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Oil steadies as market digests supply and demand outlook
U.S. West Texas Intermediate crude was 19 cents down to $71.6 after rising by 2.9% in post-holiday trade on Wednesday to catch up with Brent's gains earlier in the week.
The market has been expecting interest rates in the U.S. and Europe to rise further to tame stubbornly high inflation while fears of a global recession have been heightened by recent surveys showing that factory and services activity in China and Europe has slowed.
Minutes released on Wednesday showed that a united U.S. central bank agreed to hold rates steady at its June meeting to buy time and assess the need for further hikes, even though most attendees expected they would eventually need to tighten policy further.
On the supply side, top oil exporters Saudi Arabia and Russia announced a fresh round of output cuts for August. The total cuts now stand at more than five million barrels per day (bpd), equating to 5% of global oil output.
* Oil
現在日付 2023/7/6
1st Price 71.63 U
2nd Price 71.42 V
Mothly change/σ -0.0
Next month's average change/σ -0.6
Daily STDEV 1.64
Monthly STDEV 7.09
Monthly expected return 0.78
HV 0.357
HV/σ -0.71
total premium: -0.6
Net Δ -0.4
Net Γ 0.0
Net Λ -43.8
VaR/Balance (V/B) [%] -21.6%
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 0.28 0.49 82.93 2022/9/8 0
1.5 2.0 CLOSE2:Call rev cal spread Z 1 94.00 1 3.19 0.36 0.49 82.35 2022/9/8 0
1.7 2.1 CLOSE1: X 1 94.00 1 2.59 0.28 0.43 88.79 2022/9/14
1.5 2.1 CLOSE2: Z 1 94.00 -1 4.50 0.36 0.46 88.07 2022/9/14
2.2 2.1 CLOSE3:CallCalSprd X 1 100.00 1 1.27 0.28 0.44 88.79 2022/9/14 0
1.9 2.1 CLOSE4:CallRevCalSprd:CallCalSprd Z 1 100.00 -1 2.79 0.36 0.46 88.07 2022/9/14 0
2.2 2.2 CLOSE3: X 1 100.00 -1 0.28 0.28 0.54 82.69 2022/9/29
1.1 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 0.36 0.50 84.62 2022/10/14
0.2 2.4 CLOSE6:PutRevCalSprd:ROLL G -1 77.00 1 2.59 1.00 0.52 90.20 2022/11/7 0
1.1 2.4 CLOSE5 F 1 100.00 -1 2.58 1.00 0.47 91.41 2022/11/7
0.2 2.5 CLOSE7:PutRevCalSprd: F -1 77.00 -1 1.59 1.00 0.49 85.77 2022/11/11 0
0.2 2.6 CLOSE6: G -1 77.00 -1 3.78 1.00 0.49 80.66 2022/11/30
0.2 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
0.8 2.7 CLOSE9:CallRevCalSprd H 1 91.50 -1 1.05 1.00 0.43 77.61 2022/12/28 0
0.8 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
0.8 1.0 CLOSE9: H 1 91.50 1 0.29 1.00 0.39 80.07 2023/1/25 0
-0.1 1.0 CLOSE10:Role:PutRevCalSprd H -1 69.50 -1 0.40 1.00 0.47 80.07 2023/1/25 0
-0.1 1.0 CLOSE10:Role:PutRevCalSprd J -1 69.50 1 1.22 1.00 0.45 80.38 2023/1/25 0
0.6 1.1 CLOSE11:RevRatio: J 1 87.50 -1 0.44 1.00 0.38 73.97 2023/2/6 0
-0.1 1.1 CLOSE10: H -1 69.50 1 0.70 1.00 0.51 73.97 2023/2/6
-0.1 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
0.5 1.1 CLOSE14:CallRevCal J 1 83.50 -1 0.89 1.00 0.38 73.97 2023/2/6 0
0.5 1.1 CLOSE13:CallRevCal K 1 83.50 1 1.91 1.00 0.37 74.25 2023/2/6 0
0.6 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
0.5 1.2 CLOSE13: K 1 83.50 -1 1.29 1.00 0.36 75.16 2023/2/28
