9/1 海外出張の為、概略のみ記す。
ロングコンドル、ロングバタフライは、ほとんどエクスパイア。
ロングコンドルに一部アサイン、とオフセットがあり、ショート先物3,910が一枚残った。
これをUS日中に3912.25 でクローズし、微損。その後、相場は高値に釣り上がり、事なきを得た。
残るポジションは、3,800 put reverse calendar spread.
___ GARCH model results review ___
2022年 9月 3日 土曜日 09時36分15秒 JST
VolPerSigma : Volatility : Filename : Products
-0.65 : 0.229 : result4.txt : ./US Corn Futures Historical Data.csv
0.05 : 0.248 : result3.txt : ./US Soybeans Futures Historical Data.csv
0.14 : 0.145 : result0.txt : ./Gold Futures Historical Data.csv
0.39 : 0.070 : result6.txt : ./US 10 Year T-Note Futures Historical Data.csv
0.66 : 0.203 : result1.txt : ./S&P 500 Futures Historical Data (2).csv
0.91 : 0.091 : result5.txt : ./EUR_USD Historical Data.csv
0.92 : 0.539 : result2.txt : ./Crude Oil WTI Futures Historical Data.csv
|
https:/
Oil prices near eight-month lows on demand concerns
as China's extension of COVID-19 lockdown measures exacerbated concerns a slowdown in global economic activity would hit fuel demand.
* Oil
現在日付 2022/9/8
1st Price 82.93 Nov
2nd Price 82.35 Dec
Mothly change/σ -1.0
Next month's average change/σ -0.1
Daily STDEV 3.03
Monthly STDEV 7.53
Monthly expected return 0.78
HV 0.456
HV/σ -0.19
total premium: 1.4
Net Δ -0.1
Net Γ -0.0
Net Λ -4.4
VaR/Balance (V/B) [%] -7.8%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
1.3 2.0 Call rev cal spread X 1 94.00 -1 1.78 0.11 0.49 82.93 2022/9/8 1
1.0 2.0 Call rev cal spread Z 1 94.00 1 3.19 0.19 0.49 82.35 2022/9/8 1
0 Max for 3M Min for 3M
safe zone 111.44 81.41
delta 28.63 -1.4
delta/σ 3.8 -0.2
0 0 0
Trend : Bull/Bare Bare トレンドに逆らうな
---
https:/
Wall Street tumbles as inflation data stokes bets of large rate hikes
(Reuters) - U.S. stock indexes fell sharply on Tuesday, snapping a four-day winning streak, after data showed monthly U.S. consumer prices unexpectedly rose in August, cementing bets of a third straight 75-basis-point rate hike from the Federal Reserve next week.
* E-mini S&P500
現在日付 2022/9/13
1st price 3,999.50 month= 12
2nd price 3,999.50 month= 12
Daily extected return 5.01
Daily Stdev 57.28
Monthly expected return 38.84
Monthly Stdev 189.71
Monthly change sigma -1.6
Next month's average sigma 0.1
HV 0.22
HV/σ -0.3
Earned premium -104.00
Net Δ -0.1
Net Γ 0.0
Net Λ -295.3
VaR/Balance (V/B) [%] -10.9%
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
2.8 CLOSE4:LongCondor: U 1 3,877.00 1 13.00 0.00 3890.00 2022/8/31
2.8 OFFSET U -1 3,910 -1 2.25 0.00 3912.25 2022/9/1
-0.4 2.0 CLOSE1:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]] Q 1 3,760 -1 171.50 1.00 0.259 3,752.50 2022/6/22 0
-0.1 2.0 OFFSET-ASSIGN:LongCondor:VirtSprd::PARTCLOSE1:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]] Q 1 3,910 1 89.25 1.00 0.226 3,752.50 2022/6/22
