https:/
Wednesday Corn Trading Red
Preliminary OI data showed the drop yesterday was mainly rollover driven, with March futures losing 11k contracts (2% of total), yet the entire market gained 6k contracts on some light net new selling. So far for Wednesday, corn markets are down by 3 to 5 cents in the front months. Overnight ranges were limited to just 5 1/2 cents but mostly red. After falling out of the starting gate, the corn market closed down by 3 1/2 to 8 cents on Tuesday. That erased more than half of last week’s gains.
* Corn
Date 2023/1/4
1st Future price 656.2 month : 3
2nd Future price 656.2 month : 3
Monthly sigma 0.37
Next month's average sigma 0.17
HV 0.17
HV/σ -0.40
Daily expected return 1.98
Daily STDEV 8.91
Monthly expected return 30.26
Monthly STDEV 73.38
Premium total: -8.50
Net Δ 0.23
Net Γ -0.00
Net Λ 71.67
VaR/Balance (V/B) [%] 0.0%
0 Max for 3M Min for 3M
safe zone 699 623
delta 42 -33
delta/σ 0.6 -0.5
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
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
0.7 1.0 CallCalSprd-1σ G 1 700.0 1 0.06 1.7 0.203 656.3 2023/1/4 2
0.5 1.0 CallCalSprd-1σ H 1 700.0 -1 0.14 6.1 0.198 656.3 2023/1/4 2
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https:/
Oil steady amid China holiday, as “no news is good news”
Investing.com -- It’s China holiday week and for oil, that means the rest of the world trading blind-folded with the optimism that when the veil is lowered, crude prices will remain higher.
* Oil
現在日付 2023/1/25
1st Price 80.07 Mar
2nd Price 80.38 Apr
Mothly change/σ -0.1
Next month's average change/σ 0.5
Daily STDEV 1.95
Monthly STDEV 7.33
Monthly expected return 1.12
HV 0.321
HV/σ -1.48
total premium: 1.4
Net Δ -0.3
Net Γ 0.0
Net Λ -23.4
VaR/Balance (V/B) [%] -42.8%
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
0.8 2.1 CLOSE3:CallCalSprd X 1 100.00 1 1.27 1.00 0.44 88.79 2022/9/14 0
0.8 2.1 CLOSE4:CallRevCalSprd:CallCalSprd Z 1 100.00 -1 2.79 1.00 0.46 88.07 2022/9/14 0
0.8 2.2 CLOSE3: X 1 100.00 -1 0.28 1.00 0.54 82.69 2022/9/29
0.8 2.2 ROLL:CLOSE5:Naked:CallRevCalSprd: F 1 100.00 1 2.22 1.00 0.50 81.77 2022/9/29 0
0.8 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 1.00 0.52 90.20 2022/11/7 0
0.8 2.4 CLOSE5 F 1 100.00 -1 2.58 1.00 0.47 91.41 2022/11/7
-0.1 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 1.00 0.49 80.66 2022/11/30
-0.1 2.6 CLOSE7: F -1 77.00 1 1.77 1.00 0.52 80.62 2022/11/30
-0.5 2.6 CLOSE8:Roll_PutRevCalSprd G -1 68.00 -1 1.39 1.00 0.53 80.66 2022/11/30 0
-2.0 2.6 LongButterflly:RevRatioSprd:Roll_PutRevCalSprd H -1 68.00 1 2.42 0.06 0.53 80.66 2022/11/30 2
-0.5 2.7 CLOSE8: G -1 68.00 1 0.40 1.00 0.46 77.51 2022/12/28 0
-1.2 2.7 LongButterflly:RevRatioSprd: H -1 73.00 -1 2.92 0.06 0.46 77.61 2022/12/28 1
1.9 2.7 CLOSE9:CallRevCalSprd H 1 91.50 -1 1.05 0.06 0.43 77.61 2022/12/28 0
1.2 2.7 Naked:CallRevCalSprd J 1 91.50 1 2.07 0.14 0.43 77.61 2022/12/28 2
-2.8 1.0 LongButterflly: H -1 63.00 -1 0.12 0.06 0.55 80.07 2023/1/25 1
1.9 1.0 CLOSE9: H 1 91.50 1 0.29 0.06 0.39 80.07 2023/1/25 0
-1.7 1.0 PutRevCalSprd H -1 69.50 -1 0.40 0.06 0.47 80.07 2023/1/25 2
-1.1 1.0 PutRevCalSprd J -1 69.50 1 1.22 0.14 0.45 80.38 2023/1/25 2
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GRAINS-U.S. soybean, wheat futures weak; corn firm
Wheat futures were weaker on a profit-taking setback after three straight days of gains while corn futures edged higher on hopes for stepped-up demand.
* Corn
Date 2023/1/30
1st Future price 682.0 month : 3
2nd Future price 679.6 month : 5
Monthly sigma 0.16
Next month's average sigma 0.17
HV 0.17
HV/σ 0.31
Daily expected return 1.78
Daily STDEV 8.09
Monthly expected return 29.56
Monthly STDEV 73.51
Premium total: 1.75
Net Δ 0.00
Net Γ 0.00
Net Λ 0.00
VaR/Balance (V/B) [%] 0.0%
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
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
0.1 1.0 EXPIRED:CallCalSprd+1σ G 1 700.0 1 1.00 1.7 0.203 656.3 2023/1/4 0
0.3 1.0 CLOSE:CallCalSprd+1σ H 1 700.0 -1 0.07 6.1 0.198 656.3 2023/1/4 0
0.3 1.1 CLOSE: H 1 700.0 1 0.07 5.1 0.158 682.0 2023/1/30
---
Wednesday Corn Trading Red
Preliminary OI data showed the drop yesterday was mainly rollover driven, with March futures losing 11k contracts (2% of total), yet the entire market gained 6k contracts on some light net new selling. So far for Wednesday, corn markets are down by 3 to 5 cents in the front months. Overnight ranges were limited to just 5 1/2 cents but mostly red. After falling out of the starting gate, the corn market closed down by 3 1/2 to 8 cents on Tuesday. That erased more than half of last week’s gains.