0.5 1.2 CLOSE14: J 1 83.50 1 0.29 1.00 0.39 75.02 2023/2/28
0.6 1.2 CLOSE15:CallRevCal K 1 86.00 -1 0.87 1.00 0.36 75.16 2023/2/28 0
0.6 1.2 EXPIRED:LongButterfly2:PARTCLOSE2:CallRatio:CallRevCal M 1 86.00 1 1.72 1.00 0.36 75.16 2023/2/28 0
-0.3 1.2 EXPIRED:LongButterfly:RevRatio: K -1 64.00 -1 0.69 1.00 0.41 75.16 2023/2/28 0
-0.4 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
0.6 1.3 CLOSE15: K 1 86.00 1 0.18 1.00 0.48 66.82 2023/3/16
0.4 1.3 EXPIRED:LongButterfly2:CallRatio: M 1 82.50 -1 0.92 1.00 0.45 66.67 2023/3/16 0
0.7 1.4 EXPIRED:LongButterfly2: M 1 89.50 -1 1.20 1.00 0.35 80.40 2023/4/3 0
0.6 1.4 PARTCLOSE2: M 1 86.00 -1 2.04 1.00 0.36 80.40 2023/4/3
0.8 1.4 EXPIRED:CallRevCal M 1 91.50 -1 0.88 1.00 0.36 80.40 2023/4/3 0
-0.3 1.6 EXPIRED:PutRevCal M -1 64.00 -1 0.23 1.00 0.49 75.54 2023/4/28 0
-0.5 1.5 Close16::NakedShort M -1 60.50 1 1.36 1.00 1.01 75.54 2023/3/23 0
-0.5 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
0.8 1.4 ShortRatio:CallRevCal N 1 91.50 1 1.54 1.00 0.34 80.15 2023/4/3 0
-0.3 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
-0.3 1.8 PARTCLOS3: N -1 64.00 -1 0.80 1.00 0.16 71.63 2023/7/6
-0.4 1.8 EXPIRED:LongButterfly: N -1 62.50 -1 0.61 1.00 0.16 71.63 2023/7/6 0
0.6 1.8 EXPIRED:ShortRatio: N 1 86.00 -1 0.11 1.00 0.08 71.63 2023/7/6 0
0.4 1.8 EXPIRED:CallRevCal N 1 82.00 -1 0.26 1.00 0.07 71.63 2023/7/6 0
2.4 1.8 LongButterfly:PARTCLOSE4:RatioShort:CallRevCal Q 1 82.00 1 0.85 0.03 0.78 71.42 2023/7/6 4
2.2 1.9 LongButterfly:RatioShort: Q 1 81.00 -1 0.61 0.03 0.34 70.22 2023/5/30 2
-2.8 1.9 CLOSE17:PutRevCal-1.5s Q -1 59.50 -1 0.82 0.03 0.46 70.22 2023/5/30 0
-1.4 1.9 RevCalSprdVar:RatioShort:PutRevCal-1.5s U -1 59.50 1 1.48 0.12 0.45 70.22 2023/5/30 6
-2.8 2.0 CLOSE17: Q -1 59.50 1 0.38 0.03 0.42 69.41 2023/6/15
-1.4 2.0 RevCalSprdVar:RatioShort: U -1 60.00 -1 1.08 0.12 0.41 69.50 2023/6/15 2
2.4 2.0 PARTCLOSE4: Q 1 82.00 -1 0.01 0.03 0.33 69.41 2023/6/15
2.6 2.0 LongButterfly: Q 1 83.00 -1 0.12 0.03 0.34 69.41 2023/6/15 2
-2.8 2.1 RevCalSprdVar: Q -1 59.50 -1 0.43 0.03 0.47 68.48 2023/6/23 4
1.6 2.1 CallRevCal Q 1 78.50 -1 0.17 0.03 0.34 68.48 2023/6/23 4
0.8 2.1 ROLE:CLOSE18:CallRevCal U 1 78.50 1 0.76 0.12 0.33 68.60 2023/6/23 0
0.8 2.2 CLOSE18: U 1 78.50 -1 0.93 0.12 0.31 71.63 2023/7/6
0.9 2.2 ROLE: V 1 81.50 1 0.99 0.19 0.30 71.42 2023/7/6 4
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Crude oil lower; Weak Chinese inflation data hits sentiment
Weak Chinese inflation prompts demand concerns
China's factory-gate prices fell at the fastest pace in more than seven years in June, government data showed on Monday, while consumer prices were flat on the year, the slowest since 2021.
These figures are the latest to point to a very sluggish recovery in the world's second-largest economy from the ravages of the COVID pandemic.
This is especially disappointing as increases in demand from China were meant to balance out a slowdown in activity in the western economies as their central banks tightened monetary policy in order to combat inflation.