-0.4 2.1 CLOSE1: Q 1 3,760 1 258.25 1.00 0.265 3,904.75 2022/6/28
-0.1 2.1 PARTCLOSE1: Q 1 3,910 -1 160.25 1.00 0.242 3,904.75 2022/6/28
0.1 2.1 EXPIRE:LongCondor:VirtSprd: Q 1 4,060 -1 87.75 1.00 0.224 3,904.75 2022/6/28
0.3 2.1 Close2:ShortRatioSprd:NakedLong Q 1 4,180 -1 48.25 1.00 0.212 3,904.75 2022/6/28 0
-0.2 2.2 OFFSET-ASSIGN:LongCondor: Q 1 3,890 1 137.25 1.00 0.234 3,877.00 2022/7/8
-0.4 2.2 EXPIRE:LongCondor: Q -1 3,740 -1 92.00 1.00 0.264 3,877.00 2022/7/8
0.1 2.3 EXPIRE:LongButterfly:ShortRatioSprdVar:ShortRatioSprd: Q 1 4,070 1 31.25 1.00 0.202 3,809.75 2022/7/13
0.0 2.4 EXPIRE:LongButterfly:ShortRatioSprdVar: Q 1 4,020 -1 83.00 1.00 0.214 3,951.25 2022/7/23
0.3 2.4 Close2: Q 1 4,180 1 25.75 1.00 0.188 3,951.25 2022/7/23 0
0.2 2.5 EXPIRE:LongButterfly: Q 1 4,120 -1 91.75 1.00 0.186 4,111.00 2022/7/29
-1.4 2.5 CLOSE4:RevCalSprd:VirtSprd:NakedLong U -1 3,800 -1 52.25 0.05 0.263 4,128.50 2022/7/29 0
0.0 2.6 CLOSE3:VirtSprd: U -1 4,000 1 34.75 0.05 0.242 4,308.50 2022/8/16 0
0.0 2.7 CLOSE3: U -1 4,000 -1 49.00 0.05 0.243 4,185.75 2022/8/26 0
-0.8 2.7 CLOSE5:RevCalSprd: V -1 3,800 1 45.50 0.13 0.265 4,185.75 2022/8/26 0
-1.4 2.8 CLOSE4: U -1 3,800 1 23.75 0.05 0.274 3,999.50 2022/9/13
-0.8 2.8 CLOSE5: V -1 3,800 -1 65.50 0.13 0.262 3,999.50 2022/9/13
2.0 2.8 CallRevCalSprd U 1 4,280 -1 6.25 0.05 0.213 3,999.50 2022/9/13 1
1.2 2.8 CallRevCalSprd V 1 4,280 1 26.50 0.13 0.190 3,999.50 2022/9/13 1
---
原油高を受けて急遽、損切しドテン。
https:/
Oil prices dip on prospect of higher interest rates
LONDON (Reuters) -Oil prices edged lower on Wednesday on demand concerns raised by the prospect of further increases to interest rates in an effort to tackle rising inflation in Europe and the United States.
* Oil
現在日付 2022/9/14
1st Price 88.79 Nov
2nd Price 88.07 Dec
Mothly change/σ -0.1
Next month's average change/σ -0.1
Daily STDEV 2.99
Monthly STDEV 7.46
Monthly expected return 0.93
HV 0.457
HV/σ -0.18
total premium: -2.0
Net Δ 0.1
Net Γ 0.0
Net Λ 5.0
VaR/Balance (V/B) [%] 1.2%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
0.7 2.0 CLOSE1:Call rev cal spread X 1 94.00 -1 1.78 0.09 0.49 82.93 2022/9/8 0
0.5 2.0 CLOSE2:Call rev cal spread Z 1 94.00 1 3.19 0.17 0.49 82.35 2022/9/8 0
0.7 2.1 CLOSE1: X 1 94.00 1 2.59 0.09 0.43 88.79 2022/9/14
0.5 2.1 CLOSE2: Z 1 94.00 -1 4.50 0.17 0.46 88.07 2022/9/14
1.4 2.1 CallCalSprd X 1 100.00 1 1.27 0.09 0.44 88.79 2022/9/14 1
1.0 2.1 CallCalSprd Z 1 100.00 -1 2.79 0.17 0.46 88.07 2022/9/14 1
０−
https:/
Wall Street opens lower on growing economic downturn worries
* Oil
現在日付 2022/9/29
1st Price 82.69 Nov
2nd Price 81.77 Dec
Mothly change/σ -
Next month's average change/σ #DIV/0!
