Stocks slide, short-end yields jump on hot CPI print
https:/
NEW YORK (Reuters) - U.S. stock futures turned negative and European shares fell further on Friday after higher-than-expected U.S. consumer price data for May fueled inflation concerns and likely kept the Federal Reserve on track to aggressively hike interest rates.
* T-note
Date 2022/6/10
Future 1st price 117.060 month = 9
Future 2nd price 117.060 month = 9
Mothly sigma -1.1
Next month's average sigma 0.2
HV 0.0702
HV/σ -0.7
Daily STDEV 0.6
Monthly STDEV 1.8
Premium total: -7.34
Net Δ -5.0
Net Γ 0.6
Net Λ -39.7
VaR/Balance (V/B) [%] -93.8%
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
-0.0 2.9 Reversal: U -1 117.05 0.21 2022/6/10 5
#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!
2.0 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
2.1 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
2.1 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
2.1 1.1 MISS: F -1 130.50 -1 1.00 1.21 0.058 129.72 2021/10/25 0
2.1 1.2 CLOSE: F -1 130.50 -1 1.00 0.54 0.048 130.23 2021/11/30 0
1.7 1.2 CLOSE2:NakedShort G -1 128.00 1 1.00 0.19 0.072 130.23 2021/11/30 0
2.2 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
1.7 1.4 CLOSE2: G -1 128.00 -1 1.00 0.29 0.054 128.03 2022/1/10 0
1.2 1.4 EXPIRE:LongStrangle H -1 125.00 -1 1.00 0.08 0.079 127.89 2022/1/10 0
1.5 1.5 CLOSE3:LongRatioSprd:PARTCLOSE:NakedShortPut J -1 126.50 1 1.00 0.28 0.074 128.50 2022/1/25 0
1.5 1.6 PARTCLOSE: J -1 126.50 -1 1.00 0.53 0.057 126.73 2022/2/8 0
1.1 1.6 CLOSE4:RevCalSPrdPut:PARTCLOSE2:LongRatioSprd: J -1 124.50 -1 1.00 0.16 0.076 126.73 2022/2/8 0
1.9 1.6 ShortRatioSprd+0.5s:RevCalSPrdCall:NakedShortCall K 1 129.50 1 1.00 0.15 0.065 126.73 2022/2/8 0
1.5 1.7 CLOSE3: J -1 126.50 -1 1.00 0.51 0.070 126.81 2022/2/22 0
1.1 1.7 PARTCLOSE2: J -1 124.50 1 1.00 0.13 0.087 126.81 2022/2/22 0
1.1 1.7 LongButterfly:ShortRatioSprdPut-1.5s:RevCalSPrdPut: K -1 124.50 1 1.00 0.27 0.081 126.81 2022/2/22 0
1.9 1.7 CLOSE5:RevCalSPrdCall: J 1 129.50 -1 1.00 0.11 0.090 126.81 2022/2/22 0
1.1 1.8 CLOSE4: J -1 124.50 1 1.00 0.05 0.123 128.06 2022/3/7 0
1.2 1.8 LongButterfly:ShortRatioSprdPut-1.5s: K -1 125.00 -1 1.00 0.22 0.102 128.06 2022/3/7 0
1.9 1.9 CLOSE5: J 1 129.50 1 1.00 0.34 0.120 128.06 2022/3/7 0
1.8 1.9 ShortRatioSprd+0.5s: K 1 129.00 -1 1.00 1.02 0.123 128.06 2022/3/7 0
1.1 2.0 EXPIRE:LongButterfly: K -1 124.00 -1 1.00 0.41 0.082 125.08 2022/3/15 0
0.8 2.1 CLOSE6:RevCalSprdPut K -1 122.50 -1 1.00 0.18 0.095 125.08 2022/3/15 0
