https:/
Wall Street Opens Higher as Bond Yields Tumble; Tesla Weighs; Dow up 290 Pts
* E-mini S&P500
現在日付 2022/10/3
1st price 3,652.75 month= 12
2nd price 3,652.75 month= 12
Daily extected return 4.93
Daily Stdev 57.47
Monthly expected return 32.04
Monthly Stdev 195.94
Monthly change sigma -1.6
Next month's average sigma 0.6
HV 0.25
HV/σ 0.7
Earned premium -104.70
Net Δ -
Net Γ -
Net Λ -
VaR/Balance (V/B) [%] 0.0%
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
0.2 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
0.4 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
0.2 2.1 CLOSE1: Q 1 3,760 1 258.25 1.00 0.265 3,904.75 2022/6/28
0.4 2.1 PARTCLOSE1: Q 1 3,910 -1 160.25 1.00 0.242 3,904.75 2022/6/28
0.6 2.1 EXPIRE:LongCondor:VirtSprd: Q 1 4,060 -1 87.75 1.00 0.224 3,904.75 2022/6/28
0.8 2.1 Close2:ShortRatioSprd:NakedLong Q 1 4,180 -1 48.25 1.00 0.212 3,904.75 2022/6/28 0
0.3 2.2 OFFSET-ASSIGN:LongCondor: Q 1 3,890 1 137.25 1.00 0.234 3,877.00 2022/7/8
0.1 2.2 EXPIRE:LongCondor: Q -1 3,740 -1 92.00 1.00 0.264 3,877.00 2022/7/8
0.6 2.3 EXPIRE:LongButterfly:ShortRatioSprdVar:ShortRatioSprd: Q 1 4,070 1 31.25 1.00 0.202 3,809.75 2022/7/13
0.5 2.4 EXPIRE:LongButterfly:ShortRatioSprdVar: Q 1 4,020 -1 83.00 1.00 0.214 3,951.25 2022/7/23
0.8 2.4 Close2: Q 1 4,180 1 25.75 1.00 0.188 3,951.25 2022/7/23 0
0.7 2.5 EXPIRE:LongButterfly: Q 1 4,120 -1 91.75 1.00 0.186 4,111.00 2022/7/29
0.2 2.5 CLOSE4:RevCalSprd:VirtSprd:NakedLong U -1 3,800 -1 52.25 1.00 0.263 4,128.50 2022/7/29 0
0.5 2.6 CLOSE3:VirtSprd: U -1 4,000 1 34.75 1.00 0.242 4,308.50 2022/8/16 0
0.5 2.7 CLOSE3: U -1 4,000 -1 49.00 1.00 0.243 4,185.75 2022/8/26 0
0.8 2.7 CLOSE5:RevCalSprd: V -1 3,800 1 45.50 0.08 0.265 4,185.75 2022/8/26 0
0.2 2.8 CLOSE4: U -1 3,800 1 23.75 1.00 0.274 3,999.50 2022/9/13
0.8 2.8 CLOSE5: V -1 3,800 -1 65.50 0.08 0.262 3,999.50 2022/9/13
0.9 2.8 EXPIRED:CallRevCalSprd U 1 4,280 -1 6.25 1.00 0.213 3,999.50 2022/9/13 0
3.3 2.8 CLOSE6:CallRevCalSprd V 1 4,280 1 26.50 0.08 0.190 3,999.50 2022/9/13 0
3.3 2.9 CLOSE6: V 1 4,280 -1 0.70 0.08 0.235 3,652.75 2022/10/3 0
---
https:/
Oil prices fall on recession worries, but supply cuts support
* Oil
現在日付 2022/10/14
1st Price 84.62 Dec
2nd Price 83.47 Jan
Mothly change/σ -0.5
Next month's average change/σ -0.7
Daily STDEV 2.92
Monthly STDEV 7.58
Monthly expected return 0.73
HV 0.492
HV/σ -0.10
total premium: 0.9
Net Δ -0.4
Net Γ 0.0
Net Λ -16.4
VaR/Balance (V/B) [%] -67.0%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
3.9 2.0 CLOSE1:Call rev cal spread X 1 94.00 -1 1.78 0.01 0.49 82.93 2022/9/8 0
1.2 2.0 CLOSE2:Call rev cal spread Z 1 94.00 1 3.19 0.09 0.49 82.35 2022/9/8 0
3.9 2.1 CLOSE1: X 1 94.00 1 2.59 0.01 0.43 88.79 2022/9/14
1.2 2.1 CLOSE2: Z 1 94.00 -1 4.50 0.09 0.46 88.07 2022/9/14
6.4 2.1 CLOSE3:CallCalSprd X 1 100.00 1 1.27 0.01 0.44 88.79 2022/9/14 0
1.9 2.1 CLOSE4:CallRevCalSprd:CallCalSprd Z 1 100.00 -1 2.79 0.09 0.46 88.07 2022/9/14 0
6.4 2.2 CLOSE3: X 1 100.00 -1 0.28 0.01 0.54 82.69 2022/9/29
1.4 2.2 Naked:CallRevCalSprd: F 1 100.00 1 2.22 0.17 0.50 81.77 2022/9/29 1
1.9 2.3 CLOSE4: Z 1 100.00 1 0.98 0.09 0.50 84.62 2022/10/14 1
---
https:/
The latest CFTC data shows that money managers continued to reduce net longs in CBOT soybean for a fourth consecutive week by 11,750 lots, leaving them with a net long position of 65,738 lots as of 11 October- the lowest net long held this year.
