* T-note
Date 2022/8/11
Future 1st price 120.000 month = 9
Future 2nd price 120.020 month = 12
Mothly sigma 0.7
Next month's average sigma -0.6
HV 0.0831
HV/σ 0.5
Daily STDEV 0.6
Monthly STDEV 1.9
Premium total: -11.30
Net Δ -0.1
Net Γ -0.0
Net Λ -8.2
VaR/Balance (V/B) [%] -1.6%
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
-2.2 2.9 Reversal: U -1 117.05 0.04 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!
2.9 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 0.29 0.20 0.065 132.16 2021/9/24 0
1.6 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
3.0 1.1 EXPIRED:risk_averse_max_str: [[['Put-ReverseCalendarSpread-ATM' 1.1061 51.4489 2.6768]]] Z -1 130.50 -1 0.29 0.41 0.047 130.61 2021/10/25 0
1.6 1.1 MISS: F -1 130.50 -1 1.00 1.21 0.058 129.72 2021/10/25 0
1.6 1.2 CLOSE: F -1 130.50 -1 1.00 0.54 0.048 130.23 2021/11/30 0
1.2 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
1.2 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
1.0 1.5 CLOSE3:LongRatioSprd:PARTCLOSE:NakedShortPut J -1 126.50 1 1.00 0.28 0.074 128.50 2022/1/25 0
1.0 1.6 PARTCLOSE: J -1 126.50 -1 1.00 0.53 0.057 126.73 2022/2/8 0
0.7 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
1.0 1.7 CLOSE3: J -1 126.50 -1 1.00 0.51 0.070 126.81 2022/2/22 0
0.7 1.7 PARTCLOSE2: J -1 124.50 1 1.00 0.13 0.087 126.81 2022/2/22 0
0.7 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
0.7 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
1.4 1.9 ShortRatioSprd+0.5s: K 1 129.00 -1 1.00 1.02 0.123 128.06 2022/3/7 0
0.6 2.0 EXPIRE:LongButterfly: K -1 124.00 -1 1.00 0.41 0.082 125.08 2022/3/15 0
0.4 2.1 CLOSE6:RevCalSprdPut K -1 122.50 -1 1.00 0.18 0.095 125.08 2022/3/15 0
0.4 2.1 ASSIGN:LongCondorVar:ShortRatioSprdPut:RevCalSprdPut M -1 122.50 1 1.00 0.34 0.091 125.08 2022/3/15 0
0.7 2.2 EXPIRE:RevCalSprdCall K 1 124.50 -1 1.00 0.14 0.102 122.11 2022/3/28 0
0.7 2.2 EXPIRE:RevCalSprdCall M 1 124.50 1 1.00 0.35 0.097 122.11 2022/3/28 0
0.4 2.3 CLOSE6: K -1 122.50 1 1.00 1.53 0.072 120.84 2022/4/6 0
-0.1 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
-0.3 2.4 EXPIRE:LongCondorVar: M -1 118.00 -1 1.00 0.42 0.103 119.20 2022/4/19 0
-0.4 2.5 CLOSE7:RevCalSprdPut M -1 117.50 -1 1.00 0.19 0.116 119.80 2022/4/25 0
-0.4 2.5 Reversal:VirtSprd:ShortRatioSprdVar::RevCalSprdPut N -1 117.50 1 1.00 0.49 0.096 119.25 2022/4/25 0
-0.4 2.6 CLOSE7: M -1 117.50 1 1.00 0.13 0.067 117.97 2022/5/11
-0.3 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
-0.3 2.7 CLOSE8: N -1 118.00 1 1.00 0.33 0.093 119.22 2022/5/24 0
-0.5 2.7 CLOSE9:VirtSprd: N -1 117.00 -1 1.00 0.19 0.089 119.22 2022/5/24 0
0.3 2.8 RevCalSprdCall N 1 122.00 -1 1.00 0.12 0.099 119.19 2022/5/24 0
0.3 2.8 EXPIRED:LongRatioSprd:RevCalSprdCall Q 1 122.00 1 1.00 0.27 0.092 119.19 2022/5/24 0
-0.5 2.9 CLOSE9: N -1 117.00 1 1.00 0.36 0.079 117.19 2022/6/10
-0.4 2.9 Reversal: N 1 117.50 -1 1.00 0.35 0.031 117.19 2022/6/10 0
0.2 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
1.1 3.1 CLOSE11:ShortRatioSprd:RevCalSprd: U 1 121.50 1 0.04 0.16 0.114 116.66 2022/6/28 0
1.5 3.2 CLOSE12:ShortDiagSprd:ShortRatioSprd: U 1 122.00 -1 0.04 0.25 0.108 118.92 2022/7/13 1
1.1 3.3 CLOSE11: U 1 121.50 -1 0.04 0.29 0.102 119.53 2022/7/25 0
1.1 3.3 CLOSE13:ShortDiagSprd: V 1 122.50 1 0.12 0.34 0.101 119.45 2022/7/25 1
