S&P 500 Slips as Jobs Miss Unlikely to Deter Fed From Aggressive Tightening
https:/
Investing.com – The S&P 500 started the second quarter on back foot Friday, as a softer March jobs report didn’t deter investor bets on the Federal Reserve stepping up the pace of monetary policy tightening at upcoming meetings that many fear could spark a recession.
* E-mini S&P500
現在日付 2022/4/2
1st price 4,521.00 month= 6
2nd price 4,521.00 month= 6
Daily extected return 3.70
Daily Stdev 54.57
Monthly expected return 66.00
Monthly Stdev 158.90
Monthly change sigma 1.0
Next month's average sigma 0.0
HV 0.19
HV/σ -0.3
Earned premium -2.25
Net Δ -0.1
Net Γ 0.0
Net Λ -1,035.6
VaR/Balance (V/B) [%] -1.6%
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
-1.5 1.0 LongButterfly:risk_neutral_max_str: [[['Call-ShortRatioSpread-ATM' 2531.3184 26869700.3124 71.986]]] J 1 4,300 -1 179.50 0.07 0.259 4,304.00 2022/3/2 2
-0.4 1.0 LongButterfly:risk_neutral_max_str: [[['Call-ShortRatioSpread-ATM' 2531.3184 26869700.3124 71.986]]] J 1 4,460 1 93.25 0.07 0.228 4,304.00 2022/3/2 4
0.7 1.1 LongButterfly: J 1 4,620 -1 33.50 0.07 0.155 4,459.50 2022/3/21 2
-2.3 1.2 RevCalSprdPutOTM J -1 4,170 -1 48.00 0.07 0.268 4,459.50 2022/3/21 1
-1.6 1.2 RevCalSprdPutOTM K -1 4,170 1 79.25 0.16 0.252 4,459.50 2022/3/21 1
1.6 1.3 RevCalSprdCall J 1 4,760 -1 4.50 0.07 0.125 4,521.00 2022/4/2 1
1.1 1.3 RevCalSprdCall K 1 4,760 1 24.00 0.16 0.136 4,521.00 2022/4/2 1
---
https:/
Wall St falls on fears of hawkish Fed, fresh Russia sanctions
(Reuters) -Wall Street's main indexes fell on Tuesday after U.S. Federal Reserve Governor Lael Brainard said she expects rapid reductions to the central bank's balance sheet, spooking investors already on edge about the prospect of fresh sanctions on Russia.
U.S. Treasury yields rose to multi-year highs following Brainard's statement, with longer-term yields moving faster and partly reversing some of the recent inversion moves in the U.S. curve. [US/]
* T-note
Date 2022/4/6
Future 1st price 120.270 month = 6
Future 2nd price 120.270 month = 6
Mothly sigma -3.4
Next month's average sigma 0.6
HV 0.0767
HV/σ 0.8
Daily STDEV 0.5
Monthly STDEV 2.1
Premium total: 0.63
Net Δ 1.6
Net Γ 0.3
Net Λ -114.7
VaR/Balance (V/B) [%] -29.2%
# 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 Initial qty
1 #DIV/0!
11 1.2 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 1
12 1.3 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 10
13 1.3 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 4
14 1.3 1.1 MISS: F -1 130.50 -1 1.00 1.21 0.058 129.72 2021/10/25 0 5
15 1.3 1.2 CLOSE: F -1 130.50 -1 1.00 0.54 0.048 130.23 2021/11/30 5
16 1.0 1.2 CLOSE2:NakedShort G -1 128.00 1 1.00 0.19 0.072 130.23 2021/11/30 0 8
17 1.4 1.3 EXPIRE:LongStrangle:Mini: [['Call-NakedLong-OTM' -0.0405]] H 1 131.50 -1 1.00 0.17 0.064 129.67 2022/1/4 0 2
18 1.0 1.4 CLOSE2: G -1 128.00 -1 1.00 0.29 0.054 128.03 2022/1/10 0 8
19 0.6 1.4 EXPIRE:LongStrangle H -1 125.00 -1 1.00 0.08 0.079 127.89 2022/1/10 0 2
20 0.8 1.5 CLOSE3:LongRatioSprd:PARTCLOSE:NakedShortPut J -1 126.50 1 1.00 0.28 0.074 128.50 2022/1/25 0 9
21 0.8 1.6 PARTCLOSE: J -1 126.50 -1 1.00 0.53 0.057 126.73 2022/2/8 0 5
22 0.5 1.6 CLOSE4:RevCalSPrdPut:PARTCLOSE2:LongRatioSprd: J -1 124.50 -1 1.00 0.16 0.076 126.73 2022/2/8 0 8
23 5.6 1.6 ShortRatioSprd+0.5s:RevCalSPrdCall:NakedShortCall K 1 129.50 1 0.04 0.15 0.065 126.73 2022/2/8 6 6
24 0.8 1.7 CLOSE3: J -1 126.50 -1 1.00 0.51 0.070 126.81 2022/2/22 4
25 0.5 1.7 PARTCLOSE2: J -1 124.50 1 1.00 0.13 0.087 126.81 2022/2/22 2
26 2.4 1.7 LongButterfly:ShortRatioSprdPut-1.5s:RevCalSPrdPut: K -1 124.50 1 0.04 0.27 0.081 126.81 2022/2/22 6 6
27 1.2 1.7 CLOSE5:RevCalSPrdCall: J 1 129.50 -1 1.00 0.11 0.090 126.81 2022/2/22 0 6
