オプション取引ログコミュのMarch 2021

https://www.investing.com/news/stock-market-news/wall-street-opens-lower-in-modest-correction-dow-down-2434758
Wall Street Opens Lower in Modest Correction; Dow Down

* E-mini S&P500
現在日付 2021/3/2
1st price 3,886.25 month= 6
2nd price 3,886.25 month= 6
Daily extected return 9.83
Daily Stdev 35.24
Monthly expected return 55.62
Monthly Stdev 138.25
Monthly change sigma 0.9
Next month's average sigma 0.8
HV 0.15
HV/σ -0.1
Earned premium -30.00
Net Δ 0.2
Net Γ -0.0
Net Λ 423.7
VaR/Balance (V/B) [%] 0.7%

___ Expected Utility ___
Player : Strategy : risk_neutral : risk_loving : risk_averse
risk_neutral_max_str:  [[['Call-ShortRatioSpread-ATM' 1632.9441 10955241.5152 57.5258]]]
risk_loving_max_str:  [[['Call-ShortRatioSpread-ATM' 1632.9441 10955241.5152 57.5258]]]
risk_averse_max_str:  [[['Call-ShortRatioSpread-ATM' 1632.9441 10955241.5152 57.5258]]]
___ Max Mini ___
Mini:  [['Call-NakedLong-OTM' -3.0723]]

σ Version Tactics Code C1/P-1 権利行使価格 Sell1/Buy-1 プレミアム 残存期間 IV Price エントリ日 qty
1.1 1.0 Mini:  [['Call-NakedLong-OTM' -3.0723]] J 1 4,090 -1 30.00 0.16 0.157 3,886.25 2021/3/2 1

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https://www.euroexchangeratenews.co.uk/eur-usd-exchange-rate-plunges-to-worst-2021-levels-as-us-dollar-continues-rebound-rally-30434
EUR/USD Exchange Rate Plunges to Worst 2021 Levels as US Dollar Continues Rebound Rally

* Euro
現在日付 2021/3/8
1st future price 1.18735 month= 6
2nd future price 1.18735 month= 6
Monthly change sigma -0.9
Next month's average sigma -0.1
HV: 0.057
HV/σ -0.3
Daily expected return 0.0016
Daily STDEV 0.0046
Monthly STDEV 0.0199
Earned premium -0.0014
Net Δ -0.54
Net Γ 51.6
Net Λ -0.4
VaR/Balance (V/B) [%] -21.5%

σ Version Tactics Code C1/P-1 Strike Sell1/Buy-1 Premium(>0) Time IV price date qty
0.1 1.0 VirtSprd: PARTCLOSE:['Put-LongRatioSpread-OTM' -0.0002]] J -1 1.190 -1 0.0029 0.09 0.061 1.2162 2021/2/10 2
0.4 1.0 VirtSprd: ['Put-LongRatioSpread-OTM' -0.0002]] J -1 1.195 1 0.0038 0.09 0.059 1.2161 2021/2/10 2
0.1 1.0 MISS J -1 1.190 1 0.0029 0.09 0.061 1.2161 2021/2/10 -
0.1 1.1 PARTCLOSE: J -1 1.190 1 0.0019 0.09 0.064 1.2195 2021/2/23 -
1.6 1.2 1MShortCall J 1 1.220 1 0.0011 0.09 0.070 1.1874 2021/3/8 8

___ Expected Utility ___
Player : Strategy : risk_neutral : risk_loving : risk_averse
risk_neutral_max_str:  [[['Call-ShortRatioSpread-ATM' 0.1407 1.6609 1.1352]]]
risk_loving_max_str:  [[['Call-ShortRatioSpread-ATM' 0.1407 1.6609 1.1352]]]
risk_averse_max_str:  [[['Call-ShortRatioSpread-ATM' 0.1407 1.6609 1.1352]]]
___ Max Mini ___
Mini:  [['Put-NakedLong-OTM' -0.0003]]

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https://www.investing.com/news/stock-market-news/wall-street-opens-higher-after-jump-in-march-hiring-dow-up-90-pts-2462522
Wall Street Opens Higher After Jump in March Hiring; Dow up 90 Pts

* E-mini S&P500
現在日付 2021/3/31
1st price 3,967.75 month= 6
2nd price 3,967.75 month= 6
Daily extected return 9.05
Daily Stdev 33.27
Monthly expected return 54.67
Monthly Stdev 137.91
Monthly change sigma 0.5
Next month's average sigma 0.8
HV 0.14
HV/σ -0.1
Earned premium -46.25
Net Δ -0.0
Net Γ 0.0
Net Λ -421.0
VaR/Balance (V/B) [%] -3.7%


___ Expected Utility ___
Player : Strategy : risk_neutral : risk_loving : risk_averse
risk_neutral_max_str:  [[['Call-ShortRatioSpread-ATM' 1150.3854 5474832.2803 48.3643]]]
risk_loving_max_str:  [[['Call-ShortRatioSpread-ATM' 1150.3854 5474832.2803 48.3643]]]
risk_averse_max_str:  [[['Call-ShortRatioSpread-ATM' 1150.3854 5474832.2803 48.3643]]]
___ Max Mini ___
Mini:  [['Call-NakedLong-OTM' -1.616]]

σ Version Tactics Code C1/P-1 権利行使価格 Sell1/Buy-1 プレミアム 残存期間 IV Price エントリ日 qty


0.9 1.0 CLOSE:Mini:  [['Call-NakedLong-OTM' -3.0723]] J 1 4,090 -1 30.00 0.08 0.157 3,886.25 2021/3/2 0
0.9 1.1 CLOSE: J 1 4,090 1 16.50 0.08 0.129 3,963.25 2021/3/31 0
-0.0 1.1 risk_loving_max_str:  [[['Call-ShortRatioSpread-ATM' 1150.3854 5474832.2803 48.3643]]] K 1 3,960 -1 101.75 0.16 0.155 3,967.75 2021/3/31 1
0.7 1.1 risk_loving_max_str:  [[['Call-ShortRatioSpread-ATM' 1150.3854 5474832.2803 48.3643]]] K 1 4,100 1 34.50 0.16 0.133 3,965.00 2021/3/31 2

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___ GARCH model results review ___
2021年 3月31日 水曜日 23時27分06秒 JST
VolPerSigma : Volatility : Filename : Products
-0.26 : 0.155 : result1.txt : ./US Soybeans Futures Historical Data (1).csv
-0.26 : 0.818 : result6.txt : ./Crude Oil WTI Futures Historical Data (1).csv
-0.31 : 0.033 : result2.txt : ./US 10 Year T-Note Futures Historical Data (1).csv
-0.32 : 0.066 : result0.txt : ./EUR_USD Historical Data (5).csv
-0.47 : 0.159 : result4.txt : ./US 500 Futures Historical Data (5).csv
-0.58 : 0.212 : result5.txt : ./US Corn Futures Historical Data (1).csv
-0.60 : 0.159 : result3.txt : ./Gold Futures Historical Data (3).csv