0.32 0.43 88.79 2022/9/14
1.6 2.1 CLOSE2: Z 1 94.00 -1 4.50 0.40 0.46 88.07 2022/9/14
2.3 2.1 CLOSE3:CallCalSprd X 1 100.00 1 1.27 0.32 0.44 88.79 2022/9/14 0
2.0 2.1 CLOSE4:CallRevCalSprd:CallCalSprd Z 1 100.00 -1 2.79 0.40 0.46 88.07 2022/9/14 0
2.3 2.2 CLOSE3: X 1 100.00 -1 0.28 0.32 0.54 82.69 2022/9/29
1.3 2.2 ROLL:CLOSE5:Naked:CallRevCalSprd: F 1 100.00 1 2.22 1.00 0.50 81.77 2022/9/29 0
2.0 2.3 CLOSE4: Z 1 100.00 1 0.98 0.40 0.50 84.62 2022/10/14
0.3 2.4 CLOSE6:PutRevCalSprd:ROLL G -1 77.00 1 2.59 1.00 0.52 90.20 2022/11/7 0
1.3 2.4 CLOSE5 F 1 100.00 -1 2.58 1.00 0.47 91.41 2022/11/7
0.3 2.5 CLOSE7:PutRevCalSprd: F -1 77.00 -1 1.59 1.00 0.49 85.77 2022/11/11 0
0.3 2.6 CLOSE6: G -1 77.00 -1 3.78 1.00 0.49 80.66 2022/11/30
0.3 2.6 CLOSE7: F -1 77.00 1 1.77 1.00 0.52 80.62 2022/11/30
-0.0 2.6 CLOSE8:Roll_PutRevCalSprd G -1 68.00 -1 1.39 1.00 0.53 80.66 2022/11/30 0
-0.0 2.6 EXPIRED:LongButterflly:RevRatioSprd:Roll_PutRevCalSprd H -1 68.00 1 2.42 1.00 0.53 80.66 2022/11/30 0
-0.0 2.7 CLOSE8: G -1 68.00 1 0.40 1.00 0.46 77.51 2022/12/28 0
0.2 2.7 EXPIRED:LongButterflly:RevRatioSprd: H -1 73.00 -1 2.92 1.00 0.46 77.61 2022/12/28 0
0.9 2.7 CLOSE9:CallRevCalSprd H 1 91.50 -1 1.05 1.00 0.43 77.61 2022/12/28 0
0.9 2.7 Naked:RevRatio:Naked:CallRevCalSprd J 1 91.50 1 2.07 1.00 0.43 77.61 2022/12/28 0
-0.2 1.0 EXPIRED:LongButterflly: H -1 63.00 -1 0.12 1.00 0.55 80.07 2023/1/25 0
0.9 1.0 CLOSE9: H 1 91.50 1 0.29 1.00 0.39 80.07 2023/1/25 0
0.0 1.0 CLOSE10:Role:PutRevCalSprd H -1 69.50 -1 0.40 1.00 0.47 80.07 2023/1/25 0
0.0 1.0 CLOSE10:Role:PutRevCalSprd J -1 69.50 1 1.22 1.00 0.45 80.38 2023/1/25 0
0.8 1.1 CLOSE11:RevRatio: J 1 87.50 -1 0.44 1.00 0.38 73.97 2023/2/6 0
0.0 1.1 CLOSE10: H -1 69.50 1 0.70 1.00 0.51 73.97 2023/2/6
0.0 1.1 CLOSE10: J -1 69.50 -1 2.14 1.00 0.45 73.97 2023/2/6
-0.2 1.1 CLOSE12:Role-PutRevCal J -1 63.00 -1 0.70 1.00 0.47 73.97 2023/2/6 0
-0.2 1.1 EXPIRED:PARTCLOSE:LongButterfly:RevRatio:Role-PutRevCal K -1 63.00 1 1.38 1.00 0.45 74.25 2023/2/6 0
0.6 1.1 CLOSE14:CallRevCal J 1 83.50 -1 0.89 1.00 0.38 73.97 2023/2/6 0
0.6 1.1 CLOSE13:CallRevCal K 1 83.50 1 1.91 1.00 0.37 74.25 2023/2/6 0