28 0.5 1.8 CLOSE4: J -1 124.50 1 1.00 0.05 0.123 128.06 2022/3/7 0 6
29 2.7 1.8 LongButterfly:ShortRatioSprdPut-1.5s: K -1 125.00 -1 0.04 0.22 0.102 128.06 2022/3/7 3 3
30 1.2 1.9 CLOSE5: J 1 129.50 1 1.00 0.34 0.120 128.06 2022/3/7 0 6
31 5.3 1.9 ShortRatioSprd+0.5s: K 1 129.00 -1 0.04 1.02 0.123 128.06 2022/3/7 3 3
32 2.0 2.0 LongButterfly: K -1 124.00 -1 0.04 0.41 0.082 125.08 2022/3/15 3 3
33 1.1 2.1 CLOSE6:RevCalSprdPut K -1 122.50 -1 0.04 0.18 0.095 125.08 2022/3/15 0 4
34 0.6 2.1 ShortRatioSprdPut:RevCalSprdPut M -1 122.50 1 0.12 0.34 0.091 125.08 2022/3/15 4 4
35 2.4 2.2 RevCalSprdCall K 1 124.50 -1 0.04 0.14 0.175 120.84 2022/4/6 5 5
36 1.4 2.2 RevCalSprdCall M 1 124.50 1 0.12 0.35 0.140 120.84 2022/4/6 5 5
37 1.1 2.3 CLOSE6: K -1 122.50 1 0.04 1.53 0.072 120.84 2022/4/6 0 4
38 -0.5 2.3 ShortRatioSprdPut: M -1 119.50 1 0.12 0.51 0.100 120.84 2022/4/6 4 4
39 0.1 2.3 ShortRatioSprdPut: M -1 121.00 -1 0.04 1.25 0.182 120.84 2022/4/6 4 4
---
https:/
S&P, Nasdaq slide 1% as surging yields hammer growth stocks
(Reuters) -The S&P and the Nasdaq fell more than 1% on Monday as rising bond yields weighed on megacap growth stocks such as Microsoft, Alphabet (NASDAQ:GOOGL) and Apple, with investors on edge ahead of Tuesday's inflation data.
* Euro
現在日付 2022/4/11
1st future price 1.0911 month= 6
2nd future price 1.0911 month= 6
Monthly change sigma -0.1
Next month's average sigma -0.1
HV: 0.074
HV/σ -0.4
Daily expected return 0.0018
Daily STDEV 0.0056
Monthly STDEV 0.0188
Earned premium -0.0451
Net Δ 0.22
Net Γ 0.5
Net Λ -0.0
VaR/Balance (V/B) [%] -2.6%
σ Version Tactics Code C1/P-1 Strike Sell1/Buy-1 Premium(>0) Time IV price date qty
1.0 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 -
1.0 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 -
1.0 1.1 CLOSE: F 1 1.160 1 0.0013 1.00 0.070 1.1318 2021/12/7 -
0.6 1.2 CLOSE2:risk_neutral_max_str: [[['Call-ShortRatioSpread-ATM' 0.1149 1.5341 1.1129]]] G 1 1.130 -1 0.0126 1.00 0.064 1.1318 2021/12/7 -
0.9 1.2 CLOSE3:NakedShort:risk_neutral_max_str: [[['Call-ShortRatioSpread-ATM' 0.1149 1.5341 1.1129]]] G 1 1.150 1 0.0048 1.00 0.064 1.1318 2021/12/7 -
0.6 1.3 CLOSE2: G 1 1.130 1 0.0072 1.00 0.057 1.1309 2022/1/10
0.9 1.4 CLOSE3: G 1 1.150 -1 0.0054 1.00 0.056 1.1483 2022/1/14
0.4 1.4 CLOSE4:NakedLong H -1 1.120 -1 0.0015 1.00 0.059 1.1483 2022/1/14 -
0.4 1.5 CLOSE4: H -1 1.120 1 0.0009 1.00 0.073 1.1435 2022/2/9
0.4 1.5 CLOSE5:NakedShort Put H -1 1.120 1 0.0009 1.00 0.073 1.1435 2022/2/9 -
0.4 1.6 CLOSE5 H -1 1.120 -1 0.0102 1.00 0.133 1.1163 2022/2/25 -
0.9 1.6 EXPIRE:ShortStrangle:RevCalSprdCall J 1 1.150 -1 0.0021 1.00 0.080 1.1163 2022/2/25 -
3.4 1.6 ShortRatioSprdCall:RevCalSprdCall K 1 1.150 1 0.0038 0.07 0.076 1.1163 2022/2/25 4
-0.5 1.7 EXPIRE:ShortStrangle:RevCalSprdPut J -1 1.060 -1 0.0075 1.00 0.148 1.0897 2022/3/7 -
-1.8 1.7 VirtSprd:ShortRatioSprdPut:RevCalSprdPut K -1 1.060 1 0.0111 0.07 0.132 1.0897 2022/3/7 5
0.4 1.8 EXPIRE:ShortStrangle: J 1 1.120 1 0.0015 1.00 0.073 1.1041 2022/3/24 -
-0.2 1.8 EXPIRE:ShortStrangle: J -1 1.080 1 0.0013 1.00 0.095 1.1041 2022/3/24 -
2.3 1.9 ShortRatioSprdCall: K 1 1.130 -1 0.0027 0.07 0.072 1.1041 2022/3/24 2
-0.9 1.9 CLOSE6:ShortRatioSprdPut: K -1 1.075 -1 0.0042 0.07 0.097 1.1041 2022/3/24 -
-0.9 2.0 CLOSE6: K -1 1.075 1 0.0042 0.07 0.092 1.0911 2022/4/11
-2.1 2.0 VirtSprd: K -1 1.055 -1 0.0015 0.07 0.104 1.0911 2022/4/11 5
---
https:/
U.S. Stocks Open Higher as Bond Yields Rise, Earnings Roll In
The benchmark 10-year Treasury rose to 2.9%, a level not seen in four years. Rising bond yields have weighed on tech stocks in recent days as the Federal Reserve comes closer to raising interest rates again next month. Many expect the central bank to announce a half-point increase, which is more than its customary quarter-point move.
