https:/
Oil stable near $100 a barrel as dollar weakens
LONDON (Reuters) -Oil prices were stable on Monday, close to $100 a barrel as support from a weaker dollar and recovering Chinese crude imports met renewed demand concerns linked to China's stringent COVID containment approach.
* Oil
現在日付 2022/11/7
1st Price 91.41 Jan
2nd Price 90.20 Feb
Mothly change/σ 0.4
Next month's average change/σ 0.6
Daily STDEV 3.43
Monthly STDEV 3.79
Monthly expected return 0.42
HV 0.354
HV/σ -1.00
total premium: 0.9
Net Δ 0.2
Net Γ 0.0
Net Λ -10.1
VaR/Balance (V/B) [%] -17.7%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
0.2 2.0 CLOSE1:Call rev cal spread X 1 94.00 -1 1.78 1.00 0.49 82.93 2022/9/8 0
1.2 2.0 CLOSE2:Call rev cal spread Z 1 94.00 1 3.19 0.02 0.49 82.35 2022/9/8 0
0.2 2.1 CLOSE1: X 1 94.00 1 2.59 1.00 0.43 88.79 2022/9/14
1.2 2.1 CLOSE2: Z 1 94.00 -1 4.50 0.02 0.46 88.07 2022/9/14
0.7 2.1 CLOSE3:CallCalSprd X 1 100.00 1 1.27 1.00 0.44 88.79 2022/9/14 0
4.1 2.1 CLOSE4:CallRevCalSprd:CallCalSprd Z 1 100.00 -1 2.79 0.02 0.46 88.07 2022/9/14 0
0.7 2.2 CLOSE3: X 1 100.00 -1 0.28 1.00 0.54 82.69 2022/9/29
2.0 2.2 ROLL:CLOSE5:Naked:CallRevCalSprd: F 1 100.00 1 2.22 0.10 0.50 81.77 2022/9/29 0
4.1 2.3 CLOSE4: Z 1 100.00 1 0.98 0.02 0.50 84.62 2022/10/14
-2.5 2.4 ROLL G -1 77.00 1 2.59 0.19 0.52 90.20 2022/11/7 1
2.0 2.4 CLOSE5 F 1 100.00 -1 2.58 0.10 0.47 91.41 2022/11/7
中國の脱コロナの影響による原油急上昇を危惧し、コールからプットにロール。
---
https:/
Oil prices rebound, trading up after tepid U.S. inflation data
* Oil
現在日付 2022/11/11
1st Price 85.77 Jan
2nd Price 84.78 Feb
Mothly change/σ -0.2
Next month's average change/σ 0.4
Daily STDEV 2.78
Monthly STDEV 7.55
Monthly expected return 0.93
HV 0.385
HV/σ -1.30
total premium: -0.7
Net Δ 0.0
Net Γ -0.0
Net Λ -4.4
VaR/Balance (V/B) [%] -7.3%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
0.3 2.0 CLOSE1:Call rev cal spread X 1 94.00 -1 1.78 1.00 0.49 82.93 2022/9/8 0
2.7 2.0 CLOSE2:Call rev cal spread Z 1 94.00 1 3.19 0.01 0.49 82.35 2022/9/8 0
0.3 2.1 CLOSE1: X 1 94.00 1 2.59 1.00 0.43 88.79 2022/9/14
2.7 2.1 CLOSE2: Z 1 94.00 -1 4.50 0.01 0.46 88.07 2022/9/14
0.5 2.1 CLOSE3:CallCalSprd X 1 100.00 1 1.27 1.00 0.44 88.79 2022/9/14 0
4.6 2.1 CLOSE4:CallRevCalSprd:CallCalSprd Z 1 100.00 -1 2.79 0.01 0.46 88.07 2022/9/14 0
0.5 2.2 CLOSE3: X 1 100.00 -1 0.28 1.00 0.54 82.69 2022/9/29