1.3 3.4 CLOSE12: U 1 122.00 1 0.06 0.24 0.115 120.00 2022/8/11
0.8 3.4 CLOSE13: V 1 122.50 -1 0.21 0.85 0.114 120.06 2022/8/11
https:/
Wall St set to open higher on more signs of cooling inflation
Data showed U.S. producer prices unexpectedly fell in July amid a drop in the cost for energy products, bolstering the chance of a 50-basis point hike by the Federal Reserve in September instead of 75 basis points.
The indexes had sharply rallied on Wednesday following a softer-than-expected rise in consumer prices. The gains came even as policymakers left no doubt they will tighten monetary policy until price pressures are fully broken.
---
https:/
Skeptical on U.S. stocks, equity hedge funds sit out market rally
NEW YORK (Reuters) - Still uncertain on where U.S. stocks are headed, equity hedge funds are sitting out the market rally despite taking big paper losses on bearish bets since June, according to industry executives and market data.
After slumping more than 20% during the first half on worries aggressive U.S. Federal Reserve rate hikes aimed at taming inflation may cause a recession, the S&P has rebounded 17% since mid-June on signs prices may be stabilizing.
However, hedge funds have remained on the sidelines of the rally to assess more economic indicators before re-calibrating their portfolios, said prime broking executives and fund managers.
* E-mini S&P500
現在日付 2022/8/16
1st price 4,291.25 month= 9
2nd price 4,308.50 month= 12
Daily extected return 5.04
Daily Stdev 63.22
Monthly expected return 62.26
Monthly Stdev 197.00
Monthly change sigma 2.3
Next month's average sigma -0.4
HV 0.16
HV/σ -1.9
Earned premium -89.75
Net Δ 0.0
Net Γ -0.0
Net Λ -110.3
VaR/Balance (V/B) [%] -32.7%
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 0.04 3,877.00 2022/7/8 1
-3.8 2.0 CLOSE1:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]] Q 1 3,760 -1 171.50 0.04 0.259 3,752.50 2022/6/22 0
-2.7 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 0.04 0.226 3,752.50 2022/6/22 1
-3.8 2.1 CLOSE1: Q 1 3,760 1 258.25 0.04 0.265 3,904.75 2022/6/28
-2.7 2.1 PARTCLOSE1: Q 1 3,910 -1 160.25 0.04 0.242 3,904.75 2022/6/28
-1.7 2.1 LongCondor:VirtSprd: Q 1 4,060 -1 87.75 0.04 0.224 3,904.75 2022/6/28 1
-0.8 2.1 Close2:ShortRatioSprd:NakedLong Q 1 4,180 -1 48.25 0.04 0.212 3,904.75 2022/6/28 0
-2.9 2.2 LongCondor: Q 1 3,890 1 137.25 0.04 0.234 3,877.00 2022/7/8 1
-4.0 2.2 LongCondor: Q -1 3,740 -1 92.00 0.04 0.264 3,877.00 2022/7/8 1
-1.6 2.3 LongButterfly:ShortRatioSprdVar:ShortRatioSprd: Q 1 4,070 1 31.25 0.04 0.202 3,809.75 2022/7/13 2
-1.9 2.4 LongButterfly:ShortRatioSprdVar: Q 1 4,020 -1 83.00 0.04 0.214 3,951.25 2022/7/23 1
-0.8 2.4 Close2: Q 1 4,180 1 25.75 0.04 0.188 3,951.25 2022/7/23 0
-1.2 2.5 LongButterfly: Q 1 4,120 -1 91.75 0.04 0.186 4,111.00 2022/7/29 1
-2.0 2.5 VirtSprd:NakedLong U -1 3,800 -1 52.25 0.12 0.263 4,128.50 2022/7/29 1
-1.2 2.6 VirtSprd: U -1 4,000 1 34.75 0.12 0.242 4,308.50 2022/8/16 1
---
Wall St rises as investors await Fed's signals from Jackson Hole
https:/
(Reuters) - Wall Street's main indexes rose in early trading on Thursday, supported by banks and megacap growth stocks, while focus was squarely on Federal Reserve's annual Jackson Hole symposium for clues on the central bank's monetary policy outlook.
