https:/
Dow Futures Rise 110 Pts; ADP Payrolls in Focus
This week’s main focus remains Friday’s nonfarm payrolls data for August, as the strength of this release could influence the Federal Reserve’s decision on when to start running down its massive bond-buying program.
* E-mini S&P500
現在日付 2021/9/1
1st price 4,519.00 month= 12
2nd price 4,519.00 month= 12
Daily extected return 7.29
Daily Stdev 25.75
Monthly expected return 68.83
Monthly Stdev 142.82
Monthly change sigma 1.0
Next month's average sigma -0.3
HV 0.08
HV/σ -0.7
Earned premium -98.75
Net Δ 0.2
Net Γ 0.0
Net Λ -606.4
VaR/Balance (V/B) [%] -3.9%
σ Version Tactics Code C1/P-1 権利行使価格 Sell1/Buy-1 プレミアム(>0) 残存期間 IV Price エントリ日 qty
-1.3 2.0 CLOSE2:Mini: [['Put-LongRatioSpread-ATM' -1.7221]] U -1 4,330 -1 58.25 0.08 0.163 4,437.75 2021/8/16 0
-0.6 2.0 CLOSE:Mini: [['Put-LongRatioSpread-ATM' -1.7221]] U -1 4,440 1 89.00 0.08 0.134 4,437.75 2021/8/16 0
-1.3 2.1 CLOSE2: U -1 4,330 1 23.25 0.08 0.175 4,519.00 2021/9/1 0
-0.6 2.1 CLOSE: U -1 4,440 -1 37.25 0.08 0.139 4,519.00 2021/9/1 0
0.0 2.1 risk_averse_max_str: [[['Call-ShortRatioSpread-ATM' 1079.9921 4874274.3814 46.976]]] V 1 4,520 -1 95.25 0.16 0.133 4,519.00 2021/9/1 2
0.7 2.1 risk_averse_max_str: [[['Call-ShortRatioSpread-ATM' 1079.9921 4874274.3814 46.976]]] V 1 4,660 1 27.50 0.16 0.108 4,519.00 2021/9/1 4
___ Expected Utility ___
Player : Strategy : risk_neutral : risk_loving : risk_averse
risk_neutral_max_str: [[['Call-ShortRatioSpread-ATM' 1079.9921 4874274.3814 46.976]]]
risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 1079.9921 4874274.3814 46.976]]]
risk_averse_max_str: [[['Call-ShortRatioSpread-ATM' 1079.9921 4874274.3814 46.976]]]
___ Max Mini ___
Mini: [['Call-NakedLong-OTM' -1.4519]]
---
https:/
EUR/USD revisits lows in the 1.1850 zone on USD gains
EUR/USD debilitates further to the mid-1.1800s on Tuesday.
The dollar’s recovery mimics the rebound in US yields.
Economic Sentiment in Germany, EMU disappoints in September.