* T-note
Date 2022/4/19
Future 1st price 119.065 month = 6
Future 2nd price 118.205 month = 9
Mothly sigma -2.9
Next month's average sigma 0.6
HV 0.0714
HV/σ 0.4
Daily STDEV 0.5
Monthly STDEV 1.9
Premium total: -2.00
Net Δ 1.3
Net Γ -0.0
Net Λ 4.6
VaR/Balance (V/B) [%] -21.0%
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
1.6 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
1.7 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
1.7 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
1.7 1.1 MISS: F -1 130.50 -1 1.00 1.21 0.058 129.72 2021/10/25 0
1.7 1.2 CLOSE: F -1 130.50 -1 1.00 0.54 0.048 130.23 2021/11/30
1.3 1.2 CLOSE2:NakedShort G -1 128.00 1 1.00 0.19 0.072 130.23 2021/11/30 0
1.8 1.3 EXPIRE:LongStrangle:Mini: [['Call-NakedLong-OTM' -0.0405]] H 1 131.50 -1 1.00 0.17 0.064 129.67 2022/1/4 0
1.3 1.4 CLOSE2: G -1 128.00 -1 1.00 0.29 0.054 128.03 2022/1/10 0
0.9 1.4 EXPIRE:LongStrangle H -1 125.00 -1 1.00 0.08 0.079 127.89 2022/1/10 0
1.1 1.5 CLOSE3:LongRatioSprd:PARTCLOSE:NakedShortPut J -1 126.50 1 1.00 0.28 0.074 128.50 2022/1/25 0
1.1 1.6 PARTCLOSE: J -1 126.50 -1 1.00 0.53 0.057 126.73 2022/2/8 0
0.8 1.6 CLOSE4:RevCalSPrdPut:PARTCLOSE2:LongRatioSprd: J -1 124.50 -1 1.00 0.16 0.076 126.73 2022/2/8 0
16.8 1.6 ShortRatioSprd+0.5s:RevCalSPrdCall:NakedShortCall K 1 129.50 1 0.01 0.15 0.065 126.73 2022/2/8 6
1.1 1.7 CLOSE3: J -1 126.50 -1 1.00 0.51 0.070 126.81 2022/2/22
0.8 1.7 PARTCLOSE2: J -1 124.50 1 1.00 0.13 0.087 126.81 2022/2/22
8.7 1.7 LongButterfly:ShortRatioSprdPut-1.5s:RevCalSPrdPut: K -1 124.50 1 0.01 0.27 0.081 126.81 2022/2/22 6
1.5 1.7 CLOSE5:RevCalSPrdCall: J 1 129.50 -1 1.00 0.11 0.090 126.81 2022/2/22 0
0.8 1.8 CLOSE4: J -1 124.50 1 1.00 0.05 0.123 128.06 2022/3/7 0
9.5 1.8 LongButterfly:ShortRatioSprdPut-1.5s: K -1 125.00 -1 0.01 0.22 0.102 128.06 2022/3/7 3
1.5 1.9 CLOSE5: J 1 129.50 1 1.00 0.34 0.120 128.06 2022/3/7 0
16.0 1.9 ShortRatioSprd+0.5s: K 1 129.00 -1 0.01 1.02 0.123 128.06 2022/3/7 3
7.8 2.0 LongButterfly: K -1 124.00 -1 0.01 0.41 0.082 125.08 2022/3/15 3
5.4 2.1 CLOSE6:RevCalSprdPut K -1 122.50 -1 0.01 0.18 0.095 125.08 2022/3/15 0
1.7 2.1 LongCondor:ShortRatioSprdPut:RevCalSprdPut M -1 122.50 1 0.08 0.34 0.091 125.08 2022/3/15 4
8.7 2.2 RevCalSprdCall K 1 124.50 -1 0.01 0.14 0.536 119.20 2022/4/19 5
2.7 2.2 RevCalSprdCall M 1 124.50 1 0.08 0.35 0.231 118.64 2022/4/19 5
5.4 2.3 CLOSE6: K -1 122.50 1 0.01 1.53 0.072 120.84 2022/4/6 0
0.2 2.3 LongCond+Sor:hortRatioSprdPut: M -1 119.50 1 0.08 0.51 0.100 120.84 2022/4/6 4
0.9 2.3 LongCondor:ShortRatioSprdPut: M -1 121.00 -1 0.08 1.25 0.182 120.84 2022/4/6 4
-0.6 2.4 LongCondor: M -1 118.00 -1 0.08 0.42 0.103 119.20 2022/4/19 4
--
https:/
Wall St opens lower on global slowdown fears
* T-note
Date 2022/4/25
Future 1st price 119.255 month = 6
Future 2nd price 119.080 month = 9
Mothly sigma -1.1
Next month's average sigma 0.7
HV 0.0677
HV/σ 0.1
Daily STDEV 0.5
Monthly STDEV 1.8
Premium total: 0.34
Net Δ 2.9
Net Γ -0.1
Net Λ 62.1
VaR/Balance (V/B) [%] -16.8%
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!