* E-mini S&P500
現在日付 2022/8/26
1st price 4,185.75 month= 12
2nd price 4,185.75 month= 12
Daily extected return 5.35
Daily Stdev 63.29
Monthly expected return 53.41
Monthly Stdev 183.24
Monthly change sigma 0.9
Next month's average sigma -0.4
HV 0.16
HV/σ -1.7
Earned premium -93.25
Net Δ -0.1
Net Γ -0.0
Net Λ -131.0
VaR/Balance (V/B) [%] -29.8%
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 0.01 3,877.00 2022/7/8 1
-5.7 2.0 CLOSE1:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]] Q 1 3,760 -1 171.50 0.01 0.259 3,752.50 2022/6/22 0
-3.7 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 0.01 0.226 3,752.50 2022/6/22 1
-5.7 2.1 CLOSE1: Q 1 3,760 1 258.25 0.01 0.265 3,904.75 2022/6/28
-3.7 2.1 PARTCLOSE1: Q 1 3,910 -1 160.25 0.01 0.242 3,904.75 2022/6/28
-1.7 2.1 LongCondor:VirtSprd: Q 1 4,060 -1 87.75 0.01 0.224 3,904.75 2022/6/28 1
-0.1 2.1 Close2:ShortRatioSprd:NakedLong Q 1 4,180 -1 48.25 0.01 0.212 3,904.75 2022/6/28 0
-4.0 2.2 LongCondor: Q 1 3,890 1 137.25 0.01 0.234 3,877.00 2022/7/8 1
-6.0 2.2 LongCondor: Q -1 3,740 -1 92.00 0.01 0.264 3,877.00 2022/7/8 1
-1.5 2.3 LongButterfly:ShortRatioSprdVar:ShortRatioSprd: Q 1 4,070 1 31.25 0.01 0.202 3,809.75 2022/7/13 2
-2.2 2.4 LongButterfly:ShortRatioSprdVar: Q 1 4,020 -1 83.00 0.01 0.214 3,951.25 2022/7/23 1
-0.1 2.4 Close2: Q 1 4,180 1 25.75 0.01 0.188 3,951.25 2022/7/23 0
-0.9 2.5 LongButterfly: Q 1 4,120 -1 91.75 0.01 0.186 4,111.00 2022/7/29 1
-1.9 2.5 RevCalSprd:VirtSprd:NakedLong U -1 3,800 -1 52.25 0.10 0.263 4,128.50 2022/7/29 1
-0.9 2.6 CLOSE3:VirtSprd: U -1 4,000 1 34.75 0.10 0.242 4,308.50 2022/8/16 0
-0.9 2.7 CLOSE3: U -1 4,000 -1 49.00 0.10 0.243 4,185.75 2022/8/26 0
-1.4 2.7 RevCalSprd: V -1 3,800 1 45.50 0.18 0.265 4,185.75 2022/8/26 1
---
Date 2022/8/11
Future 1st price 120.000 month = 9
Future 2nd price 120.020 month = 12
Mothly sigma 0.7
Next month's average sigma -0.6
HV 0.0831
HV/σ 0.5
Daily STDEV 0.6
Monthly STDEV 1.9
Premium total: -11.30
Net Δ -0.1
Net Γ -0.0
Net Λ -8.2
VaR/Balance (V/B) [%] -1.6%
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
-2.2 2.9 Reversal: U -1 117.05 0.04 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!