* Soybean
Date 2022/10/25
1st Future price 1,391.6 Month= 1
2nd Future price 1,391.6 Month= 1
Monthly sigma -
Next month's average sigma #DIV/0!
HV 0.18
HV/σ -1.4
Daily expected return 0.7
Daily STDEV 27.8
Monthly expected return 19.4
Monthly STDEV 63.4
Premium total: -13.25
Net Δ 0.2
Net Γ -0.0
Net Λ 133.1
VaR/Balance (V/B) [%] 0.1%
- Max for 3M Min for 3M
safe zone 1,558.3 1,350.0
delta 166.5 -41.8
delta/σ 2.6 -0.7
- - -
Trend : Bull/Bare Bare -
σ Version Tactics Code C1/P-1 権利行使価格 Short1/Buy-1 残存期間 Premium IV Price Traded date Qty
1.5 1.0 CallCalSprd Z 1 1,490.0 1 0.08 3.5 0.178 1,391.8 2022/10/25 2
1.1 1.0 CallCalSprd F 1 1,490.0 -1 0.16 10.2 0.176 1,391.8 2022/10/25 2
---
Wall Street Opens Higher as Bond Yields Tumble; Tesla Weighs; Dow up 290 Pts
* E-mini S&P500
現在日付 2022/10/3
1st price 3,652.75 month= 12
2nd price 3,652.75 month= 12
Daily extected return 4.93
Daily Stdev 57.47
Monthly expected return 32.04
Monthly Stdev 195.94
Monthly change sigma -1.6
Next month's average sigma 0.6
HV 0.25
HV/σ 0.7
Earned premium -104.70
Net Δ -
Net Γ -
Net Λ -
VaR/Balance (V/B) [%] 0.0%
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
0.2 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
0.4 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
0.2 2.1 CLOSE1: Q 1 3,760 1 258.25 1.00 0.265 3,904.75 2022/6/28
0.4 2.1 PARTCLOSE1: Q 1 3,910 -1 160.25 1.00 0.242 3,904.75 2022/6/28
0.6 2.1 EXPIRE:LongCondor:VirtSprd: Q 1 4,060 -1 87.75 1.00 0.224 3,904.75 2022/6/28
0.8 2.1 Close2:ShortRatioSprd:NakedLong Q 1 4,180 -1 48.25 1.00 0.212 3,904.75 2022/6/28 0
0.3 2.2 OFFSET-ASSIGN:LongCondor: Q 1 3,890 1 137.25 1.00 0.234 3,877.00 2022/7/8
0.1 2.2 EXPIRE:LongCondor: Q -1 3,740 -1 92.00 1.00 0.264 3,877.00 2022/7/8
0.6 2.3 EXPIRE:LongButterfly:ShortRatioSprdVar:ShortRatioSprd: Q 1 4,070 1 31.25 1.00 0.202 3,809.75 2022/7/13
0.5 2.4 EXPIRE:LongButterfly:ShortRatioSprdVar: Q 1 4,020 -1 83.00 1.00 0.214 3,951.25 2022/7/23
0.8 2.4 Close2: Q 1 4,180 1 25.75 1.00 0.188 3,951.25 2022/7/23 0
0.7 2.5 EXPIRE:LongButterfly: Q 1 4,120 -1 91.75 1.00 0.186 4,111.00 2022/7/29
0.2 2.5 CLOSE4:RevCalSprd:VirtSprd:NakedLong U -1 3,800 -1 52.25 1.00 0.263 4,128.50 2022/7/29 0
0.5 2.6 CLOSE3:VirtSprd: U -1 4,000 1 34.75 1.00 0.242 4,308.50 2022/8/16 0
0.5 2.7 CLOSE3: U -1 4,000 -1 49.00 1.00 0.243 4,185.75 2022/8/26 0
0.8 2.7 CLOSE5:RevCalSprd: V -1 3,800 1 45.50 0.08 0.265 4,185.75 2022/8/26 0
