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オプション取引ログコミュのJan. 2022

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https://www.investing.com/news/stock-market-news/sp-futures-near-record-high-in-bright-start-to-new-year-2728869
Wall Street climbs in upbeat start to 2022
(Reuters) - U.S. stock indexes inched higher on Monday, looking to extend a market recovery from the pandemic shock into the new year, while shares in heavyweight Tesla (NASDAQ:TSLA) jumped after the electric carmaker posted bumper delivery numbers.

* T-note
Date 2022/1/4
Future 1st price 129.215 month = 3
Future 2nd price 129.215 month = 3
Mothly sigma -1.0
Next month's average sigma -0.3
HV 0.0577
HV/σ 0.9
Daily STDEV 0.4
Monthly STDEV 1.6
Premium total: 1.39
Net Δ 1.5
Net Γ 0.9
Net Λ -22.5
VaR/Balance (V/B) [%] -9.3%

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 1.0 EXPIRED:risk_averse_max_str:  [[['Put-ReverseCalendarSpread-ATM' 1.1061 51.4489 2.6768]]]Mini:  [['Put-NakedLong-OTM' -0.0326]] Z -1 130.00 -1 1.00 0.20 0.065 132.16 2021/9/24 0
0.1 1.1 CLOSE:MISS:risk_averse_max_str:  [[['Put-ReverseCalendarSpread-ATM' 1.1061 51.4489 2.6768]]] F -1 130.50 1 1.00 1.21 0.058 129.72 2021/10/25 0
0.1 1.1 EXPIRED:risk_averse_max_str:  [[['Put-ReverseCalendarSpread-ATM' 1.1061 51.4489 2.6768]]] Z -1 130.50 -1 1.00 0.41 0.047 130.61 2021/10/25 0
0.1 1.1 MISS: F -1 130.50 -1 1.00 1.21 0.058 129.72 2021/10/25 0
0.1 1.2 CLOSE: F -1 130.50 -1 1.00 0.54 0.048 130.23 2021/11/30
-1.4 1.2 NakedShort G -1 128.00 1 0.05 0.19 0.072 130.23 2021/11/30 8
0.9 1.3 Mini:  [['Call-NakedLong-OTM' -0.0405]] H 1 131.50 -1 0.12 0.17 0.064 129.67 2022/1/4 2
---

https://www.investing.com/news/economy/futures-muted-banks-extend-gains-on-high-yields-2734480
Nasdaq set to open lower as tech stocks extend declines
(Reuters) -Nasdaq futures fell 1% on Monday as heavyweight technology stocks dropped on expectations of a high interest rate environment, while big banks extended gains after U.S. Treasury yields climbed to new two-year highs.

* T-note
Date 2022/1/10
Future 1st price 128.010 month = 3
Future 2nd price 127.285 month = 6
Mothly sigma -1.5
Next month's average sigma -0.3
HV 0.0490
HV/σ 0.0
Daily STDEV 0.4
Monthly STDEV 1.6
Premium total: -2.48
Net Δ -0.1
Net Γ -0.2
Net Λ 20.8
VaR/Balance (V/B) [%] 0.2%

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
0.3 1.0 EXPIRED:risk_averse_max_str:  [[['Put-ReverseCalendarSpread-ATM' 1.1061 51.4489 2.6768]]]Mini:  [['Put-NakedLong-OTM' -0.0326]] Z -1 130.00 -1 1.00 0.20 0.065 132.16 2021/9/24 0
0.4 1.1 CLOSE:MISS:risk_averse_max_str:  [[['Put-ReverseCalendarSpread-ATM' 1.1061 51.4489 2.6768]]] F -1 130.50 1 1.00 1.21 0.058 129.72 2021/10/25 0
0.4 1.1 EXPIRED:risk_averse_max_str:  [[['Put-ReverseCalendarSpread-ATM' 1.1061 51.4489 2.6768]]] Z -1 130.50 -1 1.00 0.41 0.047 130.61 2021/10/25 0
0.4 1.1 MISS: F -1 130.50 -1 1.00 1.21 0.058 129.72 2021/10/25 0
0.4 1.2 CLOSE: F -1 130.50 -1 1.00 0.54 0.048 130.23 2021/11/30
-0.0 1.2 PARTCLOSE:NakedShort G -1 128.00 1 0.03 0.19 0.072 130.23 2021/11/30 0
1.9 1.3 Mini:  [['Call-NakedLong-OTM' -0.0405]] H 1 131.50 -1 0.11 0.17 0.064 129.67 2022/1/4 2
-0.0 1.4 PARTCLOSE: G -1 128.00 -1 0.03 0.29 0.054 128.03 2022/1/10 0
-1.6 1.4 PutNakedLong H -1 125.00 -1 0.11 0.08 0.079 127.89 2022/1/10 2
#DIV/0!