0.8 1.2 CLOSE11 J 1 87.50 1 0.13 1.00 0.43 75.02 2023/2/28
-0.2 1.2 CLOSE12: J -1 63.00 1 0.16 1.00 0.52 75.02 2023/2/28
0.6 1.2 CLOSE13: K 1 83.50 -1 1.29 1.00 0.36 75.16 2023/2/28
0.6 1.2 CLOSE14: J 1 83.50 1 0.29 1.00 0.39 75.02 2023/2/28
0.7 1.2 CLOSE15:CallRevCal K 1 86.00 -1 0.87 1.00 0.36 75.16 2023/2/28 0
0.7 1.2 EXPIRED:LongButterfly2:PARTCLOSE2:CallRatio:CallRevCal M 1 86.00 1 1.72 1.00 0.36 75.16 2023/2/28 0
-0.2 1.2 EXPIRED:LongButterfly:RevRatio: K -1 64.00 -1 0.69 1.00 0.41 75.16 2023/2/28 0
-0.3 1.3 EXPIRED:LongButterfly: K -1 62.00 -1 2.02 1.00 0.54 66.82 2023/3/16 0
-0.2 1.3 PARTCLOSE: K -1 63.00 -1 2.33 1.00 0.53 66.82 2023/3/16
0.7 1.3 CLOSE15: K 1 86.00 1 0.18 1.00 0.48 66.82 2023/3/16
0.6 1.3 EXPIRED:LongButterfly2:CallRatio: M 1 82.50 -1 0.92 1.00 0.45 66.67 2023/3/16 0
0.8 1.4 EXPIRED:LongButterfly2: M 1 89.50 -1 1.20 1.00 0.35 80.40 2023/4/3 0
0.7 1.4 PARTCLOSE2: M 1 86.00 -1 2.04 1.00 0.36 80.40 2023/4/3
0.9 1.4 EXPIRED:CallRevCal M 1 91.50 -1 0.88 1.00 0.36 80.40 2023/4/3 0
-0.2 1.6 EXPIRED:PutRevCal M -1 64.00 -1 0.23 1.00 0.49 75.54 2023/4/28 0
-0.3 1.5 Close16::NakedShort M -1 60.50 1 1.36 1.00 1.01 75.54 2023/3/23 0
-0.3 1.6 Close16: M -1 60.50 -1 0.15 1.00 0.57 75.54 2023/4/28
-0.1 1.7 EXPIRED:PutCal M -1 65.50 1 0.21 1.00 0.49 72.71 2023/5/8 0
0.9 1.4 ShortRatio:CallRevCal N 1 91.50 1 1.54 1.00 0.34 80.15 2023/4/3 0
-0.2 1.6 EXPIRED:LongButterfly:PARTCLOS3::PutRevCal N -1 64.00 1 0.79 1.00 0.44 75.36 2023/4/28 0
-0.1 1.7 EXPIRED:LongButterfly:PutCal N -1 65.50 -1 1.18 1.00 0.44 72.71 2023/5/8 0
-0.2 1.8 PARTCLOS3: N -1 64.00 -1 0.80 1.00 0.13 68.48 2023/6/23
-0.2 1.8 EXPIRED:LongButterfly: N -1 62.50 -1 0.61 1.00 0.13 68.48 2023/6/23 0
0.7 1.8 EXPIRED:ShortRatio: N 1 86.00 -1 0.11 1.00 0.10 68.48 2023/6/23 0
0.5 1.8 EXPIRED:CallRevCal N 1 82.00 -1 0.26 1.00 0.09 68.48 2023/6/23 0
2.1 1.8 LongButterfly:PARTCLOSE4:RatioShort:CallRevCal Q 1 82.00 1 0.85 0.07 0.63 68.60 2023/6/23 4
2.0 1.9 LongButterfly:RatioShort: Q 1 81.00 -1 0.61 0.07 0.34 70.22 2023/5/30 2
-1.4 1.9 CLOSE17:PutRevCal-1.5s Q -1 59.50 -1 0.82 0.07 0.46 70.22 2023/5/30 0
-0.9 1.9 RevCalSprdVar:RatioShort:PutRevCal-1.5s U -1 59.50 1 1.48 0.15 0.45 70.22 2023/5/30 6