* Oil
現在日付 2023/7/10
1st Price 73.65 U
2nd Price 73.36 V
Mothly change/σ 0.9
Next month's average change/σ -0.6
Daily STDEV 1.63
Monthly STDEV 7.11
Monthly expected return 0.83
HV 0.299
HV/σ -2.25
total premium: 0.0
Net Δ 0.4
Net Γ -0.2
Net Λ -33.0
VaR/Balance (V/B) [%] -33.8%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty Intial qty
1.6 2.0 CLOSE1:Call rev cal spread X 1 94.00 -1 1.78 0.27 0.49 82.93 2022/9/8 0 1
1.4 2.0 CLOSE2:Call rev cal spread Z 1 94.00 1 3.19 0.35 0.49 82.35 2022/9/8 0 1
1.6 2.1 CLOSE1: X 1 94.00 1 2.59 0.27 0.43 88.79 2022/9/14 1
1.4 2.1 CLOSE2: Z 1 94.00 -1 4.50 0.35 0.46 88.07 2022/9/14 1
2.0 2.1 CLOSE3:CallCalSprd X 1 100.00 1 1.27 0.27 0.44 88.79 2022/9/14 0 1
1.8 2.1 CLOSE4:CallRevCalSprd:CallCalSprd Z 1 100.00 -1 2.79 0.35 0.46 88.07 2022/9/14 0 1
2.0 2.2 CLOSE3: X 1 100.00 -1 0.28 0.27 0.54 82.69 2022/9/29 1
1.1 2.2 ROLL:CLOSE5:Naked:CallRevCalSprd: F 1 100.00 1 2.22 1.00 0.50 81.77 2022/9/29 0 1
1.8 2.3 CLOSE4: Z 1 100.00 1 0.98 0.35 0.50 84.62 2022/10/14 1
0.1 2.4 CLOSE6:PutRevCalSprd:ROLL G -1 77.00 1 2.59 1.00 0.52 90.20 2022/11/7 0 1
1.1 2.4 CLOSE5 F 1 100.00 -1 2.58 1.00 0.47 91.41 2022/11/7 1
0.1 2.5 CLOSE7:PutRevCalSprd: F -1 77.00 -1 1.59 1.00 0.49 85.77 2022/11/11 0 1
0.1 2.6 CLOSE6: G -1 77.00 -1 3.78 1.00 0.49 80.66 2022/11/30 1
0.1 2.6 CLOSE7: F -1 77.00 1 1.77 1.00 0.52 80.62 2022/11/30 1
-0.2 2.6 CLOSE8:Roll_PutRevCalSprd G -1 68.00 -1 1.39 1.00 0.53 80.66 2022/11/30 0 2
-0.2 2.6 EXPIRED:LongButterflly:RevRatioSprd:Roll_PutRevCalSprd H -1 68.00 1 2.42 1.00 0.53 80.66 2022/11/30 0 2
-0.2 2.7 CLOSE8: G -1 68.00 1 0.40 1.00 0.46 77.51 2022/12/28 0 2
-0.0 2.7 EXPIRED:LongButterflly:RevRatioSprd: H -1 73.00 -1 2.92 1.00 0.46 77.61 2022/12/28 0 1
0.7 2.7 CLOSE9:CallRevCalSprd H 1 91.50 -1 1.05 1.00 0.43 77.61 2022/12/28 0 2
0.7 2.7 Naked:RevRatio:Naked:CallRevCalSprd J 1 91.50 1 2.07 1.00 0.43 77.61 2022/12/28 0 2
-0.4 1.0 EXPIRED:LongButterflly: H -1 63.00 -1 0.12 1.00 0.55 80.07 2023/1/25 0 1
0.7 1.0 CLOSE9: H 1 91.50 1 0.29 1.00 0.39 80.07 2023/1/25 0 2
-0.2 1.0 CLOSE10:Role:PutRevCalSprd H -1 69.50 -1 0.40 1.00 0.47 80.07 2023/1/25 0 2
-0.2 1.0 CLOSE10:Role:PutRevCalSprd J -1 69.50 1 1.22 1.00 0.45 80.38 2023/1/25 0 2
0.6 1.1 CLOSE11:RevRatio: J 1 87.50 -1 0.44 1.00 0.38 73.97 2023/2/6 0 1
-0.2 1.1 CLOSE10: H -1 69.50 1 0.70 1.00 0.51 73.97 2023/2/6 2
-0.2 1.1 CLOSE10: J -1 69.50 -1 2.14 1.00 0.45 73.97 2023/2/6 2
-0.4 1.1 CLOSE12:Role-PutRevCal J -1 63.00 -1 0.70 1.00 0.47 73.97 2023/2/6 0 4
-0.4 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 4
0.4 1.1 CLOSE14:CallRevCal J 1 83.50 -1 0.89 1.00 0.38 73.97 2023/2/6 0 2
0.4 1.1 CLOSE13:CallRevCal K 1 83.50 1 1.91 1.00 0.37 74.25 2023/2/6 0 2
0.6 1.2 CLOSE11 J 1 87.50 1 0.13 1.00 0.43 75.02 2023/2/28 1
-0.4 1.2 CLOSE12: J -1 63.00 1 0.16 1.00 0.52 75.02 2023/2/28 4
0.4 1.2 CLOSE13: K 1 83.50 -1 1.29 1.00 0.36 75.16 2023/2/28 2
0.4 1.2 CLOSE14: J 1 83.50 1 0.29 1.00 0.39 75.02 2023/2/28 2
0.5 1.2 CLOSE15:CallRevCal K 1 86.00 -1 0.87 1.00 0.36 75.16 2023/2/28 0 3