0.8 2.1 ASSIGN:LongCondorVar:ShortRatioSprdPut:RevCalSprdPut M -1 122.50 1 1.00 0.34 0.091 125.08 2022/3/15 0
1.1 2.2 EXPIRE:RevCalSprdCall K 1 124.50 -1 1.00 0.14 0.102 122.11 2022/3/28 0
1.1 2.2 EXPIRE:RevCalSprdCall M 1 124.50 1 1.00 0.35 0.097 122.11 2022/3/28 0
0.8 2.3 CLOSE6: K -1 122.50 1 1.00 1.53 0.072 120.84 2022/4/6 0
0.4 2.3 EXPIRE:LongCondorVar+Sor:hortRatioSprdPut: M -1 119.50 1 1.00 0.51 0.100 120.84 2022/4/6 0
0.6 2.3 ASSIGN:LongCondorVar:ShortRatioSprdPut: M -1 121.00 -1 1.00 1.25 0.182 120.84 2022/4/6 0
0.1 2.4 EXPIRE:LongCondorVar: M -1 118.00 -1 1.00 0.42 0.103 119.20 2022/4/19 0
0.0 2.5 CLOSE7:RevCalSprdPut M -1 117.50 -1 1.00 0.19 0.116 119.80 2022/4/25 0
0.2 2.5 Reversal:VirtSprd:ShortRatioSprdVar::RevCalSprdPut N -1 117.50 1 0.04 0.49 0.096 119.25 2022/4/25 5
0.0 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 0.04 1.17 0.116 117.97 2022/5/11 0
-2.1 2.6 NakedShort:ShortRatioSprdVar N -1 114.50 1 0.04 0.17 0.116 117.97 2022/5/11 5
0.6 2.7 CLOSE8: N -1 118.00 1 0.04 0.33 0.093 119.22 2022/5/24 0
-0.1 2.7 CLOSE9:VirtSprd: N -1 117.00 -1 0.04 0.19 0.089 119.22 2022/5/24 0
3.8 2.8 RevCalSprdCall N 1 122.00 -1 0.04 0.12 0.099 119.19 2022/5/24 4
2.2 2.8 LongRatioSprd:RevCalSprdCall Q 1 122.00 1 0.12 0.27 0.092 119.19 2022/5/24 4
-0.1 2.9 CLOSE9: N -1 117.00 1 0.04 0.36 0.079 117.19 2022/6/10
0.2 2.9 Reversal: N -1 117.50 -1 0.04 0.35 0.031 117.19 2022/6/10 5
2.0 2.9 LongRatioSprd: Q 1 121.50 1 0.12 0.06 0.101 117.19 2022/6/10 2
---
___ GARCH model results review ___
2022年 6月11日 土曜日 00時03分06秒 JST
VolPerSigma : Volatility : Filename : Products
-0.27 : 0.278 : result2.txt : ./US Corn Futures Historical Data (1).csv
-0.50 : 0.136 : result5.txt : ./Gold Futures Historical Data (1).csv
-0.82 : 0.271 : result3.txt : ./Crude Oil WTI Futures Historical Data (1).csv
0.51 : 0.278 : result1.txt : ./US Soybeans Futures Historical Data (1).csv
0.71 : 0.065 : result4.txt : ./US 10 Year T-Note Futures Historical Data (7).csv
0.77 : 0.211 : result0.txt : ./S&P 500 Futures Historical Data (4).csv
1.72 : 0.096 : result6.txt : ./EUR_USD Historical Data (1).csv
|
https:/
U.S. Stocks Open Higher as Investors Await Fed Rate Decision
* T-note
Date 2022/6/15
Future 1st price 115.095 month = 9
Future 2nd price 115.095 month = 9
Mothly sigma -2.3
Next month's average sigma 0.2
HV 0.0777
HV/σ 0.2
Daily STDEV 0.6
Monthly STDEV 1.9
Premium total: -10.08
Net Δ -0.1
Net Γ 0.1
Net Λ -13.9
VaR/Balance (V/B) [%] -17.0%
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
0.6 2.9 Reversal: U -1 117.05 0.20 2022/6/10 5
#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!