2.9 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 0.29 0.20 0.065 132.16 2021/9/24 0
1.6 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
3.0 1.1 EXPIRED:risk_averse_max_str: [[['Put-ReverseCalendarSpread-ATM' 1.1061 51.4489 2.6768]]] Z -1 130.50 -1 0.29 0.41 0.047 130.61 2021/10/25 0
1.6 1.1 MISS: F -1 130.50 -1 1.00 1.21 0.058 129.72 2021/10/25 0
1.6 1.2 CLOSE: F -1 130.50 -1 1.00 0.54 0.048 130.23 2021/11/30 0
1.2 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
1.2 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
1.0 1.5 CLOSE3:LongRatioSprd:PARTCLOSE:NakedShortPut J -1 126.50 1 1.00 0.28 0.074 128.50 2022/1/25 0
1.0 1.6 PARTCLOSE: J -1 126.50 -1 1.00 0.53 0.057 126.73 2022/2/8 0
0.7 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
1.0 1.7 CLOSE3: J -1 126.50 -1 1.00 0.51 0.070 126.81 2022/2/22 0
0.7 1.7 PARTCLOSE2: J -1 124.50 1 1.00 0.13 0.087 126.81 2022/2/22 0
0.7 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
0.7 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
1.4 1.9 ShortRatioSprd+0.5s: K 1 129.00 -1 1.00 1.02 0.123 128.06 2022/3/7 0
0.6 2.0 EXPIRE:LongButterfly: K -1 124.00 -1 1.00 0.41 0.082 125.08 2022/3/15 0
0.4 2.1 CLOSE6:RevCalSprdPut K -1 122.50 -1 1.00 0.18 0.095 125.08 2022/3/15 0
0.4 2.1 ASSIGN:LongCondorVar:ShortRatioSprdPut:RevCalSprdPut M -1 122.50 1 1.00 0.34 0.091 125.08 2022/3/15 0
0.7 2.2 EXPIRE:RevCalSprdCall K 1 124.50 -1 1.00 0.14 0.102 122.11 2022/3/28 0
0.7 2.2 EXPIRE:RevCalSprdCall M 1 124.50 1 1.00 0.35 0.097 122.11 2022/3/28 0
0.4 2.3 CLOSE6: K -1 122.50 1 1.00 1.53 0.072 120.84 2022/4/6 0
-0.1 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
-0.3 2.4 EXPIRE:LongCondorVar: M -1 118.00 -1 1.00 0.42 0.103 119.20 2022/4/19 0
-0.4 2.5 CLOSE7:RevCalSprdPut M -1 117.50 -1 1.00 0.19 0.116 119.80 2022/4/25 0
-0.4 2.5 Reversal:VirtSprd:ShortRatioSprdVar::RevCalSprdPut N -1 117.50 1 1.00 0.49 0.096 119.25 2022/4/25 0
-0.4 2.6 CLOSE7: M -1 117.50 1 1.00 0.13 0.067 117.97 2022/5/11
-0.3 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
-0.3 2.7 CLOSE8: N -1 118.00 1 1.00 0.33 0.093 119.22 2022/5/24 0
-0.5 2.7 CLOSE9:VirtSprd: N -1 117.00 -1 1.00 0.19 0.089 119.22 2022/5/24 0
0.3 2.8 RevCalSprdCall N 1 122.00 -1 1.00 0.12 0.099 119.19 2022/5/24 0
0.3 2.8 EXPIRED:LongRatioSprd:RevCalSprdCall Q 1 122.00 1 1.00 0.27 0.092 119.19 2022/5/24 0
-0.5 2.9 CLOSE9: N -1 117.00 1 1.00 0.36 0.079 117.19 2022/6/10
-0.4 2.9 Reversal: N 1 117.50 -1 1.00 0.35 0.031 117.19 2022/6/10 0
0.2 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
1.1 3.1 CLOSE11:ShortRatioSprd:RevCalSprd: U 1 121.50 1 0.04 0.16 0.114 116.66 2022/6/28 0
1.5 3.2 CLOSE12:ShortDiagSprd:ShortRatioSprd: U 1 122.00 -1 0.04 0.25 0.108 118.92 2022/7/13 1
1.1 3.3 CLOSE11: U 1 121.50 -1 0.04 0.29 0.102 119.53 2022/7/25 0
1.1 3.3 CLOSE13:ShortDiagSprd: V 1 122.50 1 0.12 0.34 0.101 119.45 2022/7/25 1
1.3 3.4 CLOSE12: U 1 122.00 1 0.06 0.24 0.115 120.00 2022/8/11
0.8 3.4 CLOSE13: V 1 122.50 -1 0.21 0.85 0.114 120.06 2022/8/11
https:/
Wall St set to open higher on more signs of cooling inflation
Data showed U.S. producer prices unexpectedly fell in July amid a drop in the cost for energy products, bolstering the chance of a 50-basis point hike by the Federal Reserve in September instead of 75 basis points.