1.7 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
1.7 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
1.7 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
1.7 1.1 MISS: F -1 130.50 -1 1.00 1.21 0.058 129.72 2021/10/25 0
1.7 1.2 CLOSE: F -1 130.50 -1 1.00 0.54 0.048 130.23 2021/11/30
1.3 1.2 CLOSE2:NakedShort G -1 128.00 1 1.00 0.19 0.072 130.23 2021/11/30 0
1.9 1.3 EXPIRE:LongStrangle:Mini: [['Call-NakedLong-OTM' -0.0405]] H 1 131.50 -1 1.00 0.17 0.064 129.67 2022/1/4 0
1.3 1.4 CLOSE2: G -1 128.00 -1 1.00 0.29 0.054 128.03 2022/1/10 0
0.9 1.4 EXPIRE:LongStrangle H -1 125.00 -1 1.00 0.08 0.079 127.89 2022/1/10 0
1.1 1.5 CLOSE3:LongRatioSprd:PARTCLOSE:NakedShortPut J -1 126.50 1 1.00 0.28 0.074 128.50 2022/1/25 0
1.1 1.6 PARTCLOSE: J -1 126.50 -1 1.00 0.53 0.057 126.73 2022/2/8 0
0.8 1.6 CLOSE4:RevCalSPrdPut:PARTCLOSE2:LongRatioSprd: J -1 124.50 -1 1.00 0.16 0.076 126.73 2022/2/8 0
1.6 1.6 ShortRatioSprd+0.5s:RevCalSPrdCall:NakedShortCall K 1 129.50 1 1.00 0.15 0.065 126.73 2022/2/8 6
1.1 1.7 CLOSE3: J -1 126.50 -1 1.00 0.51 0.070 126.81 2022/2/22
0.8 1.7 PARTCLOSE2: J -1 124.50 1 1.00 0.13 0.087 126.81 2022/2/22
0.8 1.7 LongButterfly:ShortRatioSprdPut-1.5s:RevCalSPrdPut: K -1 124.50 1 1.00 0.27 0.081 126.81 2022/2/22 6
1.6 1.7 CLOSE5:RevCalSPrdCall: J 1 129.50 -1 1.00 0.11 0.090 126.81 2022/2/22 0
0.8 1.8 CLOSE4: J -1 124.50 1 1.00 0.05 0.123 128.06 2022/3/7 0
0.9 1.8 LongButterfly:ShortRatioSprdPut-1.5s: K -1 125.00 -1 1.00 0.22 0.102 128.06 2022/3/7 3
1.6 1.9 CLOSE5: J 1 129.50 1 1.00 0.34 0.120 128.06 2022/3/7 0
1.5 1.9 ShortRatioSprd+0.5s: K 1 129.00 -1 1.00 1.02 0.123 128.06 2022/3/7 3
0.7 2.0 EXPIRE:LongButterfly: K -1 124.00 -1 1.00 0.41 0.082 125.08 2022/3/15 3
0.4 2.1 CLOSE6:RevCalSprdPut K -1 122.50 -1 1.00 0.18 0.095 125.08 2022/3/15 0
1.7 2.1 LongCondorVar:ShortRatioSprdPut:RevCalSprdPut M -1 122.50 1 0.07 0.34 0.091 125.08 2022/3/15 4
0.8 2.2 EXPIRE:RevCalSprdCall K 1 124.50 -1 1.00 0.14 0.102 122.11 2022/3/28 5
2.9 2.2 RevCalSprdCall M 1 124.50 1 0.07 0.35 0.097 122.11 2022/3/28 5
0.4 2.3 CLOSE6: K -1 122.50 1 1.00 1.53 0.072 120.84 2022/4/6 0
-0.2 2.3 LongCondorVar+Sor:hortRatioSprdPut: M -1 119.50 1 0.07 0.51 0.100 120.84 2022/4/6 4
0.8 2.3 LongCondorVar:ShortRatioSprdPut: M -1 121.00 -1 0.07 1.25 0.182 120.84 2022/4/6 4
-1.1 2.4 LongCondorVar: M -1 118.00 -1 0.07 0.42 0.103 119.20 2022/4/19 4
-1.4 2.5 RevCalSprdPut M -1 117.50 -1 0.07 0.19 0.116 119.80 2022/4/25 5
-0.9 2.5 RevCalSprdPut N -1 117.50 1 0.16 0.49 0.096 119.25 2022/4/25 5
---
Wall St edges higher on strong earnings from Microsoft, Visa
https:/
* E-mini S&P500
現在日付 2022/4/27
1st price 4,123.75 month= 6
2nd price 4,214.75 month= 9
Daily extected return 0.44
Daily Stdev 55.74
Monthly expected return 50.30
Monthly Stdev 174.10
Monthly change sigma -2.6
Next month's average sigma 0.0
HV 0.19
HV/σ -0.2
Earned premium -76.75
Net Δ 0.1
Net Γ -0.0
Net Λ 10.7
VaR/Balance (V/B) [%] -4.3%
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
3.9 1.0 LongButterfly:risk_neutral_max_str: [[['Call-ShortRatioSpread-ATM' 2531.3184 26869700.3124 71.986]]] J 1 4,300 -1 179.50 0.01 0.259 4,304.00 2022/3/2 2
7.5 1.0 LongButterfly:risk_neutral_max_str: [[['Call-ShortRatioSpread-ATM' 2531.3184 26869700.3124 71.986]]] J 1 4,460 1 93.25 0.01 0.228 4,304.00 2022/3/2 4
11.0 1.1 LongButterfly: J 1 4,620 -1 33.50 0.01 0.155 4,459.50 2022/3/21 2
1.0 1.2 CLOSE:RevCalSprdPutOTM J -1 4,170 -1 48.00 0.01 0.268 4,459.50 2022/3/21 0
0.2 1.2 VirtSprdPut:RevCalSprdPutOTM K -1 4,170 1 79.25 0.09 0.252 4,459.50 2022/3/21 1
14.2 1.3 RevCalSprdCall J 1 4,760 -1 4.50 0.01 0.125 4,521.00 2022/4/2 1
3.4 1.3 RevCalSprdCall K 1 4,760 1 24.00 0.09 0.136 4,521.00 2022/4/2 1
1.0 1.4 CLOSE: J -1 4,170 1 31.00 0.01 0.341 4,123.75 2022/4/27 0
0.0 1.4 VirtSprdPut: K -1 4,130 -1 105.50 0.09 0.284 4,214.75 2022/4/27 1
---
https:/
Investing.com – The S&P 500 started the second quarter on back foot Friday, as a softer March jobs report didn’t deter investor bets on the Federal Reserve stepping up the pace of monetary policy tightening at upcoming meetings that many fear could spark a recession.
