オプション取引ログコミュのJuly 2020

https://www.fxstreet.com/news/eur-usd-clears-the-11330-level-to-confirm-a-new-leg-higher-202007061331
EUR/USD clears the 1.1330 level to confirm a new leg higher
Investors are waiting for the US ISM Non-Manufacturing PMI, foreseen in June at 50 from 45.4 in the previous month.”

* Euro
現在日付 2020/7/6
1st future price 1.1341 month= 9
2nd future price 1.1341 month= 9
Monthly change sigma 0.2
Next month's average sigma -0.2
HV: 0.066
HV/σ -1.0
Daily expected return 0.0032
Daily STDEV 0.0069
Monthly STDEV 0.0193
Earned premium -0.0627
Net Δ 1.26
Net Γ 21.2
Net Λ -0.2
VaR/Balance (V/B) [%] -1.4%

σ Version Tactics Code C1/P-1 Strike Sell1/Buy-1 Premium(>0) Time IV price date qty
3.2 REVERSAL: U -1 1.133 1.133 2020/7/6 6
1.5 CLOSE3 H 1.125 1 0.0150 2020/3/9
2.9 MISS U 1.124 -1 0.0002 2020/6/3
3.0 CLOSE7:DeltaHedge N 1.123
1.6 CLOSE4:CLOSE3:CalSpred:ShortStrangle:SyntheticShortCallOTM:EXERCISE: H 1.125 -1 0.0190 2020/3/9
2.8 CLOSE5: M 1.150 -1 0.0020 2020/5/11 -
-0.1 1.0 EXERCISE:Put-ReverseCalendarSpread-ATM G -1 1.125 -1 0.0068 1.00 0.055 1.1245 2020/1/6
-0.1 1.0 EXPIRE:CalSpred:ShortStrangle:SyntheticShortCallOTM:Put-ReverseCalendarSpread-ATM H -1 1.125 1 0.0095 1.00 0.059 1.1247 2020/1/6
-0.1 1.1 EXPIRE:NakedShort G 1 1.130 1 0.0003 1.00 0.048 1.1120 2020/1/22
-0.4 2.0 CLOSE3:EXERCISE:risk_loving_max_str:  [[['Call-ReverseCalendarSpread-ATM' 0.0138 1.1847 1.0433]]] H 1 1.110 -1 0.0049 1.00 0.036 1.1089 2020/2/3
-0.4 2.0 EXPIRE:LongDiagonalSprd:risk_loving_max_str:  [[['Call-ReverseCalendarSpread-ATM' 0.0138 1.1847 1.0433]]] J 1 1.110 1 0.0096 1.00 0.032 1.1136 2020/2/3 -
-0.9 1.2 CLOSE:ShortStrangle: H -1 1.075 1 0.0004 1.00 0.051 1.0956 2020/2/11 -
-0.9 1.3 CLOSE: H -1 1.075 -1 0.0023 1.00 0.054 1.0806 2020/2/19 -
-0.5 2.1 CLOSE2:Short2 H 1 1.100 1 0.0003 1.00 0.050 1.0806 2020/2/19
-0.5 2.2 CLOSE2: H 1 1.100 -1 0.0042 1.00 0.017 1.1038 2020/2/27
-0.1 1.4 EXPIRE:CallShortDiagSprd:LongDiagonalSprd:Reversal:CalSpred K 1 1.125 -1 0.0121 1.00 0.062 1.1237 2020/3/5
0.2 2.3 CLOSE5:Reversal K -1 1.150 1 0.0202 1.00 0.109 1.1480 2020/3/9
-0.2 2.4 CLOSE6:CallLongRatioSprd:Short3 M 1 1.120 1 0.0103 1.00 0.126 1.0815 2020/3/23
0.0 2.5 EXPIRE:CallShortRatioSprd:CallLongRatioSprd: M 1 1.135 -1 0.0077 1.00 0.095 1.1076 2020/3/30
-0.3 2.6 CLOSE7:ASSIGN:CallShortDiagSprd: M 1 1.115 1 0.0042 1.00 0.091 1.0795 2020/4/6
-0.4 2.7 CLOSE7:ASSIGN:DiagSprdATM:VirtSprd:CallShortRatioSprd: M 1 1.110 1 0.0042 1.00 0.077 1.0884 2020/4/20
-0.2 2.8 CLOSE7:EXERCISE:VirtSprd:CLOSE6: M 1 1.120 -1 0.0005 1.00 0.074 1.0832 2020/5/11
-0.5 2.9 LongCondor:ShortRatioSprd:DiagSprdATM: Q 1 1.125 -1 0.0122 0.09 0.066 1.1243 2020/6/3 3
0.0 3.0 LongCondor:ShortRatioSprd: Q 1 1.135 1 0.0115 0.09 0.067 1.1333 2020/7/6 3
0.8 3.0 LongCondor:ShortRatioSprd: Q 1 1.150 1 0.0060 0.09 0.068 1.1333 2020/7/6 3
1.3 3.1 LongCondor: Q 1 1.160 -1 0.0025 0.09 0.070 1.1261 2020/6/17 3
-0.5 3.1 REVERSAL:risk_loving_max_str:  [[['Call-ShortRatioSpread-ATM' 0.2225 2.1244 1.2072]]] Q 1 1.125 -1 0.0123 0.09 0.065 1.1258 2020/6/17 6
0.3 3.1 CLOSE8:risk_loving_max_str:  [[['Call-ShortRatioSpread-ATM' 0.2225 2.1244 1.2072]]] Q 1 1.140 1 0.0063 0.09 0.069 1.1242 2020/6/17 -
0.0 3.2 REVERSAL: Q -1 1.135 1 0.0101 0.09 0.072 1.1341 2020/7/6 6
0.3 3.2 CLOSE8: Q 1 1.140 -1 0.0065 0.09 0.068 1.1341 2020/7/6 -

