オプション取引ログコミュのSep. 2020

https://www.barchart.com/story/futures/quotes/ZS*0/futures-prices/200803/soybeans-3-to-4-higher-on-more-export-activity
Soybeans 3 To 4 Higher On More Export Activity

* Soybean
Date 2020/9/3
1st Future price 961.0 Month= 11
2nd Future price 961.0 Month= 11
Monthly sigma 1.8
Next month's average sigma 0.6
HV 0.11
HV/σ 0.4
Daily expected return 2.1
Daily STDEV 6.0
Monthly expected return 8.4
Monthly STDEV 44.4
Premium total: 46.00
Net Δ 2.1
Net Γ 0.1
Net Λ -1,187.5
VaR/Balance (V/B) [%] -24.8%

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

-2.8 2.0 ShortRatioSprd:Mini:  [['Put-NakedLong-OTM' -0.1507]] X -1 800.0 -1 0.14 1.4 0.136 875.3 2020/8/12 8
-1.1 2.1 ShortRatioSprd: X -1 900.0 1 0.14 3.5 0.159 961.0 2020/9/3 16


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https://www.barchart.com/story/futures/quotes/ZN*0/futures-prices/230011/10-year-t-notes-little-changed-as-us-stock-indexes-recover-on-a-rebound-in-technology-stocks
10-Year T-Notes Little Changed As U.S. Stock Indexes Recover On A Rebound In Technology Stocks

* T-note
Date 2020/9/9
Future 1st price 139.100 month = 12
Future 2nd price 139.100 month = 12
Mothly sigma -0.4
Next month's average sigma -0.3
HV 0.0292
HV/σ -0.1
Daily STDEV 0.3
Monthly STDEV 1.6
Premium total: 0.28
Net Δ -0.7
Net Γ 0.5
Net Λ -48.1
VaR/Balance (V/B) [%] -3.7%

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 EXPIRED:Mini:  [['Put-CalendarSpread-ATM' -0.0031]] U -1 138.50 1 1.00 0.23 0.028 138.69 2020/7/13 0
-0.7 2.0 LongButterfly:ShortRatioSprd:Mini:  [['Put-CalendarSpread-ATM' -0.0031]] V -1 138.50 -1 0.04 0.43 0.042 139.04 2020/7/13 1
-1.1 2.1 LongButterfly:ShortRatioSprd: V -1 138.00 1 0.04 0.11 0.034 139.04 2020/8/3 2
-1.5 2.2 LongButterfly: V -1 137.50 -1 0.04 0.06 0.058 139.56 2020/8/24 1
0.1 2.2 CLOSE:risk_loving_max_str:  [[['Call-ShortRatioSpread-ATM' 4.5485 129.4257 3.3653]]] X 1 139.50 -1 0.12 0.50 0.031 139.58 2020/8/24 0
0.9 2.2 NakedShort:risk_loving_max_str:  [[['Call-ShortRatioSpread-ATM' 4.5485 129.4257 3.3653]]] X 1 141.00 1 0.12 0.14 0.041 139.59 2020/8/24 4
0.1 2.3 CLOSE: X 1 139.50 1 0.12 0.33 0.033 139.31 2020/9/9 0


___ GARCH model results review ___
2020年 9月10日 木曜日 01時01分19秒 JST
VolPerSigma : Volatility : Filename : Products
-0.19 : 1.058 : result1.txt : ./Crude Oil WTI Futures Historical Data.csv
-0.40 : 0.119 : result5.txt : ./US Soybeans Futures Historical Data (2).csv
-0.46 : 0.053 : result4.txt : ./EUR_USD Historical Data.csv
-0.83 : 0.129 : result0.txt : ./Gold Futures Historical Data.csv
0.31 : 0.241 : result3.txt : ./US Corn Futures Historical Data.csv
0.46 : 0.061 : result2.txt : ./US 10 Year T-Note Futures Historical Data (4).csv
0.48 : 0.361 : result6.txt : ./US 500 Futures Historical Data.csv


https://www.marketpulse.com/20200916/gold-eyeing-fed-nudge-oil-gets-short-term-lift/
Gold eyeing Fed nudge, Oil gets short-term lift

