* Soybean
Date 2023/3/10
1st Future price 1,503.2 Month= 5
2nd Future price 1,491.0 Month= 7
Monthly sigma -
Next month's average sigma #DIV/0!
HV 0.13
HV/σ -1.3
Daily expected return 3.3
Daily STDEV 15.2
Monthly expected return 20.9
Monthly STDEV 64.7
Premium total: 13.50
Net Δ -0.1
Net Γ 0.0
Net Λ -343.5
VaR/Balance (V/B) [%] -41.5%
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:PutCalSprd J -1 1,430.0 1 0.04 1.7 0.168 1,530.0 2023/2/24 2
-1.0 1.0 CLOSE:PutCalSprd K -1 1,430.0 -1 0.12 5.7 0.165 1,530.0 2023/2/24 0
-1.0 1.1 CLOSE: K -1 1,430.0 1 0.12 5.6 0.154 1,503.3 2023/3/10
1.3 1.1 CallRevCalSprd K 1 1,600.0 -1 0.12 4.1 0.140 1,503.3 2023/3/10 2
0.9 1.1 CallRevCalSprd M 1 1,600.0 1 0.21 9.1 0.128 1,491.0 2023/3/10 2
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Oil Prices on Course for 15-Month Low as Bank Jitters Spread -- Update
Oil prices tumbled for a third day Wednesday, putting crude benchmarks on course to close at their lowest level in 15 months, as concerns about the health of major banks spread to Europe and stoked fears about recessions.
Brent crude, the international oil benchmark, plunged 4.5% to $73.98 a barrel, taking it to its lowest level since December 2021. West Texas Intermediate, the U.S. oil gauge, also dropped 4.8% to $67.90 a barrel, also marking a 15-month low.
* Oil
現在日付 2023/3/16
1st Price 66.82 May
2nd Price 66.67 Jun
Mothly change/σ -1.7
Next month's average change/σ 0.4
Daily STDEV 1.71
Monthly STDEV 7.26
Monthly expected return 0.68
HV 0.381
HV/σ 1.18
total premium: 2.3
Net Δ -0.2
Net Γ 0.0
Net Λ -63.3
VaR/Balance (V/B) [%] -80.5%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
1.4 2.0 CLOSE1:Call rev cal spread X 1 94.00 -1 1.78 0.59 0.49 82.93 2022/9/8 0
1.3 2.0 CLOSE2:Call rev cal spread Z 1 94.00 1 3.19 0.67 0.49 82.35 2022/9/8 0
1.4 2.1 CLOSE1: X 1 94.00 1 2.59 0.59 0.43 88.79 2022/9/14
1.3 2.1 CLOSE2: Z 1 94.00 -1 4.50 0.67 0.46 88.07 2022/9/14
1.7 2.1 CLOSE3:CallCalSprd X 1 100.00 1 1.27 0.59 0.44 88.79 2022/9/14 0
1.6 2.1 CLOSE4:CallRevCalSprd:CallCalSprd Z 1 100.00 -1 2.79 0.67 0.46 88.07 2022/9/14 0
1.7 2.2 CLOSE3: X 1 100.00 -1 0.28 0.59 0.54 82.69 2022/9/29
1.3 2.2 ROLL:CLOSE5:Naked:CallRevCalSprd: F 1 100.00 1 2.22 1.00 0.50 81.77 2022/9/29 0
1.6 2.3 CLOSE4: Z 1 100.00 1 0.98 0.67 0.50 84.62 2022/10/14
0.4 2.4 CLOSE6:PutRevCalSprd:ROLL G -1 77.00 1 2.59 1.00 0.52 90.20 2022/11/7 0
1.3 2.4 CLOSE5 F 1 100.00 -1 2.58 1.00 0.47 91.41 2022/11/7
0.4 2.5 CLOSE7:PutRevCalSprd: F -1 77.00 -1 1.59 1.00 0.49 85.77 2022/11/11 0
