* Oil
現在日付 2023/7/17
1st Price 74.88 U
2nd Price 74.65 V
Mothly change/σ 0.5
Next month's average change/σ -0.6
Daily STDEV 1.65
Monthly STDEV 7.11
Monthly expected return 0.83
HV 0.301
HV/σ -1.94
total premium: -1.6
Net Δ -1.4
Net Γ 0.1
Net Λ 39.7
VaR/Balance (V/B) [%] -68.5%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
2023 apri sub total loss $-6,062 -1 6.06 2023/4/28
#DIV/0! 1.7 EXPIRED:LongButterfly:PutCal N -1 65.50 -1 1.18 0.00 0.44 72.71 2023/5/8 0
#DIV/0! 1.8 PARTCLOS3: N -1 64.00 -1 0.80 0.00 #VALUE! 74.88 2023/7/17
#DIV/0! 1.8 EXPIRED:LongButterfly: N -1 62.50 -1 0.61 0.00 #VALUE! 74.88 2023/7/17 0
#DIV/0! 1.8 EXPIRED:ShortRatio: N 1 86.00 -1 0.11 0.00 #VALUE! 74.88 2023/7/17 0
#DIV/0! 1.8 EXPIRED:CallRevCal N 1 82.00 -1 0.26 0.00 #VALUE! 74.88 2023/7/17 0
#DIV/0! 1.8 LongButterfly:PARTCLOSE4:RatioShort:CallRevCal Q 1 82.00 1 0.85 1.00 0.07 74.65 2023/7/17 4
#DIV/0! 1.9 LongButterfly:RatioShort: Q 1 81.00 -1 0.61 1.00 0.34 70.22 2023/5/30 2
#DIV/0! 1.9 CLOSE17:PutRevCal-1.5s Q -1 59.50 -1 0.82 1.00 0.46 70.22 2023/5/30 0
#DIV/0! 1.9 RevCalSprdVar:RatioShort:PutRevCal-1.5s U -1 59.50 1 1.48 0.08 0.45 70.22 2023/5/30 6
#DIV/0! 2.0 CLOSE17: Q -1 59.50 1 0.38 1.00 0.42 69.41 2023/6/15
#DIV/0! 2.0 RevCalSprdVar:RatioShort: U -1 60.00 -1 1.08 0.08 0.41 69.50 2023/6/15 2
#DIV/0! 2.0 PARTCLOSE4: Q 1 82.00 -1 0.14 1.00 0.33 69.41 2023/6/15
#DIV/0! 2.0 LongButterfly: Q 1 83.00 -1 0.12 1.00 0.34 69.41 2023/6/15 2
#DIV/0! 2.1 RevCalSprdVar: Q -1 59.50 -1 0.43 1.00 0.47 68.48 2023/6/23 4
#DIV/0! 2.1 CLOSE19:CallRevCal Q 1 78.50 -1 0.17 1.00 0.34 68.48 2023/6/23 0
#DIV/0! 2.1 ROLE:CLOSE18:CallRevCal U 1 78.50 1 0.76 0.08 0.33 68.60 2023/6/23 0
#DIV/0! 2.2 CLOSE18: U 1 78.50 -1 0.93 0.08 0.31 71.63 2023/7/6
#DIV/0! 2.2 CLOSE20:CallRevCal:ROLE: V 1 81.50 1 0.99 0.16 0.30 71.42 2023/7/6 0
#DIV/0! 2.3 CLOSE19: Q 1 78.50 1 0.14 1.00 0.33 73.65 2023/7/10
#DIV/0! 2.3 CLOSE21:CallRevCal: U 1 81.50 -1 0.68 0.08 0.31 73.65 2023/7/10 0
#DIV/0! 2.3 PutRevCal U -1 63.00 -1 0.44 0.08 0.40 73.65 2023/7/10 0
#DIV/0! 2.3 PutRevCal V -1 63.00 1 0.99 0.16 0.39 73.36 2023/7/10 0
#DIV/0! 2.4 CLOSE20: U 1 81.50 1 0.63 0.08 0.29 74.88 2023/7/17
#DIV/0! 2.4 CLOSE21: V 1 81.50 -1 1.34 0.16 0.29 74.65 2023/7/17
#DIV/0! 2.4 CallRevCalRatio U 1 85.50 -1 0.25 0.08 0.31 74.88 2023/7/17 3
#DIV/0! 2.4 CallRevCalRatio V 1 85.50 1 0.66 0.16 0.29 74.65 2023/7/17 6
https:/
Crude oil lower; Weak Chinese growth data raises demand concerns
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https:/
Crude oil higher; Expected supply deficit boosts prices
Investing.com -- Crude oil prices rose Monday, as expectations of tightening supply in the second half of the year overshadowed the likelihood of further tightening from the Federal Reserve and the European Central Bank.