2.2 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
2.3 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
2.3 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
2.3 1.1 MISS: F -1 130.50 -1 1.00 1.21 0.058 129.72 2021/10/25 0
2.3 1.2 CLOSE: F -1 130.50 -1 1.00 0.54 0.048 130.23 2021/11/30 0
1.9 1.2 CLOSE2:NakedShort G -1 128.00 1 1.00 0.19 0.072 130.23 2021/11/30 0
2.4 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
1.9 1.4 CLOSE2: G -1 128.00 -1 1.00 0.29 0.054 128.03 2022/1/10 0
1.5 1.4 EXPIRE:LongStrangle H -1 125.00 -1 1.00 0.08 0.079 127.89 2022/1/10 0
1.7 1.5 CLOSE3:LongRatioSprd:PARTCLOSE:NakedShortPut J -1 126.50 1 1.00 0.28 0.074 128.50 2022/1/25 0
1.7 1.6 PARTCLOSE: J -1 126.50 -1 1.00 0.53 0.057 126.73 2022/2/8 0
1.4 1.6 CLOSE4:RevCalSPrdPut:PARTCLOSE2:LongRatioSprd: J -1 124.50 -1 1.00 0.16 0.076 126.73 2022/2/8 0
2.1 1.6 ShortRatioSprd+0.5s:RevCalSPrdCall:NakedShortCall K 1 129.50 1 1.00 0.15 0.065 126.73 2022/2/8 0
1.7 1.7 CLOSE3: J -1 126.50 -1 1.00 0.51 0.070 126.81 2022/2/22 0
1.4 1.7 PARTCLOSE2: J -1 124.50 1 1.00 0.13 0.087 126.81 2022/2/22 0
1.4 1.7 LongButterfly:ShortRatioSprdPut-1.5s:RevCalSPrdPut: K -1 124.50 1 1.00 0.27 0.081 126.81 2022/2/22 0
2.1 1.7 CLOSE5:RevCalSPrdCall: J 1 129.50 -1 1.00 0.11 0.090 126.81 2022/2/22 0
1.4 1.8 CLOSE4: J -1 124.50 1 1.00 0.05 0.123 128.06 2022/3/7 0
1.5 1.8 LongButterfly:ShortRatioSprdPut-1.5s: K -1 125.00 -1 1.00 0.22 0.102 128.06 2022/3/7 0
2.1 1.9 CLOSE5: J 1 129.50 1 1.00 0.34 0.120 128.06 2022/3/7 0
2.1 1.9 ShortRatioSprd+0.5s: K 1 129.00 -1 1.00 1.02 0.123 128.06 2022/3/7 0
1.3 2.0 EXPIRE:LongButterfly: K -1 124.00 -1 1.00 0.41 0.082 125.08 2022/3/15 0
1.1 2.1 CLOSE6:RevCalSprdPut K -1 122.50 -1 1.00 0.18 0.095 125.08 2022/3/15 0
1.1 2.1 ASSIGN:LongCondorVar:ShortRatioSprdPut:RevCalSprdPut M -1 122.50 1 1.00 0.34 0.091 125.08 2022/3/15 0
1.4 2.2 EXPIRE:RevCalSprdCall K 1 124.50 -1 1.00 0.14 0.102 122.11 2022/3/28 0
1.4 2.2 EXPIRE:RevCalSprdCall M 1 124.50 1 1.00 0.35 0.097 122.11 2022/3/28 0
1.1 2.3 CLOSE6: K -1 122.50 1 1.00 1.53 0.072 120.84 2022/4/6 0
0.6 2.3 EXPIRE:LongCondorVar+Sor:hortRatioSprdPut: M -1 119.50 1 1.00 0.51 0.100 120.84 2022/4/6 0
0.9 2.3 ASSIGN:LongCondorVar:ShortRatioSprdPut: M -1 121.00 -1 1.00 1.25 0.182 120.84 2022/4/6 0
0.4 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
2.1 2.5 Reversal:VirtSprd:ShortRatioSprdVar::RevCalSprdPut N -1 117.50 1 0.02 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
2.6 2.6 CLOSE8:ShortRatioSprdVar N -1 118.00 -1 0.02 1.17 0.116 117.97 2022/5/11 0
-0.8 2.6 CLOSE10:NakedShort:ShortRatioSprdVar N -1 114.50 1 0.02 0.17 0.116 117.97 2022/5/11 0
2.6 2.7 CLOSE8: N -1 118.00 1 0.02 0.33 0.093 119.22 2022/5/24 0
1.6 2.7 CLOSE9:VirtSprd: N -1 117.00 -1 0.02 0.19 0.089 119.22 2022/5/24 0
6.4 2.8 RevCalSprdCall N 1 122.00 -1 0.02 0.12 0.099 119.19 2022/5/24 4
3.2 2.8 LongRatioSprd:RevCalSprdCall Q 1 122.00 1 0.10 0.27 0.092 119.19 2022/5/24 4
1.6 2.9 CLOSE9: N -1 117.00 1 0.02 0.36 0.079 117.19 2022/6/10
2.1 2.9 Reversal: N 1 117.50 -1 0.02 0.35 0.031 117.19 2022/6/10 5
2.9 2.9 LongRatioSprd: Q 1 121.50 1 0.10 0.06 0.101 117.19 2022/6/10 2
-0.8 3.0 CLOSE10: N -1 114.50 -1 0.02 0.35 0.148 115.30 2022/6/15
---
___ GARCH model results review ___
2022年 6月15日 水曜日 23時25分41秒 JST