0.4 2.6 CLOSE6: G -1 77.00 -1 3.78 1.00 0.49 80.66 2022/11/30
0.4 2.6 CLOSE7: F -1 77.00 1 1.77 1.00 0.52 80.62 2022/11/30
0.0 2.6 CLOSE8:Roll_PutRevCalSprd G -1 68.00 -1 1.39 1.00 0.53 80.66 2022/11/30 0
0.0 2.6 EXPIRED:LongButterflly:RevRatioSprd:Roll_PutRevCalSprd H -1 68.00 1 2.42 1.00 0.53 80.66 2022/11/30 0
0.0 2.7 CLOSE8: G -1 68.00 1 0.40 1.00 0.46 77.51 2022/12/28 0
0.2 2.7 EXPIRED:LongButterflly:RevRatioSprd: H -1 73.00 -1 2.92 1.00 0.46 77.61 2022/12/28 0
1.0 2.7 CLOSE9:CallRevCalSprd H 1 91.50 -1 1.05 1.00 0.43 77.61 2022/12/28 0
1.0 2.7 Naked:RevRatio:Naked:CallRevCalSprd J 1 91.50 1 2.07 1.00 0.43 77.61 2022/12/28 2
-0.2 1.0 EXPIRED:LongButterflly: H -1 63.00 -1 0.12 1.00 0.55 80.07 2023/1/25 0
1.0 1.0 CLOSE9: H 1 91.50 1 0.29 1.00 0.39 80.07 2023/1/25 0
0.1 1.0 CLOSE10:Role:PutRevCalSprd H -1 69.50 -1 0.40 1.00 0.47 80.07 2023/1/25 0
0.1 1.0 CLOSE10:Role:PutRevCalSprd J -1 69.50 1 1.22 1.00 0.45 80.38 2023/1/25 0
0.8 1.1 CLOSE11:RevRatio: J 1 87.50 -1 0.44 1.00 0.38 73.97 2023/2/6 0
0.1 1.1 CLOSE10: H -1 69.50 1 0.70 1.00 0.51 73.97 2023/2/6
0.1 1.1 CLOSE10: J -1 69.50 -1 2.14 1.00 0.45 73.97 2023/2/6
-0.2 1.1 CLOSE12:Role-PutRevCal J -1 63.00 -1 0.70 1.00 0.47 73.97 2023/2/6 0
-0.5 1.1 PARTCLOSE:LongButterfly:RevRatio:Role-PutRevCal K -1 63.00 1 1.38 0.09 0.45 74.25 2023/2/6 2
0.7 1.1 CLOSE14:CallRevCal J 1 83.50 -1 0.89 1.00 0.38 73.97 2023/2/6 0
2.2 1.1 CLOSE13:CallRevCal K 1 83.50 1 1.91 0.09 0.37 74.25 2023/2/6 0
0.8 1.2 CLOSE11 J 1 87.50 1 0.13 1.00 0.43 75.02 2023/2/28
-0.2 1.2 CLOSE12: J -1 63.00 1 0.16 1.00 0.52 75.02 2023/2/28
2.2 1.2 CLOSE13: K 1 83.50 -1 1.29 0.09 0.36 75.16 2023/2/28
0.7 1.2 CLOSE14: J 1 83.50 1 0.29 1.00 0.39 75.02 2023/2/28
2.6 1.2 CLOSE15:CallRevCal K 1 86.00 -1 0.87 0.09 0.36 75.16 2023/2/28 0
1.8 1.2 CallRatio:CallRevCal M 1 86.00 1 1.72 0.17 0.36 75.16 2023/2/28 3
-0.4 1.2 LongButterfly:RevRatio: K -1 64.00 -1 0.69 0.09 0.41 75.16 2023/2/28 1
-0.6 1.3 LongButterfly: K -1 62.00 -1 2.02 0.09 0.54 66.82 2023/3/16 1
-0.5 1.3 PARTCLOSE: K -1 63.00 -1 2.33 0.09 0.53 66.82 2023/3/16
2.6 1.3 CLOSE15: K 1 86.00 1 0.18 0.09 0.48 66.82 2023/3/16
1.5 1.3 CallRatio: M 1 82.50 -1 0.92 0.17 0.45 66.67 2023/3/16 1
緊急ストップ・ロス。リカバリは後日。
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Crude oil lower on growth concerns, rising U.S. inventories
Investing.com -- Oil prices retreated Thursday, snapping a three-day rally, after a surprise rise in U.S. crude stockpiles and with the Federal Reserve highlighting global growth concerns.
