オプション取引ログコミュのMay 2022

U.S. Stocks Wobble as Investors Try to Shake Off April Weakness
https://www.investing.com/news/stock-market-news/us-stocks-wobble-as-investors-try-to-shake-off-april-weakness-2815169

* E-mini S&P500
現在日付 2022/5/2
1st price 4,158.75 month= 6
2nd price 4,165.50 month= 9
Daily extected return 2.53
Daily Stdev 58.33
Monthly expected return 45.64
Monthly Stdev 179.43
Monthly change sigma -2.1
Next month's average sigma 0.5
HV 0.25
HV/σ 1.1
Earned premium -77.30
Net Δ 0.0
Net Γ 0.0
Net Λ -60.4
VaR/Balance (V/B) [%] -4.6%

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

0.2 1.0 LongButterfly:risk_neutral_max_str:  [[['Call-ShortRatioSpread-ATM' 2531.3184 26869700.3124 71.986]]] J 1 4,300 -1 179.50 1.00 0.259 4,304.00 2022/3/2 0
0.5 1.0 LongButterfly:risk_neutral_max_str:  [[['Call-ShortRatioSpread-ATM' 2531.3184 26869700.3124 71.986]]] J 1 4,460 1 93.25 1.00 0.228 4,304.00 2022/3/2 0
0.7 1.1 LongButterfly: J 1 4,620 -1 33.50 1.00 0.155 4,459.50 2022/3/21 0
0.0 1.2 CLOSE:RevCalSprdPutOTM J -1 4,170 -1 48.00 1.00 0.268 4,459.50 2022/3/21 0
0.1 1.2 VirtSprdPut:RevCalSprdPutOTM K -1 4,170 1 79.25 0.08 0.252 4,459.50 2022/3/21 1
1.0 1.3 EXPIRED:RevCalSprdCall J 1 4,760 -1 4.50 1.00 0.125 4,521.00 2022/4/2 0
3.4 1.3 CLOSE2:RevCalSprdCall K 1 4,760 1 24.00 0.08 0.136 4,521.00 2022/4/2 1
0.0 1.4 CLOSE: J -1 4,170 1 31.00 1.00 0.341 4,158.75 2022/5/2 0
-0.2 1.4 VirtSprdPut: K -1 4,130 -1 105.50 0.08 0.264 4,165.50 2022/5/2 1
3.4 1.5 CLOSE2: K 1 4,760 -1 0.55 0.08 0.194 4,158.75 2022/5/2 0

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* T-note
Date 2022/5/11
Future 1st price 117.310 month = 9
Future 2nd price 117.310 month = 9
Mothly sigma -1.0
Next month's average sigma 0.1
HV 0.0753
HV/σ 0.4
Daily STDEV 0.5
Monthly STDEV 1.8
Premium total: -3.64
Net Δ 0.0
Net Γ -1.4
Net Λ 0.7
VaR/Balance (V/B) [%] -18.8%