The indexes had sharply rallied on Wednesday following a softer-than-expected rise in consumer prices. The gains came even as policymakers left no doubt they will tighten monetary policy until price pressures are fully broken.
---
https:/
Skeptical on U.S. stocks, equity hedge funds sit out market rally
NEW YORK (Reuters) - Still uncertain on where U.S. stocks are headed, equity hedge funds are sitting out the market rally despite taking big paper losses on bearish bets since June, according to industry executives and market data.
After slumping more than 20% during the first half on worries aggressive U.S. Federal Reserve rate hikes aimed at taming inflation may cause a recession, the S&P has rebounded 17% since mid-June on signs prices may be stabilizing.
However, hedge funds have remained on the sidelines of the rally to assess more economic indicators before re-calibrating their portfolios, said prime broking executives and fund managers.
* E-mini S&P500
現在日付 2022/8/16
1st price 4,291.25 month= 9
2nd price 4,308.50 month= 12
Daily extected return 5.04
Daily Stdev 63.22
Monthly expected return 62.26
Monthly Stdev 197.00
Monthly change sigma 2.3
Next month's average sigma -0.4
HV 0.16
HV/σ -1.9
Earned premium -89.75
Net Δ 0.0
Net Γ -0.0
Net Λ -110.3
VaR/Balance (V/B) [%] -32.7%
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 0.04 3,877.00 2022/7/8 1
-3.8 2.0 CLOSE1:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]] Q 1 3,760 -1 171.50 0.04 0.259 3,752.50 2022/6/22 0
-2.7 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 0.04 0.226 3,752.50 2022/6/22 1
-3.8 2.1 CLOSE1: Q 1 3,760 1 258.25 0.04 0.265 3,904.75 2022/6/28
-2.7 2.1 PARTCLOSE1: Q 1 3,910 -1 160.25 0.04 0.242 3,904.75 2022/6/28
-1.7 2.1 LongCondor:VirtSprd: Q 1 4,060 -1 87.75 0.04 0.224 3,904.75 2022/6/28 1
-0.8 2.1 Close2:ShortRatioSprd:NakedLong Q 1 4,180 -1 48.25 0.04 0.212 3,904.75 2022/6/28 0
-2.9 2.2 LongCondor: Q 1 3,890 1 137.25 0.04 0.234 3,877.00 2022/7/8 1
-4.0 2.2 LongCondor: Q -1 3,740 -1 92.00 0.04 0.264 3,877.00 2022/7/8 1
-1.6 2.3 LongButterfly:ShortRatioSprdVar:ShortRatioSprd: Q 1 4,070 1 31.25 0.04 0.202 3,809.75 2022/7/13 2
-1.9 2.4 LongButterfly:ShortRatioSprdVar: Q 1 4,020 -1 83.00 0.04 0.214 3,951.25 2022/7/23 1
-0.8 2.4 Close2: Q 1 4,180 1 25.75 0.04 0.188 3,951.25 2022/7/23 0
-1.2 2.5 LongButterfly: Q 1 4,120 -1 91.75 0.04 0.186 4,111.00 2022/7/29 1
-2.0 2.5 VirtSprd:NakedLong U -1 3,800 -1 52.25 0.12 0.263 4,128.50 2022/7/29 1
-1.2 2.6 VirtSprd: U -1 4,000 1 34.75 0.12 0.242 4,308.50 2022/8/16 1
---
Wall St rises as investors await Fed's signals from Jackson Hole
https:/
(Reuters) - Wall Street's main indexes rose in early trading on Thursday, supported by banks and megacap growth stocks, while focus was squarely on Federal Reserve's annual Jackson Hole symposium for clues on the central bank's monetary policy outlook.