1.8 2.2 ROLL:CLOSE5:Naked:CallRevCalSprd: F 1 100.00 1 2.22 0.09 0.50 81.77 2022/9/29 0
4.6 2.3 CLOSE4: Z 1 100.00 1 0.98 0.01 0.50 84.62 2022/10/14
-0.8 2.4 PutRevCalSprd:ROLL G -1 77.00 1 2.59 0.18 0.52 90.20 2022/11/7 1
1.8 2.4 CLOSE5 F 1 100.00 -1 2.58 0.09 0.47 91.41 2022/11/7
-1.1 2.5 PutRevCalSprd: F -1 77.00 -1 1.59 0.09 0.49 85.77 2022/11/11 1
#DIV/0! -1.00 -1.00
原油が下落したことを受け、コールからロールしたばかりのネイキッドプットをリバースカレンダスプレッドでガード。
初めから、リバースカレンダスプレッドにしておけばよかったものを。
半減期に、コールのリバースカレンダスプレッドを追加し、損失を取り返す。
ーーー
https:/
Soy Futures Fading With Grains Complex
Soybean futures are working lower with the rest of grains, after additional information from the Poland incident removed uncertainty premiums. Soybean futures closed the session with 14 to 17 cent gains on Tuesday. Jan was trading with 24 cent gains at the day’s highs. Preliminary open interest data showed very modest net new buying, up 724 contracts on the day. Meal futures ended with gains of $3.90 to $4.80/ton. BO prices closed with 67 to 79 point gains.
* Soybean
Date 2022/11/17
1st Future price 1,433.2 Month= 1
2nd Future price 1,438.2 Month= 3
Monthly sigma -
Next month's average sigma #DIV/0!
HV 0.21
HV/σ -0.6
Daily expected return 3.0
Daily STDEV 26.1
Monthly expected return 20.6
Monthly STDEV 63.8
Premium total: 8.38
Net Δ -0.2
Net Γ 0.0
Net Λ -60.1
VaR/Balance (V/B) [%] -44.4%
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
1.7 1.0 Naked:CallCalSprd Z 1 1,490.0 1 0.02 3.5 0.178 1,391.8 2022/10/25 2
0.8 1.0 CLOSE:CallCalSprd F 1 1,490.0 -1 0.10 10.2 0.176 1,391.8 2022/10/25 0
0.8 1.1 CLOSE: F 1 1,490.0 1 0.10 10.7 0.162 1,433.3 2022/11/17
---
* Oil
現在日付 2022/11/30
1st Price 80.62 Jan
2nd Price 80.66 Feb
Mothly change/σ -0.8
Next month's average change/σ 0.4
Daily STDEV 2.17
Monthly STDEV 7.58
Monthly expected return 0.83
HV 0.428
HV/σ 0.28
total premium: -0.6
Net Δ 0.1
Net Γ -0.0
Net Λ -6.5
VaR/Balance (V/B) [%] -12.2%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
0.5 2.0 CLOSE1:Call rev cal spread X 1 94.00 -1 1.78 1.00 0.49 82.93 2022/9/8 0
0.5 2.0 CLOSE2:Call rev cal spread Z 1 94.00 1 3.19 1.00 0.49 82.35 2022/9/8 0
0.5 2.1 CLOSE1: X 1 94.00 1 2.59 1.00 0.43 88.79 2022/9/14
0.5 2.1 CLOSE2: Z 1 94.00 -1 4.50 1.00 0.46 88.07 2022/9/14
0.7 2.1 CLOSE3:CallCalSprd X 1 100.00 1 1.27 1.00 0.44 88.79 2022/9/14 0
0.7 2.1 CLOSE4:CallRevCalSprd:CallCalSprd Z 1 100.00 -1 2.79 1.00 0.46 88.07 2022/9/14 0