0.5 1.2 EXPIRED:LongButterfly2:PARTCLOSE2:CallRatio:CallRevCal M 1 86.00 1 1.72 1.00 0.36 75.16 2023/2/28 0 3
-0.4 1.2 EXPIRED:LongButterfly:RevRatio: K -1 64.00 -1 0.69 1.00 0.41 75.16 2023/2/28 0 1
-0.5 1.3 EXPIRED:LongButterfly: K -1 62.00 -1 2.02 1.00 0.54 66.82 2023/3/16 0 1
-0.4 1.3 PARTCLOSE: K -1 63.00 -1 2.33 1.00 0.53 66.82 2023/3/16 2
0.5 1.3 CLOSE15: K 1 86.00 1 0.18 1.00 0.48 66.82 2023/3/16 3
0.4 1.3 EXPIRED:LongButterfly2:CallRatio: M 1 82.50 -1 0.92 1.00 0.45 66.67 2023/3/16 0 1
0.6 1.4 EXPIRED:LongButterfly2: M 1 89.50 -1 1.20 1.00 0.35 80.40 2023/4/3 0 1
0.5 1.4 PARTCLOSE2: M 1 86.00 -1 2.04 1.00 0.36 80.40 2023/4/3 1
0.7 1.4 EXPIRED:CallRevCal M 1 91.50 -1 0.88 1.00 0.36 80.40 2023/4/3 0 5
-0.4 1.6 EXPIRED:PutRevCal M -1 64.00 -1 0.23 1.00 0.49 75.54 2023/4/28 0 3
-0.5 1.5 Close16::NakedShort M -1 60.50 1 1.36 1.00 1.01 75.54 2023/3/23 0 3
-0.5 1.6 Close16: M -1 60.50 -1 0.15 1.00 0.57 75.54 2023/4/28 3
-0.3 1.7 EXPIRED:PutCal M -1 65.50 1 0.21 1.00 0.49 72.71 2023/5/8 0 1
0.7 1.4 ShortRatio:CallRevCal N 1 91.50 1 1.54 1.00 0.34 80.15 2023/4/3 0 1
-0.4 1.6 EXPIRED:LongButterfly:PARTCLOS3::PutRevCal N -1 64.00 1 0.79 1.00 0.44 75.36 2023/4/28 0 3
-0.3 1.7 EXPIRED:LongButterfly:PutCal N -1 65.50 -1 1.18 1.00 0.44 72.71 2023/5/8 0 1
-0.4 1.8 PARTCLOS3: N -1 64.00 -1 0.80 1.00 0.17 73.65 2023/7/10 1
-0.4 1.8 EXPIRED:LongButterfly: N -1 62.50 -1 0.61 1.00 0.17 73.65 2023/7/10 0 1
0.5 1.8 EXPIRED:ShortRatio: N 1 86.00 -1 0.11 1.00 0.06 73.65 2023/7/10 0 2
0.3 1.8 EXPIRED:CallRevCal N 1 82.00 -1 0.26 1.00 0.05 73.65 2023/7/10 0 5
2.4 1.8 LongButterfly:PARTCLOSE4:RatioShort:CallRevCal Q 1 82.00 1 0.85 0.02 0.85 73.36 2023/7/10 4 5
2.1 1.9 LongButterfly:RatioShort: Q 1 81.00 -1 0.61 0.02 0.34 70.22 2023/5/30 2 2
-4.1 1.9 CLOSE17:PutRevCal-1.5s Q -1 59.50 -1 0.82 0.02 0.46 70.22 2023/5/30 0 6
-1.8 1.9 RevCalSprdVar:RatioShort:PutRevCal-1.5s U -1 59.50 1 1.48 0.10 0.45 70.22 2023/5/30 6 6
-4.1 2.0 CLOSE17: Q -1 59.50 1 0.38 0.02 0.42 69.41 2023/6/15 6
-1.7 2.0 RevCalSprdVar:RatioShort: U -1 60.00 -1 1.08 0.10 0.41 69.50 2023/6/15 2 2
2.4 2.0 PARTCLOSE4: Q 1 82.00 -1 0.01 0.02 0.33 69.41 2023/6/15 1
2.7 2.0 LongButterfly: Q 1 83.00 -1 0.12 0.02 0.34 69.41 2023/6/15 2 2
-4.1 2.1 RevCalSprdVar: Q -1 59.50 -1 0.43 0.02 0.47 68.48 2023/6/23 4 4
1.4 2.1 CLOSE19:CallRevCal Q 1 78.50 -1 0.17 0.02 0.34 68.48 2023/6/23 0 4
0.6 2.1 ROLE:CLOSE18:CallRevCal U 1 78.50 1 0.76 0.10 0.33 68.60 2023/6/23 0 4
0.6 2.2 CLOSE18: U 1 78.50 -1 0.93 0.10 0.31 71.63 2023/7/6 4
0.7 2.2 CallRevCal:ROLE: V 1 81.50 1 0.99 0.18 0.30 71.42 2023/7/6 4 4
1.4 2.3 CLOSE19: Q 1 78.50 1 0.14 0.02 0.33 73.65 2023/7/10 4
1.0 2.3 CallRevCal: U 1 81.50 -1 0.68 0.10 0.31 73.65 2023/7/10 4 4
-1.3 2.3 PutRevCal U -1 63.00 -1 0.44 0.10 0.40 73.65 2023/7/10 5 5
-1.0 2.3 PutRevCal V -1 63.00 1 0.99 0.18 0.39 73.36 2023/7/10 5 5
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Oil steadies as market digests supply and demand outlook
U.S. West Texas Intermediate crude was 19 cents down to $71.6 after rising by 2.9% in post-holiday trade on Wednesday to catch up with Brent's gains earlier in the week.
