オプション取引ログコミュのApril 2021

https://www.marketwatch.com/story/gold-prices-slip-but-some-experts-say-downside-limited-11617800717
Gold prices decline after a 4-session climb

* Gold
現在日付 2021/4/7
1st Price 1740 month: 6
2nd Price 1740 month: 6
Monthly change sigma 1.1
Next month's average sigma 0.3
HV 0.138
HV/σh -1.4
Daily expected return 1.9
Daily STDEV 19.8
Monthly STDEV 55.6
Premium total: -11.80
Net Δ 0.2
Net Γ -0.0
Net Λ 190
VaR/Balance (V/B) [%] 0.1%

___ Expected Utility ___
Player : Strategy : risk_neutral : risk_loving : risk_averse
risk_neutral_max_str:  [[['Call-ShortRatioSpread-ATM' 486.6634 994442.7189 31.5622]]]
risk_loving_max_str:  [[['Call-ShortRatioSpread-ATM' 486.6634 994442.7189 31.5622]]]
risk_averse_max_str:  [[['Call-ShortRatioSpread-ATM' 486.6634 994442.7189 31.5622]]]
___ Max Mini ___
Mini:  [['Call-NakedLong-OTM' -1.2769]]

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

1.0 2.0 Mini:  [['Call-NakedLong-OTM' -1.2769]] M 1 1,810 -1 11.80 0.13 0.143 1740.0 2021/4/7 1


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https://www.investing.com/news/stock-market-news/futures-slip-after-sp-500-dows-record-close-earnings-data-in-focus-2471644
Wall Street opens lower; earnings, data in focus

* E-mini S&P500
現在日付 2021/4/12
1st price 4,116.25 month= 6
2nd price 4,116.25 month= 6
Daily extected return 10.05
Daily Stdev 32.82
Monthly expected return 59.39
Monthly Stdev 139.83
Monthly change sigma 1.1
Next month's average sigma 0.1
HV 0.11
HV/σ -1.1
Earned premium -75.00
Net Δ -0.0
Net Γ 0.0
Net Λ -318.0
VaR/Balance (V/B) [%] 2.0%

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


-0.2 1.0 CLOSE:Mini:  [['Call-NakedLong-OTM' -3.0723]] J 1 4,090 -1 30.00 0.05 0.157 3,886.25 2021/3/2 0
-0.2 1.1 CLOSE: J 1 4,090 1 16.50 0.05 0.129 3,963.25 2021/3/31 0
-0.9 1.1 LongButterfly:risk_loving_max_str:  [[['Call-ShortRatioSpread-ATM' 1150.3854 5474832.2803 48.3643]]] K 1 3,960 -1 101.75 0.13 0.155 3,967.75 2021/3/31 1
-0.1 1.1 LongButterfly:risk_loving_max_str:  [[['Call-ShortRatioSpread-ATM' 1150.3854 5474832.2803 48.3643]]] K 1 4,100 1 34.50 0.13 0.133 3,965.00 2021/3/31 2
0.7 1.2 LongButterfly: K 1 4,240 -1 28.75 0.13 0.126 4,116.25 2021/4/12 1

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https://www.investing.com/news/stock-market-news/sp-nasdaq-futures-rise-as-jpmorgan-goldman-set-to-kick-off-earnings-season-2473983
Wall Street opens flat as big banks kick off earnings season

* E-mini S&P500
現在日付 2021/4/14
1st price 4,138.75 month= 6
2nd price 4,138.75 month= 6
Daily extected return 10.15
Daily Stdev 32.80
Monthly expected return 59.39
Monthly Stdev 139.83
Monthly change sigma 1.2
Next month's average sigma 0.1
HV 0.11
HV/σ -1.2
Earned premium 4.00
Net Δ 0.4
Net Γ 0.0
Net Λ -1,185.9
VaR/Balance (V/B) [%] -10.8%

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


-0.5 1.0 CLOSE:Mini:  [['Call-NakedLong-OTM' -3.0723]] J 1 4,090 -1 30.00 0.04 0.157 3,886.25 2021/3/2 0
-0.5 1.1 CLOSE: J 1 4,090 1 16.50 0.04 0.129 3,963.25 2021/3/31 0
-1.1 1.1 LongButterfly:risk_loving_max_str:  [[['Call-ShortRatioSpread-ATM' 1150.3854 5474832.2803 48.3643]]] K 1 3,960 -1 101.75 0.12 0.155 3,967.75 2021/3/31 1
-0.2 1.1 LongButterfly:risk_loving_max_str:  [[['Call-ShortRatioSpread-ATM' 1150.3854 5474832.2803 48.3643]]] K 1 4,100 1 34.50 0.12 0.133 3,965.00 2021/3/31 2
0.6 1.2 LongButterfly: K 1 4,240 -1 28.75 0.12 0.126 4,116.25 2021/4/12 1
-0.9 1.3 NakedShort K -1 3,980 1 39.50 0.12 0.177 4,138.75 2021/4/14 2

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https://www.marketwatch.com/story/gold-lower-ahead-of-fed-statement-as-treasury-yields-rise-11619614020
Gold lower ahead of Fed statement as Treasury yields rise

* Gold
現在日付 2021/4/28
1st Price 1768 month: 6
2nd Price 1770.1 month: 8
Monthly change sigma 1.0
Next month's average sigma 0.3
HV 0.139
HV/σh -1.2
Daily expected return 2.7
Daily STDEV 18.8
Monthly STDEV 55.6
Premium total: 5.70
Net Δ 0.2
Net Γ 0.0
Net Λ -220
VaR/Balance (V/B) [%] -7.4%

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

0.8 2.0 ShortRatioSprd:Mini:  [['Call-NakedLong-OTM' -1.2769]] M 1 1,810 -1 11.80 0.07 0.143 1740.0 2021/4/7 1
1.6 2.1 ShortRatioSprd: M 1 1,850 1 3.60 0.07 0.136 1768.0 2021/4/28 2
-1.0 2.1 NakedShort N -1 1,690 1 10.30 0.16 0.139 1771.2 2021/4/28 1

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