＊注　コールショートレシオスプレッドはユーロの上昇によりOTM Short legがATM近傍となってリスクポジションとなり、当初予定ではFar OTMをロングしてロングバタフライに変化させるつもりだった。しかしながら、満期までにバタフライのボディ部分に相場が安定しなければ利益とならず、収益は不確定である。コロナ禍によりハイボラタイルな相場が来ないとは言えない。
何とかITM Long legを利食いする方法を考え抜いた末に、ショートレシオのITM long legをリバーサルに変化させ、OTM short legは思い切ってクローズした。リバーサルの先物はITM部分の将来収益をロックするので、ネットで利益を確定させることが出来た。
まさに、窮すれば通ず。安易に妥協せずに、悩み抜くに如かず。

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___ GARCH model results review ___
2020年 7月 7日 火曜日 01時21分34秒 JST
VolPerSigma : Volatility : Filename : Products
-0.03 : 2.267 : result2.txt : ./Crude Oil WTI Futures Historical Data.csv
-0.37 : 0.154 : result1.txt : ./S&P 500 Futures Historical Data (2).csv
-0.45 : 0.127 : result3.txt : ./US Soybeans Futures Historical Data.csv
-0.53 : 0.050 : result5.txt : ./EUR_USD Historical Data (6).csv
-0.72 : 0.110 : result0.txt : ./Gold Futures Historical Data.csv
-0.75 : 0.041 : result6.txt : ./US 10 Year T-Note Futures Historical Data.csv
0.22 : 0.261 : result4.txt : ./US Corn Futures Historical Data.csv

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* T-note
Date 2020/7/13
Future 1st price 138.220 month = 9
Future 2nd price 139.035 month = 12
Mothly sigma -0.3
Next month's average sigma 0.7
HV 0.028
HV/σ -0.8
Daily STDEV 0.6
Monthly STDEV 1.6
Premium total: -0.31
Net Δ -0.0
Net Γ 0.1
Net Λ 6.9
VaR/Balance (V/B) [%] 0.0%

σ Version Tactics Code C1/P-1 権利行使価格 Short1/Buy-1 残存期間 Premium(>0) IV Price Traded date Qty

-0.1 2.0 Mini:  [['Put-CalendarSpread-ATM' -0.0031]] U -1 138.50 1 0.11 0.23 0.028 138.69 2020/7/13 1
-0.1 2.0 Mini:  [['Put-CalendarSpread-ATM' -0.0031]] V -1 138.50 -1 0.20 0.43 0.042 139.04 2020/7/13 1

https://www.marketwatch.com/story/treasury-yields-dragged-higher-by-stocks-as-investors-eye-coronavirus-risks-11594642129?mod=bond-report
Treasury yields dragged higher by stocks as investors eye coronavirus risks
The 10-year Treasury note yield TMUBMUSD10Y, 0.649% rose 1.8 basis points to 0.651%, while the 30-year bond yield TMUBMUSD30Y, 1.352% climbed 2.7 basis points to 1.353%. The 2-year note rate TMUBMUSD02Y, 0.160% was unchanged at 0.155%. Bond prices move in the opposite direction of yields.

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