* Oil
現在日付 2023/3/23
1st Price 71.48 May
2nd Price 71.34 Jun
Mothly change/σ -0.7
Next month's average change/σ 0.4
Daily STDEV 1.65
Monthly STDEV 7.17
Monthly expected return 0.78
HV 0.372
HV/σ 1.08
total premium: -1.0
Net Δ -0.7
Net Γ 0.1
Net Λ -74.5
VaR/Balance (V/B) [%] -141.1%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
1.2 2.0 CLOSE1:Call rev cal spread X 1 94.00 -1 1.78 0.57 0.49 82.93 2022/9/8 0
1.1 2.0 CLOSE2:Call rev cal spread Z 1 94.00 1 3.19 0.65 0.49 82.35 2022/9/8 0
1.2 2.1 CLOSE1: X 1 94.00 1 2.59 0.57 0.43 88.79 2022/9/14
1.1 2.1 CLOSE2: Z 1 94.00 -1 4.50 0.65 0.46 88.07 2022/9/14
1.5 2.1 CLOSE3:CallCalSprd X 1 100.00 1 1.27 0.57 0.44 88.79 2022/9/14 0
1.4 2.1 CLOSE4:CallRevCalSprd:CallCalSprd Z 1 100.00 -1 2.79 0.65 0.46 88.07 2022/9/14 0
1.5 2.2 CLOSE3: X 1 100.00 -1 0.28 0.57 0.54 82.69 2022/9/29
1.1 2.2 ROLL:CLOSE5:Naked:CallRevCalSprd: F 1 100.00 1 2.22 1.00 0.50 81.77 2022/9/29 0
1.4 2.3 CLOSE4: Z 1 100.00 1 0.98 0.65 0.50 84.62 2022/10/14
0.2 2.4 CLOSE6:PutRevCalSprd:ROLL G -1 77.00 1 2.59 1.00 0.52 90.20 2022/11/7 0
1.1 2.4 CLOSE5 F 1 100.00 -1 2.58 1.00 0.47 91.41 2022/11/7
0.2 2.5 CLOSE7:PutRevCalSprd: F -1 77.00 -1 1.59 1.00 0.49 85.77 2022/11/11 0
0.2 2.6 CLOSE6: G -1 77.00 -1 3.78 1.00 0.49 80.66 2022/11/30
0.2 2.6 CLOSE7: F -1 77.00 1 1.77 1.00 0.52 80.62 2022/11/30
-0.1 2.6 CLOSE8:Roll_PutRevCalSprd G -1 68.00 -1 1.39 1.00 0.53 80.66 2022/11/30 0
-0.1 2.6 EXPIRED:LongButterflly:RevRatioSprd:Roll_PutRevCalSprd H -1 68.00 1 2.42 1.00 0.53 80.66 2022/11/30 0
-0.1 2.7 CLOSE8: G -1 68.00 1 0.40 1.00 0.46 77.51 2022/12/28 0
0.1 2.7 EXPIRED:LongButterflly:RevRatioSprd: H -1 73.00 -1 2.92 1.00 0.46 77.61 2022/12/28 0
0.8 2.7 CLOSE9:CallRevCalSprd H 1 91.50 -1 1.05 1.00 0.43 77.61 2022/12/28 0
0.8 2.7 Naked:RevRatio:Naked:CallRevCalSprd J 1 91.50 1 2.07 1.00 0.43 77.61 2022/12/28 2
-0.3 1.0 EXPIRED:LongButterflly: H -1 63.00 -1 0.12 1.00 0.55 80.07 2023/1/25 0
0.8 1.0 CLOSE9: H 1 91.50 1 0.29 1.00 0.39 80.07 2023/1/25 0