* E-mini S&P500
現在日付 2022/4/2
1st price 4,521.00 month= 6
2nd price 4,521.00 month= 6
Daily extected return 3.70
Daily Stdev 54.57
Monthly expected return 66.00
Monthly Stdev 158.90
Monthly change sigma 1.0
Next month's average sigma 0.0
HV 0.19
HV/σ -0.3
Earned premium -2.25
Net Δ -0.1
Net Γ 0.0
Net Λ -1,035.6
VaR/Balance (V/B) [%] -1.6%
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
-1.5 1.0 LongButterfly:risk_neutral_max_str: [[['Call-ShortRatioSpread-ATM' 2531.3184 26869700.3124 71.986]]] J 1 4,300 -1 179.50 0.07 0.259 4,304.00 2022/3/2 2
-0.4 1.0 LongButterfly:risk_neutral_max_str: [[['Call-ShortRatioSpread-ATM' 2531.3184 26869700.3124 71.986]]] J 1 4,460 1 93.25 0.07 0.228 4,304.00 2022/3/2 4
0.7 1.1 LongButterfly: J 1 4,620 -1 33.50 0.07 0.155 4,459.50 2022/3/21 2
-2.3 1.2 RevCalSprdPutOTM J -1 4,170 -1 48.00 0.07 0.268 4,459.50 2022/3/21 1
-1.6 1.2 RevCalSprdPutOTM K -1 4,170 1 79.25 0.16 0.252 4,459.50 2022/3/21 1
1.6 1.3 RevCalSprdCall J 1 4,760 -1 4.50 0.07 0.125 4,521.00 2022/4/2 1
1.1 1.3 RevCalSprdCall K 1 4,760 1 24.00 0.16 0.136 4,521.00 2022/4/2 1
---
https:/
Wall St falls on fears of hawkish Fed, fresh Russia sanctions
(Reuters) -Wall Street's main indexes fell on Tuesday after U.S. Federal Reserve Governor Lael Brainard said she expects rapid reductions to the central bank's balance sheet, spooking investors already on edge about the prospect of fresh sanctions on Russia.
U.S. Treasury yields rose to multi-year highs following Brainard's statement, with longer-term yields moving faster and partly reversing some of the recent inversion moves in the U.S. curve. [US/]
* T-note
Date 2022/4/6
Future 1st price 120.270 month = 6
Future 2nd price 120.270 month = 6
Mothly sigma -3.4
Next month's average sigma 0.6
HV 0.0767
HV/σ 0.8
Daily STDEV 0.5
Monthly STDEV 2.1
Premium total: 0.63
Net Δ 1.6
Net Γ 0.3
Net Λ -114.7
VaR/Balance (V/B) [%] -29.2%
# 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 Initial qty
1 #DIV/0!
11 1.2 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 1
12 1.3 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 10
13 1.3 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 4
14 1.3 1.1 MISS: F -1 130.50 -1 1.00 1.21 0.058 129.72 2021/10/25 0 5
15 1.3 1.2 CLOSE: F -1 130.50 -1 1.00 0.54 0.048 130.23 2021/11/30 5
16 1.0 1.2 CLOSE2:NakedShort G -1 128.00 1 1.00 0.19 0.072 130.23 2021/11/30 0 8
17 1.4 1.3 EXPIRE:LongStrangle:Mini: [['Call-NakedLong-OTM' -0.0405]] H 1 131.50 -1 1.00 0.17 0.064 129.67 2022/1/4 0 2
18 1.0 1.4 CLOSE2: G -1 128.00 -1 1.00 0.29 0.054 128.03 2022/1/10 0 8
19 0.6 1.4 EXPIRE:LongStrangle H -1 125.00 -1 1.00 0.08 0.079 127.89 2022/1/10 0 2
20 0.8 1.5 CLOSE3:LongRatioSprd:PARTCLOSE:NakedShortPut J -1 126.50 1 1.00 0.28 0.074 128.50 2022/1/25 0 9
21 0.8 1.6 PARTCLOSE: J -1 126.50 -1 1.00 0.53 0.057 126.73 2022/2/8 0 5
22 0.5 1.6 CLOSE4:RevCalSPrdPut:PARTCLOSE2:LongRatioSprd: J -1 124.50 -1 1.00 0.16 0.076 126.73 2022/2/8 0 8
23 5.6 1.6 ShortRatioSprd+0.5s:RevCalSPrdCall:NakedShortCall K 1 129.50 1 0.04 0.15 0.065 126.73 2022/2/8 6 6
24 0.8 1.7 CLOSE3: J -1 126.50 -1 1.00 0.51 0.070 126.81 2022/2/22 4
25 0.5 1.7 PARTCLOSE2: J -1 124.50 1 1.00 0.13 0.087 126.81 2022/2/22 2
26 2.4 1.7 LongButterfly:ShortRatioSprdPut-1.5s:RevCalSPrdPut: K -1 124.50 1 0.04 0.27 0.081 126.81 2022/2/22 6 6
27 1.2 1.7 CLOSE5:RevCalSPrdCall: J 1 129.50 -1 1.00 0.11 0.090 126.81 2022/2/22 0 6
28 0.5 1.8 CLOSE4: J -1 124.50 1 1.00 0.05 0.123 128.06 2022/3/7 0 6
29 2.7 1.8 LongButterfly:ShortRatioSprdPut-1.5s: K -1 125.00 -1 0.04 0.22 0.102 128.06 2022/3/7 3 3