The market has been expecting interest rates in the U.S. and Europe to rise further to tame stubbornly high inflation while fears of a global recession have been heightened by recent surveys showing that factory and services activity in China and Europe has slowed.
Minutes released on Wednesday showed that a united U.S. central bank agreed to hold rates steady at its June meeting to buy time and assess the need for further hikes, even though most attendees expected they would eventually need to tighten policy further.
On the supply side, top oil exporters Saudi Arabia and Russia announced a fresh round of output cuts for August. The total cuts now stand at more than five million barrels per day (bpd), equating to 5% of global oil output.
* Oil
現在日付 2023/7/6
1st Price 71.63 U
2nd Price 71.42 V
Mothly change/σ -0.0
Next month's average change/σ -0.6
Daily STDEV 1.64
Monthly STDEV 7.09
Monthly expected return 0.78
HV 0.357
HV/σ -0.71
total premium: -0.6
Net Δ -0.4
Net Γ 0.0
Net Λ -43.8
VaR/Balance (V/B) [%] -21.6%
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 0.28 0.49 82.93 2022/9/8 0
1.5 2.0 CLOSE2:Call rev cal spread Z 1 94.00 1 3.19 0.36 0.49 82.35 2022/9/8 0
1.7 2.1 CLOSE1: X 1 94.00 1 2.59 0.28 0.43 88.79 2022/9/14
1.5 2.1 CLOSE2: Z 1 94.00 -1 4.50 0.36 0.46 88.07 2022/9/14
2.2 2.1 CLOSE3:CallCalSprd X 1 100.00 1 1.27 0.28 0.44 88.79 2022/9/14 0
1.9 2.1 CLOSE4:CallRevCalSprd:CallCalSprd Z 1 100.00 -1 2.79 0.36 0.46 88.07 2022/9/14 0
2.2 2.2 CLOSE3: X 1 100.00 -1 0.28 0.28 0.54 82.69 2022/9/29
1.1 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 0.36 0.50 84.62 2022/10/14
0.2 2.4 CLOSE6:PutRevCalSprd:ROLL G -1 77.00 1 2.59 1.00 0.52 90.20 2022/11/7 0
1.1 2.4 CLOSE5 F 1 100.00 -1 2.58 1.00 0.47 91.41 2022/11/7
0.2 2.5 CLOSE7:PutRevCalSprd: F -1 77.00 -1 1.59 1.00 0.49 85.77 2022/11/11 0
0.2 2.6 CLOSE6: G -1 77.00 -1 3.78 1.00 0.49 80.66 2022/11/30
0.2 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
0.8 2.7 CLOSE9:CallRevCalSprd H 1 91.50 -1 1.05 1.00 0.43 77.61 2022/12/28 0
0.8 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
0.8 1.0 CLOSE9: H 1 91.50 1 0.29 1.00 0.39 80.07 2023/1/25 0
-0.1 1.0 CLOSE10:Role:PutRevCalSprd H -1 69.50 -1 0.40 1.00 0.47 80.07 2023/1/25 0
-0.1 1.0 CLOSE10:Role:PutRevCalSprd J -1 69.50 1 1.22 1.00 0.45 80.38 2023/1/25 0
0.6 1.1 CLOSE11:RevRatio: J 1 87.50 -1 0.44 1.00 0.38 73.97 2023/2/6 0
-0.1 1.1 CLOSE10: H -1 69.50 1 0.70 1.00 0.51 73.97 2023/2/6
-0.1 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
0.5 1.1 CLOSE14:CallRevCal J 1 83.50 -1 0.89 1.00 0.38 73.97 2023/2/6 0
0.5 1.1 CLOSE13:CallRevCal K 1 83.50 1 1.91 1.00 0.37 74.25 2023/2/6 0
0.6 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
0.5 1.2 CLOSE13: K 1 83.50 -1 1.29 1.00 0.36 75.16 2023/2/28
0.5 1.2 CLOSE14: J 1 83.50 1 0.29 1.00 0.39 75.02 2023/2/28
0.6 1.2 CLOSE15:CallRevCal K 1 86.00 -1 0.87 1.00 0.36 75.16 2023/2/28 0