Daily STDEV 2.85
Monthly STDEV 7.53
Monthly expected return 0.78
HV 0.459
HV/σ -0.35
total premium: -0.1
Net Δ -0.1
Net Γ -0.0
Net Λ -4.3
VaR/Balance (V/B) [%] -7.9%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
1.9 2.0 CLOSE1:Call rev cal spread X 1 94.00 -1 1.78 0.05 0.49 82.93 2022/9/8 0
1.2 2.0 CLOSE2:Call rev cal spread Z 1 94.00 1 3.19 0.13 0.49 82.35 2022/9/8 0
1.9 2.1 CLOSE1: X 1 94.00 1 2.59 0.05 0.43 88.79 2022/9/14
1.2 2.1 CLOSE2: Z 1 94.00 -1 4.50 0.13 0.46 88.07 2022/9/14
3.0 2.1 CLOSE3:CallCalSprd X 1 100.00 1 1.27 0.05 0.44 88.79 2022/9/14 0
1.8 2.1 CallRevCalSprd:CallCalSprd Z 1 100.00 -1 2.79 0.13 0.46 88.07 2022/9/14 1
3.0 2.2 CLOSE3: X 1 100.00 -1 0.28 0.05 0.54 82.69 2022/9/29
1.4 2.2 CallRevCalSprd: F 1 100.00 1 2.22 0.21 0.50 81.77 2022/9/29 1
---
ロングコンドル、ロングバタフライは、ほとんどエクスパイア。
ロングコンドルに一部アサイン、とオフセットがあり、ショート先物3,910が一枚残った。
これをUS日中に3912.25 でクローズし、微損。その後、相場は高値に釣り上がり、事なきを得た。
残るポジションは、3,800 put reverse calendar spread.
___ GARCH model results review ___
2022年 9月 3日 土曜日 09時36分15秒 JST
VolPerSigma : Volatility : Filename : Products
-0.65 : 0.229 : result4.txt : ./US Corn Futures Historical Data.csv
0.05 : 0.248 : result3.txt : ./US Soybeans Futures Historical Data.csv
0.14 : 0.145 : result0.txt : ./Gold Futures Historical Data.csv
0.39 : 0.070 : result6.txt : ./US 10 Year T-Note Futures Historical Data.csv
0.66 : 0.203 : result1.txt : ./S&P 500 Futures Historical Data (2).csv
0.91 : 0.091 : result5.txt : ./EUR_USD Historical Data.csv
0.92 : 0.539 : result2.txt : ./Crude Oil WTI Futures Historical Data.csv
|
https:/
Oil prices near eight-month lows on demand concerns
as China's extension of COVID-19 lockdown measures exacerbated concerns a slowdown in global economic activity would hit fuel demand.
