https:/
S&P 500, Nasdaq open at record high in a big week for Federal Reserve
(Reuters) - The S&P 500 and the Nasdaq indexes opened at record highs on Monday, led by gains in Tesla (NASDAQ:TSLA) and energy stocks at the start of a week packed with economic data as well as the Federal Reserve's potential move to slow down bond purchases.
* E-mini S&P500
現在日付 2021/11/1
1st price 4,588.50 month= 12
2nd price 4,582.50 month= 3
Daily extected return 8.52
Daily Stdev 30.17
Monthly expected return 70.71
Monthly Stdev 154.97
Monthly change sigma 1.9
Next month's average sigma -0.0
HV 0.09
HV/σ -0.8
Earned premium -98.35
Net Δ -0.1
Net Γ -0.0
Net Λ -226.6
VaR/Balance (V/B) [%] -5.1%
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
-0.5 2.0 CLOSE2:Mini: [['Put-LongRatioSpread-ATM' -1.7221]] U -1 4,330 -1 58.25 1.00 0.163 4,437.75 2021/8/16 0
-0.3 2.0 CLOSE:Mini: [['Put-LongRatioSpread-ATM' -1.7221]] U -1 4,440 1 89.00 1.00 0.134 4,437.75 2021/8/16 0
-0.5 2.1 CLOSE2: U -1 4,330 1 23.25 1.00 0.175 4,519.00 2021/9/1 0
-0.3 2.1 CLOSE: U -1 4,440 -1 37.25 1.00 0.139 4,519.00 2021/9/1 0
-0.1 2.1 CLOSE4:VirtSprd:risk_averse_max_str: [[['Call-ShortRatioSpread-ATM' 1079.9921 4874274.3814 46.976]]] V 1 4,520 -1 95.25 1.00 0.133 4,519.00 2021/9/1 0
0.1 2.1 CLOSE3:risk_averse_max_str: [[['Call-ShortRatioSpread-ATM' 1079.9921 4874274.3814 46.976]]] V 1 4,660 1 27.50 1.00 0.108 4,519.00 2021/9/1 0
-0.1 2.2 CLOSE4:ASSIGN:VirtSprd:NakedShortCall-1M V 1 4,510 1 5.50 1.00 0.132 4,279.75 2021/10/1 0
-3.3 2.2 NakedShortPut-2M X -1 4,080 1 66.75 0.08 0.236 4,323.75 2021/10/1 1
0.1 2.2 CLOSE3: V 1.0 4,660.0 -1 0.95 1.00 0.128 4,321.50 2021/10/1
-0.0 2.3 CLOSE4:VirtSprd: V 1 4,570 -1 1.80 1.00 0.103 4,413.00 2021/10/14 0
-0.1 2.3 VirtSprd:Short+1.5s 2M X 1 4,570 1 20.25 0.08 0.114 4,413.00 2021/10/14 1
-0.0 2.4 CLOSE4: V 1 4,570 -1 80.00 1.00 2021/10/29 0
0.1 2.5 VirtSprd: X 1 4,610 -1 60.25 0.08 0.136 4,588.50 2021/11/1 1
0.1 2.5 PutRevCalSprd-ATM X -1 4,610 -1 72.25 0.08 0.118 4,588.50 2021/11/1 1
0.1 2.5 PutRevCalSprd-ATM Z -1 4,610 1 115.00 0.16 0.136 4,588.50 2021/11/1 1
まさか利食いもなく、暴騰一辺倒とは、、、
利食いで落ちるだろうと楽観視し、何ら対策を講じず、惨敗を喫す。
ITMに刺さったNaked short callは、ATMでvirtical spredとする。ITMをクローズする気には、どうしてもなれず。必ず落ちるはずだという信念がある。
Put reverse calendar spread ATMで上下動の大幅変動による収益で挽回を狙う。
結果や如何に。
---
___ GARCH model results review ___
2021年 11月 1日 月曜日 23時30分26秒 JST
VolPerSigma : Volatility : Filename : Products
-0.55 : 0.109 : result1.txt : ./S&P 500 Futures Historical Data (2).csv
-0.61 : 0.248 : result4.txt : ./US Corn Futures Historical Data.csv
-0.64 : 0.178 : result3.txt : ./US Soybeans Futures Historical Data.csv
-0.98 : 0.250 : result2.txt : ./Crude Oil WTI Futures Historical Data.csv
-1.70 : 0.051 : result5.txt : ./EUR_USD Historical Data.csv
0.18 : 0.040 : result6.txt : ./US 10 Year T-Note Futures Historical Data.csv
0.18 : 0.158 : result0.txt : ./Gold Futures Historical Data.csv
EUR/USD Forecast: Correcting higher, but bears are not done
https:/
EUR/USD Current price: 1.1576
EU Sentix Investor Confidence improved by less than anticipated in November.