VolPerSigma : Volatility : Filename : Products
-0.05 : 0.235 : result6.txt : ./US Soybeans Futures Historical Data (2).csv
-0.66 : 0.348 : result5.txt : ./Crude Oil WTI Futures Historical Data (2).csv
-0.73 : 0.188 : result3.txt : ./US Corn Futures Historical Data (2).csv
1.55 : 0.095 : result2.txt : ./EUR_USD Historical Data (2).csv
1.71 : 0.149 : result1.txt : ./Gold Futures Historical Data (2).csv
2.42 : 0.089 : result4.txt : ./US 10 Year T-Note Futures Historical Data (10).csv
2.46 : 0.329 : result0.txt : ./S&P 500 Futures Historical Data (5).csv
U.S. Stocks Open Lower as Fed's Powell Faces Senate on Inflation
https:/
* E-mini S&P500
現在日付 2022/6/22
1st price 3,752.50 month= 9
2nd price 3,752.50 month= 9
Daily extected return 0.91
Daily Stdev 66.07
Monthly expected return 47.58
Monthly Stdev 173.96
Monthly change sigma -1.3
Next month's average sigma 0.6
HV 0.26
HV/σ -0.0
Earned premium 7.00
Net Δ -0.3
Net Γ 0.0
Net Λ -604.4
VaR/Balance (V/B) [%] -35.2%
___ Expected Utility ___
Player : Strategy : risk_neutral : risk_loving : risk_averse
risk_neutral_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]]
risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]]
risk_averse_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]]
___ Max Mini ___
Mini: [['Call-NakedLong-OTM' -3.2378]]
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
0.0 2.0 risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]] Q 1 3,760 -1 171.50 0.19 0.259 3,752.50 2022/6/22 1
0.6 2.0 risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]] Q 1 3,910 1 89.25 0.19 0.226 3,752.50 2022/6/22 2
ショートレシオスプレッドの半減期に、もし相場が動いていなかったら、ロングをクローズし、得られたプレミアムの半分相当の権利行使価格で再度ショートレシオを構築。
第一限月満期後に、ロングバタフライを形成する。
---
https:/
Wall Street sheds opening gains on losses in high-growth stocks
(Reuters) - Wall Street's main indexes fell after opening higher on Monday, as a rally last week on easing concerns over inflation lost steam, with high-growth stocks leading declines.
* E-mini S&P500
現在日付 2022/6/28
1st price 3,904.75 month= 9
2nd price 3,904.75 month= 9
Daily extected return 2.90
Daily Stdev 66.34
Monthly expected return 46.61
Monthly Stdev 175.54
Monthly change sigma -1.5
Next month's average sigma 0.6
HV 0.29
HV/σ 0.5
Earned premium -31.00
Net Δ 0.1
Net Γ -0.0
Net Λ 513.2
VaR/Balance (V/B) [%] -1.5%
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
-0.6 2.0 CLOSE1:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]] Q 1 3,760 -1 171.50 0.18 0.259 3,752.50 2022/6/22 0
0.0 2.0 VirtSprd::PARTCLOSE1:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]] Q 1 3,910 1 89.25 0.18 0.226 3,752.50 2022/6/22 1
-0.6 2.1 CLOSE1: Q 1 3,760 1 258.25 0.18 0.265 3,904.75 2022/6/28
0.0 2.1 PARTCLOSE1: Q 1 3,910 -1 160.25 0.18 0.242 3,904.75 2022/6/28
0.6 2.1 VirtSprd: Q 1 4,060 -1 87.75 0.18 0.224 3,904.75 2022/6/28 1
1.1 2.1 NakedLong Q 1 4,180 -1 48.25 0.18 0.212 3,904.75 2022/6/28 1
相場が急上昇したため、バーティカルスプレッドに変化させた。
更に上昇を見越して、ネイキッドロングを追加した。
もし失速するなら、ショートコンドルか？
---
https:/
NEW YORK (Reuters) - U.S. stock futures turned negative and European shares fell further on Friday after higher-than-expected U.S. consumer price data for May fueled inflation concerns and likely kept the Federal Reserve on track to aggressively hike interest rates.