30 1.2 1.9 CLOSE5: J 1 129.50 1 1.00 0.34 0.120 128.06 2022/3/7 0 6
31 5.3 1.9 ShortRatioSprd+0.5s: K 1 129.00 -1 0.04 1.02 0.123 128.06 2022/3/7 3 3
32 2.0 2.0 LongButterfly: K -1 124.00 -1 0.04 0.41 0.082 125.08 2022/3/15 3 3
33 1.1 2.1 CLOSE6:RevCalSprdPut K -1 122.50 -1 0.04 0.18 0.095 125.08 2022/3/15 0 4
34 0.6 2.1 ShortRatioSprdPut:RevCalSprdPut M -1 122.50 1 0.12 0.34 0.091 125.08 2022/3/15 4 4
35 2.4 2.2 RevCalSprdCall K 1 124.50 -1 0.04 0.14 0.175 120.84 2022/4/6 5 5
36 1.4 2.2 RevCalSprdCall M 1 124.50 1 0.12 0.35 0.140 120.84 2022/4/6 5 5
37 1.1 2.3 CLOSE6: K -1 122.50 1 0.04 1.53 0.072 120.84 2022/4/6 0 4
38 -0.5 2.3 ShortRatioSprdPut: M -1 119.50 1 0.12 0.51 0.100 120.84 2022/4/6 4 4
39 0.1 2.3 ShortRatioSprdPut: M -1 121.00 -1 0.04 1.25 0.182 120.84 2022/4/6 4 4
---
https:/
S&P, Nasdaq slide 1% as surging yields hammer growth stocks
(Reuters) -The S&P and the Nasdaq fell more than 1% on Monday as rising bond yields weighed on megacap growth stocks such as Microsoft, Alphabet (NASDAQ:GOOGL) and Apple, with investors on edge ahead of Tuesday's inflation data.
* Euro
現在日付 2022/4/11
1st future price 1.0911 month= 6
2nd future price 1.0911 month= 6
Monthly change sigma -0.1
Next month's average sigma -0.1
HV: 0.074
HV/σ -0.4
Daily expected return 0.0018
Daily STDEV 0.0056
Monthly STDEV 0.0188
Earned premium -0.0451
Net Δ 0.22
Net Γ 0.5
Net Λ -0.0
VaR/Balance (V/B) [%] -2.6%
σ Version Tactics Code C1/P-1 Strike Sell1/Buy-1 Premium(>0) Time IV price date qty
1.0 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 -
1.0 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 -
1.0 1.1 CLOSE: F 1 1.160 1 0.0013 1.00 0.070 1.1318 2021/12/7 -
0.6 1.2 CLOSE2:risk_neutral_max_str: [[['Call-ShortRatioSpread-ATM' 0.1149 1.5341 1.1129]]] G 1 1.130 -1 0.0126 1.00 0.064 1.1318 2021/12/7 -
0.9 1.2 CLOSE3:NakedShort:risk_neutral_max_str: [[['Call-ShortRatioSpread-ATM' 0.1149 1.5341 1.1129]]] G 1 1.150 1 0.0048 1.00 0.064 1.1318 2021/12/7 -
0.6 1.3 CLOSE2: G 1 1.130 1 0.0072 1.00 0.057 1.1309 2022/1/10
0.9 1.4 CLOSE3: G 1 1.150 -1 0.0054 1.00 0.056 1.1483 2022/1/14
0.4 1.4 CLOSE4:NakedLong H -1 1.120 -1 0.0015 1.00 0.059 1.1483 2022/1/14 -
0.4 1.5 CLOSE4: H -1 1.120 1 0.0009 1.00 0.073 1.1435 2022/2/9
0.4 1.5 CLOSE5:NakedShort Put H -1 1.120 1 0.0009 1.00 0.073 1.1435 2022/2/9 -
0.4 1.6 CLOSE5 H -1 1.120 -1 0.0102 1.00 0.133 1.1163 2022/2/25 -
0.9 1.6 EXPIRE:ShortStrangle:RevCalSprdCall J 1 1.150 -1 0.0021 1.00 0.080 1.1163 2022/2/25 -
3.4 1.6 ShortRatioSprdCall:RevCalSprdCall K 1 1.150 1 0.0038 0.07 0.076 1.1163 2022/2/25 4
-0.5 1.7 EXPIRE:ShortStrangle:RevCalSprdPut J -1 1.060 -1 0.0075 1.00 0.148 1.0897 2022/3/7 -
-1.8 1.7 VirtSprd:ShortRatioSprdPut:RevCalSprdPut K -1 1.060 1 0.0111 0.07 0.132 1.0897 2022/3/7 5
0.4 1.8 EXPIRE:ShortStrangle: J 1 1.120 1 0.0015 1.00 0.073 1.1041 2022/3/24 -
-0.2 1.8 EXPIRE:ShortStrangle: J -1 1.080 1 0.0013 1.00 0.095 1.1041 2022/3/24 -
2.3 1.9 ShortRatioSprdCall: K 1 1.130 -1 0.0027 0.07 0.072 1.1041 2022/3/24 2
-0.9 1.9 CLOSE6:ShortRatioSprdPut: K -1 1.075 -1 0.0042 0.07 0.097 1.1041 2022/3/24 -
-0.9 2.0 CLOSE6: K -1 1.075 1 0.0042 0.07 0.092 1.0911 2022/4/11
-2.1 2.0 VirtSprd: K -1 1.055 -1 0.0015 0.07 0.104 1.0911 2022/4/11 5
---
https:/
U.S. Stocks Open Higher as Bond Yields Rise, Earnings Roll In
The benchmark 10-year Treasury rose to 2.9%, a level not seen in four years. Rising bond yields have weighed on tech stocks in recent days as the Federal Reserve comes closer to raising interest rates again next month. Many expect the central bank to announce a half-point increase, which is more than its customary quarter-point move.