Several US Federal Reserve officials will be on the wires during the American session.
EUR/USD is neutral-to-bearish with solid selling interest aligned in the 1.1650/70 price zone.
* Euro
現在日付 2021/11/9
1st future price 1.1596 month= 12
2nd future price 1.1625 month= 3
Monthly change sigma 0.2
Next month's average sigma 0.9
HV: 0.059
HV/σ 2.3
Daily expected return 0.0010
Daily STDEV 0.0034
Monthly STDEV 0.0202
Earned premium -0.0053
Net Δ 0.01
Net Γ 5.1
Net Λ 0.1
VaR/Balance (V/B) [%] 0.0%
σ Version Tactics Code C1/P-1 Strike Sell1/Buy-1 Premium(>0) Time IV price date qty
0.0 1.0 Mini: [['Call-CalendarSpread-ATM' 0.0] Z 1 1.160 1 0.0056 0.07 0.035 1.1596 2021/11/9 1
0.0 1.0 Mini: [['Call-CalendarSpread-ATM' 0.0] F 1 1.160 -1 0.0109 0.16 0.051 1.1625 2021/11/9 1
---
Tech rally lifts Wall Street from Omicron-driven rout
https:/
(Reuters) -Bargain buying in technology stocks drove Wall Street higher on Monday following a slump related to Omicron, while the Dow Jones lagged its peers as major banks fell and investors awaited more information on the new coronavirus variant.
The S&P technology subindex jumped 2.1%, indicating that investors were likely favoring pandemic-resistant technology stocks amid growing fears of Omicron.
* T-note
Date 2021/11/30
Future 1st price 130.075 month = 3
Future 2nd price 130.075 month = 3
Mothly sigma -0.3
Next month's average sigma 0.1
HV 0.0577
HV/σ 1.4
Daily STDEV 0.4
Monthly STDEV 1.6
Premium total: 1.92
Net Δ 4.5
Net Γ 1.9
Net Λ -178.1
VaR/Balance (V/B) [%] -34.4%
σ Version Tactics Code C1/P-1 権利行使価格 Short1/Buy-1 残存期間 Premium(>0) IV Price Traded date Qty
-0.0 1.0 EXPIRED:risk_averse_max_str: [[['Put-ReverseCalendarSpread-ATM' 1.1061 51.4489 2.6768]]]Mini: [['Put-NakedLong-OTM' -0.0326]] Z -1 130.00 -1 1.00 0.20 0.065 132.16 2021/9/24 0
0.2 1.1 CLOSE:MISS:risk_averse_max_str: [[['Put-ReverseCalendarSpread-ATM' 1.1061 51.4489 2.6768]]] F -1 130.50 1 0.06 1.21 0.058 129.72 2021/10/25 5
0.0 1.1 EXPIRED:risk_averse_max_str: [[['Put-ReverseCalendarSpread-ATM' 1.1061 51.4489 2.6768]]] Z -1 130.50 -1 1.00 0.41 0.047 130.61 2021/10/25 0
0.2 1.1 MISS: F -1 130.50 -1 0.06 1.21 0.058 129.72 2021/10/25 0
0.2 1.2 CLOSE: F -1 130.50 -1 0.06 0.54 0.048 130.23 2021/11/30
-1.0 1.2 NakedShort G -1 128.00 1 0.14 0.19 0.072 130.23 2021/11/30 8
---
S&P 500, Nasdaq open at record high in a big week for Federal Reserve
(Reuters) - The S&P 500 and the Nasdaq indexes opened at record highs on Monday, led by gains in Tesla (NASDAQ:TSLA) and energy stocks at the start of a week packed with economic data as well as the Federal Reserve's potential move to slow down bond purchases.