* T-note
Date 2022/6/10
Future 1st price 117.060 month = 9
Future 2nd price 117.060 month = 9
Mothly sigma -1.1
Next month's average sigma 0.2
HV 0.0702
HV/σ -0.7
Daily STDEV 0.6
Monthly STDEV 1.8
Premium total: -7.34
Net Δ -5.0
Net Γ 0.6
Net Λ -39.7
VaR/Balance (V/B) [%] -93.8%
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
-0.0 2.9 Reversal: U -1 117.05 0.21 2022/6/10 5
#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!
2.0 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
2.1 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
2.1 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
2.1 1.1 MISS: F -1 130.50 -1 1.00 1.21 0.058 129.72 2021/10/25 0
2.1 1.2 CLOSE: F -1 130.50 -1 1.00 0.54 0.048 130.23 2021/11/30 0
1.7 1.2 CLOSE2:NakedShort G -1 128.00 1 1.00 0.19 0.072 130.23 2021/11/30 0
2.2 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
1.7 1.4 CLOSE2: G -1 128.00 -1 1.00 0.29 0.054 128.03 2022/1/10 0
1.2 1.4 EXPIRE:LongStrangle H -1 125.00 -1 1.00 0.08 0.079 127.89 2022/1/10 0
1.5 1.5 CLOSE3:LongRatioSprd:PARTCLOSE:NakedShortPut J -1 126.50 1 1.00 0.28 0.074 128.50 2022/1/25 0
1.5 1.6 PARTCLOSE: J -1 126.50 -1 1.00 0.53 0.057 126.73 2022/2/8 0
1.1 1.6 CLOSE4:RevCalSPrdPut:PARTCLOSE2:LongRatioSprd: J -1 124.50 -1 1.00 0.16 0.076 126.73 2022/2/8 0
1.9 1.6 ShortRatioSprd+0.5s:RevCalSPrdCall:NakedShortCall K 1 129.50 1 1.00 0.15 0.065 126.73 2022/2/8 0
1.5 1.7 CLOSE3: J -1 126.50 -1 1.00 0.51 0.070 126.81 2022/2/22 0
1.1 1.7 PARTCLOSE2: J -1 124.50 1 1.00 0.13 0.087 126.81 2022/2/22 0
1.1 1.7 LongButterfly:ShortRatioSprdPut-1.5s:RevCalSPrdPut: K -1 124.50 1 1.00 0.27 0.081 126.81 2022/2/22 0
1.9 1.7 CLOSE5:RevCalSPrdCall: J 1 129.50 -1 1.00 0.11 0.090 126.81 2022/2/22 0
1.1 1.8 CLOSE4: J -1 124.50 1 1.00 0.05 0.123 128.06 2022/3/7 0
1.2 1.8 LongButterfly:ShortRatioSprdPut-1.5s: K -1 125.00 -1 1.00 0.22 0.102 128.06 2022/3/7 0
1.9 1.9 CLOSE5: J 1 129.50 1 1.00 0.34 0.120 128.06 2022/3/7 0
1.8 1.9 ShortRatioSprd+0.5s: K 1 129.00 -1 1.00 1.02 0.123 128.06 2022/3/7 0
1.1 2.0 EXPIRE:LongButterfly: K -1 124.00 -1 1.00 0.41 0.082 125.08 2022/3/15 0
0.8 2.1 CLOSE6:RevCalSprdPut K -1 122.50 -1 1.00 0.18 0.095 125.08 2022/3/15 0
0.8 2.1 ASSIGN:LongCondorVar:ShortRatioSprdPut:RevCalSprdPut M -1 122.50 1 1.00 0.34 0.091 125.08 2022/3/15 0
1.1 2.2 EXPIRE:RevCalSprdCall K 1 124.50 -1 1.00 0.14 0.102 122.11 2022/3/28 0
1.1 2.2 EXPIRE:RevCalSprdCall M 1 124.50 1 1.00 0.35 0.097 122.11 2022/3/28 0