* Euro
現在日付 2021/9/7
1st future price 1.1877 month= 12
2nd future price 1.1877 month= 12
Monthly change sigma 0.7
Next month's average sigma -0.4
HV: 0.041
HV/σ -1.5
Daily expected return 0.0014
Daily STDEV 0.0042
Monthly STDEV 0.0202
Earned premium 0.0071
Net Δ -0.51
Net Γ 61.7
Net Λ -0.4
VaR/Balance (V/B) [%] -11.5%
σ Version Tactics Code C1/P-1 Strike Sell1/Buy-1 Premium(>0) Time IV price date qty
3.1 CLOSE2 N 1.190 -1 0.0100 2021/7/12
0.2 2.0 CLOSE2:VirtSprd:Mini: [['Put-LongRatioSpread-OTM' -0.0002]] N -1 1.200 1 0.0046 1.00 0.062 1.2201 2021/5/11 -
0.0 2.0 CLOSE2:VirtSprd:CLOSE:Mini: [['Put-LongRatioSpread-OTM' -0.0002]] N -1 1.190 -1 0.0027 1.00 0.064 1.2201 2021/5/11 -
0.0 2.1 CLOSE: N -1 1.190 1 0.0007 1.00 0.059 1.2204 2021/6/7 -
0.5 2.1 EXPIRE:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 0.0866 1.4005 1.0878]]] Q 1 1.220 -1 0.0109 1.00 0.054 1.2202 2021/6/7 -
0.7 2.1 EXPIRE:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 0.0866 1.4005 1.0878]]] Q 1 1.240 1 0.0039 1.00 0.056 1.2201 2021/6/7 -
-0.5 3.0 EXPIRE:ShortStrangle:NakedShortPut U -1 1.155 1 0.0020 1.00 0.059 1.1861 2021/7/3 -
0.4 3.1 EXPIRE:ShortStrangle: U 1 1.215 1 0.0019 1.00 0.057 1.1869 2021/7/12 -
0.8 3.2 VirtSprd:NakedShortCall V 1 1.205 1 0.0021 0.08 0.054 1.1782 2021/8/9 5
-1.8 3.2 ShortRatioSprd:NakedLongPut V -1 1.150 -1 0.0021 0.08 0.058 1.1782 2021/8/9 1
1.6 3.3 VirtSprd: V 1 1.220 -1 0.0004 0.08 0.054 1.1877 2021/9/7 5
-1.6 3.3 ShortRatioSprd: V -1 1.155 1 0.0004 0.08 0.056 1.1877 2021/9/7 4
---
https:/
U.S. West Texas Intermediate (WTI) crude futures were down 44 cents, or 0.61%, at $72.17 after settling unchanged in the previous session.
"The market is pausing for a breath. This week's supply-demand reports from OPEC and the IEA suggest that the balance of the year will be tight - demand is expected to grow and non-OPEC supply, partly because of Hurricane Ida, will get tighter," said PVM Oil Associates analyst Tamas Varga.
"The weather-related disruption was laid bare in Wednesday's EIA inventory report and further crude oil stock draws are anticipated next week and possibly beyond in the U.S. Gulf Coast."
* Oil
現在日付 2021/9/17
1st Price 71.65 Nov
2nd Price 71.24 Dec
Mothly change/σ 1.0
Next month's average change/σ -0.4
Daily STDEV 1.35
Monthly STDEV 6.28
Monthly expected return 1.40
HV 0.232
HV/σ -0.97
total premium: -6.5
Net Δ 0.1
Net Γ 0.0
Net Λ -2.0
VaR/Balance (V/B) [%] -3.6%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
1.7 CLOSE3:ASSIGN: Oct -1 72.00 72.00 2021/9/17 0
1.7 CLOSE3: Oct 1 0.12 71.88 2021/9/17 0
0.3 1.0 CLOSE:VirtSprd:Mini: [['Call-LongRatioSpread-OTM' -0.0221]] Sep 1 77.50 1 1.10 1.00 0.285 70.60 2021/6/14 0
0.4 1.0 EXPIRED:VirtSprd:PARTCLOSE:Mini: [['Call-LongRatioSpread-OTM' -0.0221]] Sep 1 81.00 -1 0.62 1.00 0.294 70.60 2021/6/14 0
0.4 1.1 PARTCLOSE: Sep 1 81.00 1 0.61 1.00 0.30 74.12 2021/7/14 0
