https:/
U.S. Stocks Open Lower Despite Big Jump in June Jobs
* E-mini S&P500
現在日付 2022/7/8
1st price 3,877.00 month= 9
2nd price 3,877.00 month= 9
Daily extected return 3.05
Daily Stdev 65.27
Monthly expected return 40.78
Monthly Stdev 181.07
Monthly change sigma -1.3
Next month's average sigma 0.5
HV 0.21
HV/σ -0.9
Earned premium 14.25
Net Δ -0.8
Net Γ -0.0
Net Λ 321.2
VaR/Balance (V/B) [%] -37.2%
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
2.2 LongCondor: U 1 3,877.00 0.15 3,877.00 2022/7/8 1
-0.5 2.0 CLOSE1:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]] Q 1 3,760 -1 171.50 0.15 0.259 3,752.50 2022/6/22 0
0.1 2.0 LongCondor:VirtSprd::PARTCLOSE1:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]] Q 1 3,910 1 89.25 0.15 0.226 3,752.50 2022/6/22 1
-0.5 2.1 CLOSE1: Q 1 3,760 1 258.25 0.15 0.265 3,904.75 2022/6/28
0.1 2.1 PARTCLOSE1: Q 1 3,910 -1 160.25 0.15 0.242 3,904.75 2022/6/28
0.8 2.1 LongCondor:VirtSprd: Q 1 4,060 -1 87.75 0.15 0.224 3,904.75 2022/6/28 1
1.2 2.1 NakedLong Q 1 4,180 -1 48.25 0.15 0.212 3,904.75 2022/6/28 1
0.1 2.2 LongCondor: Q 1 3,890 1 137.25 0.15 0.234 3,877.00 2022/7/8 1
-0.6 2.2 LongCondor: Q -1 3,740 -1 92.00 0.15 0.264 3,877.00 2022/7/8 1
#DIV/0!
#DIV/0! 半減期にネイキッドロングをクローズか、レシオショートか、リバースカレンダスプレッドに変化
ーーー
* E-mini S&P500
現在日付 2022/7/23
1st price 3,951.25 month= 9
2nd price 3,963.00 month= 12
Daily extected return 4.28
Daily Stdev 63.75
Monthly expected return 48.55
Monthly Stdev 178.17
Monthly change sigma 0.9
Next month's average sigma 0.6
HV 0.18
HV/σ -1.5
Earned premium 19.50
Net Δ -0.3
Net Γ 0.0
Net Λ -567.4
VaR/Balance (V/B) [%] -68.1%
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
2.2 LongCondor: U 1 3,877.00 0.11 3,877.00 2022/7/8 1
-0.9 2.0 CLOSE1:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]] Q 1 3,760 -1 171.50 0.11 0.259 3,752.50 2022/6/22 0
-0.2 2.0 LongCondor:VirtSprd::PARTCLOSE1:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]] Q 1 3,910 1 89.25 0.11 0.226 3,752.50 2022/6/22 1
-0.9 2.1 CLOSE1: Q 1 3,760 1 258.25 0.11 0.265 3,904.75 2022/6/28
-0.2 2.1 PARTCLOSE1: Q 1 3,910 -1 160.25 0.11 0.242 3,904.75 2022/6/28
0.5 2.1 LongCondor:VirtSprd: Q 1 4,060 -1 87.75 0.11 0.224 3,904.75 2022/6/28 1
1.1 2.1 Close2:ShortRatioSprd:NakedLong Q 1 4,180 -1 48.25 0.11 0.212 3,904.75 2022/6/28 0
-0.3 2.2 LongCondor: Q 1 3,890 1 137.25 0.11 0.234 3,877.00 2022/7/8 1
-1.0 2.2 LongCondor: Q -1 3,740 -1 92.00 0.11 0.264 3,877.00 2022/7/8 1
0.6 2.3 ShortRatioSprdVar:ShortRatioSprd: Q 1 4,070 1 31.25 0.11 0.202 3,809.75 2022/7/13 2
0.3 2.4 ShortRatioSprdVar: Q 1 4,020 -1 83.00 0.11 0.214 3,951.25 2022/7/23 1
1.1 2.4 Close2: Q 1 4,180 1 25.75 0.11 0.188 3,951.25 2022/7/23 0
2.4 ShortRatioSprdVar:
4020をブレイクしたら、4120をロングし、ロングバタフライに変化してガード。
https:/
Wall Street slips as ad tech, social media stocks weigh
---
https:/
U.S. Stocks Wobble to Open Big Week of Economic Data and Earnings
Investing.com -- U.S. stocks opened flat and then moved higher as investors prepared to take in a slew of corporate earnings and a new set of economic data, including the Federal Reserve’s interest rate decision later this week.