0.8 2.3 CLOSE6: K -1 122.50 1 1.00 1.53 0.072 120.84 2022/4/6 0
0.4 2.3 EXPIRE:LongCondorVar+Sor:hortRatioSprdPut: M -1 119.50 1 1.00 0.51 0.100 120.84 2022/4/6 0
0.6 2.3 ASSIGN:LongCondorVar:ShortRatioSprdPut: M -1 121.00 -1 1.00 1.25 0.182 120.84 2022/4/6 0
0.1 2.4 EXPIRE:LongCondorVar: M -1 118.00 -1 1.00 0.42 0.103 119.20 2022/4/19 0
0.0 2.5 CLOSE7:RevCalSprdPut M -1 117.50 -1 1.00 0.19 0.116 119.80 2022/4/25 0
0.2 2.5 Reversal:VirtSprd:ShortRatioSprdVar::RevCalSprdPut N -1 117.50 1 0.04 0.49 0.096 119.25 2022/4/25 5
0.0 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 0.04 1.17 0.116 117.97 2022/5/11 0
-2.1 2.6 NakedShort:ShortRatioSprdVar N -1 114.50 1 0.04 0.17 0.116 117.97 2022/5/11 5
0.6 2.7 CLOSE8: N -1 118.00 1 0.04 0.33 0.093 119.22 2022/5/24 0
-0.1 2.7 CLOSE9:VirtSprd: N -1 117.00 -1 0.04 0.19 0.089 119.22 2022/5/24 0
3.8 2.8 RevCalSprdCall N 1 122.00 -1 0.04 0.12 0.099 119.19 2022/5/24 4
2.2 2.8 LongRatioSprd:RevCalSprdCall Q 1 122.00 1 0.12 0.27 0.092 119.19 2022/5/24 4
-0.1 2.9 CLOSE9: N -1 117.00 1 0.04 0.36 0.079 117.19 2022/6/10
0.2 2.9 Reversal: N -1 117.50 -1 0.04 0.35 0.031 117.19 2022/6/10 5
2.0 2.9 LongRatioSprd: Q 1 121.50 1 0.12 0.06 0.101 117.19 2022/6/10 2
---
___ GARCH model results review ___
2022年 6月11日 土曜日 00時03分06秒 JST
VolPerSigma : Volatility : Filename : Products
-0.27 : 0.278 : result2.txt : ./US Corn Futures Historical Data (1).csv
-0.50 : 0.136 : result5.txt : ./Gold Futures Historical Data (1).csv
-0.82 : 0.271 : result3.txt : ./Crude Oil WTI Futures Historical Data (1).csv
0.51 : 0.278 : result1.txt : ./US Soybeans Futures Historical Data (1).csv
0.71 : 0.065 : result4.txt : ./US 10 Year T-Note Futures Historical Data (7).csv
0.77 : 0.211 : result0.txt : ./S&P 500 Futures Historical Data (4).csv
1.72 : 0.096 : result6.txt : ./EUR_USD Historical Data (1).csv
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https:/
U.S. Stocks Open Higher as Investors Await Fed Rate Decision
* T-note
Date 2022/6/15
Future 1st price 115.095 month = 9
Future 2nd price 115.095 month = 9
Mothly sigma -2.3
Next month's average sigma 0.2
HV 0.0777
HV/σ 0.2
Daily STDEV 0.6
Monthly STDEV 1.9
Premium total: -10.08
Net Δ -0.1
Net Γ 0.1
Net Λ -13.9
VaR/Balance (V/B) [%] -17.0%
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
0.6 2.9 Reversal: U -1 117.05 0.20 2022/6/10 5
#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!