* Oil
現在日付 2023/7/24
1st Price 78.33 U
2nd Price 78.01 V
Mothly change/σ 1.2
Next month's average change/σ -0.5
Daily STDEV 1.64
Monthly STDEV 7.20
Monthly expected return 0.93
HV 0.240
HV/σ -3.10
total premium: -2.8
Net Δ -1.2
Net Γ -0.0
Net Λ 37.6
VaR/Balance (V/B) [%] -13.6%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
2023 apri sub total loss $-6,062 -1 6.06 2023/4/28
#DIV/0! 1.7 EXPIRED:LongButterfly:PutCal N -1 65.50 -1 1.18 0.00 0.44 72.71 2023/5/8 0
#DIV/0! 1.8 PARTCLOS3: N -1 64.00 -1 0.80 0.00 #VALUE! 78.33 2023/7/24
#DIV/0! 1.8 EXPIRED:LongButterfly: N -1 62.50 -1 0.61 0.00 #VALUE! 78.33 2023/7/24 0
#DIV/0! 1.8 EXPIRED:ShortRatio: N 1 86.00 -1 0.11 0.00 #VALUE! 78.33 2023/7/24 0
#DIV/0! 1.8 EXPIRED:CallRevCal N 1 82.00 -1 0.26 0.00 #VALUE! 78.33 2023/7/24 0
0.1 1.8 LongButterfly:PARTCLOSE4:RatioShort:CallRevCal Q 1 82.00 1 0.85 1.00 0.03 78.01 2023/7/24 4
0.1 1.9 LongButterfly:RatioShort: Q 1 81.00 -1 0.61 1.00 0.34 70.22 2023/5/30 2
-0.7 1.9 CLOSE17:PutRevCal-1.5s Q -1 59.50 -1 0.82 1.00 0.46 70.22 2023/5/30 0
-2.9 1.9 RevCalSprdVar:RatioShort:PutRevCal-1.5s U -1 59.50 1 1.48 0.07 0.45 70.22 2023/5/30 6
-0.7 2.0 CLOSE17: Q -1 59.50 1 0.38 1.00 0.42 69.41 2023/6/15
-2.8 2.0 RevCalSprdVar:RatioShort: U -1 60.00 -1 1.08 0.07 0.41 69.50 2023/6/15 2
0.1 2.0 PARTCLOSE4: Q 1 82.00 -1 0.14 1.00 0.33 69.41 2023/6/15
0.2 2.0 LongButterfly: Q 1 83.00 -1 0.12 1.00 0.34 69.41 2023/6/15 2
-0.7 2.1 RevCalSprdVar: Q -1 59.50 -1 0.43 1.00 0.47 68.48 2023/6/23 4
0.0 2.1 CLOSE19:CallRevCal Q 1 78.50 -1 0.17 1.00 0.34 68.48 2023/6/23 0
0.0 2.1 ROLE:CLOSE18:CallRevCal U 1 78.50 1 0.76 0.07 0.33 68.60 2023/6/23 0
0.0 2.2 CLOSE18: U 1 78.50 -1 0.93 0.07 0.31 71.63 2023/7/6
0.3 2.2 CLOSE20:CallRevCal:ROLE: V 1 81.50 1 0.99 0.15 0.30 71.42 2023/7/6 0
0.0 2.3 CLOSE19: Q 1 78.50 1 0.14 1.00 0.33 73.65 2023/7/10
0.5 2.3 CLOSE21:CallRevCal: U 1 81.50 -1 0.68 0.07 0.31 73.65 2023/7/10 0
-2.4 2.3 PutRevCal U -1 63.00 -1 0.44 0.07 0.40 73.65 2023/7/10 0
-1.6 2.3 PutRevCal V -1 63.00 1 0.99 0.15 0.39 73.36 2023/7/10 0
0.5 2.4 CLOSE20: U 1 81.50 1 0.63 0.07 0.29 74.88 2023/7/17
0.3 2.4 CLOSE21: V 1 81.50 -1 1.34 0.15 0.29 74.65 2023/7/17
1.1 2.4 AddLong:CallRevCalRatio U 1 85.50 -1 0.25 0.07 0.31 74.88 2023/7/17 3
0.7 2.4 CallRevCalRatio V 1 85.50 1 0.66 0.15 0.29 74.65 2023/7/17 6
1.1 2.5 AddLong: U 1 85.50 -1 0.41 0.07 0.29 78.33 2023/7/24 3
---
https:/
After Getting Rattled by BoJ, Wall Street Rebounds on Milder Inflation Reading
Friday market open) Welcome signs of easing U.S. inflation propelled Wall Street to early gains Friday, but the market remains rattled following a policy tweak earlier from the Bank of Japan (BoJ) and worries about the Federal Reserve potentially tightening further.