0.6 1.2 EXPIRED:LongButterfly2:PARTCLOSE2:CallRatio:CallRevCal M 1 86.00 1 1.72 1.00 0.36 75.16 2023/2/28 0
-0.3 1.2 EXPIRED:LongButterfly:RevRatio: K -1 64.00 -1 0.69 1.00 0.41 75.16 2023/2/28 0
-0.4 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
0.6 1.3 CLOSE15: K 1 86.00 1 0.18 1.00 0.48 66.82 2023/3/16
0.4 1.3 EXPIRED:LongButterfly2:CallRatio: M 1 82.50 -1 0.92 1.00 0.45 66.67 2023/3/16 0
0.7 1.4 EXPIRED:LongButterfly2: M 1 89.50 -1 1.20 1.00 0.35 80.40 2023/4/3 0
0.6 1.4 PARTCLOSE2: M 1 86.00 -1 2.04 1.00 0.36 80.40 2023/4/3
0.8 1.4 EXPIRED:CallRevCal M 1 91.50 -1 0.88 1.00 0.36 80.40 2023/4/3 0
-0.3 1.6 EXPIRED:PutRevCal M -1 64.00 -1 0.23 1.00 0.49 75.54 2023/4/28 0
-0.5 1.5 Close16::NakedShort M -1 60.50 1 1.36 1.00 1.01 75.54 2023/3/23 0
-0.5 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
0.8 1.4 ShortRatio:CallRevCal N 1 91.50 1 1.54 1.00 0.34 80.15 2023/4/3 0
-0.3 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
-0.3 1.8 PARTCLOS3: N -1 64.00 -1 0.80 1.00 0.16 71.63 2023/7/6
-0.4 1.8 EXPIRED:LongButterfly: N -1 62.50 -1 0.61 1.00 0.16 71.63 2023/7/6 0
0.6 1.8 EXPIRED:ShortRatio: N 1 86.00 -1 0.11 1.00 0.08 71.63 2023/7/6 0
0.4 1.8 EXPIRED:CallRevCal N 1 82.00 -1 0.26 1.00 0.07 71.63 2023/7/6 0
2.4 1.8 LongButterfly:PARTCLOSE4:RatioShort:CallRevCal Q 1 82.00 1 0.85 0.03 0.78 71.42 2023/7/6 4
2.2 1.9 LongButterfly:RatioShort: Q 1 81.00 -1 0.61 0.03 0.34 70.22 2023/5/30 2
-2.8 1.9 CLOSE17:PutRevCal-1.5s Q -1 59.50 -1 0.82 0.03 0.46 70.22 2023/5/30 0
-1.4 1.9 RevCalSprdVar:RatioShort:PutRevCal-1.5s U -1 59.50 1 1.48 0.12 0.45 70.22 2023/5/30 6
-2.8 2.0 CLOSE17: Q -1 59.50 1 0.38 0.03 0.42 69.41 2023/6/15
-1.4 2.0 RevCalSprdVar:RatioShort: U -1 60.00 -1 1.08 0.12 0.41 69.50 2023/6/15 2
2.4 2.0 PARTCLOSE4: Q 1 82.00 -1 0.01 0.03 0.33 69.41 2023/6/15
2.6 2.0 LongButterfly: Q 1 83.00 -1 0.12 0.03 0.34 69.41 2023/6/15 2
-2.8 2.1 RevCalSprdVar: Q -1 59.50 -1 0.43 0.03 0.47 68.48 2023/6/23 4
1.6 2.1 CallRevCal Q 1 78.50 -1 0.17 0.03 0.34 68.48 2023/6/23 4
0.8 2.1 ROLE:CLOSE18:CallRevCal U 1 78.50 1 0.76 0.12 0.33 68.60 2023/6/23 0
0.8 2.2 CLOSE18: U 1 78.50 -1 0.93 0.12 0.31 71.63 2023/7/6
0.9 2.2 ROLE: V 1 81.50 1 0.99 0.19 0.30 71.42 2023/7/6 4
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https:/
Crude oil lower; Weak Chinese inflation data hits sentiment
Weak Chinese inflation prompts demand concerns
China's factory-gate prices fell at the fastest pace in more than seven years in June, government data showed on Monday, while consumer prices were flat on the year, the slowest since 2021.
These figures are the latest to point to a very sluggish recovery in the world's second-largest economy from the ravages of the COVID pandemic.
This is especially disappointing as increases in demand from China were meant to balance out a slowdown in activity in the western economies as their central banks tightened monetary policy in order to combat inflation.