2.2 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
2.3 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
2.3 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
2.3 1.1 MISS: F -1 130.50 -1 1.00 1.21 0.058 129.72 2021/10/25 0
2.3 1.2 CLOSE: F -1 130.50 -1 1.00 0.54 0.048 130.23 2021/11/30 0
1.9 1.2 CLOSE2:NakedShort G -1 128.00 1 1.00 0.19 0.072 130.23 2021/11/30 0
2.4 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
1.9 1.4 CLOSE2: G -1 128.00 -1 1.00 0.29 0.054 128.03 2022/1/10 0
1.5 1.4 EXPIRE:LongStrangle H -1 125.00 -1 1.00 0.08 0.079 127.89 2022/1/10 0
1.7 1.5 CLOSE3:LongRatioSprd:PARTCLOSE:NakedShortPut J -1 126.50 1 1.00 0.28 0.074 128.50 2022/1/25 0
1.7 1.6 PARTCLOSE: J -1 126.50 -1 1.00 0.53 0.057 126.73 2022/2/8 0
1.4 1.6 CLOSE4:RevCalSPrdPut:PARTCLOSE2:LongRatioSprd: J -1 124.50 -1 1.00 0.16 0.076 126.73 2022/2/8 0
2.1 1.6 ShortRatioSprd+0.5s:RevCalSPrdCall:NakedShortCall K 1 129.50 1 1.00 0.15 0.065 126.73 2022/2/8 0
1.7 1.7 CLOSE3: J -1 126.50 -1 1.00 0.51 0.070 126.81 2022/2/22 0
1.4 1.7 PARTCLOSE2: J -1 124.50 1 1.00 0.13 0.087 126.81 2022/2/22 0
1.4 1.7 LongButterfly:ShortRatioSprdPut-1.5s:RevCalSPrdPut: K -1 124.50 1 1.00 0.27 0.081 126.81 2022/2/22 0
2.1 1.7 CLOSE5:RevCalSPrdCall: J 1 129.50 -1 1.00 0.11 0.090 126.81 2022/2/22 0
1.4 1.8 CLOSE4: J -1 124.50 1 1.00 0.05 0.123 128.06 2022/3/7 0
1.5 1.8 LongButterfly:ShortRatioSprdPut-1.5s: K -1 125.00 -1 1.00 0.22 0.102 128.06 2022/3/7 0
2.1 1.9 CLOSE5: J 1 129.50 1 1.00 0.34 0.120 128.06 2022/3/7 0
2.1 1.9 ShortRatioSprd+0.5s: K 1 129.00 -1 1.00 1.02 0.123 128.06 2022/3/7 0
1.3 2.0 EXPIRE:LongButterfly: K -1 124.00 -1 1.00 0.41 0.082 125.08 2022/3/15 0
1.1 2.1 CLOSE6:RevCalSprdPut K -1 122.50 -1 1.00 0.18 0.095 125.08 2022/3/15 0
1.1 2.1 ASSIGN:LongCondorVar:ShortRatioSprdPut:RevCalSprdPut M -1 122.50 1 1.00 0.34 0.091 125.08 2022/3/15 0
1.4 2.2 EXPIRE:RevCalSprdCall K 1 124.50 -1 1.00 0.14 0.102 122.11 2022/3/28 0
1.4 2.2 EXPIRE:RevCalSprdCall M 1 124.50 1 1.00 0.35 0.097 122.11 2022/3/28 0
1.1 2.3 CLOSE6: K -1 122.50 1 1.00 1.53 0.072 120.84 2022/4/6 0
0.6 2.3 EXPIRE:LongCondorVar+Sor:hortRatioSprdPut: M -1 119.50 1 1.00 0.51 0.100 120.84 2022/4/6 0
0.9 2.3 ASSIGN:LongCondorVar:ShortRatioSprdPut: M -1 121.00 -1 1.00 1.25 0.182 120.84 2022/4/6 0
0.4 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
2.1 2.5 Reversal:VirtSprd:ShortRatioSprdVar::RevCalSprdPut N -1 117.50 1 0.02 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
2.6 2.6 CLOSE8:ShortRatioSprdVar N -1 118.00 -1 0.02 1.17 0.116 117.97 2022/5/11 0
-0.8 2.6 CLOSE10:NakedShort:ShortRatioSprdVar N -1 114.50 1 0.02 0.17 0.116 117.97 2022/5/11 0
2.6 2.7 CLOSE8: N -1 118.00 1 0.02 0.33 0.093 119.22 2022/5/24 0
1.6 2.7 CLOSE9:VirtSprd: N -1 117.00 -1 0.02 0.19 0.089 119.22 2022/5/24 0
6.4 2.8 RevCalSprdCall N 1 122.00 -1 0.02 0.12 0.099 119.19 2022/5/24 4
3.2 2.8 LongRatioSprd:RevCalSprdCall Q 1 122.00 1 0.10 0.27 0.092 119.19 2022/5/24 4
1.6 2.9 CLOSE9: N -1 117.00 1 0.02 0.36 0.079 117.19 2022/6/10
2.1 2.9 Reversal: N 1 117.50 -1 0.02 0.35 0.031 117.19 2022/6/10 5
2.9 2.9 LongRatioSprd: Q 1 121.50 1 0.10 0.06 0.101 117.19 2022/6/10 2