0.7 2.2 CLOSE3: X 1 100.00 -1 0.28 1.00 0.54 82.69 2022/9/29
3.6 2.2 ROLL:CLOSE5:Naked:CallRevCalSprd: F 1 100.00 1 2.22 0.04 0.50 81.77 2022/9/29 0
0.7 2.3 CLOSE4: Z 1 100.00 1 0.98 1.00 0.50 84.62 2022/10/14
-0.4 2.4 CLOSE6:PutRevCalSprd:ROLL G -1 77.00 1 2.59 0.13 0.52 90.20 2022/11/7 0
3.6 2.4 CLOSE5 F 1 100.00 -1 2.58 0.04 0.47 91.41 2022/11/7
-0.7 2.5 CLOSE7:PutRevCalSprd: F -1 77.00 -1 1.59 0.04 0.49 85.77 2022/11/11 0
-0.4 2.6 CLOSE6: G -1 77.00 -1 3.78 0.13 0.49 80.66 2022/11/30
-0.7 2.6 CLOSE7: F -1 77.00 1 1.77 0.04 0.52 80.62 2022/11/30
-1.3 2.6 Roll_PutRevCalSprd G -1 68.00 -1 1.39 0.13 0.53 80.66 2022/11/30 2
-1.0 2.6 Roll_PutRevCalSprd H -1 68.00 1 2.42 0.21 0.53 80.66 2022/11/30 2
https:/
Oil Shoots Up On Huge Crude Inventory Draw
Crude oil prices moved further up today after the U.S. Energy Information Administration reported a crude oil inventory decline of 12.6 million barrels for the week to November 25.
中國のゼロコロナ政策終了示唆による$91に押上げにより、$100 Call RevCalSprdを$77 Put RevCalSprdにドテンしたのが災いし、今度は、一時$73に暴落。全く良いところがない。
幸い、半減期に$80まで浮上し、ロールを試みる。
第３、第２限月のスプレッドを見ると枚数を１から２に増し玉しないと損失が生じるため、増し玉。ストライク$68とした。
証拠金に対するインパクトは無し。
恐らく、今までのRCSの損切のやり方は、全て間違いだった。
吉凶や如何。
ーーー
Oil stable near $100 a barrel as dollar weakens
LONDON (Reuters) -Oil prices were stable on Monday, close to $100 a barrel as support from a weaker dollar and recovering Chinese crude imports met renewed demand concerns linked to China's stringent COVID containment approach.
* Oil
現在日付 2022/11/7
1st Price 91.41 Jan
2nd Price 90.20 Feb
Mothly change/σ 0.4
Next month's average change/σ 0.6
Daily STDEV 3.43
Monthly STDEV 3.79
Monthly expected return 0.42
HV 0.354
HV/σ -1.00
total premium: 0.9
Net Δ 0.2
Net Γ 0.0
Net Λ -10.1
VaR/Balance (V/B) [%] -17.7%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
0.2 2.0 CLOSE1:Call rev cal spread X 1 94.00 -1 1.78 1.00 0.49 82.93 2022/9/8 0
1.2 2.0 CLOSE2:Call rev cal spread Z 1 94.00 1 3.19 0.02 0.49 82.35 2022/9/8 0
0.2 2.1 CLOSE1: X 1 94.00 1 2.59 1.00 0.43 88.79 2022/9/14
1.2 2.1 CLOSE2: Z 1 94.00 -1 4.50 0.02 0.46 88.07 2022/9/14
0.7 2.1 CLOSE3:CallCalSprd X 1 100.00 1 1.27 1.00 0.44 88.79 2022/9/14 0
4.1 2.1 CLOSE4:CallRevCalSprd:CallCalSprd Z 1 100.00 -1 2.79 0.02 0.46 88.07 2022/9/14 0
0.7 2.2 CLOSE3: X 1 100.00 -1 0.28 1.00 0.54 82.69 2022/9/29