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


1.9 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
2.0 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
2.0 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
2.0 1.1 MISS: F -1 130.50 -1 1.00 1.21 0.058 129.72 2021/10/25 0
2.0 1.2 CLOSE: F -1 130.50 -1 1.00 0.54 0.048 130.23 2021/11/30 0
1.6 1.2 CLOSE2:NakedShort G -1 128.00 1 1.00 0.19 0.072 130.23 2021/11/30 0
2.1 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
1.6 1.4 CLOSE2: G -1 128.00 -1 1.00 0.29 0.054 128.03 2022/1/10 0
1.1 1.4 EXPIRE:LongStrangle H -1 125.00 -1 1.00 0.08 0.079 127.89 2022/1/10 0
1.3 1.5 CLOSE3:LongRatioSprd:PARTCLOSE:NakedShortPut J -1 126.50 1 1.00 0.28 0.074 128.50 2022/1/25 0
1.3 1.6 PARTCLOSE: J -1 126.50 -1 1.00 0.53 0.057 126.73 2022/2/8 0
1.0 1.6 CLOSE4:RevCalSPrdPut:PARTCLOSE2:LongRatioSprd: J -1 124.50 -1 1.00 0.16 0.076 126.73 2022/2/8 0
1.8 1.6 ShortRatioSprd+0.5s:RevCalSPrdCall:NakedShortCall K 1 129.50 1 1.00 0.15 0.065 126.73 2022/2/8 0
1.3 1.7 CLOSE3: J -1 126.50 -1 1.00 0.51 0.070 126.81 2022/2/22 0
1.0 1.7 PARTCLOSE2: J -1 124.50 1 1.00 0.13 0.087 126.81 2022/2/22 0
1.0 1.7 LongButterfly:ShortRatioSprdPut-1.5s:RevCalSPrdPut: K -1 124.50 1 1.00 0.27 0.081 126.81 2022/2/22 0
1.8 1.7 CLOSE5:RevCalSPrdCall: J 1 129.50 -1 1.00 0.11 0.090 126.81 2022/2/22 0
1.0 1.8 CLOSE4: J -1 124.50 1 1.00 0.05 0.123 128.06 2022/3/7 0
1.1 1.8 LongButterfly:ShortRatioSprdPut-1.5s: K -1 125.00 -1 1.00 0.22 0.102 128.06 2022/3/7 0
1.8 1.9 CLOSE5: J 1 129.50 1 1.00 0.34 0.120 128.06 2022/3/7 0
1.7 1.9 ShortRatioSprd+0.5s: K 1 129.00 -1 1.00 1.02 0.123 128.06 2022/3/7 0
0.9 2.0 EXPIRE:LongButterfly: K -1 124.00 -1 1.00 0.41 0.082 125.08 2022/3/15 0
0.7 2.1 CLOSE6:RevCalSprdPut K -1 122.50 -1 1.00 0.18 0.095 125.08 2022/3/15 0
4.5 2.1 LongCondorVar:ShortRatioSprdPut:RevCalSprdPut M -1 122.50 1 0.02 0.34 0.091 125.08 2022/3/15 4
1.0 2.2 EXPIRE:RevCalSprdCall K 1 124.50 -1 1.00 0.14 0.102 122.11 2022/3/28 0
6.5 2.2 RevCalSprdCall M 1 124.50 1 0.02 0.35 0.097 122.11 2022/3/28 5
0.7 2.3 CLOSE6: K -1 122.50 1 1.00 1.53 0.072 120.84 2022/4/6 0
1.5 2.3 LongCondorVar+Sor:hortRatioSprdPut: M -1 119.50 1 0.02 0.51 0.100 120.84 2022/4/6 4
3.0 2.3 LongCondorVar:ShortRatioSprdPut: M -1 121.00 -1 0.02 1.25 0.182 120.84 2022/4/6 4
0.0 2.4 LongCondorVar: M -1 118.00 -1 0.02 0.42 0.103 119.20 2022/4/19 4
-0.5 2.5 CLOSE7:RevCalSprdPut M -1 117.50 -1 0.02 0.19 0.116 119.80 2022/4/25 5
-0.2 2.5 ShortRatioSprdVar::RevCalSprdPut N -1 117.50 1 0.12 0.49 0.096 119.25 2022/4/25 5
-0.5 2.6 CLOSE7: M -1 117.50 1 0.02 0.13 0.067 117.97 2022/5/11
0.0 2.6 ShortRatioSprdVar N -1 118.00 -1 0.12 1.17 0.116 117.97 2022/5/11 5
-1.6 2.6 ShortRatioSprdVar N -1 114.50 1 0.12 0.17 0.116 117.97 2022/5/11 5
#DIV/0!


U.S. Stocks Wobble as Inflation Data Slowed Less Than Expected
https://www.investing.com/news/stock-market-news/us-stocks-wobble-as-inflation-data-slowed-less-than-expected-2822631
Investing.com -- U.S. stocks opened mixed after inflation data eased in April but remained near 40-year highs.

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https://www.investing.com/news/economy/futures-rebound-after-volatile-week-takeover-talks-boost-vmware-2829091
Wall Street bounces back on boost from banks, Apple after volatile week
(Reuters) - U.S. stock indexes climbed on Monday as investors bought beaten-down banks and Apple shares (NASDAQ:AAPL) after a turbulent last week that saw the benchmark S&P 500 coming close to confirming a grim market milestone on worries about economic growth and inflation.
All of the 11 major S&P sectors advanced, with financials and energy up 3.8% and 2.4%, respectively.