* Gold
現在日付 2020/9/16
1st Price 1972.3 month: 12
2nd Price 1980.4 month: 12
Monthly change sigma -0.6
Next month's average sigma 0.1
HV 0.141
HV/σh -1.0
Daily expected return 6.3
Daily STDEV 21.6
Monthly STDEV 47.5
Premium total: -23.50
Net Δ 0.0
Net Γ 0.0
Net Λ 78
VaR/Balance (V/B) [%] 1.1%

σ Version Tactics Contract C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty

0.0 2.0 Mini:  [['Put-CalendarSpread-ATM' -0.1383]] X -1 1,975 1 48.10 0.112 0.180 1973.4 2020/9/16 1
0.0 2.0 Mini:  [['Put-CalendarSpread-ATM' -0.1383]] Z -1 1,975 -1 71.60 0.19 0.217 1980.4 2020/9/16 1

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https://www.barchart.com/story/futures/quotes/ZN*0/futures-prices/335484/10-year-t-notes-little-changed-as-a-rally-in-stocks-offsets-dovish-ecb-comments
10-Year T-Notes Little Changed As A Rally In Stocks Offsets Dovish ECB Comments

* T-note
Date 2020/9/28
Future 1st price 139.210 month = 12
Future 2nd price 139.210 month = 12
Mothly sigma 0.2
Next month's average sigma -0.3
HV 0.0251
HV/σ -0.4
Daily STDEV 0.3
Monthly STDEV 1.6
Premium total: -0.63
Net Δ 0.4
Net Γ 0.1
Net Λ -15.3
VaR/Balance (V/B) [%] -0.7%

___ Expected Utility ___
Player : Strategy : risk_neutral : risk_loving : risk_averse
risk_neutral_max_str:  [[['Call-ShortRatioSpread-ATM' 5.4275 179.9697 3.654]]]
risk_loving_max_str:  [[['Call-ShortRatioSpread-ATM' 5.4275 179.9697 3.654]]]
risk_averse_max_str:  [[['Call-ShortRatioSpread-ATM' 5.4275 179.9697 3.654]]]
___ Max Mini ___
Mini:  [['Call-NakedLong-OTM' -0.0256]]

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


-0.2 2.0 EXPIRED:Mini:  [['Put-CalendarSpread-ATM' -0.0031]] U -1 138.50 1 1.00 0.23 0.028 138.69 2020/7/13 0
-0.2 2.0 EXPIRED:LongButterfly:ShortRatioSprd:Mini:  [['Put-CalendarSpread-ATM' -0.0031]] V -1 138.50 -1 1.00 0.43 0.042 139.04 2020/7/13 0
-0.3 2.1 EXPIRED:LongButterfly:ShortRatioSprd: V -1 138.00 1 1.00 0.11 0.034 139.04 2020/8/3 0
-0.4 2.2 EXPIRED:LongButterfly: V -1 137.50 -1 1.00 0.06 0.058 139.56 2020/8/24 0
-0.1 2.2 CLOSE:risk_loving_max_str:  [[['Call-ShortRatioSpread-ATM' 4.5485 129.4257 3.3653]]] X 1 139.50 -1 0.07 0.50 0.031 139.58 2020/8/24 0
0.9 2.2 CLOSE2:NakedShort:risk_loving_max_str:  [[['Call-ShortRatioSpread-ATM' 4.5485 129.4257 3.3653]]] X 1 141.00 1 0.07 0.14 0.041 139.59 2020/8/24 0
-0.1 2.3 CLOSE: X 1 139.50 1 0.07 0.33 0.033 139.31 2020/9/9 0
0.9 2.4 CLOSE2: X 1 141.00 -1 0.07 0.03 0.039 139.66 2020/9/28 0
-0.1 2.5 risk_neutral_max_str:  [[['Call-ShortRatioSpread-ATM' 5.4275 179.9697 3.654]]] Z 1 139.50 -1 0.15 0.53 0.032 139.66 2020/9/28 2
0.6 2.5 risk_neutral_max_str:  [[['Call-ShortRatioSpread-ATM' 5.4275 179.9697 3.654]]] Z 1 141.00 1 0.15 0.15 0.044 139.63 2020/9/28 4