* Oil
現在日付 2023/7/10
1st Price 73.65 U
2nd Price 73.36 V
Mothly change/σ 0.9
Next month's average change/σ -0.6
Daily STDEV 1.63
Monthly STDEV 7.11
Monthly expected return 0.83
HV 0.299
HV/σ -2.25
total premium: 0.0
Net Δ 0.4
Net Γ -0.2
Net Λ -33.0
VaR/Balance (V/B) [%] -33.8%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty Intial qty
1.6 2.0 CLOSE1:Call rev cal spread X 1 94.00 -1 1.78 0.27 0.49 82.93 2022/9/8 0 1
1.4 2.0 CLOSE2:Call rev cal spread Z 1 94.00 1 3.19 0.35 0.49 82.35 2022/9/8 0 1
1.6 2.1 CLOSE1: X 1 94.00 1 2.59 0.27 0.43 88.79 2022/9/14 1
1.4 2.1 CLOSE2: Z 1 94.00 -1 4.50 0.35 0.46 88.07 2022/9/14 1
2.0 2.1 CLOSE3:CallCalSprd X 1 100.00 1 1.27 0.27 0.44 88.79 2022/9/14 0 1
1.8 2.1 CLOSE4:CallRevCalSprd:CallCalSprd Z 1 100.00 -1 2.79 0.35 0.46 88.07 2022/9/14 0 1
2.0 2.2 CLOSE3: X 1 100.00 -1 0.28 0.27 0.54 82.69 2022/9/29 1
1.1 2.2 ROLL:CLOSE5:Naked:CallRevCalSprd: F 1 100.00 1 2.22 1.00 0.50 81.77 2022/9/29 0 1
1.8 2.3 CLOSE4: Z 1 100.00 1 0.98 0.35 0.50 84.62 2022/10/14 1
0.1 2.4 CLOSE6:PutRevCalSprd:ROLL G -1 77.00 1 2.59 1.00 0.52 90.20 2022/11/7 0 1
1.1 2.4 CLOSE5 F 1 100.00 -1 2.58 1.00 0.47 91.41 2022/11/7 1
0.1 2.5 CLOSE7:PutRevCalSprd: F -1 77.00 -1 1.59 1.00 0.49 85.77 2022/11/11 0 1
0.1 2.6 CLOSE6: G -1 77.00 -1 3.78 1.00 0.49 80.66 2022/11/30 1
0.1 2.6 CLOSE7: F -1 77.00 1 1.77 1.00 0.52 80.62 2022/11/30 1
-0.2 2.6 CLOSE8:Roll_PutRevCalSprd G -1 68.00 -1 1.39 1.00 0.53 80.66 2022/11/30 0 2
-0.2 2.6 EXPIRED:LongButterflly:RevRatioSprd:Roll_PutRevCalSprd H -1 68.00 1 2.42 1.00 0.53 80.66 2022/11/30 0 2
-0.2 2.7 CLOSE8: G -1 68.00 1 0.40 1.00 0.46 77.51 2022/12/28 0 2
-0.0 2.7 EXPIRED:LongButterflly:RevRatioSprd: H -1 73.00 -1 2.92 1.00 0.46 77.61 2022/12/28 0 1
0.7 2.7 CLOSE9:CallRevCalSprd H 1 91.50 -1 1.05 1.00 0.43 77.61 2022/12/28 0 2
0.7 2.7 Naked:RevRatio:Naked:CallRevCalSprd J 1 91.50 1 2.07 1.00 0.43 77.61 2022/12/28 0 2
-0.4 1.0 EXPIRED:LongButterflly: H -1 63.00 -1 0.12 1.00 0.55 80.07 2023/1/25 0 1
0.7 1.0 CLOSE9: H 1 91.50 1 0.29 1.00 0.39 80.07 2023/1/25 0 2
-0.2 1.0 CLOSE10:Role:PutRevCalSprd H -1 69.50 -1 0.40 1.00 0.47 80.07 2023/1/25 0 2
-0.2 1.0 CLOSE10:Role:PutRevCalSprd J -1 69.50 1 1.22 1.00 0.45 80.38 2023/1/25 0 2
0.6 1.1 CLOSE11:RevRatio: J 1 87.50 -1 0.44 1.00 0.38 73.97 2023/2/6 0 1
-0.2 1.1 CLOSE10: H -1 69.50 1 0.70 1.00 0.51 73.97 2023/2/6 2
-0.2 1.1 CLOSE10: J -1 69.50 -1 2.14 1.00 0.45 73.97 2023/2/6 2
-0.4 1.1 CLOSE12:Role-PutRevCal J -1 63.00 -1 0.70 1.00 0.47 73.97 2023/2/6 0 4
-0.4 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 4
0.4 1.1 CLOSE14:CallRevCal J 1 83.50 -1 0.89 1.00 0.38 73.97 2023/2/6 0 2
0.4 1.1 CLOSE13:CallRevCal K 1 83.50 1 1.91 1.00 0.37 74.25 2023/2/6 0 2
0.6 1.2 CLOSE11 J 1 87.50 1 0.13 1.00 0.43 75.02 2023/2/28 1
-0.4 1.2 CLOSE12: J -1 63.00 1 0.16 1.00 0.52 75.02 2023/2/28 4
0.4 1.2 CLOSE13: K 1 83.50 -1 1.29 1.00 0.36 75.16 2023/2/28 2
0.4 1.2 CLOSE14: J 1 83.50 1 0.29 1.00 0.39 75.02 2023/2/28 2