* E-mini S&P500
現在日付 2023/7/29
1st price 4,613.75 month= 9
2nd price 4,662.25 month= 12
Daily extected return 10.46
Daily Stdev 29.68
Monthly expected return 58.27
Monthly Stdev 197.17
Monthly change sigma 0.9
Next month's average sigma 0.2
HV 0.08
HV/σ -1.8
Earned premium 14.85
Net Δ 0.0
Net Γ 0.0
Net Λ -74.1
VaR/Balance (V/B) [%] -2.6%
# 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
1
2
3
4
5
6 -1.1 1.0 EXPIRED:1stPutCal K -1 3,830 1 11.00 1.00 0.226 4,127.25 2023/5/5 0
7 -1.1 1.0 EXPIRED:Virt:1stPutCal M -1 3,830 -1 33.00 1.00 0.240 4,163.75 2023/5/5 0
8 -1.0 1.1 EXPIRED:Virt: M -1 3,950 1 20.25 1.00 0.221 4,254.25 2023/5/22 0
9 -0.1 1.2 EXPIRED:CallRevCal+1.5s M 1 4,530 -1 1.45 1.00 0.113 4,236.75 2023/5/31 0
10 -1.6 1.2 CLOSE:CallRevCal+1.5s N 1 4,530 1 6.50 0.01 0.101 4,236.75 2023/5/31 0
11 -1.6 1.3 CLOSE: N 1 4,530 -1 12.25 0.01 0.087 4,401.00 2023/6/26
12 -10.1 1.3 EXPIRE:PutRevCal N -1 4,100 -1 11.00 0.01 0.187 4,401.00 2023/6/26 0
13 -2.5 1.3 Ratio:PutRevCal Q -1 4,100 1 29.75 0.09 0.192 4,401.00 2023/6/26 2
14 -2.0 1.4 Ratio: Q -1 4,200 -1 6.50 0.09 0.207 4,613.75 2023/7/29 1
---
https:/
Crude oil higher; Goldman lifts global demand forecast
Goldman lifts 2023 global oil demand forecast
Adding to the bullish sentiment was a growing belief that some of the biggest consumers in the world can avoid dramatic growth slowdowns this year despite aggressive monetary policy tightening.
Data released earlier Monday showed that the eurozone returned to growth in the second quarter of 2023. This followed the U.S. economy growing more than expected in the second quarter, data showed last week, and U.S. Federal Reserve revising its expectation that the world’s largest economy will fall into recession.
Goldman Sachs revised up its global oil demand forecast for the year, to an all-time high of 102.8 million barrels per day in July, and expected solid demand driving a larger-than-expected 1.8 million barrels a day deficit in the second half this year.