2.0 2.2 ROLL:CLOSE5:Naked:CallRevCalSprd: F 1 100.00 1 2.22 0.10 0.50 81.77 2022/9/29 0
4.1 2.3 CLOSE4: Z 1 100.00 1 0.98 0.02 0.50 84.62 2022/10/14
-2.5 2.4 ROLL G -1 77.00 1 2.59 0.19 0.52 90.20 2022/11/7 1
2.0 2.4 CLOSE5 F 1 100.00 -1 2.58 0.10 0.47 91.41 2022/11/7
中國の脱コロナの影響による原油急上昇を危惧し、コールからプットにロール。
---
https:/
Oil prices rebound, trading up after tepid U.S. inflation data
* Oil
現在日付 2022/11/11
1st Price 85.77 Jan
2nd Price 84.78 Feb
Mothly change/σ -0.2
Next month's average change/σ 0.4
Daily STDEV 2.78
Monthly STDEV 7.55
Monthly expected return 0.93
HV 0.385
HV/σ -1.30
total premium: -0.7
Net Δ 0.0
Net Γ -0.0
Net Λ -4.4
VaR/Balance (V/B) [%] -7.3%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
0.3 2.0 CLOSE1:Call rev cal spread X 1 94.00 -1 1.78 1.00 0.49 82.93 2022/9/8 0
2.7 2.0 CLOSE2:Call rev cal spread Z 1 94.00 1 3.19 0.01 0.49 82.35 2022/9/8 0
0.3 2.1 CLOSE1: X 1 94.00 1 2.59 1.00 0.43 88.79 2022/9/14
2.7 2.1 CLOSE2: Z 1 94.00 -1 4.50 0.01 0.46 88.07 2022/9/14
0.5 2.1 CLOSE3:CallCalSprd X 1 100.00 1 1.27 1.00 0.44 88.79 2022/9/14 0
4.6 2.1 CLOSE4:CallRevCalSprd:CallCalSprd Z 1 100.00 -1 2.79 0.01 0.46 88.07 2022/9/14 0
0.5 2.2 CLOSE3: X 1 100.00 -1 0.28 1.00 0.54 82.69 2022/9/29
1.8 2.2 ROLL:CLOSE5:Naked:CallRevCalSprd: F 1 100.00 1 2.22 0.09 0.50 81.77 2022/9/29 0
4.6 2.3 CLOSE4: Z 1 100.00 1 0.98 0.01 0.50 84.62 2022/10/14
-0.8 2.4 PutRevCalSprd:ROLL G -1 77.00 1 2.59 0.18 0.52 90.20 2022/11/7 1
1.8 2.4 CLOSE5 F 1 100.00 -1 2.58 0.09 0.47 91.41 2022/11/7
-1.1 2.5 PutRevCalSprd: F -1 77.00 -1 1.59 0.09 0.49 85.77 2022/11/11 1
#DIV/0! -1.00 -1.00
原油が下落したことを受け、コールからロールしたばかりのネイキッドプットをリバースカレンダスプレッドでガード。
初めから、リバースカレンダスプレッドにしておけばよかったものを。
半減期に、コールのリバースカレンダスプレッドを追加し、損失を取り返す。
ーーー
https:/
Soy Futures Fading With Grains Complex
Soybean futures are working lower with the rest of grains, after additional information from the Poland incident removed uncertainty premiums. Soybean futures closed the session with 14 to 17 cent gains on Tuesday. Jan was trading with 24 cent gains at the day’s highs. Preliminary open interest data showed very modest net new buying, up 724 contracts on the day. Meal futures ended with gains of $3.90 to $4.80/ton. BO prices closed with 67 to 79 point gains.
* Soybean
Date 2022/11/17
1st Future price 1,433.2 Month= 1
2nd Future price 1,438.2 Month= 3
Monthly sigma -
Next month's average sigma #DIV/0!
