オプション取引ログコミュのJune 2021

___ GARCH model results review ___
2021年 6月 7日 月曜日 23時17分05秒 JST
VolPerSigma : Volatility : Filename : Products
-0.16 : 0.176 : result4.txt : ./US Soybeans Futures Historical Data.csv
-0.69 : 0.128 : result0.txt : ./US 500 Futures Historical Data (2).csv
-1.09 : 0.254 : result3.txt : ./Crude Oil WTI Futures Historical Data.csv
0.02 : 0.169 : result2.txt : ./Gold Futures Historical Data (2).csv
0.12 : 0.037 : result6.txt : ./US 10 Year T-Note Futures Historical Data.csv
0.17 : 0.061 : result1.txt : ./EUR_USD Historical Data (4).csv
1.49 : 0.420 : result5.txt : ./US Corn Futures Historical Data.csv

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* Euro
現在日付 2021/6/7
1st future price 1.22035 month= 9
2nd future price 1.22035 month= 9
Monthly change sigma 0.4
Next month's average sigma 0.8
HV: 0.060
HV/σ -0.4
Daily expected return 0.0014
Daily STDEV 0.0046
Monthly STDEV 0.0203
Earned premium -0.0064
Net Δ 0.18
Net Γ 25.0
Net Λ -0.3
VaR/Balance (V/B) [%] -3.6%

___ Expected Utility ___
Player : Strategy : risk_neutral : risk_loving : risk_averse
risk_neutral_max_str:  [[['Call-ShortRatioSpread-ATM' 0.0866 1.4005 1.0878]]]
risk_loving_max_str:  [[['Call-ShortRatioSpread-ATM' 0.0866 1.4005 1.0878]]]
risk_averse_max_str:  [[['Call-ShortRatioSpread-ATM' 0.0866 1.4005 1.0878]]]
___ Max Mini ___
Mini:  [['Put-NakedLong-OTM' -0.0002]]

σ Version Tactics Code C1/P-1 Strike Sell1/Buy-1 Premium(>0) Time IV price date qty






-1.0 2.0 VirtSprd:Mini:  [['Put-LongRatioSpread-OTM' -0.0002]] N -1 1.200 1 0.0046 0.09 0.062 1.2201 2021/5/11 2
-1.4 2.0 VirtSprd:CLOSE:Mini:  [['Put-LongRatioSpread-OTM' -0.0002]] N -1 1.190 -1 0.0027 0.09 0.064 1.2201 2021/5/11 2
-1.4 2.1 CLOSE: N -1 1.190 1 0.0007 0.09 0.059 1.2204 2021/6/7 -
-0.0 2.1 risk_loving_max_str:  [[['Call-ShortRatioSpread-ATM' 0.0866 1.4005 1.0878]]] Q 1 1.220 -1 0.0109 0.16 0.054 1.2202 2021/6/7 2
0.7 2.1 risk_loving_max_str:  [[['Call-ShortRatioSpread-ATM' 0.0866 1.4005 1.0878]]] Q 1 1.240 1 0.0039 0.16 0.056 1.2201 2021/6/7 4
#DIV/0!

https://www.investing.com/news/economy/dented-by-jobs-miss-dollar-teeters-ahead-of-cpi-2524546
Dollar struggles for momentum as markets wait for inflation data
LONDON (Reuters) -The dollar stabilised on Monday after dropping on Friday following lower-than-expected U.S. jobs data, and currency markets broadly lacked momentum as investors looked ahead to key inflation data later this week.

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https://www.investing.com/news/commodities-news/crude-oil-soars-to-twoyear-highs-on-demand-recovery-hopes-2531441
Crude Oil Soars to Two-Year Highs on Demand Recovery Hopes
Investing.com -- Crude oil prices rose Monday, hitting their highest levels in more than two years, boosted by renewed confidence in the economic revival and an associated jump in oil demand.

* Oil
現在日付 2021/6/14
1st Price 71.31 Aug
2nd Price 70.60 Sep
Mothly change/σ 0.8
Next month's average change/σ -0.0
Daily STDEV 1.32
Monthly STDEV 6.22
Monthly expected return 1.35
HV 0.192
HV/σ -1.70
total premium: -0.1
Net Δ 0.1
Net Γ -0.0
Net Λ 5.4
VaR/Balance (V/B) [%] -0.1%

___ Expected Utility ___
Player : Strategy : risk_neutral : risk_loving : risk_averse
risk_neutral_max_str:  [[['Put-NakedShort-OTM' 1.3504 476.0705 4.6192]]]
risk_loving_max_str:  [[['Put-NakedShort-OTM' 1.3504 476.0705 4.6192]]]
risk_averse_max_str:  [[['Put-NakedShort-OTM' 1.3504 476.0705 4.6192]]]
___ Max Mini ___
Mini:  [['Call-LongRatioSpread-OTM' -0.0221]]

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

1.0 Mini:  [['Call-LongRatioSpread-OTM' -0.0221]] Sep 1 77.50 1 1.10 0.18 0.285 70.60 2021/6/14 1
1.0 Mini:  [['Call-LongRatioSpread-OTM' -0.0221]] Sep 1 81.00 -1 0.62 0.18 0.294 70.60 2021/6/14 2


___ GARCH model results review ___
2021年 6月24日 木曜日 12時12分00秒 JST
VolPerSigma : Volatility : Filename : Products
-0.29 : 0.143 : result0.txt : ./US 500 Futures Historical Data (3).csv
-0.52 : 0.146 : result3.txt : ./Gold Futures Historical Data (3).csv
-0.71 : 0.282 : result5.txt : ./Crude Oil WTI Futures Historical Data (3).csv
-0.99 : 0.060 : result6.txt : ./EUR_USD Historical Data (7).csv
1.21 : 0.403 : result4.txt : ./US Corn Futures Historical Data (1).csv
3.07 : 0.398 : result1.txt : ./US Soybeans Futures Historical Data (1).csv
3.30 : 0.077 : result2.txt : ./US 10 Year T-Note Futures Historical Data (1).csv
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