* Oil
現在日付 2023/7/31
1st Price 81.44 U
2nd Price 81.00 V
Mothly change/σ 1.6
Next month's average change/σ -0.5
Daily STDEV 1.55
Monthly STDEV 7.27
Monthly expected return 0.97
HV 0.224
HV/σ -2.79
total premium: -3.2
Net Δ -0.0
Net Γ 0.0
Net Λ -40.5
VaR/Balance (V/B) [%] -21.3%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
2023 apri sub total loss $-6,062 -1 6.06 2023/4/28
#DIV/0! 1.7 EXPIRED:LongButterfly:PutCal N -1 65.50 -1 1.18 0.00 0.44 72.71 2023/5/8 0
#DIV/0! 1.8 PARTCLOS3: N -1 64.00 -1 0.80 0.00 #VALUE! 81.44 2023/7/31
#DIV/0! 1.8 EXPIRED:LongButterfly: N -1 62.50 -1 0.61 0.00 #VALUE! 81.44 2023/7/31 0
#DIV/0! 1.8 EXPIRED:ShortRatio: N 1 86.00 -1 0.11 0.00 #VALUE! 81.44 2023/7/31 0
#DIV/0! 1.8 EXPIRED:CallRevCal N 1 82.00 -1 0.26 0.00 #VALUE! 81.44 2023/7/31 0
0.0 1.8 EXPIRED:LongButterfly:PARTCLOSE4:RatioShort:CallRevCal Q 1 82.00 1 0.85 1.00 #VALUE! 81.00 2023/7/31 0
-0.0 1.9 EXPIRED:LongButterfly:RatioShort: Q 1 81.00 -1 0.61 1.00 0.34 70.22 2023/5/30 0
-0.9 1.9 CLOSE17:PutRevCal-1.5s Q -1 59.50 -1 0.82 1.00 0.46 70.22 2023/5/30 0
-4.0 1.9 RevCalSprdVar:RatioShort:PutRevCal-1.5s U -1 59.50 1 1.48 0.05 0.45 70.22 2023/5/30 6
-0.9 2.0 CLOSE17: Q -1 59.50 1 0.38 1.00 0.42 69.41 2023/6/15
-3.9 2.0 RevCalSprdVar:RatioShort: U -1 60.00 -1 1.08 0.05 0.41 69.50 2023/6/15 2
0.0 2.0 PARTCLOSE4: Q 1 82.00 -1 0.14 1.00 0.33 69.41 2023/6/15
0.1 2.0 EXPIRED:LongButterfly: Q 1 83.00 -1 0.12 1.00 0.34 69.41 2023/6/15 0
-0.9 2.1 EXPIRED:RevCalSprdVar: Q -1 59.50 -1 0.43 1.00 0.47 68.48 2023/6/23 0
-0.1 2.1 CLOSE19:CallRevCal Q 1 78.50 -1 0.17 1.00 0.34 68.48 2023/6/23 0
-0.5 2.1 ROLE:CLOSE18:CallRevCal U 1 78.50 1 0.76 0.05 0.33 68.60 2023/6/23 0
-0.5 2.2 CLOSE18: U 1 78.50 -1 0.93 0.05 0.31 71.63 2023/7/6
0.0 2.2 CLOSE20:CallRevCal:ROLE: V 1 81.50 1 0.99 0.13 0.30 71.42 2023/7/6 0
-0.1 2.3 CLOSE19: Q 1 78.50 1 0.14 1.00 0.33 73.65 2023/7/10
0.0 2.3 CLOSE21:CallRevCal: U 1 81.50 -1 0.68 0.05 0.31 73.65 2023/7/10 0
-3.4 2.3 PutRevCal U -1 63.00 -1 0.44 0.05 0.40 73.65 2023/7/10 5
-2.0 2.3 CLOSE22:PutRevCal V -1 63.00 1 0.99 0.13 0.39 73.36 2023/7/10 0
0.0 2.4 CLOSE20: U 1 81.50 1 0.63 0.05 0.29 74.88 2023/7/17
0.0 2.4 CLOSE21: V 1 81.50 -1 1.34 0.13 0.29 74.65 2023/7/17
0.7 2.4 CLOSE23:AddLong:CallRevCalRatio U 1 85.50 -1 0.25 0.05 0.31 74.88 2023/7/17 0
0.5 2.4 CLOSE24:CallRevCalRatio V 1 85.50 1 0.66 0.13 0.29 74.65 2023/7/17 0
0.7 2.5 AddLong: U 1 85.50 -1 0.41 0.05 0.29 78.33 2023/7/24 0
-2.0 2.6 CLOSE22: V -1 63.00 -1 0.14 0.13 0.40 81.00 2023/7/31
0.7 2.6 CLOSE23: U 1 85.50 1 0.55 0.05 0.26 81.44 2023/7/31
0.5 2.6 CLOSE24: V 1 85.50 -1 1.41 0.13 0.25 81.00 2023/7/31
1.2 2.6 CallRevCal V 1 92.50 -1 0.33 0.13 0.26 81.00 2023/7/31 4
0.9 2.6 CallRevCal X 1 92.50 1 0.72 0.21 0.25 81.00 2023/7/31 4
-1.2 2.6 PutRevCal V -1 70.50 -1 0.55 0.13 0.35 81.00 2023/7/31 6