* T-note
Date 2022/4/19
Future 1st price 119.065 month = 6
Future 2nd price 118.205 month = 9
Mothly sigma -2.9
Next month's average sigma 0.6
HV 0.0714
HV/σ 0.4
Daily STDEV 0.5
Monthly STDEV 1.9
Premium total: -2.00
Net Δ 1.3
Net Γ -0.0
Net Λ 4.6
VaR/Balance (V/B) [%] -21.0%
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
1.6 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
1.7 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
1.7 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
1.7 1.1 MISS: F -1 130.50 -1 1.00 1.21 0.058 129.72 2021/10/25 0
1.7 1.2 CLOSE: F -1 130.50 -1 1.00 0.54 0.048 130.23 2021/11/30
1.3 1.2 CLOSE2:NakedShort G -1 128.00 1 1.00 0.19 0.072 130.23 2021/11/30 0
1.8 1.3 EXPIRE:LongStrangle:Mini: [['Call-NakedLong-OTM' -0.0405]] H 1 131.50 -1 1.00 0.17 0.064 129.67 2022/1/4 0
1.3 1.4 CLOSE2: G -1 128.00 -1 1.00 0.29 0.054 128.03 2022/1/10 0
0.9 1.4 EXPIRE:LongStrangle H -1 125.00 -1 1.00 0.08 0.079 127.89 2022/1/10 0
1.1 1.5 CLOSE3:LongRatioSprd:PARTCLOSE:NakedShortPut J -1 126.50 1 1.00 0.28 0.074 128.50 2022/1/25 0
1.1 1.6 PARTCLOSE: J -1 126.50 -1 1.00 0.53 0.057 126.73 2022/2/8 0
0.8 1.6 CLOSE4:RevCalSPrdPut:PARTCLOSE2:LongRatioSprd: J -1 124.50 -1 1.00 0.16 0.076 126.73 2022/2/8 0
16.8 1.6 ShortRatioSprd+0.5s:RevCalSPrdCall:NakedShortCall K 1 129.50 1 0.01 0.15 0.065 126.73 2022/2/8 6
1.1 1.7 CLOSE3: J -1 126.50 -1 1.00 0.51 0.070 126.81 2022/2/22
0.8 1.7 PARTCLOSE2: J -1 124.50 1 1.00 0.13 0.087 126.81 2022/2/22
8.7 1.7 LongButterfly:ShortRatioSprdPut-1.5s:RevCalSPrdPut: K -1 124.50 1 0.01 0.27 0.081 126.81 2022/2/22 6
1.5 1.7 CLOSE5:RevCalSPrdCall: J 1 129.50 -1 1.00 0.11 0.090 126.81 2022/2/22 0
0.8 1.8 CLOSE4: J -1 124.50 1 1.00 0.05 0.123 128.06 2022/3/7 0
9.5 1.8 LongButterfly:ShortRatioSprdPut-1.5s: K -1 125.00 -1 0.01 0.22 0.102 128.06 2022/3/7 3
1.5 1.9 CLOSE5: J 1 129.50 1 1.00 0.34 0.120 128.06 2022/3/7 0
16.0 1.9 ShortRatioSprd+0.5s: K 1 129.00 -1 0.01 1.02 0.123 128.06 2022/3/7 3
7.8 2.0 LongButterfly: K -1 124.00 -1 0.01 0.41 0.082 125.08 2022/3/15 3
5.4 2.1 CLOSE6:RevCalSprdPut K -1 122.50 -1 0.01 0.18 0.095 125.08 2022/3/15 0
1.7 2.1 LongCondor:ShortRatioSprdPut:RevCalSprdPut M -1 122.50 1 0.08 0.34 0.091 125.08 2022/3/15 4
8.7 2.2 RevCalSprdCall K 1 124.50 -1 0.01 0.14 0.536 119.20 2022/4/19 5
2.7 2.2 RevCalSprdCall M 1 124.50 1 0.08 0.35 0.231 118.64 2022/4/19 5
5.4 2.3 CLOSE6: K -1 122.50 1 0.01 1.53 0.072 120.84 2022/4/6 0
0.2 2.3 LongCond+Sor:hortRatioSprdPut: M -1 119.50 1 0.08 0.51 0.100 120.84 2022/4/6 4
0.9 2.3 LongCondor:ShortRatioSprdPut: M -1 121.00 -1 0.08 1.25 0.182 120.84 2022/4/6 4
-0.6 2.4 LongCondor: M -1 118.00 -1 0.08 0.42 0.103 119.20 2022/4/19 4
--
https:/
Wall St opens lower on global slowdown fears
* T-note
Date 2022/4/25
Future 1st price 119.255 month = 6
Future 2nd price 119.080 month = 9
Mothly sigma -1.1
Next month's average sigma 0.7
HV 0.0677
HV/σ 0.1
Daily STDEV 0.5
Monthly STDEV 1.8
Premium total: 0.34
Net Δ 2.9
Net Γ -0.1
Net Λ 62.1
VaR/Balance (V/B) [%] -16.8%
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!