* T-note
Date 2022/7/25
Future 1st price 119.170 month = 9
Future 2nd price 119.145 month = 12
Mothly sigma 1.5
Next month's average sigma 0.5
HV 0.0835
HV/σ 0.7
Daily STDEV 0.6
Monthly STDEV 1.9
Premium total: -10.34
Net Δ -0.0
Net Γ -0.0
Net Λ -6.0
VaR/Balance (V/B) [%] -0.9%
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
-1.3 2.9 Reversal: U -1 117.05 0.09 2022/6/10 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!
2.8 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 0.34 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
2.9 1.1 EXPIRED:risk_averse_max_str: [[['Put-ReverseCalendarSpread-ATM' 1.1061 51.4489 2.6768]]] Z -1 130.50 -1 0.34 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 0
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
0.8 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
1.5 1.6 ShortRatioSprd+0.5s:RevCalSPrdCall:NakedShortCall K 1 129.50 1 1.00 0.15 0.065 126.73 2022/2/8 0
1.1 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
1.5 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
0.8 1.8 LongButterfly:ShortRatioSprdPut-1.5s: K -1 125.00 -1 1.00 0.22 0.102 128.06 2022/3/7 0
1.5 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
0.7 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
0.2 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
-0.3 2.5 Reversal:VirtSprd:ShortRatioSprdVar::RevCalSprdPut N -1 117.50 1 1.00 0.49 0.096 119.25 2022/4/25 0
-0.3 2.6 CLOSE7: M -1 117.50 1 1.00 0.13 0.067 117.97 2022/5/11
-0.2 2.6 CLOSE8:ShortRatioSprdVar N -1 118.00 -1 1.00 1.17 0.116 117.97 2022/5/11 0
-0.8 2.6 CLOSE10:NakedShort:ShortRatioSprdVar N -1 114.50 1 1.00 0.17 0.116 117.97 2022/5/11 0
-0.2 2.7 CLOSE8: N -1 118.00 1 1.00 0.33 0.093 119.22 2022/5/24 0
-0.4 2.7 CLOSE9:VirtSprd: N -1 117.00 -1 1.00 0.19 0.089 119.22 2022/5/24 0
0.4 2.8 RevCalSprdCall N 1 122.00 -1 1.00 0.12 0.099 119.19 2022/5/24 0
0.4 2.8 EXPIRED:LongRatioSprd:RevCalSprdCall Q 1 122.00 1 1.00 0.27 0.092 119.19 2022/5/24 0
-0.4 2.9 CLOSE9: N -1 117.00 1 1.00 0.36 0.079 117.19 2022/6/10
-0.3 2.9 Reversal: N 1 117.50 -1 1.00 0.35 0.031 117.19 2022/6/10 0
0.3 2.9 EXPIRED:RevCalSprd:LongRatioSprd: Q 1 121.50 1 1.00 0.06 0.101 117.19 2022/6/10 0
-0.8 3.0 CLOSE10: N -1 114.50 -1 1.00 0.35 0.148 115.30 2022/6/15
1.0 3.1 CLOSE11:ShortRatioSprd:RevCalSprd: U 1 121.50 1 0.09 0.16 0.114 116.66 2022/6/28 0
1.3 3.2 ShortDiagSprd:ShortRatioSprd: U 1 122.00 -1 0.09 0.25 0.108 118.92 2022/7/13 1
1.0 3.3 CLOSE11: U 1 121.50 -1 0.09 0.29 0.102 119.53 2022/7/25 0
1.1 3.3 ShortDiagSprd: V 1 122.50 1 0.16 0.34 0.101 119.45 2022/7/25 1
半減期に何もしないか、クローズか。
焦る必要無し。
ーーー
U.S. Stocks Open Higher After Strong Earnings from Apple, Amazon
https:/
* E-mini S&P500
現在日付 2022/7/29
1st price 4,111.00 month= 9
2nd price 4,128.50 month= 12