---

https://www.investing.com/news/stock-market-news/us-futures-edge-lower-inflation-data-banks-earnings-due-this-week-2734400
.S. Futures Edge Lower; Inflation Data, Banks Earnings Due This Week

* Euro
現在日付 2022/1/10
1st future price 1.13085 month= 3
2nd future price 1.13085 month= 3
Monthly change sigma 0.1
Next month's average sigma -0.5
HV: 0.057
HV/σ -0.2
Daily expected return 0.0013
Daily STDEV 0.0040
Monthly STDEV 0.0200
Earned premium 0.0128
Net Δ -0.96
Net Γ 97.8
Net Λ -0.5
VaR/Balance (V/B) [%] -27.5%

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


0.4 1.0 EXPIRED:Mini:  [['Call-CalendarSpread-ATM' 0.0] Z 1 1.160 1 0.0056 1.00 0.035 1.1596 2021/11/9 -
0.4 1.0 CLOSE:Mini:  [['Call-CalendarSpread-ATM' 0.0] F 1 1.160 -1 0.0109 1.00 0.051 1.1625 2021/11/9 -
0.4 1.1 CLOSE: F 1 1.160 1 0.0013 1.00 0.070 1.1318 2021/12/7 -
-0.0 1.2 CLOSE2:risk_neutral_max_str:  [[['Call-ShortRatioSpread-ATM' 0.1149 1.5341 1.1129]]] G 1 1.130 -1 0.0126 0.07 0.064 1.1318 2021/12/7 -
1.0 1.2 NakedShort:risk_neutral_max_str:  [[['Call-ShortRatioSpread-ATM' 0.1149 1.5341 1.1129]]] G 1 1.150 1 0.0048 0.07 0.064 1.1318 2021/12/7 8
-0.0 1.3 CLOSE2: G 1 1.130 1 0.0072 0.07 0.057 1.1309 2022/1/10

---

U.S. Futures Flat; PPI Data, Delta Earnings in Focus
https://www.investing.com/news/stock-market-news/us-futures-flat-ppi-data-delta-earnings-in-focus-2737888
Investing.com - U.S. stocks are seen opening largely unchanged ahead of more inflation data, while the start of the earnings season is set to show another strong quarter for corporate America.

* Euro
現在日付 2022/1/14
1st future price 1.14825 month= 3
2nd future price 1.14825 month= 3
Monthly change sigma 1.0
Next month's average sigma -0.5
HV: 0.061
HV/σ 0.1
Daily expected return 0.0015
Daily STDEV 0.0041
Monthly STDEV 0.0203
Earned premium -0.0319
Net Δ -0.12
Net Γ -8.0
Net Λ 0.1
VaR/Balance (V/B) [%] 0.0%

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

0.2 1.0 EXPIRED:Mini:  [['Call-CalendarSpread-ATM' 0.0] Z 1 1.160 1 0.0056 1.00 0.035 1.1596 2021/11/9 -
0.2 1.0 CLOSE:Mini:  [['Call-CalendarSpread-ATM' 0.0] F 1 1.160 -1 0.0109 1.00 0.051 1.1625 2021/11/9 -
0.2 1.1 CLOSE: F 1 1.160 1 0.0013 1.00 0.070 1.1318 2021/12/7 -
-1.1 1.2 CLOSE2:risk_neutral_max_str:  [[['Call-ShortRatioSpread-ATM' 0.1149 1.5341 1.1129]]] G 1 1.130 -1 0.0126 0.06 0.064 1.1318 2021/12/7 -
0.1 1.2 CLOSE3:NakedShort:risk_neutral_max_str:  [[['Call-ShortRatioSpread-ATM' 0.1149 1.5341 1.1129]]] G 1 1.150 1 0.0048 0.06 0.064 1.1318 2021/12/7 -
-1.1 1.3 CLOSE2: G 1 1.130 1 0.0072 0.06 0.057 1.1309 2022/1/10
0.1 1.4 CLOSE3: G 1 1.150 -1 0.0054 0.06 0.056 1.1483 2022/1/14
-1.1 1.4 NakedShort2 H -1 1.120 -1 0.0015 0.13 0.059 1.1483 2022/1/14 1
#DIV/0!