* Oil
現在日付 2022/9/8
1st Price 82.93 Nov
2nd Price 82.35 Dec
Mothly change/σ -1.0
Next month's average change/σ -0.1
Daily STDEV 3.03
Monthly STDEV 7.53
Monthly expected return 0.78
HV 0.456
HV/σ -0.19
total premium: 1.4
Net Δ -0.1
Net Γ -0.0
Net Λ -4.4
VaR/Balance (V/B) [%] -7.8%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
1.3 2.0 Call rev cal spread X 1 94.00 -1 1.78 0.11 0.49 82.93 2022/9/8 1
1.0 2.0 Call rev cal spread Z 1 94.00 1 3.19 0.19 0.49 82.35 2022/9/8 1
0 Max for 3M Min for 3M
safe zone 111.44 81.41
delta 28.63 -1.4
delta/σ 3.8 -0.2
0 0 0
Trend : Bull/Bare Bare トレンドに逆らうな
---
https:/
Wall Street tumbles as inflation data stokes bets of large rate hikes
(Reuters) - U.S. stock indexes fell sharply on Tuesday, snapping a four-day winning streak, after data showed monthly U.S. consumer prices unexpectedly rose in August, cementing bets of a third straight 75-basis-point rate hike from the Federal Reserve next week.
* E-mini S&P500
現在日付 2022/9/13
1st price 3,999.50 month= 12
2nd price 3,999.50 month= 12
Daily extected return 5.01
Daily Stdev 57.28
Monthly expected return 38.84
Monthly Stdev 189.71
Monthly change sigma -1.6
Next month's average sigma 0.1
HV 0.22
HV/σ -0.3
Earned premium -104.00
Net Δ -0.1
Net Γ 0.0
Net Λ -295.3
VaR/Balance (V/B) [%] -10.9%
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
2.8 CLOSE4:LongCondor: U 1 3,877.00 1 13.00 0.00 3890.00 2022/8/31
2.8 OFFSET U -1 3,910 -1 2.25 0.00 3912.25 2022/9/1
-0.4 2.0 CLOSE1:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]] Q 1 3,760 -1 171.50 1.00 0.259 3,752.50 2022/6/22 0
-0.1 2.0 OFFSET-ASSIGN:LongCondor:VirtSprd::PARTCLOSE1:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 2490.7146 25799898.32 71.2589]]] Q 1 3,910 1 89.25 1.00 0.226 3,752.50 2022/6/22
-0.4 2.1 CLOSE1: Q 1 3,760 1 258.25 1.00 0.265 3,904.75 2022/6/28
-0.1 2.1 PARTCLOSE1: Q 1 3,910 -1 160.25 1.00 0.242 3,904.75 2022/6/28
0.1 2.1 EXPIRE:LongCondor:VirtSprd: Q 1 4,060 -1 87.75 1.00 0.224 3,904.75 2022/6/28
0.3 2.1 Close2:ShortRatioSprd:NakedLong Q 1 4,180 -1 48.25 1.00 0.212 3,904.75 2022/6/28 0
-0.2 2.2 OFFSET-ASSIGN:LongCondor: Q 1 3,890 1 137.25 1.00 0.234 3,877.00 2022/7/8
-0.4 2.2 EXPIRE:LongCondor: Q -1 3,740 -1 92.00 1.00 0.264 3,877.00 2022/7/8
0.1 2.3 EXPIRE:LongButterfly:ShortRatioSprdVar:ShortRatioSprd: Q 1 4,070 1 31.25 1.00 0.202 3,809.75 2022/7/13
0.0 2.4 EXPIRE:LongButterfly:ShortRatioSprdVar: Q 1 4,020 -1 83.00 1.00 0.214 3,951.25 2022/7/23
0.3 2.4 Close2: Q 1 4,180 1 25.75 1.00 0.188 3,951.25 2022/7/23 0
0.2 2.5 EXPIRE:LongButterfly: Q 1 4,120 -1 91.75 1.00 0.186 4,111.00 2022/7/29
-1.4 2.5 CLOSE4:RevCalSprd:VirtSprd:NakedLong U -1 3,800 -1 52.25 0.05 0.263 4,128.50 2022/7/29 0
0.0 2.6 CLOSE3:VirtSprd: U -1 4,000 1 34.75 0.05 0.242 4,308.50 2022/8/16 0
0.0 2.7 CLOSE3: U -1 4,000 -1 49.00 0.05 0.243 4,185.75 2022/8/26 0
-0.8 2.7 CLOSE5:RevCalSprd: V -1 3,800 1 45.50 0.13 0.265 4,185.75 2022/8/26 0
-1.4 2.8 CLOSE4: U -1 3,800 1 23.75 0.05 0.274 3,999.50 2022/9/13
-0.8 2.8 CLOSE5: V -1 3,800 -1 65.50 0.13 0.262 3,999.50 2022/9/13
2.0 2.8 CallRevCalSprd U 1 4,280 -1 6.25 0.05 0.213 3,999.50 2022/9/13 1
1.2 2.8 CallRevCalSprd V 1 4,280 1 26.50 0.13 0.190 3,999.50 2022/9/13 1
---
原油高を受けて急遽、損切しドテン。
https:/
Oil prices dip on prospect of higher interest rates
LONDON (Reuters) -Oil prices edged lower on Wednesday on demand concerns raised by the prospect of further increases to interest rates in an effort to tackle rising inflation in Europe and the United States.