Daily extected return 3.67
Daily Stdev 63.56
Monthly expected return 51.47
Monthly Stdev 181.24
Monthly change sigma 1.5
Next month's average sigma 0.5
HV 0.19
HV/σ -1.5
Earned premium -124.50
Net Δ -0.3
Net Γ -0.0
Net Λ 375.8
VaR/Balance (V/B) [%] -23.1%
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 Initial qty
2.2 LongCondor: U 1 3,877.00 0.09 3,877.00 2022/7/8 1 1
-1.8 2.0 CLOSE1:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]] Q 1 3,760 -1 171.50 0.09 0.259 3,752.50 2022/6/22 0 1
-1.1 2.0 LongCondor:VirtSprd::PARTCLOSE1:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]] Q 1 3,910 1 89.25 0.09 0.226 3,752.50 2022/6/22 1 2
-1.8 2.1 CLOSE1: Q 1 3,760 1 258.25 0.09 0.265 3,904.75 2022/6/28 1
-1.1 2.1 PARTCLOSE1: Q 1 3,910 -1 160.25 0.09 0.242 3,904.75 2022/6/28 1
-0.3 2.1 LongCondor:VirtSprd: Q 1 4,060 -1 87.75 0.09 0.224 3,904.75 2022/6/28 1 1
0.4 2.1 Close2:ShortRatioSprd:NakedLong Q 1 4,180 -1 48.25 0.09 0.212 3,904.75 2022/6/28 0 1
-1.2 2.2 LongCondor: Q 1 3,890 1 137.25 0.09 0.234 3,877.00 2022/7/8 1 1
-2.0 2.2 LongCondor: Q -1 3,740 -1 92.00 0.09 0.264 3,877.00 2022/7/8 1 1
-0.2 2.3 LongButterfly:ShortRatioSprdVar:ShortRatioSprd: Q 1 4,070 1 31.25 0.09 0.202 3,809.75 2022/7/13 2 2
-0.5 2.4 LongButterfly:ShortRatioSprdVar: Q 1 4,020 -1 83.00 0.09 0.214 3,951.25 2022/7/23 1 1
0.4 2.4 Close2: Q 1 4,180 1 25.75 0.09 0.188 3,951.25 2022/7/23 0 1
0.0 2.5 LongButterfly: Q 1 4,120 -1 91.75 0.09 0.186 4,111.00 2022/7/29 1 1
-1.2 2.5 NakedLong U -1 3,800 -1 52.25 0.17 0.263 4,128.50 2022/7/29 1 1
2.5 NakedLong
2.5 LongButterfly:
半減期に再評価。
---
U.S. Stocks Open Lower Despite Big Jump in June Jobs
* E-mini S&P500
現在日付 2022/7/8
1st price 3,877.00 month= 9
2nd price 3,877.00 month= 9
Daily extected return 3.05
Daily Stdev 65.27
Monthly expected return 40.78
Monthly Stdev 181.07
Monthly change sigma -1.3
Next month's average sigma 0.5
HV 0.21
HV/σ -0.9
Earned premium 14.25
Net Δ -0.8
Net Γ -0.0
Net Λ 321.2
VaR/Balance (V/B) [%] -37.2%
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
2.2 LongCondor: U 1 3,877.00 0.15 3,877.00 2022/7/8 1
-0.5 2.0 CLOSE1:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]] Q 1 3,760 -1 171.50 0.15 0.259 3,752.50 2022/6/22 0
0.1 2.0 LongCondor:VirtSprd::PARTCLOSE1:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]] Q 1 3,910 1 89.25 0.15 0.226 3,752.50 2022/6/22 1
-0.5 2.1 CLOSE1: Q 1 3,760 1 258.25 0.15 0.265 3,904.75 2022/6/28
0.1 2.1 PARTCLOSE1: Q 1 3,910 -1 160.25 0.15 0.242 3,904.75 2022/6/28
0.8 2.1 LongCondor:VirtSprd: Q 1 4,060 -1 87.75 0.15 0.224 3,904.75 2022/6/28 1
1.2 2.1 NakedLong Q 1 4,180 -1 48.25 0.15 0.212 3,904.75 2022/6/28 1
0.1 2.2 LongCondor: Q 1 3,890 1 137.25 0.15 0.234 3,877.00 2022/7/8 1
-0.6 2.2 LongCondor: Q -1 3,740 -1 92.00 0.15 0.264 3,877.00 2022/7/8 1
#DIV/0!
