オプション取引ログコミュのDec. 2022

https://www.investing.com/news/commodities-news/oil-prices-rise-on-hopes-for-china-demand-boost-2970567
Oil drops 2% in light trading on China demand concern
NEW YORK (Reuters) -Oil prices dipped on Wednesday as traders weighed concerns over a surge in COVID-19 cases in China, the world's top oil importer, against the chances easing pandemic restrictions in the country will boost fuel demand.

* Oil
現在日付 2022/12/28
1st Price 77.51 Feb
2nd Price 77.61 Mar
Mothly change/σ 0.0
Next month's average change/σ 0.5
Daily STDEV 2.17
Monthly STDEV 7.31
Monthly expected return 1.07
HV 0.358
HV/σ -1.43
total premium: -0.7
Net Δ -0.1
Net Γ 0.0
Net Λ -13.4
VaR/Balance (V/B) [%] -11.2%

σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty





0.6 2.0 CLOSE1:Call rev cal spread X 1 94.00 -1 1.78 1.00 0.49 82.93 2022/9/8 0
0.6 2.0 CLOSE2:Call rev cal spread Z 1 94.00 1 3.19 1.00 0.49 82.35 2022/9/8 0
0.6 2.1 CLOSE1: X 1 94.00 1 2.59 1.00 0.43 88.79 2022/9/14
0.6 2.1 CLOSE2: Z 1 94.00 -1 4.50 1.00 0.46 88.07 2022/9/14
0.9 2.1 CLOSE3:CallCalSprd X 1 100.00 1 1.27 1.00 0.44 88.79 2022/9/14 0
0.9 2.1 CLOSE4:CallRevCalSprd:CallCalSprd Z 1 100.00 -1 2.79 1.00 0.46 88.07 2022/9/14 0
0.9 2.2 CLOSE3: X 1 100.00 -1 0.28 1.00 0.54 82.69 2022/9/29
0.9 2.2 ROLL:CLOSE5:Naked:CallRevCalSprd: F 1 100.00 1 2.22 1.00 0.50 81.77 2022/9/29 0
0.9 2.3 CLOSE4: Z 1 100.00 1 0.98 1.00 0.50 84.62 2022/10/14
-0.1 2.4 CLOSE6:PutRevCalSprd:ROLL G -1 77.00 1 2.59 0.05 0.52 90.20 2022/11/7 0
0.9 2.4 CLOSE5 F 1 100.00 -1 2.58 1.00 0.47 91.41 2022/11/7
-0.0 2.5 CLOSE7:PutRevCalSprd: F -1 77.00 -1 1.59 1.00 0.49 85.77 2022/11/11 0
-0.1 2.6 CLOSE6: G -1 77.00 -1 3.78 0.05 0.49 80.66 2022/11/30
-0.0 2.6 CLOSE7: F -1 77.00 1 1.77 1.00 0.52 80.62 2022/11/30
-1.6 2.6 CLOSE8:Roll_PutRevCalSprd G -1 68.00 -1 1.39 0.05 0.53 80.66 2022/11/30 0
-1.0 2.6 RevRatioSprd:Roll_PutRevCalSprd H -1 68.00 1 2.42 0.13 0.53 80.66 2022/11/30 2
-1.6 2.7 CLOSE8: G -1 68.00 1 0.40 0.05 0.46 77.51 2022/12/28 0
-0.5 2.7 RevRatioSprd: H -1 73.00 -1 2.92 0.13 0.46 77.61 2022/12/28 1
1.5 2.7 CallRevCalSprd H 1 91.50 -1 1.05 0.13 0.43 77.61 2022/12/28 2
1.2 2.7 CallRevCalSprd J 1 91.50 1 2.07 0.21 0.43 77.61 2022/12/28 2




___ GARCH model results review ___
2022年 12月29日 木曜日 00時49分36秒 JST
VolPerSigma : Volatility : Filename : Products
-0.13 : 0.176 : result0.txt : ./S&P 500 Futures Historical Data.csv
-0.23 : 0.076 : result6.txt : ./US 10 Year T-Note Futures Historical Data.csv
-0.38 : 0.146 : result1.txt : ./Gold Futures Historical Data.csv
-0.65 : 0.339 : result4.txt : ./Crude Oil WTI Futures Historical Data (2).csv
-0.78 : 0.193 : result2.txt : ./US Soybeans Futures Historical Data.csv
-0.92 : 0.166 : result3.txt : ./US Corn Futures Historical Data.csv
0.01 : 0.080 : result5.txt : ./EUR_USD Historical Data.csv