-0.9 2.6 PutRevCal X -1 70.50 1 1.21 0.21 0.36 81.00 2023/7/31 6
---
現在日付 2023/7/17
1st Price 74.88 U
2nd Price 74.65 V
Mothly change/σ 0.5
Next month's average change/σ -0.6
Daily STDEV 1.65
Monthly STDEV 7.11
Monthly expected return 0.83
HV 0.301
HV/σ -1.94
total premium: -1.6
Net Δ -1.4
Net Γ 0.1
Net Λ 39.7
VaR/Balance (V/B) [%] -68.5%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
2023 apri sub total loss $-6,062 -1 6.06 2023/4/28
#DIV/0! 1.7 EXPIRED:LongButterfly:PutCal N -1 65.50 -1 1.18 0.00 0.44 72.71 2023/5/8 0
#DIV/0! 1.8 PARTCLOS3: N -1 64.00 -1 0.80 0.00 #VALUE! 74.88 2023/7/17
#DIV/0! 1.8 EXPIRED:LongButterfly: N -1 62.50 -1 0.61 0.00 #VALUE! 74.88 2023/7/17 0
#DIV/0! 1.8 EXPIRED:ShortRatio: N 1 86.00 -1 0.11 0.00 #VALUE! 74.88 2023/7/17 0
#DIV/0! 1.8 EXPIRED:CallRevCal N 1 82.00 -1 0.26 0.00 #VALUE! 74.88 2023/7/17 0
#DIV/0! 1.8 LongButterfly:PARTCLOSE4:RatioShort:CallRevCal Q 1 82.00 1 0.85 1.00 0.07 74.65 2023/7/17 4
#DIV/0! 1.9 LongButterfly:RatioShort: Q 1 81.00 -1 0.61 1.00 0.34 70.22 2023/5/30 2
#DIV/0! 1.9 CLOSE17:PutRevCal-1.5s Q -1 59.50 -1 0.82 1.00 0.46 70.22 2023/5/30 0
#DIV/0! 1.9 RevCalSprdVar:RatioShort:PutRevCal-1.5s U -1 59.50 1 1.48 0.08 0.45 70.22 2023/5/30 6
#DIV/0! 2.0 CLOSE17: Q -1 59.50 1 0.38 1.00 0.42 69.41 2023/6/15
#DIV/0! 2.0 RevCalSprdVar:RatioShort: U -1 60.00 -1 1.08 0.08 0.41 69.50 2023/6/15 2
#DIV/0! 2.0 PARTCLOSE4: Q 1 82.00 -1 0.14 1.00 0.33 69.41 2023/6/15
#DIV/0! 2.0 LongButterfly: Q 1 83.00 -1 0.12 1.00 0.34 69.41 2023/6/15 2
#DIV/0! 2.1 RevCalSprdVar: Q -1 59.50 -1 0.43 1.00 0.47 68.48 2023/6/23 4
#DIV/0! 2.1 CLOSE19:CallRevCal Q 1 78.50 -1 0.17 1.00 0.34 68.48 2023/6/23 0
#DIV/0! 2.1 ROLE:CLOSE18:CallRevCal U 1 78.50 1 0.76 0.08 0.33 68.60 2023/6/23 0
#DIV/0! 2.2 CLOSE18: U 1 78.50 -1 0.93 0.08 0.31 71.63 2023/7/6
#DIV/0! 2.2 CLOSE20:CallRevCal:ROLE: V 1 81.50 1 0.99 0.16 0.30 71.42 2023/7/6 0
#DIV/0! 2.3 CLOSE19: Q 1 78.50 1 0.14 1.00 0.33 73.65 2023/7/10
#DIV/0! 2.3 CLOSE21:CallRevCal: U 1 81.50 -1 0.68 0.08 0.31 73.65 2023/7/10 0
#DIV/0! 2.3 PutRevCal U -1 63.00 -1 0.44 0.08 0.40 73.65 2023/7/10 0
#DIV/0! 2.3 PutRevCal V -1 63.00 1 0.99 0.16 0.39 73.36 2023/7/10 0
#DIV/0! 2.4 CLOSE20: U 1 81.50 1 0.63 0.08 0.29 74.88 2023/7/17
#DIV/0! 2.4 CLOSE21: V 1 81.50 -1 1.34 0.16 0.29 74.65 2023/7/17
#DIV/0! 2.4 CallRevCalRatio U 1 85.50 -1 0.25 0.08 0.31 74.88 2023/7/17 3
#DIV/0! 2.4 CallRevCalRatio V 1 85.50 1 0.66 0.16 0.29 74.65 2023/7/17 6
https:/
Crude oil lower; Weak Chinese growth data raises demand concerns
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https:/
Crude oil higher; Expected supply deficit boosts prices
Investing.com -- Crude oil prices rose Monday, as expectations of tightening supply in the second half of the year overshadowed the likelihood of further tightening from the Federal Reserve and the European Central Bank.