-0.3 1.1 CLOSE2:LongRtioSprd:PARTCLOSE2:NakedShortPut Oct -1 64.50 1 1.29 1.00 0.38 73.21 2021/7/14 0
-0.3 1.2 PARTCLOSE2: Oct -1 64.50 -1 3.14 1.00 0.39 66.32 2021/7/21 0
-0.4 1.2 EXPIRE:VirtSprd2:LongRtioSprd: Oct -1 62.50 -1 2.43 1.00 0.40 66.32 2021/7/21 0
0.3 1.2 CLOSE Sep 1 77.50 1 0.16 1.00 0.34 66.87 2021/7/21 0
0.2 1.2 EXPIRE:ShortRatioSprd:LongRatioSprd3:VirtSprd: NakedShortCall Oct 1 76.00 1 0.69 1.00 0.33 66.32 2021/7/21 0
-0.3 1.3 EXPIRE:VirtSprd2:risk_averse_max_str: [[['Put-NakedShort-OTM' 1.7821 708.3532 5.0881]]] Oct -1 64.00 1 1.16 1.00 0.37 71.35 2021/7/27 0
0.4 1.3 EXPIRE:ShortRatioSprd:VirtSprd: Oct 1 79.50 -1 0.65 1.00 0.28 71.35 2021/7/27 0
-0.3 1.4 CLOSE2 Oct -1 64.50 -1 2.74 1.00 0.41 66.07 2021/8/9 0
-2.1 1.5 PutShortRatioSprd:VirtSprd3:LongStraddle Nov -1 59.00 -1 2.01 0.08 0.58 65.74 2021/8/9 1
0.9 1.5 CLOSE4:LongStraddle Nov 1 77.00 -1 0.78 0.08 0.46 65.74 2021/8/9 0
-3.0 1.6 PutShortRatioSprd:VirtSprd3: Nov -1 53.50 1 1.05 0.08 0.44 62.41 2021/8/19 1
0.0 1.6 ASSIGN:ShortRatioSprd: Oct 1 72.00 1 0.21 1.00 0.34 62.72 2021/8/19 0
0.9 1.7 CLOSE4: Nov 1 77.00 1 0.61 0.08 0.29 71.65 2021/9/17
-1.5 1.7 PutShortRatioSprd: Nov -1 62.50 1 0.30 0.08 0.37 71.65 2021/9/17 1
---
___ GARCH model results review ___
2021年 9月17日 金曜日 23時09分39秒 JST
VolPerSigma : Volatility : Filename : Products
-0.11 : 0.400 : result4.txt : ./US Corn Futures Historical Data.csv
-0.23 : 0.149 : result0.txt : ./Gold Futures Historical Data.csv
-0.25 : 0.056 : result2.txt : ./EUR_USD Historical Data (2).csv
-0.46 : 0.310 : result5.txt : ./Crude Oil WTI Futures Historical Data (2).csv
-0.56 : 0.104 : result1.txt : ./S&P 500 Futures Historical Data (2).csv
-0.93 : 0.168 : result3.txt : ./US Soybeans Futures Historical Data.csv
2.51 : 0.067 : result6.txt : ./US 10 Year T-Note Futures Historical Data.csv
|
|
* T-note
Date 2021/9/24
Future 1st price 132.050 month = 12
Future 2nd price 132.050 month = 12
Mothly sigma -0.9
Next month's average sigma -0.3
HV 0.0573
HV/σ 2.1
Daily STDEV 0.4
Monthly STDEV 1.6
Premium total: -0.31
Net Δ -0.2
Net Γ -0.1
Net Λ 15.8
VaR/Balance (V/B) [%] 0.0%
___ Expected Utility ___
Player : Strategy : risk_neutral : risk_loving : risk_averse
risk_neutral_max_str: [[['Call-ShortRatioSpread-ATM' 9.9902 477.7025 4.6726]]]
risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 9.9902 477.7025 4.6726]]]
risk_averse_max_str: [[['Call-ShortRatioSpread-ATM' 9.9902 477.7025 4.6726]]]
___ Max Mini ___
Mini: [['Put-NakedLong-OTM' -0.0326]]
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
#
-0.9 1.0 Mini: [['Put-NakedLong-OTM' -0.0326]] Z -1 130.00 -1 0.17 0.20 0.065 132.16 2021/9/24 1
https:/
Wall Street Opens Lower on Evergrande, Fed Worries; Dow Down 70 Pts
Investing.com -- U.S. stock markets opened lower on Friday, unsettled by fresh comments from the Federal Reserve about the pace of monetary policy tightening, and by doubts about China Evergrande, the real estate developer teetering on the brink of default.