-1.4 2.0 CLOSE17: Q -1 59.50 1 0.38 0.07 0.42 69.41 2023/6/15
-0.9 2.0 RevCalSprdVar:RatioShort: U -1 60.00 -1 1.08 0.15 0.41 69.50 2023/6/15 2
2.1 2.0 PARTCLOSE4: Q 1 82.00 -1 0.02 0.07 0.33 69.41 2023/6/15
2.3 2.0 LongButterfly: Q 1 83.00 -1 0.12 0.07 0.34 69.41 2023/6/15 2
-1.4 2.1 RevCalSprdVar: Q -1 59.50 -1 0.43 0.07 0.47 68.48 2023/6/23 4
1.6 2.1 CallRevCal Q 1 78.50 -1 0.17 0.07 0.34 68.48 2023/6/23 4
1.0 2.1 CallRevCal U 1 78.50 1 0.76 0.15 0.33 68.60 2023/6/23 4
https:/
Crude oil lower; hefty weekly losses likely
Investing.com -- Oil prices retreated Friday, heading for hefty weekly losses, after a series of rate hikes, and the indication of more to come, added to concerns over global economic growth.
ーーー
https:/
Wall St kicks off week on mixed note as rate worries persist
(Reuters) - Wall Street opened mixed on Monday, pressured by investor fears the Federal Reserve's aggressive monetary tightening will hurt the U.S. economy and a decline in Pfizer (NYSE:PFE) after its decision to drop the development of a weight loss drug.
* E-mini S&P500
現在日付 2023/6/26
1st price 4,401.00 month= 9
2nd price 4,401.00 month= 9
Daily extected return 6.73
Daily Stdev 34.24
Monthly expected return 56.33
Monthly Stdev 195.13
Monthly change sigma 0.9
Next month's average sigma 0.8
HV 0.10
HV/σ -1.4
Earned premium 21.35
Net Δ 0.1
Net Γ -0.0
Net Λ -401.6
VaR/Balance (V/B) [%] -15.5%
σ Version Tactics Code C1/P-1 権利行使価格 Sell1/Buy-1 プレミアム(>0) 残存期間 IV Price エントリ日 qty
-0.8 1.0 EXPIRED:1stPutCal K -1 3,830 1 11.00 1.00 0.226 4,127.25 2023/5/5 -
-8.0 1.0 Virt:1stPutCal M -1 3,830 -1 33.00 0.01 0.240 4,163.75 2023/5/5 1
-6.3 1.1 Virt: M -1 3,950 1 20.25 0.01 0.221 4,254.25 2023/5/22 1
1.8 1.2 CallRevCal+1.5s M 1 4,530 -1 1.45 0.01 0.113 4,236.75 2023/5/31 2
0.6 1.2 CLOSE:CallRevCal+1.5s N 1 4,530 1 6.50 0.10 0.101 4,236.75 2023/5/31 0
0.6 1.3 CLOSE: N 1 4,530 -1 12.25 0.10 0.087 4,401.00 2023/6/26
-1.4 1.3 PutRevCal N -1 4,100 -1 11.00 0.10 0.187 4,401.00 2023/6/26 2
-1.0 1.3 PutRevCal Q -1 4,100 1 29.75 0.18 0.192 4,401.00 2023/6/26 2
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