#DIV/0! 半減期にネイキッドロングをクローズか、レシオショートか、リバースカレンダスプレッドに変化
ーーー
* E-mini S&P500
現在日付 2022/7/23
1st price 3,951.25 month= 9
2nd price 3,963.00 month= 12
Daily extected return 4.28
Daily Stdev 63.75
Monthly expected return 48.55
Monthly Stdev 178.17
Monthly change sigma 0.9
Next month's average sigma 0.6
HV 0.18
HV/σ -1.5
Earned premium 19.50
Net Δ -0.3
Net Γ 0.0
Net Λ -567.4
VaR/Balance (V/B) [%] -68.1%
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
2.2 LongCondor: U 1 3,877.00 0.11 3,877.00 2022/7/8 1
-0.9 2.0 CLOSE1:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]] Q 1 3,760 -1 171.50 0.11 0.259 3,752.50 2022/6/22 0
-0.2 2.0 LongCondor:VirtSprd::PARTCLOSE1:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]] Q 1 3,910 1 89.25 0.11 0.226 3,752.50 2022/6/22 1
-0.9 2.1 CLOSE1: Q 1 3,760 1 258.25 0.11 0.265 3,904.75 2022/6/28
-0.2 2.1 PARTCLOSE1: Q 1 3,910 -1 160.25 0.11 0.242 3,904.75 2022/6/28
0.5 2.1 LongCondor:VirtSprd: Q 1 4,060 -1 87.75 0.11 0.224 3,904.75 2022/6/28 1
1.1 2.1 Close2:ShortRatioSprd:NakedLong Q 1 4,180 -1 48.25 0.11 0.212 3,904.75 2022/6/28 0
-0.3 2.2 LongCondor: Q 1 3,890 1 137.25 0.11 0.234 3,877.00 2022/7/8 1
-1.0 2.2 LongCondor: Q -1 3,740 -1 92.00 0.11 0.264 3,877.00 2022/7/8 1
0.6 2.3 ShortRatioSprdVar:ShortRatioSprd: Q 1 4,070 1 31.25 0.11 0.202 3,809.75 2022/7/13 2
0.3 2.4 ShortRatioSprdVar: Q 1 4,020 -1 83.00 0.11 0.214 3,951.25 2022/7/23 1
1.1 2.4 Close2: Q 1 4,180 1 25.75 0.11 0.188 3,951.25 2022/7/23 0
2.4 ShortRatioSprdVar:
4020をブレイクしたら、4120をロングし、ロングバタフライに変化してガード。
https:/
Wall Street slips as ad tech, social media stocks weigh
---
https:/
U.S. Stocks Wobble to Open Big Week of Economic Data and Earnings
Investing.com -- U.S. stocks opened flat and then moved higher as investors prepared to take in a slew of corporate earnings and a new set of economic data, including the Federal Reserve’s interest rate decision later this week.
* T-note
Date 2022/7/25
Future 1st price 119.170 month = 9
Future 2nd price 119.145 month = 12
Mothly sigma 1.5
Next month's average sigma 0.5
HV 0.0835
HV/σ 0.7
Daily STDEV 0.6
Monthly STDEV 1.9
Premium total: -10.34
Net Δ -0.0
Net Γ -0.0
Net Λ -6.0
VaR/Balance (V/B) [%] -0.9%
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
-1.3 2.9 Reversal: U -1 117.05 0.09 2022/6/10 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!
2.8 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 0.34 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
2.9 1.1 EXPIRED:risk_averse_max_str: [[['Put-ReverseCalendarSpread-ATM' 1.1061 51.4489 2.6768]]] Z -1 130.50 -1 0.34 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 0
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
0.8 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
1.5 1.6 ShortRatioSprd+0.5s:RevCalSPrdCall:NakedShortCall K 1 129.50 1 1.00 0.15 0.065 126.73 2022/2/8 0
1.1 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
1.5 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
0.8 1.8 LongButterfly:ShortRatioSprdPut-1.5s: K -1 125.00 -1 1.00 0.22 0.102 128.06 2022/3/7 0
1.5 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
0.7 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