* Oil
現在日付 2023/7/24
1st Price 78.33 U
2nd Price 78.01 V
Mothly change/σ 1.2
Next month's average change/σ -0.5
Daily STDEV 1.64
Monthly STDEV 7.20
Monthly expected return 0.93
HV 0.240
HV/σ -3.10
total premium: -2.8
Net Δ -1.2
Net Γ -0.0
Net Λ 37.6
VaR/Balance (V/B) [%] -13.6%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
2023 apri sub total loss $-6,062 -1 6.06 2023/4/28
#DIV/0! 1.7 EXPIRED:LongButterfly:PutCal N -1 65.50 -1 1.18 0.00 0.44 72.71 2023/5/8 0
#DIV/0! 1.8 PARTCLOS3: N -1 64.00 -1 0.80 0.00 #VALUE! 78.33 2023/7/24
#DIV/0! 1.8 EXPIRED:LongButterfly: N -1 62.50 -1 0.61 0.00 #VALUE! 78.33 2023/7/24 0
#DIV/0! 1.8 EXPIRED:ShortRatio: N 1 86.00 -1 0.11 0.00 #VALUE! 78.33 2023/7/24 0
#DIV/0! 1.8 EXPIRED:CallRevCal N 1 82.00 -1 0.26 0.00 #VALUE! 78.33 2023/7/24 0
0.1 1.8 LongButterfly:PARTCLOSE4:RatioShort:CallRevCal Q 1 82.00 1 0.85 1.00 0.03 78.01 2023/7/24 4
0.1 1.9 LongButterfly:RatioShort: Q 1 81.00 -1 0.61 1.00 0.34 70.22 2023/5/30 2
-0.7 1.9 CLOSE17:PutRevCal-1.5s Q -1 59.50 -1 0.82 1.00 0.46 70.22 2023/5/30 0
-2.9 1.9 RevCalSprdVar:RatioShort:PutRevCal-1.5s U -1 59.50 1 1.48 0.07 0.45 70.22 2023/5/30 6
-0.7 2.0 CLOSE17: Q -1 59.50 1 0.38 1.00 0.42 69.41 2023/6/15
-2.8 2.0 RevCalSprdVar:RatioShort: U -1 60.00 -1 1.08 0.07 0.41 69.50 2023/6/15 2
0.1 2.0 PARTCLOSE4: Q 1 82.00 -1 0.14 1.00 0.33 69.41 2023/6/15
0.2 2.0 LongButterfly: Q 1 83.00 -1 0.12 1.00 0.34 69.41 2023/6/15 2
-0.7 2.1 RevCalSprdVar: Q -1 59.50 -1 0.43 1.00 0.47 68.48 2023/6/23 4
0.0 2.1 CLOSE19:CallRevCal Q 1 78.50 -1 0.17 1.00 0.34 68.48 2023/6/23 0
0.0 2.1 ROLE:CLOSE18:CallRevCal U 1 78.50 1 0.76 0.07 0.33 68.60 2023/6/23 0
0.0 2.2 CLOSE18: U 1 78.50 -1 0.93 0.07 0.31 71.63 2023/7/6
0.3 2.2 CLOSE20:CallRevCal:ROLE: V 1 81.50 1 0.99 0.15 0.30 71.42 2023/7/6 0
0.0 2.3 CLOSE19: Q 1 78.50 1 0.14 1.00 0.33 73.65 2023/7/10
0.5 2.3 CLOSE21:CallRevCal: U 1 81.50 -1 0.68 0.07 0.31 73.65 2023/7/10 0
-2.4 2.3 PutRevCal U -1 63.00 -1 0.44 0.07 0.40 73.65 2023/7/10 0
-1.6 2.3 PutRevCal V -1 63.00 1 0.99 0.15 0.39 73.36 2023/7/10 0
0.5 2.4 CLOSE20: U 1 81.50 1 0.63 0.07 0.29 74.88 2023/7/17
0.3 2.4 CLOSE21: V 1 81.50 -1 1.34 0.15 0.29 74.65 2023/7/17
1.1 2.4 AddLong:CallRevCalRatio U 1 85.50 -1 0.25 0.07 0.31 74.88 2023/7/17 3
0.7 2.4 CallRevCalRatio V 1 85.50 1 0.66 0.15 0.29 74.65 2023/7/17 6
1.1 2.5 AddLong: U 1 85.50 -1 0.41 0.07 0.29 78.33 2023/7/24 3
---
https:/
After Getting Rattled by BoJ, Wall Street Rebounds on Milder Inflation Reading
Friday market open) Welcome signs of easing U.S. inflation propelled Wall Street to early gains Friday, but the market remains rattled following a policy tweak earlier from the Bank of Japan (BoJ) and worries about the Federal Reserve potentially tightening further.