-0.1 1.0 CLOSE10:Role:PutRevCalSprd H -1 69.50 -1 0.40 1.00 0.47 80.07 2023/1/25 0
-0.1 1.0 CLOSE10:Role:PutRevCalSprd J -1 69.50 1 1.22 1.00 0.45 80.38 2023/1/25 0
0.6 1.1 CLOSE11:RevRatio: J 1 87.50 -1 0.44 1.00 0.38 73.97 2023/2/6 0
-0.1 1.1 CLOSE10: H -1 69.50 1 0.70 1.00 0.51 73.97 2023/2/6
-0.1 1.1 CLOSE10: J -1 69.50 -1 2.14 1.00 0.45 73.97 2023/2/6
-0.3 1.1 CLOSE12:Role-PutRevCal J -1 63.00 -1 0.70 1.00 0.47 73.97 2023/2/6 0
-1.3 1.1 PARTCLOSE:LongButterfly:RevRatio:Role-PutRevCal K -1 63.00 1 1.38 0.07 0.45 74.25 2023/2/6 2
0.5 1.1 CLOSE14:CallRevCal J 1 83.50 -1 0.89 1.00 0.38 73.97 2023/2/6 0
1.8 1.1 CLOSE13:CallRevCal K 1 83.50 1 1.91 0.07 0.37 74.25 2023/2/6 0
0.6 1.2 CLOSE11 J 1 87.50 1 0.13 1.00 0.43 75.02 2023/2/28
-0.3 1.2 CLOSE12: J -1 63.00 1 0.16 1.00 0.52 75.02 2023/2/28
1.8 1.2 CLOSE13: K 1 83.50 -1 1.29 0.07 0.36 75.16 2023/2/28
0.5 1.2 CLOSE14: J 1 83.50 1 0.29 1.00 0.39 75.02 2023/2/28
2.2 1.2 CLOSE15:CallRevCal K 1 86.00 -1 0.87 0.07 0.36 75.16 2023/2/28 0
1.5 1.2 CallRatio:CallRevCal M 1 86.00 1 1.72 0.15 0.36 75.16 2023/2/28 3
-1.1 1.2 LongButterfly:RevRatio: K -1 64.00 -1 0.69 0.07 0.41 75.16 2023/2/28 1
-1.4 1.3 LongButterfly: K -1 62.00 -1 2.02 0.07 0.54 66.82 2023/3/16 1
-1.3 1.3 PARTCLOSE: K -1 63.00 -1 2.33 0.07 0.53 66.82 2023/3/16
2.2 1.3 CLOSE15: K 1 86.00 1 0.18 0.07 0.48 66.82 2023/3/16
1.1 1.3 CallRatio: M 1 82.50 -1 0.92 0.15 0.45 66.67 2023/3/16 1
-1.7 1.4 PutRCS K -1 60.50 -1 0.48 0.07 0.53 71.48 2023/3/23 3
-1.1 1.4 PutRCS M -1 60.50 1 1.36 0.15 0.51 71.34 2023/3/23 3
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SOYBEANS DOWN 3RD DAY IN A ROW | THURSDAY, MARCH 23, 2023
Soybean exports came in significantly below expectations at 152,500 metric tons for 2022/2023, down 77% from the previous week and 55% from the prior 4-week average.
* Soybean
Date 2023/3/23
1st Future price 1,426.6 Month= 5
2nd Future price 1,404.0 Month= 7
Monthly sigma -
Next month's average sigma #DIV/0!