* Oil
現在日付 2022/9/14
1st Price 88.79 Nov
2nd Price 88.07 Dec
Mothly change/σ -0.1
Next month's average change/σ -0.1
Daily STDEV 2.99
Monthly STDEV 7.46
Monthly expected return 0.93
HV 0.457
HV/σ -0.18
total premium: -2.0
Net Δ 0.1
Net Γ 0.0
Net Λ 5.0
VaR/Balance (V/B) [%] 1.2%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
0.7 2.0 CLOSE1:Call rev cal spread X 1 94.00 -1 1.78 0.09 0.49 82.93 2022/9/8 0
0.5 2.0 CLOSE2:Call rev cal spread Z 1 94.00 1 3.19 0.17 0.49 82.35 2022/9/8 0
0.7 2.1 CLOSE1: X 1 94.00 1 2.59 0.09 0.43 88.79 2022/9/14
0.5 2.1 CLOSE2: Z 1 94.00 -1 4.50 0.17 0.46 88.07 2022/9/14
1.4 2.1 CallCalSprd X 1 100.00 1 1.27 0.09 0.44 88.79 2022/9/14 1
1.0 2.1 CallCalSprd Z 1 100.00 -1 2.79 0.17 0.46 88.07 2022/9/14 1
０−
https:/
Wall Street opens lower on growing economic downturn worries
* Oil
現在日付 2022/9/29
1st Price 82.69 Nov
2nd Price 81.77 Dec
Mothly change/σ -
Next month's average change/σ #DIV/0!
Daily STDEV 2.85
Monthly STDEV 7.53
Monthly expected return 0.78
HV 0.459
HV/σ -0.35
total premium: -0.1
Net Δ -0.1
Net Γ -0.0
Net Λ -4.3
VaR/Balance (V/B) [%] -7.9%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
1.9 2.0 CLOSE1:Call rev cal spread X 1 94.00 -1 1.78 0.05 0.49 82.93 2022/9/8 0
1.2 2.0 CLOSE2:Call rev cal spread Z 1 94.00 1 3.19 0.13 0.49 82.35 2022/9/8 0
1.9 2.1 CLOSE1: X 1 94.00 1 2.59 0.05 0.43 88.79 2022/9/14
1.2 2.1 CLOSE2: Z 1 94.00 -1 4.50 0.13 0.46 88.07 2022/9/14
3.0 2.1 CLOSE3:CallCalSprd X 1 100.00 1 1.27 0.05 0.44 88.79 2022/9/14 0
1.8 2.1 CallRevCalSprd:CallCalSprd Z 1 100.00 -1 2.79 0.13 0.46 88.07 2022/9/14 1
3.0 2.2 CLOSE3: X 1 100.00 -1 0.28 0.05 0.54 82.69 2022/9/29
1.4 2.2 CallRevCalSprd: F 1 100.00 1 2.22 0.21 0.50 81.77 2022/9/29 1
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