* E-mini S&P500
現在日付 2021/11/1
1st price 4,588.50 month= 12
2nd price 4,582.50 month= 3
Daily extected return 8.52
Daily Stdev 30.17
Monthly expected return 70.71
Monthly Stdev 154.97
Monthly change sigma 1.9
Next month's average sigma -0.0
HV 0.09
HV/σ -0.8
Earned premium -98.35
Net Δ -0.1
Net Γ -0.0
Net Λ -226.6
VaR/Balance (V/B) [%] -5.1%
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
-0.5 2.0 CLOSE2:Mini: [['Put-LongRatioSpread-ATM' -1.7221]] U -1 4,330 -1 58.25 1.00 0.163 4,437.75 2021/8/16 0
-0.3 2.0 CLOSE:Mini: [['Put-LongRatioSpread-ATM' -1.7221]] U -1 4,440 1 89.00 1.00 0.134 4,437.75 2021/8/16 0
-0.5 2.1 CLOSE2: U -1 4,330 1 23.25 1.00 0.175 4,519.00 2021/9/1 0
-0.3 2.1 CLOSE: U -1 4,440 -1 37.25 1.00 0.139 4,519.00 2021/9/1 0
-0.1 2.1 CLOSE4:VirtSprd:risk_averse_max_str: [[['Call-ShortRatioSpread-ATM' 1079.9921 4874274.3814 46.976]]] V 1 4,520 -1 95.25 1.00 0.133 4,519.00 2021/9/1 0
0.1 2.1 CLOSE3:risk_averse_max_str: [[['Call-ShortRatioSpread-ATM' 1079.9921 4874274.3814 46.976]]] V 1 4,660 1 27.50 1.00 0.108 4,519.00 2021/9/1 0
-0.1 2.2 CLOSE4:ASSIGN:VirtSprd:NakedShortCall-1M V 1 4,510 1 5.50 1.00 0.132 4,279.75 2021/10/1 0
-3.3 2.2 NakedShortPut-2M X -1 4,080 1 66.75 0.08 0.236 4,323.75 2021/10/1 1
0.1 2.2 CLOSE3: V 1.0 4,660.0 -1 0.95 1.00 0.128 4,321.50 2021/10/1
-0.0 2.3 CLOSE4:VirtSprd: V 1 4,570 -1 1.80 1.00 0.103 4,413.00 2021/10/14 0
-0.1 2.3 VirtSprd:Short+1.5s 2M X 1 4,570 1 20.25 0.08 0.114 4,413.00 2021/10/14 1
-0.0 2.4 CLOSE4: V 1 4,570 -1 80.00 1.00 2021/10/29 0
0.1 2.5 VirtSprd: X 1 4,610 -1 60.25 0.08 0.136 4,588.50 2021/11/1 1
0.1 2.5 PutRevCalSprd-ATM X -1 4,610 -1 72.25 0.08 0.118 4,588.50 2021/11/1 1
0.1 2.5 PutRevCalSprd-ATM Z -1 4,610 1 115.00 0.16 0.136 4,588.50 2021/11/1 1
まさか利食いもなく、暴騰一辺倒とは、、、
利食いで落ちるだろうと楽観視し、何ら対策を講じず、惨敗を喫す。
ITMに刺さったNaked short callは、ATMでvirtical spredとする。ITMをクローズする気には、どうしてもなれず。必ず落ちるはずだという信念がある。
Put reverse calendar spread ATMで上下動の大幅変動による収益で挽回を狙う。
結果や如何に。
---
___ GARCH model results review ___
2021年 11月 1日 月曜日 23時30分26秒 JST
VolPerSigma : Volatility : Filename : Products
-0.55 : 0.109 : result1.txt : ./S&P 500 Futures Historical Data (2).csv
-0.61 : 0.248 : result4.txt : ./US Corn Futures Historical Data.csv
-0.64 : 0.178 : result3.txt : ./US Soybeans Futures Historical Data.csv
-0.98 : 0.250 : result2.txt : ./Crude Oil WTI Futures Historical Data.csv
-1.70 : 0.051 : result5.txt : ./EUR_USD Historical Data.csv
0.18 : 0.040 : result6.txt : ./US 10 Year T-Note Futures Historical Data.csv
0.18 : 0.158 : result0.txt : ./Gold Futures Historical Data.csv
EUR/USD Forecast: Correcting higher, but bears are not done
https:/
EUR/USD Current price: 1.1576
EU Sentix Investor Confidence improved by less than anticipated in November.