* E-mini S&P500
現在日付 2022/8/26
1st price 4,185.75 month= 12
2nd price 4,185.75 month= 12
Daily extected return 5.35
Daily Stdev 63.29
Monthly expected return 53.41
Monthly Stdev 183.24
Monthly change sigma 0.9
Next month's average sigma -0.4
HV 0.16
HV/σ -1.7
Earned premium -93.25
Net Δ -0.1
Net Γ -0.0
Net Λ -131.0
VaR/Balance (V/B) [%] -29.8%
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 0.01 3,877.00 2022/7/8 1
-5.7 2.0 CLOSE1:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]] Q 1 3,760 -1 171.50 0.01 0.259 3,752.50 2022/6/22 0
-3.7 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 0.01 0.226 3,752.50 2022/6/22 1
-5.7 2.1 CLOSE1: Q 1 3,760 1 258.25 0.01 0.265 3,904.75 2022/6/28
-3.7 2.1 PARTCLOSE1: Q 1 3,910 -1 160.25 0.01 0.242 3,904.75 2022/6/28
-1.7 2.1 LongCondor:VirtSprd: Q 1 4,060 -1 87.75 0.01 0.224 3,904.75 2022/6/28 1
-0.1 2.1 Close2:ShortRatioSprd:NakedLong Q 1 4,180 -1 48.25 0.01 0.212 3,904.75 2022/6/28 0
-4.0 2.2 LongCondor: Q 1 3,890 1 137.25 0.01 0.234 3,877.00 2022/7/8 1
-6.0 2.2 LongCondor: Q -1 3,740 -1 92.00 0.01 0.264 3,877.00 2022/7/8 1
-1.5 2.3 LongButterfly:ShortRatioSprdVar:ShortRatioSprd: Q 1 4,070 1 31.25 0.01 0.202 3,809.75 2022/7/13 2
-2.2 2.4 LongButterfly:ShortRatioSprdVar: Q 1 4,020 -1 83.00 0.01 0.214 3,951.25 2022/7/23 1
-0.1 2.4 Close2: Q 1 4,180 1 25.75 0.01 0.188 3,951.25 2022/7/23 0
-0.9 2.5 LongButterfly: Q 1 4,120 -1 91.75 0.01 0.186 4,111.00 2022/7/29 1
-1.9 2.5 RevCalSprd:VirtSprd:NakedLong U -1 3,800 -1 52.25 0.10 0.263 4,128.50 2022/7/29 1
-0.9 2.6 CLOSE3:VirtSprd: U -1 4,000 1 34.75 0.10 0.242 4,308.50 2022/8/16 0
-0.9 2.7 CLOSE3: U -1 4,000 -1 49.00 0.10 0.243 4,185.75 2022/8/26 0
-1.4 2.7 RevCalSprd: V -1 3,800 1 45.50 0.18 0.265 4,185.75 2022/8/26 1
---
|
|
|
|
|
|
|
|
オプション取引ログ 更新情報
-
最新のイベント
-
まだ何もありません
-
-
最新のアンケート
-
まだ何もありません
-
オプション取引ログのメンバーはこんなコミュニティにも参加しています
人気コミュニティランキング
- 1位
- mixi バスケ部
- 37832人
- 2位
- 酒好き
- 170656人
- 3位
- マイミク募集はここで。
- 89518人