---

https://www.investing.com/news/commodities-news/crude-oil-prices-edge-lower-as-libyan-output-returns-chinese-demandeyed-2740445
Crude Oil Prices Edge Lower as Libyan Output Returns; Chinese Demand Eyed

* Oil
現在日付 2022/1/17
1st Price 83.22 Mar
2nd Price 82.28 Apr
Mothly change/σ 2.1
Next month's average change/σ 0.1
Daily STDEV 1.67
Monthly STDEV 7.00
Monthly expected return 1.35
HV 0.253
HV/σ -0.80
total premium: 4.1
Net Δ -0.1
Net Γ -0.0
Net Λ 1.3
VaR/Balance (V/B) [%] -6.4%

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

-0.7 2.0 VirtSprd:Mini:  [['Call-LongRatioSpread-OTM' -0.0634]] Mar 1 78.00 1 1.83 0.08 0.37 70.65 2021/12/13 1
-0.2 2.0 VirtSprd:PARTCLOSE:Mini:  [['Call-LongRatioSpread-OTM' -0.0634]] Mar 1 81.50 -1 1.11 0.08 0.36 70.65 2021/12/13 1
-0.2 2.1 PARTCLOSE: Mar 1 81.50 1 4.53 0.08 0.38 83.22 2022/1/17

---
https://www.investing.com/news/stock-market-news/wall-street-opens-lower-as-ukraine-crisis-adds-to-other-worries-dow-down-420-pts-2746442
Wall Street Opens Lower as Ukraine Crisis Adds to Other Worries; Dow Down 420 Pts

* T-note
Date 2022/1/25
Future 1st price 128.175 month = 3
Future 2nd price 128.160 month = 6
Mothly sigma -1.2
Next month's average sigma -0.3
HV 0.0470
HV/σ -0.2
Daily STDEV 0.4
Monthly STDEV 1.6
Premium total: 1.45
Net Δ 2.1
Net Γ 0.8
Net Λ -129.7
VaR/Balance (V/B) [%] -21.7%

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
#DIV/0!

0.3 1.0 EXPIRED:risk_averse_max_str:  [[['Put-ReverseCalendarSpread-ATM' 1.1061 51.4489 2.6768]]]Mini:  [['Put-NakedLong-OTM' -0.0326]] Z -1 130.00 -1 1.00 0.20 0.065 132.16 2021/9/24 0
0.3 1.1 CLOSE:MISS:risk_averse_max_str:  [[['Put-ReverseCalendarSpread-ATM' 1.1061 51.4489 2.6768]]] F -1 130.50 1 1.00 1.21 0.058 129.72 2021/10/25 0
0.3 1.1 EXPIRED:risk_averse_max_str:  [[['Put-ReverseCalendarSpread-ATM' 1.1061 51.4489 2.6768]]] Z -1 130.50 -1 1.00 0.41 0.047 130.61 2021/10/25 0
0.3 1.1 MISS: F -1 130.50 -1 1.00 1.21 0.058 129.72 2021/10/25 0
0.3 1.2 CLOSE: F -1 130.50 -1 1.00 0.54 0.048 130.23 2021/11/30
-0.1 1.2 CLOSE2:NakedShort G -1 128.00 1 1.00 0.19 0.072 130.23 2021/11/30 0
2.0 1.3 LongStrangle:Mini:  [['Call-NakedLong-OTM' -0.0405]] H 1 131.50 -1 0.07 0.17 0.064 129.67 2022/1/4 2
-0.1 1.4 CLOSE2: G -1 128.00 -1 1.00 0.29 0.054 128.03 2022/1/10 0
-2.5 1.4 LongStrangle H -1 125.00 -1 0.07 0.08 0.079 127.89 2022/1/10 2
-0.9 1.5 NakedShortPut J -1 126.50 1 0.16 0.28 0.074 128.50 2022/1/25 9


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