Several US Federal Reserve officials will be on the wires during the American session.
EUR/USD is neutral-to-bearish with solid selling interest aligned in the 1.1650/70 price zone.
* Euro
現在日付 2021/11/9
1st future price 1.1596 month= 12
2nd future price 1.1625 month= 3
Monthly change sigma 0.2
Next month's average sigma 0.9
HV: 0.059
HV/σ 2.3
Daily expected return 0.0010
Daily STDEV 0.0034
Monthly STDEV 0.0202
Earned premium -0.0053
Net Δ 0.01
Net Γ 5.1
Net Λ 0.1
VaR/Balance (V/B) [%] 0.0%
σ Version Tactics Code C1/P-1 Strike Sell1/Buy-1 Premium(>0) Time IV price date qty
0.0 1.0 Mini: [['Call-CalendarSpread-ATM' 0.0] Z 1 1.160 1 0.0056 0.07 0.035 1.1596 2021/11/9 1
0.0 1.0 Mini: [['Call-CalendarSpread-ATM' 0.0] F 1 1.160 -1 0.0109 0.16 0.051 1.1625 2021/11/9 1
---
Tech rally lifts Wall Street from Omicron-driven rout
https:/
(Reuters) -Bargain buying in technology stocks drove Wall Street higher on Monday following a slump related to Omicron, while the Dow Jones lagged its peers as major banks fell and investors awaited more information on the new coronavirus variant.
The S&P technology subindex jumped 2.1%, indicating that investors were likely favoring pandemic-resistant technology stocks amid growing fears of Omicron.
* T-note
Date 2021/11/30
Future 1st price 130.075 month = 3
Future 2nd price 130.075 month = 3
Mothly sigma -0.3
Next month's average sigma 0.1
HV 0.0577
HV/σ 1.4
Daily STDEV 0.4
Monthly STDEV 1.6
Premium total: 1.92
Net Δ 4.5
Net Γ 1.9
Net Λ -178.1
VaR/Balance (V/B) [%] -34.4%
σ Version Tactics Code C1/P-1 権利行使価格 Short1/Buy-1 残存期間 Premium(>0) IV Price Traded date Qty
-0.0 1.0 EXPIRED:risk_averse_max_str: [[['Put-ReverseCalendarSpread-ATM' 1.1061 51.4489 2.6768]]]Mini: [['Put-NakedLong-OTM' -0.0326]] Z -1 130.00 -1 1.00 0.20 0.065 132.16 2021/9/24 0
0.2 1.1 CLOSE:MISS:risk_averse_max_str: [[['Put-ReverseCalendarSpread-ATM' 1.1061 51.4489 2.6768]]] F -1 130.50 1 0.06 1.21 0.058 129.72 2021/10/25 5
0.0 1.1 EXPIRED:risk_averse_max_str: [[['Put-ReverseCalendarSpread-ATM' 1.1061 51.4489 2.6768]]] Z -1 130.50 -1 1.00 0.41 0.047 130.61 2021/10/25 0
0.2 1.1 MISS: F -1 130.50 -1 0.06 1.21 0.058 129.72 2021/10/25 0
0.2 1.2 CLOSE: F -1 130.50 -1 0.06 0.54 0.048 130.23 2021/11/30
-1.0 1.2 NakedShort G -1 128.00 1 0.14 0.19 0.072 130.23 2021/11/30 8
---
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