0.2 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
-0.3 2.5 Reversal:VirtSprd:ShortRatioSprdVar::RevCalSprdPut N -1 117.50 1 1.00 0.49 0.096 119.25 2022/4/25 0
-0.3 2.6 CLOSE7: M -1 117.50 1 1.00 0.13 0.067 117.97 2022/5/11
-0.2 2.6 CLOSE8:ShortRatioSprdVar N -1 118.00 -1 1.00 1.17 0.116 117.97 2022/5/11 0
-0.8 2.6 CLOSE10:NakedShort:ShortRatioSprdVar N -1 114.50 1 1.00 0.17 0.116 117.97 2022/5/11 0
-0.2 2.7 CLOSE8: N -1 118.00 1 1.00 0.33 0.093 119.22 2022/5/24 0
-0.4 2.7 CLOSE9:VirtSprd: N -1 117.00 -1 1.00 0.19 0.089 119.22 2022/5/24 0
0.4 2.8 RevCalSprdCall N 1 122.00 -1 1.00 0.12 0.099 119.19 2022/5/24 0
0.4 2.8 EXPIRED:LongRatioSprd:RevCalSprdCall Q 1 122.00 1 1.00 0.27 0.092 119.19 2022/5/24 0
-0.4 2.9 CLOSE9: N -1 117.00 1 1.00 0.36 0.079 117.19 2022/6/10
-0.3 2.9 Reversal: N 1 117.50 -1 1.00 0.35 0.031 117.19 2022/6/10 0
0.3 2.9 EXPIRED:RevCalSprd:LongRatioSprd: Q 1 121.50 1 1.00 0.06 0.101 117.19 2022/6/10 0
-0.8 3.0 CLOSE10: N -1 114.50 -1 1.00 0.35 0.148 115.30 2022/6/15
1.0 3.1 CLOSE11:ShortRatioSprd:RevCalSprd: U 1 121.50 1 0.09 0.16 0.114 116.66 2022/6/28 0
1.3 3.2 ShortDiagSprd:ShortRatioSprd: U 1 122.00 -1 0.09 0.25 0.108 118.92 2022/7/13 1
1.0 3.3 CLOSE11: U 1 121.50 -1 0.09 0.29 0.102 119.53 2022/7/25 0
1.1 3.3 ShortDiagSprd: V 1 122.50 1 0.16 0.34 0.101 119.45 2022/7/25 1
半減期に何もしないか、クローズか。
焦る必要無し。
ーーー
U.S. Stocks Open Higher After Strong Earnings from Apple, Amazon
https:/
* E-mini S&P500
現在日付 2022/7/29
1st price 4,111.00 month= 9
2nd price 4,128.50 month= 12
Daily extected return 3.67
Daily Stdev 63.56
Monthly expected return 51.47
Monthly Stdev 181.24
Monthly change sigma 1.5
Next month's average sigma 0.5
HV 0.19
HV/σ -1.5
Earned premium -124.50
Net Δ -0.3
Net Γ -0.0
Net Λ 375.8
VaR/Balance (V/B) [%] -23.1%
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 Initial qty
2.2 LongCondor: U 1 3,877.00 0.09 3,877.00 2022/7/8 1 1
-1.8 2.0 CLOSE1:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]] Q 1 3,760 -1 171.50 0.09 0.259 3,752.50 2022/6/22 0 1
-1.1 2.0 LongCondor:VirtSprd::PARTCLOSE1:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]] Q 1 3,910 1 89.25 0.09 0.226 3,752.50 2022/6/22 1 2
-1.8 2.1 CLOSE1: Q 1 3,760 1 258.25 0.09 0.265 3,904.75 2022/6/28 1
-1.1 2.1 PARTCLOSE1: Q 1 3,910 -1 160.25 0.09 0.242 3,904.75 2022/6/28 1
-0.3 2.1 LongCondor:VirtSprd: Q 1 4,060 -1 87.75 0.09 0.224 3,904.75 2022/6/28 1 1
0.4 2.1 Close2:ShortRatioSprd:NakedLong Q 1 4,180 -1 48.25 0.09 0.212 3,904.75 2022/6/28 0 1
-1.2 2.2 LongCondor: Q 1 3,890 1 137.25 0.09 0.234 3,877.00 2022/7/8 1 1
-2.0 2.2 LongCondor: Q -1 3,740 -1 92.00 0.09 0.264 3,877.00 2022/7/8 1 1
-0.2 2.3 LongButterfly:ShortRatioSprdVar:ShortRatioSprd: Q 1 4,070 1 31.25 0.09 0.202 3,809.75 2022/7/13 2 2
-0.5 2.4 LongButterfly:ShortRatioSprdVar: Q 1 4,020 -1 83.00 0.09 0.214 3,951.25 2022/7/23 1 1
0.4 2.4 Close2: Q 1 4,180 1 25.75 0.09 0.188 3,951.25 2022/7/23 0 1
0.0 2.5 LongButterfly: Q 1 4,120 -1 91.75 0.09 0.186 4,111.00 2022/7/29 1 1
-1.2 2.5 NakedLong U -1 3,800 -1 52.25 0.17 0.263 4,128.50 2022/7/29 1 1
2.5 NakedLong
2.5 LongButterfly:
半減期に再評価。
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