* Corn
Date 2023/1/4
1st Future price 656.2 month : 3
2nd Future price 656.2 month : 3
Monthly sigma 0.37
Next month's average sigma 0.17
HV 0.17
HV/σ -0.40
Daily expected return 1.98
Daily STDEV 8.91
Monthly expected return 30.26
Monthly STDEV 73.38
Premium total: -8.50
Net Δ 0.23
Net Γ -0.00
Net Λ 71.67
VaR/Balance (V/B) [%] 0.0%
0 Max for 3M Min for 3M
safe zone 699 623
delta 42 -33
delta/σ 0.6 -0.5
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
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
0.7 1.0 CallCalSprd-1σ G 1 700.0 1 0.06 1.7 0.203 656.3 2023/1/4 2
0.5 1.0 CallCalSprd-1σ H 1 700.0 -1 0.14 6.1 0.198 656.3 2023/1/4 2
---
https:/
Oil steady amid China holiday, as “no news is good news”
Investing.com -- It’s China holiday week and for oil, that means the rest of the world trading blind-folded with the optimism that when the veil is lowered, crude prices will remain higher.
* Oil
現在日付 2023/1/25
1st Price 80.07 Mar
2nd Price 80.38 Apr
Mothly change/σ -0.1
Next month's average change/σ 0.5
Daily STDEV 1.95
Monthly STDEV 7.33
Monthly expected return 1.12
HV 0.321
HV/σ -1.48
total premium: 1.4
Net Δ -0.3
Net Γ 0.0
Net Λ -23.4
VaR/Balance (V/B) [%] -42.8%
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
0.8 2.1 CLOSE3:CallCalSprd X 1 100.00 1 1.27 1.00 0.44 88.79 2022/9/14 0
0.8 2.1 CLOSE4:CallRevCalSprd:CallCalSprd Z 1 100.00 -1 2.79 1.00 0.46 88.07 2022/9/14 0
0.8 2.2 CLOSE3: X 1 100.00 -1 0.28 1.00 0.54 82.69 2022/9/29
0.8 2.2 ROLL:CLOSE5:Naked:CallRevCalSprd: F 1 100.00 1 2.22 1.00 0.50 81.77 2022/9/29 0
0.8 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 1.00 0.52 90.20 2022/11/7 0
0.8 2.4 CLOSE5 F 1 100.00 -1 2.58 1.00 0.47 91.41 2022/11/7
-0.1 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 1.00 0.49 80.66 2022/11/30
-0.1 2.6 CLOSE7: F -1 77.00 1 1.77 1.00 0.52 80.62 2022/11/30
-0.5 2.6 CLOSE8:Roll_PutRevCalSprd G -1 68.00 -1 1.39 1.00 0.53 80.66 2022/11/30 0
-2.0 2.6 LongButterflly:RevRatioSprd:Roll_PutRevCalSprd H -1 68.00 1 2.42 0.06 0.53 80.66 2022/11/30 2
-0.5 2.7 CLOSE8: G -1 68.00 1 0.40 1.00 0.46 77.51 2022/12/28 0
-1.2 2.7 LongButterflly:RevRatioSprd: H -1 73.00 -1 2.92 0.06 0.46 77.61 2022/12/28 1
1.9 2.7 CLOSE9:CallRevCalSprd H 1 91.50 -1 1.05 0.06 0.43 77.61 2022/12/28 0
1.2 2.7 Naked:CallRevCalSprd J 1 91.50 1 2.07 0.14 0.43 77.61 2022/12/28 2
-2.8 1.0 LongButterflly: H -1 63.00 -1 0.12 0.06 0.55 80.07 2023/1/25 1
1.9 1.0 CLOSE9: H 1 91.50 1 0.29 0.06 0.39 80.07 2023/1/25 0
-1.7 1.0 PutRevCalSprd H -1 69.50 -1 0.40 0.06 0.47 80.07 2023/1/25 2
-1.1 1.0 PutRevCalSprd J -1 69.50 1 1.22 0.14 0.45 80.38 2023/1/25 2
---
https:/
GRAINS-U.S. soybean, wheat futures weak; corn firm
Wheat futures were weaker on a profit-taking setback after three straight days of gains while corn futures edged higher on hopes for stepped-up demand.
* Corn
Date 2023/1/30
1st Future price 682.0 month : 3
2nd Future price 679.6 month : 5
Monthly sigma 0.16
Next month's average sigma 0.17
HV 0.17
HV/σ 0.31
Daily expected return 1.78
Daily STDEV 8.09
Monthly expected return 29.56
Monthly STDEV 73.51
Premium total: 1.75
Net Δ 0.00
Net Γ 0.00
Net Λ 0.00
VaR/Balance (V/B) [%] 0.0%
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
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
0.1 1.0 EXPIRED:CallCalSprd+1σ G 1 700.0 1 1.00 1.7 0.203 656.3 2023/1/4 0
0.3 1.0 CLOSE:CallCalSprd+1σ H 1 700.0 -1 0.07 6.1 0.198 656.3 2023/1/4 0
0.3 1.1 CLOSE: H 1 700.0 1 0.07 5.1 0.158 682.0 2023/1/30
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