* T-note
Date 2022/5/24
Future 1st price 119.060 month = 9
Future 2nd price 119.060 month = 9
Mothly sigma -0.2
Next month's average sigma 0.1
HV 0.0782
HV/σ 0.4
Daily STDEV 0.6
Monthly STDEV 1.8
Premium total: -7.61
Net Δ -0.1
Net Γ 0.1
Net Λ -44.9
VaR/Balance (V/B) [%] -10.0%

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
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0! 2.7 SQUARE:ASSIGN: M -1 122.16 -1 1.16 2022/5/20 0
#DIV/0!
#DIV/0!
#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
1.8 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
1.8 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
1.8 1.1 MISS: F -1 130.50 -1 1.00 1.21 0.058 129.72 2021/10/25 0
1.8 1.2 CLOSE: F -1 130.50 -1 1.00 0.54 0.048 130.23 2021/11/30 0
1.4 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
1.4 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
1.2 1.5 CLOSE3:LongRatioSprd:PARTCLOSE:NakedShortPut J -1 126.50 1 1.00 0.28 0.074 128.50 2022/1/25 0
1.2 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 0
1.2 1.7 CLOSE3: J -1 126.50 -1 1.00 0.51 0.070 126.81 2022/2/22 0
0.8 1.7 PARTCLOSE2: J -1 124.50 1 1.00 0.13 0.087 126.81 2022/2/22 0
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 0
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 0
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 0
0.8 2.0 EXPIRE:LongButterfly: K -1 124.00 -1 1.00 0.41 0.082 125.08 2022/3/15 0
0.5 2.1 CLOSE6:RevCalSprdPut K -1 122.50 -1 1.00 0.18 0.095 125.08 2022/3/15 0
0.5 2.1 ASSIGN:LongCondorVar:ShortRatioSprdPut:RevCalSprdPut M -1 122.50 1 1.00 0.34 0.091 125.08 2022/3/15 0
0.8 2.2 EXPIRE:RevCalSprdCall K 1 124.50 -1 1.00 0.14 0.102 122.11 2022/3/28 0
0.8 2.2 EXPIRE:RevCalSprdCall M 1 124.50 1 1.00 0.35 0.097 122.11 2022/3/28 0
0.5 2.3 CLOSE6: K -1 122.50 1 1.00 1.53 0.072 120.84 2022/4/6 0
0.0 2.3 EXPIRE:LongCondorVar+Sor:hortRatioSprdPut: M -1 119.50 1 1.00 0.51 0.100 120.84 2022/4/6 0
0.3 2.3 ASSIGN:LongCondorVar:ShortRatioSprdPut: M -1 121.00 -1 1.00 1.25 0.182 120.84 2022/4/6 0
-0.2 2.4 EXPIRE:LongCondorVar: M -1 118.00 -1 1.00 0.42 0.103 119.20 2022/4/19 0
-0.3 2.5 CLOSE7:RevCalSprdPut M -1 117.50 -1 1.00 0.19 0.116 119.80 2022/4/25 0
-0.9 2.5 VirtSprd:ShortRatioSprdVar::RevCalSprdPut N -1 117.50 1 0.08 0.49 0.096 119.25 2022/4/25 5
-0.3 2.6 CLOSE7: M -1 117.50 1 1.00 0.13 0.067 117.97 2022/5/11
-0.6 2.6 CLOSE8:ShortRatioSprdVar N -1 118.00 -1 0.08 1.17 0.116 117.97 2022/5/11 0
-2.5 2.6 NakedShort:ShortRatioSprdVar N -1 114.50 1 0.08 0.17 0.116 117.97 2022/5/11 5
-0.6 2.7 CLOSE8: N -1 118.00 1 0.08 0.33 0.093 119.22 2022/5/24 0
-0.9 2.7 VirtSprd: N -1 117.50 -1 0.08 0.19 0.089 119.22 2022/5/24 5
1.5 2.8 RevCalSprdCall N 1 122.00 -1 0.08 0.12 0.099 119.19 2022/5/24 4
1.1 2.8 RevCalSprdCall Q 1 122.00 1 0.16 0.27 0.092 119.19 2022/5/24 4

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___ GARCH model results review ___
2022年 5月24日 火曜日 03時13分01秒 JST
VolPerSigma : Volatility : Filename : Products
-0.18 : 0.224 : result3.txt : ./US Soybeans Futures Historical Data.csv
-0.51 : 0.138 : result1.txt : ./Gold Futures Historical Data.csv
-0.62 : 0.218 : result5.txt : ./US Corn Futures Historical Data.csv
0.45 : 0.481 : result2.txt : ./Crude Oil WTI Futures Historical Data.csv
1.04 : 0.068 : result4.txt : ./US 10 Year T-Note Futures Historical Data (4).csv
1.71 : 0.261 : result0.txt : ./S&P 500 Futures Historical Data.csv
2.20 : 0.100 : result6.txt : ./EUR_USD Historical Data.csv

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