-0.8 3.0 CLOSE10: N -1 114.50 -1 0.02 0.35 0.148 115.30 2022/6/15
---
___ GARCH model results review ___
2022年 6月15日 水曜日 23時25分41秒 JST
VolPerSigma : Volatility : Filename : Products
-0.05 : 0.235 : result6.txt : ./US Soybeans Futures Historical Data (2).csv
-0.66 : 0.348 : result5.txt : ./Crude Oil WTI Futures Historical Data (2).csv
-0.73 : 0.188 : result3.txt : ./US Corn Futures Historical Data (2).csv
1.55 : 0.095 : result2.txt : ./EUR_USD Historical Data (2).csv
1.71 : 0.149 : result1.txt : ./Gold Futures Historical Data (2).csv
2.42 : 0.089 : result4.txt : ./US 10 Year T-Note Futures Historical Data (10).csv
2.46 : 0.329 : result0.txt : ./S&P 500 Futures Historical Data (5).csv
U.S. Stocks Open Lower as Fed's Powell Faces Senate on Inflation
https:/
* E-mini S&P500
現在日付 2022/6/22
1st price 3,752.50 month= 9
2nd price 3,752.50 month= 9
Daily extected return 0.91
Daily Stdev 66.07
Monthly expected return 47.58
Monthly Stdev 173.96
Monthly change sigma -1.3
Next month's average sigma 0.6
HV 0.26
HV/σ -0.0
Earned premium 7.00
Net Δ -0.3
Net Γ 0.0
Net Λ -604.4
VaR/Balance (V/B) [%] -35.2%
___ Expected Utility ___
Player : Strategy : risk_neutral : risk_loving : risk_averse
risk_neutral_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]]
risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]]
risk_averse_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]]
___ Max Mini ___
Mini: [['Call-NakedLong-OTM' -3.2378]]
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
0.0 2.0 risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]] Q 1 3,760 -1 171.50 0.19 0.259 3,752.50 2022/6/22 1
0.6 2.0 risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]] Q 1 3,910 1 89.25 0.19 0.226 3,752.50 2022/6/22 2
ショートレシオスプレッドの半減期に、もし相場が動いていなかったら、ロングをクローズし、得られたプレミアムの半分相当の権利行使価格で再度ショートレシオを構築。
第一限月満期後に、ロングバタフライを形成する。
---
https:/
Wall Street sheds opening gains on losses in high-growth stocks
(Reuters) - Wall Street's main indexes fell after opening higher on Monday, as a rally last week on easing concerns over inflation lost steam, with high-growth stocks leading declines.
* E-mini S&P500
現在日付 2022/6/28
1st price 3,904.75 month= 9
2nd price 3,904.75 month= 9
Daily extected return 2.90
Daily Stdev 66.34
Monthly expected return 46.61
Monthly Stdev 175.54
Monthly change sigma -1.5
Next month's average sigma 0.6
HV 0.29
HV/σ 0.5
Earned premium -31.00
Net Δ 0.1
Net Γ -0.0
Net Λ 513.2
VaR/Balance (V/B) [%] -1.5%
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
-0.6 2.0 CLOSE1:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]] Q 1 3,760 -1 171.50 0.18 0.259 3,752.50 2022/6/22 0
0.0 2.0 VirtSprd::PARTCLOSE1:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]] Q 1 3,910 1 89.25 0.18 0.226 3,752.50 2022/6/22 1
-0.6 2.1 CLOSE1: Q 1 3,760 1 258.25 0.18 0.265 3,904.75 2022/6/28
0.0 2.1 PARTCLOSE1: Q 1 3,910 -1 160.25 0.18 0.242 3,904.75 2022/6/28
0.6 2.1 VirtSprd: Q 1 4,060 -1 87.75 0.18 0.224 3,904.75 2022/6/28 1
1.1 2.1 NakedLong Q 1 4,180 -1 48.25 0.18 0.212 3,904.75 2022/6/28 1
相場が急上昇したため、バーティカルスプレッドに変化させた。
更に上昇を見越して、ネイキッドロングを追加した。
もし失速するなら、ショートコンドルか？
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