---
Dow Futures Rise 110 Pts; ADP Payrolls in Focus
This week’s main focus remains Friday’s nonfarm payrolls data for August, as the strength of this release could influence the Federal Reserve’s decision on when to start running down its massive bond-buying program.
* E-mini S&P500
現在日付 2021/9/1
1st price 4,519.00 month= 12
2nd price 4,519.00 month= 12
Daily extected return 7.29
Daily Stdev 25.75
Monthly expected return 68.83
Monthly Stdev 142.82
Monthly change sigma 1.0
Next month's average sigma -0.3
HV 0.08
HV/σ -0.7
Earned premium -98.75
Net Δ 0.2
Net Γ 0.0
Net Λ -606.4
VaR/Balance (V/B) [%] -3.9%
σ Version Tactics Code C1/P-1 権利行使価格 Sell1/Buy-1 プレミアム(>0) 残存期間 IV Price エントリ日 qty
-1.3 2.0 CLOSE2:Mini: [['Put-LongRatioSpread-ATM' -1.7221]] U -1 4,330 -1 58.25 0.08 0.163 4,437.75 2021/8/16 0
-0.6 2.0 CLOSE:Mini: [['Put-LongRatioSpread-ATM' -1.7221]] U -1 4,440 1 89.00 0.08 0.134 4,437.75 2021/8/16 0
-1.3 2.1 CLOSE2: U -1 4,330 1 23.25 0.08 0.175 4,519.00 2021/9/1 0
-0.6 2.1 CLOSE: U -1 4,440 -1 37.25 0.08 0.139 4,519.00 2021/9/1 0
0.0 2.1 risk_averse_max_str: [[['Call-ShortRatioSpread-ATM' 1079.9921 4874274.3814 46.976]]] V 1 4,520 -1 95.25 0.16 0.133 4,519.00 2021/9/1 2
0.7 2.1 risk_averse_max_str: [[['Call-ShortRatioSpread-ATM' 1079.9921 4874274.3814 46.976]]] V 1 4,660 1 27.50 0.16 0.108 4,519.00 2021/9/1 4
___ Expected Utility ___
Player : Strategy : risk_neutral : risk_loving : risk_averse
risk_neutral_max_str: [[['Call-ShortRatioSpread-ATM' 1079.9921 4874274.3814 46.976]]]
risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 1079.9921 4874274.3814 46.976]]]
risk_averse_max_str: [[['Call-ShortRatioSpread-ATM' 1079.9921 4874274.3814 46.976]]]
___ Max Mini ___
Mini: [['Call-NakedLong-OTM' -1.4519]]
---
https:/
EUR/USD revisits lows in the 1.1850 zone on USD gains
EUR/USD debilitates further to the mid-1.1800s on Tuesday.
The dollar’s recovery mimics the rebound in US yields.
Economic Sentiment in Germany, EMU disappoints in September.