0.5 1.2 CLOSE15:CallRevCal K 1 86.00 -1 0.87 1.00 0.36 75.16 2023/2/28 0 3
0.5 1.2 EXPIRED:LongButterfly2:PARTCLOSE2:CallRatio:CallRevCal M 1 86.00 1 1.72 1.00 0.36 75.16 2023/2/28 0 3
-0.4 1.2 EXPIRED:LongButterfly:RevRatio: K -1 64.00 -1 0.69 1.00 0.41 75.16 2023/2/28 0 1
-0.5 1.3 EXPIRED:LongButterfly: K -1 62.00 -1 2.02 1.00 0.54 66.82 2023/3/16 0 1
-0.4 1.3 PARTCLOSE: K -1 63.00 -1 2.33 1.00 0.53 66.82 2023/3/16 2
0.5 1.3 CLOSE15: K 1 86.00 1 0.18 1.00 0.48 66.82 2023/3/16 3
0.4 1.3 EXPIRED:LongButterfly2:CallRatio: M 1 82.50 -1 0.92 1.00 0.45 66.67 2023/3/16 0 1
0.6 1.4 EXPIRED:LongButterfly2: M 1 89.50 -1 1.20 1.00 0.35 80.40 2023/4/3 0 1
0.5 1.4 PARTCLOSE2: M 1 86.00 -1 2.04 1.00 0.36 80.40 2023/4/3 1
0.7 1.4 EXPIRED:CallRevCal M 1 91.50 -1 0.88 1.00 0.36 80.40 2023/4/3 0 5
-0.4 1.6 EXPIRED:PutRevCal M -1 64.00 -1 0.23 1.00 0.49 75.54 2023/4/28 0 3
-0.5 1.5 Close16::NakedShort M -1 60.50 1 1.36 1.00 1.01 75.54 2023/3/23 0 3
-0.5 1.6 Close16: M -1 60.50 -1 0.15 1.00 0.57 75.54 2023/4/28 3
-0.3 1.7 EXPIRED:PutCal M -1 65.50 1 0.21 1.00 0.49 72.71 2023/5/8 0 1
0.7 1.4 ShortRatio:CallRevCal N 1 91.50 1 1.54 1.00 0.34 80.15 2023/4/3 0 1
-0.4 1.6 EXPIRED:LongButterfly:PARTCLOS3::PutRevCal N -1 64.00 1 0.79 1.00 0.44 75.36 2023/4/28 0 3
-0.3 1.7 EXPIRED:LongButterfly:PutCal N -1 65.50 -1 1.18 1.00 0.44 72.71 2023/5/8 0 1
-0.4 1.8 PARTCLOS3: N -1 64.00 -1 0.80 1.00 0.17 73.65 2023/7/10 1
-0.4 1.8 EXPIRED:LongButterfly: N -1 62.50 -1 0.61 1.00 0.17 73.65 2023/7/10 0 1
0.5 1.8 EXPIRED:ShortRatio: N 1 86.00 -1 0.11 1.00 0.06 73.65 2023/7/10 0 2
0.3 1.8 EXPIRED:CallRevCal N 1 82.00 -1 0.26 1.00 0.05 73.65 2023/7/10 0 5
2.4 1.8 LongButterfly:PARTCLOSE4:RatioShort:CallRevCal Q 1 82.00 1 0.85 0.02 0.85 73.36 2023/7/10 4 5
2.1 1.9 LongButterfly:RatioShort: Q 1 81.00 -1 0.61 0.02 0.34 70.22 2023/5/30 2 2
-4.1 1.9 CLOSE17:PutRevCal-1.5s Q -1 59.50 -1 0.82 0.02 0.46 70.22 2023/5/30 0 6
-1.8 1.9 RevCalSprdVar:RatioShort:PutRevCal-1.5s U -1 59.50 1 1.48 0.10 0.45 70.22 2023/5/30 6 6
-4.1 2.0 CLOSE17: Q -1 59.50 1 0.38 0.02 0.42 69.41 2023/6/15 6
-1.7 2.0 RevCalSprdVar:RatioShort: U -1 60.00 -1 1.08 0.10 0.41 69.50 2023/6/15 2 2
2.4 2.0 PARTCLOSE4: Q 1 82.00 -1 0.01 0.02 0.33 69.41 2023/6/15 1
2.7 2.0 LongButterfly: Q 1 83.00 -1 0.12 0.02 0.34 69.41 2023/6/15 2 2
-4.1 2.1 RevCalSprdVar: Q -1 59.50 -1 0.43 0.02 0.47 68.48 2023/6/23 4 4
1.4 2.1 CLOSE19:CallRevCal Q 1 78.50 -1 0.17 0.02 0.34 68.48 2023/6/23 0 4
0.6 2.1 ROLE:CLOSE18:CallRevCal U 1 78.50 1 0.76 0.10 0.33 68.60 2023/6/23 0 4
0.6 2.2 CLOSE18: U 1 78.50 -1 0.93 0.10 0.31 71.63 2023/7/6 4
0.7 2.2 CallRevCal:ROLE: V 1 81.50 1 0.99 0.18 0.30 71.42 2023/7/6 4 4
1.4 2.3 CLOSE19: Q 1 78.50 1 0.14 0.02 0.33 73.65 2023/7/10 4
1.0 2.3 CallRevCal: U 1 81.50 -1 0.68 0.10 0.31 73.65 2023/7/10 4 4
-1.3 2.3 PutRevCal U -1 63.00 -1 0.44 0.10 0.40 73.65 2023/7/10 5 5
-1.0 2.3 PutRevCal V -1 63.00 1 0.99 0.18 0.39 73.36 2023/7/10 5 5
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