* E-mini S&P500
現在日付 2023/7/29
1st price 4,613.75 month= 9
2nd price 4,662.25 month= 12
Daily extected return 10.46
Daily Stdev 29.68
Monthly expected return 58.27
Monthly Stdev 197.17
Monthly change sigma 0.9
Next month's average sigma 0.2
HV 0.08
HV/σ -1.8
Earned premium 14.85
Net Δ 0.0
Net Γ 0.0
Net Λ -74.1
VaR/Balance (V/B) [%] -2.6%
# 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
1
2
3
4
5
6 -1.1 1.0 EXPIRED:1stPutCal K -1 3,830 1 11.00 1.00 0.226 4,127.25 2023/5/5 0
7 -1.1 1.0 EXPIRED:Virt:1stPutCal M -1 3,830 -1 33.00 1.00 0.240 4,163.75 2023/5/5 0
8 -1.0 1.1 EXPIRED:Virt: M -1 3,950 1 20.25 1.00 0.221 4,254.25 2023/5/22 0
9 -0.1 1.2 EXPIRED:CallRevCal+1.5s M 1 4,530 -1 1.45 1.00 0.113 4,236.75 2023/5/31 0
10 -1.6 1.2 CLOSE:CallRevCal+1.5s N 1 4,530 1 6.50 0.01 0.101 4,236.75 2023/5/31 0
11 -1.6 1.3 CLOSE: N 1 4,530 -1 12.25 0.01 0.087 4,401.00 2023/6/26
12 -10.1 1.3 EXPIRE:PutRevCal N -1 4,100 -1 11.00 0.01 0.187 4,401.00 2023/6/26 0
13 -2.5 1.3 Ratio:PutRevCal Q -1 4,100 1 29.75 0.09 0.192 4,401.00 2023/6/26 2
14 -2.0 1.4 Ratio: Q -1 4,200 -1 6.50 0.09 0.207 4,613.75 2023/7/29 1
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https:/
Crude oil higher; Goldman lifts global demand forecast
Goldman lifts 2023 global oil demand forecast
Adding to the bullish sentiment was a growing belief that some of the biggest consumers in the world can avoid dramatic growth slowdowns this year despite aggressive monetary policy tightening.
Data released earlier Monday showed that the eurozone returned to growth in the second quarter of 2023. This followed the U.S. economy growing more than expected in the second quarter, data showed last week, and U.S. Federal Reserve revising its expectation that the world’s largest economy will fall into recession.
Goldman Sachs revised up its global oil demand forecast for the year, to an all-time high of 102.8 million barrels per day in July, and expected solid demand driving a larger-than-expected 1.8 million barrels a day deficit in the second half this year.