* Euro
現在日付 2021/9/7
1st future price 1.1877 month= 12
2nd future price 1.1877 month= 12
Monthly change sigma 0.7
Next month's average sigma -0.4
HV: 0.041
HV/σ -1.5
Daily expected return 0.0014
Daily STDEV 0.0042
Monthly STDEV 0.0202
Earned premium 0.0071
Net Δ -0.51
Net Γ 61.7
Net Λ -0.4
VaR/Balance (V/B) [%] -11.5%
σ Version Tactics Code C1/P-1 Strike Sell1/Buy-1 Premium(>0) Time IV price date qty
3.1 CLOSE2 N 1.190 -1 0.0100 2021/7/12
0.2 2.0 CLOSE2:VirtSprd:Mini: [['Put-LongRatioSpread-OTM' -0.0002]] N -1 1.200 1 0.0046 1.00 0.062 1.2201 2021/5/11 -
0.0 2.0 CLOSE2:VirtSprd:CLOSE:Mini: [['Put-LongRatioSpread-OTM' -0.0002]] N -1 1.190 -1 0.0027 1.00 0.064 1.2201 2021/5/11 -
0.0 2.1 CLOSE: N -1 1.190 1 0.0007 1.00 0.059 1.2204 2021/6/7 -
0.5 2.1 EXPIRE:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 0.0866 1.4005 1.0878]]] Q 1 1.220 -1 0.0109 1.00 0.054 1.2202 2021/6/7 -
0.7 2.1 EXPIRE:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 0.0866 1.4005 1.0878]]] Q 1 1.240 1 0.0039 1.00 0.056 1.2201 2021/6/7 -
-0.5 3.0 EXPIRE:ShortStrangle:NakedShortPut U -1 1.155 1 0.0020 1.00 0.059 1.1861 2021/7/3 -
0.4 3.1 EXPIRE:ShortStrangle: U 1 1.215 1 0.0019 1.00 0.057 1.1869 2021/7/12 -
0.8 3.2 VirtSprd:NakedShortCall V 1 1.205 1 0.0021 0.08 0.054 1.1782 2021/8/9 5
-1.8 3.2 ShortRatioSprd:NakedLongPut V -1 1.150 -1 0.0021 0.08 0.058 1.1782 2021/8/9 1
1.6 3.3 VirtSprd: V 1 1.220 -1 0.0004 0.08 0.054 1.1877 2021/9/7 5
-1.6 3.3 ShortRatioSprd: V -1 1.155 1 0.0004 0.08 0.056 1.1877 2021/9/7 4
---
https:/
U.S. West Texas Intermediate (WTI) crude futures were down 44 cents, or 0.61%, at $72.17 after settling unchanged in the previous session.
"The market is pausing for a breath. This week's supply-demand reports from OPEC and the IEA suggest that the balance of the year will be tight - demand is expected to grow and non-OPEC supply, partly because of Hurricane Ida, will get tighter," said PVM Oil Associates analyst Tamas Varga.
"The weather-related disruption was laid bare in Wednesday's EIA inventory report and further crude oil stock draws are anticipated next week and possibly beyond in the U.S. Gulf Coast."
* Oil
現在日付 2021/9/17
1st Price 71.65 Nov
2nd Price 71.24 Dec
Mothly change/σ 1.0
Next month's average change/σ -0.4
Daily STDEV 1.35
Monthly STDEV 6.28
Monthly expected return 1.40
HV 0.232
HV/σ -0.97
total premium: -6.5
Net Δ 0.1
Net Γ 0.0
Net Λ -2.0
VaR/Balance (V/B) [%] -3.6%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
1.7 CLOSE3:ASSIGN: Oct -1 72.00 72.00 2021/9/17 0
1.7 CLOSE3: Oct 1 0.12 71.88 2021/9/17 0
0.3 1.0 CLOSE:VirtSprd:Mini: [['Call-LongRatioSpread-OTM' -0.0221]] Sep 1 77.50 1 1.10 1.00 0.285 70.60 2021/6/14 0
0.4 1.0 EXPIRED:VirtSprd:PARTCLOSE:Mini: [['Call-LongRatioSpread-OTM' -0.0221]] Sep 1 81.00 -1 0.62 1.00 0.294 70.60 2021/6/14 0
0.4 1.1 PARTCLOSE: Sep 1 81.00 1 0.61 1.00 0.30 74.12 2021/7/14 0
-0.3 1.1 CLOSE2:LongRtioSprd:PARTCLOSE2:NakedShortPut Oct -1 64.50 1 1.29 1.00 0.38 73.21 2021/7/14 0