0.2 2.8 CLOSE4: U -1 3,800 1 23.75 1.00 0.274 3,999.50 2022/9/13
0.8 2.8 CLOSE5: V -1 3,800 -1 65.50 0.08 0.262 3,999.50 2022/9/13
0.9 2.8 EXPIRED:CallRevCalSprd U 1 4,280 -1 6.25 1.00 0.213 3,999.50 2022/9/13 0
3.3 2.8 CLOSE6:CallRevCalSprd V 1 4,280 1 26.50 0.08 0.190 3,999.50 2022/9/13 0
3.3 2.9 CLOSE6: V 1 4,280 -1 0.70 0.08 0.235 3,652.75 2022/10/3 0
---
https:/
Oil prices fall on recession worries, but supply cuts support
* Oil
現在日付 2022/10/14
1st Price 84.62 Dec
2nd Price 83.47 Jan
Mothly change/σ -0.5
Next month's average change/σ -0.7
Daily STDEV 2.92
Monthly STDEV 7.58
Monthly expected return 0.73
HV 0.492
HV/σ -0.10
total premium: 0.9
Net Δ -0.4
Net Γ 0.0
Net Λ -16.4
VaR/Balance (V/B) [%] -67.0%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
3.9 2.0 CLOSE1:Call rev cal spread X 1 94.00 -1 1.78 0.01 0.49 82.93 2022/9/8 0
1.2 2.0 CLOSE2:Call rev cal spread Z 1 94.00 1 3.19 0.09 0.49 82.35 2022/9/8 0
3.9 2.1 CLOSE1: X 1 94.00 1 2.59 0.01 0.43 88.79 2022/9/14
1.2 2.1 CLOSE2: Z 1 94.00 -1 4.50 0.09 0.46 88.07 2022/9/14
6.4 2.1 CLOSE3:CallCalSprd X 1 100.00 1 1.27 0.01 0.44 88.79 2022/9/14 0
1.9 2.1 CLOSE4:CallRevCalSprd:CallCalSprd Z 1 100.00 -1 2.79 0.09 0.46 88.07 2022/9/14 0
6.4 2.2 CLOSE3: X 1 100.00 -1 0.28 0.01 0.54 82.69 2022/9/29
1.4 2.2 Naked:CallRevCalSprd: F 1 100.00 1 2.22 0.17 0.50 81.77 2022/9/29 1
1.9 2.3 CLOSE4: Z 1 100.00 1 0.98 0.09 0.50 84.62 2022/10/14 1
---
https:/
The latest CFTC data shows that money managers continued to reduce net longs in CBOT soybean for a fourth consecutive week by 11,750 lots, leaving them with a net long position of 65,738 lots as of 11 October- the lowest net long held this year.
* Soybean
Date 2022/10/25
1st Future price 1,391.6 Month= 1
2nd Future price 1,391.6 Month= 1
Monthly sigma -
Next month's average sigma #DIV/0!
HV 0.18
HV/σ -1.4
Daily expected return 0.7
Daily STDEV 27.8
Monthly expected return 19.4
Monthly STDEV 63.4
Premium total: -13.25
Net Δ 0.2
Net Γ -0.0
Net Λ 133.1
VaR/Balance (V/B) [%] 0.1%
- Max for 3M Min for 3M
safe zone 1,558.3 1,350.0
delta 166.5 -41.8
delta/σ 2.6 -0.7
- - -
Trend : Bull/Bare Bare -
σ Version Tactics Code C1/P-1 権利行使価格 Short1/Buy-1 残存期間 Premium IV Price Traded date Qty
1.5 1.0 CallCalSprd Z 1 1,490.0 1 0.08 3.5 0.178 1,391.8 2022/10/25 2
1.1 1.0 CallCalSprd F 1 1,490.0 -1 0.16 10.2 0.176 1,391.8 2022/10/25 2
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