1.7 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
1.7 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
1.7 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
1.7 1.1 MISS: F -1 130.50 -1 1.00 1.21 0.058 129.72 2021/10/25 0
1.7 1.2 CLOSE: F -1 130.50 -1 1.00 0.54 0.048 130.23 2021/11/30
1.3 1.2 CLOSE2:NakedShort G -1 128.00 1 1.00 0.19 0.072 130.23 2021/11/30 0
1.9 1.3 EXPIRE:LongStrangle:Mini: [['Call-NakedLong-OTM' -0.0405]] H 1 131.50 -1 1.00 0.17 0.064 129.67 2022/1/4 0
1.3 1.4 CLOSE2: G -1 128.00 -1 1.00 0.29 0.054 128.03 2022/1/10 0
0.9 1.4 EXPIRE:LongStrangle H -1 125.00 -1 1.00 0.08 0.079 127.89 2022/1/10 0
1.1 1.5 CLOSE3:LongRatioSprd:PARTCLOSE:NakedShortPut J -1 126.50 1 1.00 0.28 0.074 128.50 2022/1/25 0
1.1 1.6 PARTCLOSE: J -1 126.50 -1 1.00 0.53 0.057 126.73 2022/2/8 0
0.8 1.6 CLOSE4:RevCalSPrdPut:PARTCLOSE2:LongRatioSprd: J -1 124.50 -1 1.00 0.16 0.076 126.73 2022/2/8 0
1.6 1.6 ShortRatioSprd+0.5s:RevCalSPrdCall:NakedShortCall K 1 129.50 1 1.00 0.15 0.065 126.73 2022/2/8 6
1.1 1.7 CLOSE3: J -1 126.50 -1 1.00 0.51 0.070 126.81 2022/2/22
0.8 1.7 PARTCLOSE2: J -1 124.50 1 1.00 0.13 0.087 126.81 2022/2/22
0.8 1.7 LongButterfly:ShortRatioSprdPut-1.5s:RevCalSPrdPut: K -1 124.50 1 1.00 0.27 0.081 126.81 2022/2/22 6
1.6 1.7 CLOSE5:RevCalSPrdCall: J 1 129.50 -1 1.00 0.11 0.090 126.81 2022/2/22 0
0.8 1.8 CLOSE4: J -1 124.50 1 1.00 0.05 0.123 128.06 2022/3/7 0
0.9 1.8 LongButterfly:ShortRatioSprdPut-1.5s: K -1 125.00 -1 1.00 0.22 0.102 128.06 2022/3/7 3
1.6 1.9 CLOSE5: J 1 129.50 1 1.00 0.34 0.120 128.06 2022/3/7 0
1.5 1.9 ShortRatioSprd+0.5s: K 1 129.00 -1 1.00 1.02 0.123 128.06 2022/3/7 3
0.7 2.0 EXPIRE:LongButterfly: K -1 124.00 -1 1.00 0.41 0.082 125.08 2022/3/15 3
0.4 2.1 CLOSE6:RevCalSprdPut K -1 122.50 -1 1.00 0.18 0.095 125.08 2022/3/15 0
1.7 2.1 LongCondorVar:ShortRatioSprdPut:RevCalSprdPut M -1 122.50 1 0.07 0.34 0.091 125.08 2022/3/15 4
0.8 2.2 EXPIRE:RevCalSprdCall K 1 124.50 -1 1.00 0.14 0.102 122.11 2022/3/28 5
2.9 2.2 RevCalSprdCall M 1 124.50 1 0.07 0.35 0.097 122.11 2022/3/28 5
0.4 2.3 CLOSE6: K -1 122.50 1 1.00 1.53 0.072 120.84 2022/4/6 0
-0.2 2.3 LongCondorVar+Sor:hortRatioSprdPut: M -1 119.50 1 0.07 0.51 0.100 120.84 2022/4/6 4
0.8 2.3 LongCondorVar:ShortRatioSprdPut: M -1 121.00 -1 0.07 1.25 0.182 120.84 2022/4/6 4
-1.1 2.4 LongCondorVar: M -1 118.00 -1 0.07 0.42 0.103 119.20 2022/4/19 4
-1.4 2.5 RevCalSprdPut M -1 117.50 -1 0.07 0.19 0.116 119.80 2022/4/25 5
-0.9 2.5 RevCalSprdPut N -1 117.50 1 0.16 0.49 0.096 119.25 2022/4/25 5
---
Wall St edges higher on strong earnings from Microsoft, Visa
https:/
* E-mini S&P500
現在日付 2022/4/27
1st price 4,123.75 month= 6
2nd price 4,214.75 month= 9
Daily extected return 0.44
Daily Stdev 55.74
Monthly expected return 50.30
Monthly Stdev 174.10
Monthly change sigma -2.6
Next month's average sigma 0.0
HV 0.19
HV/σ -0.2
Earned premium -76.75
Net Δ 0.1
Net Γ -0.0
Net Λ 10.7
VaR/Balance (V/B) [%] -4.3%
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
3.9 1.0 LongButterfly:risk_neutral_max_str: [[['Call-ShortRatioSpread-ATM' 2531.3184 26869700.3124 71.986]]] J 1 4,300 -1 179.50 0.01 0.259 4,304.00 2022/3/2 2
7.5 1.0 LongButterfly:risk_neutral_max_str: [[['Call-ShortRatioSpread-ATM' 2531.3184 26869700.3124 71.986]]] J 1 4,460 1 93.25 0.01 0.228 4,304.00 2022/3/2 4
11.0 1.1 LongButterfly: J 1 4,620 -1 33.50 0.01 0.155 4,459.50 2022/3/21 2
1.0 1.2 CLOSE:RevCalSprdPutOTM J -1 4,170 -1 48.00 0.01 0.268 4,459.50 2022/3/21 0
0.2 1.2 VirtSprdPut:RevCalSprdPutOTM K -1 4,170 1 79.25 0.09 0.252 4,459.50 2022/3/21 1
14.2 1.3 RevCalSprdCall J 1 4,760 -1 4.50 0.01 0.125 4,521.00 2022/4/2 1
3.4 1.3 RevCalSprdCall K 1 4,760 1 24.00 0.09 0.136 4,521.00 2022/4/2 1
1.0 1.4 CLOSE: J -1 4,170 1 31.00 0.01 0.341 4,123.75 2022/4/27 0
0.0 1.4 VirtSprdPut: K -1 4,130 -1 105.50 0.09 0.284 4,214.75 2022/4/27 1
---
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