-0.3 1.2 PARTCLOSE2: Oct -1 64.50 -1 3.14 1.00 0.39 66.32 2021/7/21 0
-0.4 1.2 EXPIRE:VirtSprd2:LongRtioSprd: Oct -1 62.50 -1 2.43 1.00 0.40 66.32 2021/7/21 0
0.3 1.2 CLOSE Sep 1 77.50 1 0.16 1.00 0.34 66.87 2021/7/21 0
0.2 1.2 EXPIRE:ShortRatioSprd:LongRatioSprd3:VirtSprd: NakedShortCall Oct 1 76.00 1 0.69 1.00 0.33 66.32 2021/7/21 0
-0.3 1.3 EXPIRE:VirtSprd2:risk_averse_max_str: [[['Put-NakedShort-OTM' 1.7821 708.3532 5.0881]]] Oct -1 64.00 1 1.16 1.00 0.37 71.35 2021/7/27 0
0.4 1.3 EXPIRE:ShortRatioSprd:VirtSprd: Oct 1 79.50 -1 0.65 1.00 0.28 71.35 2021/7/27 0
-0.3 1.4 CLOSE2 Oct -1 64.50 -1 2.74 1.00 0.41 66.07 2021/8/9 0
-2.1 1.5 PutShortRatioSprd:VirtSprd3:LongStraddle Nov -1 59.00 -1 2.01 0.08 0.58 65.74 2021/8/9 1
0.9 1.5 CLOSE4:LongStraddle Nov 1 77.00 -1 0.78 0.08 0.46 65.74 2021/8/9 0
-3.0 1.6 PutShortRatioSprd:VirtSprd3: Nov -1 53.50 1 1.05 0.08 0.44 62.41 2021/8/19 1
0.0 1.6 ASSIGN:ShortRatioSprd: Oct 1 72.00 1 0.21 1.00 0.34 62.72 2021/8/19 0
0.9 1.7 CLOSE4: Nov 1 77.00 1 0.61 0.08 0.29 71.65 2021/9/17
-1.5 1.7 PutShortRatioSprd: Nov -1 62.50 1 0.30 0.08 0.37 71.65 2021/9/17 1
---
___ GARCH model results review ___
2021年 9月17日 金曜日 23時09分39秒 JST
VolPerSigma : Volatility : Filename : Products
-0.11 : 0.400 : result4.txt : ./US Corn Futures Historical Data.csv
-0.23 : 0.149 : result0.txt : ./Gold Futures Historical Data.csv
-0.25 : 0.056 : result2.txt : ./EUR_USD Historical Data (2).csv
-0.46 : 0.310 : result5.txt : ./Crude Oil WTI Futures Historical Data (2).csv
-0.56 : 0.104 : result1.txt : ./S&P 500 Futures Historical Data (2).csv
-0.93 : 0.168 : result3.txt : ./US Soybeans Futures Historical Data.csv
2.51 : 0.067 : result6.txt : ./US 10 Year T-Note Futures Historical Data.csv
|
|
* T-note
Date 2021/9/24
Future 1st price 132.050 month = 12
Future 2nd price 132.050 month = 12
Mothly sigma -0.9
Next month's average sigma -0.3
HV 0.0573
HV/σ 2.1
Daily STDEV 0.4
Monthly STDEV 1.6
Premium total: -0.31
Net Δ -0.2
Net Γ -0.1
Net Λ 15.8
VaR/Balance (V/B) [%] 0.0%
___ Expected Utility ___
Player : Strategy : risk_neutral : risk_loving : risk_averse
risk_neutral_max_str: [[['Call-ShortRatioSpread-ATM' 9.9902 477.7025 4.6726]]]
risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 9.9902 477.7025 4.6726]]]
risk_averse_max_str: [[['Call-ShortRatioSpread-ATM' 9.9902 477.7025 4.6726]]]
___ Max Mini ___
Mini: [['Put-NakedLong-OTM' -0.0326]]
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
#
-0.9 1.0 Mini: [['Put-NakedLong-OTM' -0.0326]] Z -1 130.00 -1 0.17 0.20 0.065 132.16 2021/9/24 1
https:/
Wall Street Opens Lower on Evergrande, Fed Worries; Dow Down 70 Pts
Investing.com -- U.S. stock markets opened lower on Friday, unsettled by fresh comments from the Federal Reserve about the pace of monetary policy tightening, and by doubts about China Evergrande, the real estate developer teetering on the brink of default.
---
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