HV 0.21
HV/σ -0.6
Daily expected return 3.0
Daily STDEV 26.1
Monthly expected return 20.6
Monthly STDEV 63.8
Premium total: 8.38
Net Δ -0.2
Net Γ 0.0
Net Λ -60.1
VaR/Balance (V/B) [%] -44.4%
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
1.7 1.0 Naked:CallCalSprd Z 1 1,490.0 1 0.02 3.5 0.178 1,391.8 2022/10/25 2
0.8 1.0 CLOSE:CallCalSprd F 1 1,490.0 -1 0.10 10.2 0.176 1,391.8 2022/10/25 0
0.8 1.1 CLOSE: F 1 1,490.0 1 0.10 10.7 0.162 1,433.3 2022/11/17
---
* Oil
現在日付 2022/11/30
1st Price 80.62 Jan
2nd Price 80.66 Feb
Mothly change/σ -0.8
Next month's average change/σ 0.4
Daily STDEV 2.17
Monthly STDEV 7.58
Monthly expected return 0.83
HV 0.428
HV/σ 0.28
total premium: -0.6
Net Δ 0.1
Net Γ -0.0
Net Λ -6.5
VaR/Balance (V/B) [%] -12.2%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
0.5 2.0 CLOSE1:Call rev cal spread X 1 94.00 -1 1.78 1.00 0.49 82.93 2022/9/8 0
0.5 2.0 CLOSE2:Call rev cal spread Z 1 94.00 1 3.19 1.00 0.49 82.35 2022/9/8 0
0.5 2.1 CLOSE1: X 1 94.00 1 2.59 1.00 0.43 88.79 2022/9/14
0.5 2.1 CLOSE2: Z 1 94.00 -1 4.50 1.00 0.46 88.07 2022/9/14
0.7 2.1 CLOSE3:CallCalSprd X 1 100.00 1 1.27 1.00 0.44 88.79 2022/9/14 0
0.7 2.1 CLOSE4:CallRevCalSprd:CallCalSprd Z 1 100.00 -1 2.79 1.00 0.46 88.07 2022/9/14 0
0.7 2.2 CLOSE3: X 1 100.00 -1 0.28 1.00 0.54 82.69 2022/9/29
3.6 2.2 ROLL:CLOSE5:Naked:CallRevCalSprd: F 1 100.00 1 2.22 0.04 0.50 81.77 2022/9/29 0
0.7 2.3 CLOSE4: Z 1 100.00 1 0.98 1.00 0.50 84.62 2022/10/14
-0.4 2.4 CLOSE6:PutRevCalSprd:ROLL G -1 77.00 1 2.59 0.13 0.52 90.20 2022/11/7 0
3.6 2.4 CLOSE5 F 1 100.00 -1 2.58 0.04 0.47 91.41 2022/11/7
-0.7 2.5 CLOSE7:PutRevCalSprd: F -1 77.00 -1 1.59 0.04 0.49 85.77 2022/11/11 0
-0.4 2.6 CLOSE6: G -1 77.00 -1 3.78 0.13 0.49 80.66 2022/11/30
-0.7 2.6 CLOSE7: F -1 77.00 1 1.77 0.04 0.52 80.62 2022/11/30
-1.3 2.6 Roll_PutRevCalSprd G -1 68.00 -1 1.39 0.13 0.53 80.66 2022/11/30 2
-1.0 2.6 Roll_PutRevCalSprd H -1 68.00 1 2.42 0.21 0.53 80.66 2022/11/30 2
https:/
Oil Shoots Up On Huge Crude Inventory Draw
Crude oil prices moved further up today after the U.S. Energy Information Administration reported a crude oil inventory decline of 12.6 million barrels for the week to November 25.
中國のゼロコロナ政策終了示唆による$91に押上げにより、$100 Call RevCalSprdを$77 Put RevCalSprdにドテンしたのが災いし、今度は、一時$73に暴落。全く良いところがない。
幸い、半減期に$80まで浮上し、ロールを試みる。
第３、第２限月のスプレッドを見ると枚数を１から２に増し玉しないと損失が生じるため、増し玉。ストライク$68とした。
証拠金に対するインパクトは無し。
恐らく、今までのRCSの損切のやり方は、全て間違いだった。
吉凶や如何。
ーーー
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