* Oil
現在日付 2023/7/31
1st Price 81.44 U
2nd Price 81.00 V
Mothly change/σ 1.6
Next month's average change/σ -0.5
Daily STDEV 1.55
Monthly STDEV 7.27
Monthly expected return 0.97
HV 0.224
HV/σ -2.79
total premium: -3.2
Net Δ -0.0
Net Γ 0.0
Net Λ -40.5
VaR/Balance (V/B) [%] -21.3%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
2023 apri sub total loss $-6,062 -1 6.06 2023/4/28
#DIV/0! 1.7 EXPIRED:LongButterfly:PutCal N -1 65.50 -1 1.18 0.00 0.44 72.71 2023/5/8 0
#DIV/0! 1.8 PARTCLOS3: N -1 64.00 -1 0.80 0.00 #VALUE! 81.44 2023/7/31
#DIV/0! 1.8 EXPIRED:LongButterfly: N -1 62.50 -1 0.61 0.00 #VALUE! 81.44 2023/7/31 0
#DIV/0! 1.8 EXPIRED:ShortRatio: N 1 86.00 -1 0.11 0.00 #VALUE! 81.44 2023/7/31 0
#DIV/0! 1.8 EXPIRED:CallRevCal N 1 82.00 -1 0.26 0.00 #VALUE! 81.44 2023/7/31 0
0.0 1.8 EXPIRED:LongButterfly:PARTCLOSE4:RatioShort:CallRevCal Q 1 82.00 1 0.85 1.00 #VALUE! 81.00 2023/7/31 0
-0.0 1.9 EXPIRED:LongButterfly:RatioShort: Q 1 81.00 -1 0.61 1.00 0.34 70.22 2023/5/30 0
-0.9 1.9 CLOSE17:PutRevCal-1.5s Q -1 59.50 -1 0.82 1.00 0.46 70.22 2023/5/30 0
-4.0 1.9 RevCalSprdVar:RatioShort:PutRevCal-1.5s U -1 59.50 1 1.48 0.05 0.45 70.22 2023/5/30 6
-0.9 2.0 CLOSE17: Q -1 59.50 1 0.38 1.00 0.42 69.41 2023/6/15
-3.9 2.0 RevCalSprdVar:RatioShort: U -1 60.00 -1 1.08 0.05 0.41 69.50 2023/6/15 2
0.0 2.0 PARTCLOSE4: Q 1 82.00 -1 0.14 1.00 0.33 69.41 2023/6/15
0.1 2.0 EXPIRED:LongButterfly: Q 1 83.00 -1 0.12 1.00 0.34 69.41 2023/6/15 0
-0.9 2.1 EXPIRED:RevCalSprdVar: Q -1 59.50 -1 0.43 1.00 0.47 68.48 2023/6/23 0
-0.1 2.1 CLOSE19:CallRevCal Q 1 78.50 -1 0.17 1.00 0.34 68.48 2023/6/23 0
-0.5 2.1 ROLE:CLOSE18:CallRevCal U 1 78.50 1 0.76 0.05 0.33 68.60 2023/6/23 0
-0.5 2.2 CLOSE18: U 1 78.50 -1 0.93 0.05 0.31 71.63 2023/7/6
0.0 2.2 CLOSE20:CallRevCal:ROLE: V 1 81.50 1 0.99 0.13 0.30 71.42 2023/7/6 0
-0.1 2.3 CLOSE19: Q 1 78.50 1 0.14 1.00 0.33 73.65 2023/7/10
0.0 2.3 CLOSE21:CallRevCal: U 1 81.50 -1 0.68 0.05 0.31 73.65 2023/7/10 0
-3.4 2.3 PutRevCal U -1 63.00 -1 0.44 0.05 0.40 73.65 2023/7/10 5
-2.0 2.3 CLOSE22:PutRevCal V -1 63.00 1 0.99 0.13 0.39 73.36 2023/7/10 0
0.0 2.4 CLOSE20: U 1 81.50 1 0.63 0.05 0.29 74.88 2023/7/17
0.0 2.4 CLOSE21: V 1 81.50 -1 1.34 0.13 0.29 74.65 2023/7/17
0.7 2.4 CLOSE23:AddLong:CallRevCalRatio U 1 85.50 -1 0.25 0.05 0.31 74.88 2023/7/17 0
0.5 2.4 CLOSE24:CallRevCalRatio V 1 85.50 1 0.66 0.13 0.29 74.65 2023/7/17 0
0.7 2.5 AddLong: U 1 85.50 -1 0.41 0.05 0.29 78.33 2023/7/24 0
-2.0 2.6 CLOSE22: V -1 63.00 -1 0.14 0.13 0.40 81.00 2023/7/31
0.7 2.6 CLOSE23: U 1 85.50 1 0.55 0.05 0.26 81.44 2023/7/31
0.5 2.6 CLOSE24: V 1 85.50 -1 1.41 0.13 0.25 81.00 2023/7/31
1.2 2.6 CallRevCal V 1 92.50 -1 0.33 0.13 0.26 81.00 2023/7/31 4
0.9 2.6 CallRevCal X 1 92.50 1 0.72 0.21 0.25 81.00 2023/7/31 4
-1.2 2.6 PutRevCal V -1 70.50 -1 0.55 0.13 0.35 81.00 2023/7/31 6
-0.9 2.6 PutRevCal X -1 70.50 1 1.21 0.21 0.36 81.00 2023/7/31 6
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