HV 0.14
HV/σ -0.7
Daily expected return 2.0
Daily STDEV 15.2
Monthly expected return 20.9
Monthly STDEV 64.7
Premium total: -52.25
Net Δ 0.0
Net Γ 0.0
Net Λ 66.3
VaR/Balance (V/B) [%] -7.1%
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
0.3 1.0 PutCal:Naked:PutCalSprd J -1 1,430.0 1 0.00 1.7 0.168 1,530.0 2023/2/24 2
0.1 1.0 CLOSE:PutCalSprd K -1 1,430.0 -1 0.08 5.7 0.165 1,530.0 2023/2/24 0
0.1 1.1 CLOSE: K -1 1,430.0 1 0.08 5.6 0.154 1,503.3 2023/3/10
2.7 1.1 CallRevCalSprd K 1 1,600.0 -1 0.08 4.1 0.140 1,503.3 2023/3/10 2
1.8 1.1 CallRevCalSprd M 1 1,600.0 1 0.18 9.1 0.128 1,491.0 2023/3/10 2
0.1 1.2 PutCal: K -1 1,430.0 -1 0.08 32.7 0.211 1,426.8 2023/3/23 2
緊急ストップ・ロス。
カレンダーに変化して防御。
４月限がアサインされるなら、ロールしてリバーサルにするか、クローズするか。
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CBOT soybeans may rise into $14.40-1/2 to $14.47 range
* Soybean
Date 2023/3/28
1st Future price 1,435.2 Month= 5
2nd Future price 1,413.4 Month= 7
Monthly sigma -
Next month's average sigma #DIV/0!
HV 0.15
HV/σ -0.1
Daily expected return 1.7
Daily STDEV 15.1
Monthly expected return 20.9
Monthly STDEV 64.7
Premium total: 10.50
Net Δ -0.2
Net Γ 0.0
Net Λ -214.5
VaR/Balance (V/B) [%] -57.5%
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
1.3 Conversion:ASSIGN: K 1 1,430.0 1,430.0 2023/3/28 2
-0.0 1.0 ASSIGN:PutCal:Naked:PutCalSprd J -1 1,430.0 1 1.00 1.7 0.168 1,530.0 2023/2/24 0
-0.1 1.0 CLOSE:PutCalSprd K -1 1,430.0 -1 0.07 5.7 0.165 1,530.0 2023/2/24 0
-0.1 1.1 CLOSE: K -1 1,430.0 1 0.07 5.6 0.154 1,503.3 2023/3/10
2.8 1.1 CallRevCalSprd K 1 1,600.0 -1 0.07 4.1 0.140 1,503.3 2023/3/10 2
1.8 1.1 CallRevCalSprd M 1 1,600.0 1 0.16 9.1 0.128 1,491.0 2023/3/10 2
-0.1 1.2 Conversion:PutCal: K -1 1,430.0 -1 0.07 32.7 0.211 1,426.8 2023/3/23 2
-0.1 1.3 Conversion: K 1 1,430.0 1 0.07 31.3 0.179 1,435.3 2023/3/28 2
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GRAINS-Soybeans, corn set for quarterly losses; market eyes US planting report
* Soybean
Date 2023/3/31
1st Future price 1,489.0 Month= 5
2nd Future price 1,459.0 Month= 7
Monthly sigma -
Next month's average sigma #DIV/0!
HV 0.15
HV/σ -0.3
Daily expected return 2.3
Daily STDEV 15.1
Monthly expected return 20.9
Monthly STDEV 64.7
Premium total: 8.50
Net Δ -0.3
Net Γ 0.0
Net Λ -213.4
VaR/Balance (V/B) [%] -80.7%
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
1.3 Conversion:ASSIGN: K 1 1,430.0 1,430.0 2023/3/28 2
-0.3 1.0 ASSIGN:PutCal:Naked:PutCalSprd J -1 1,430.0 1 1.00 1.7 0.168 1,530.0 2023/2/24 0
-1.1 1.0 CLOSE:PutCalSprd K -1 1,430.0 -1 0.06 5.7 0.165 1,530.0 2023/2/24 0
-1.1 1.1 CLOSE: K -1 1,430.0 1 0.06 5.6 0.154 1,503.3 2023/3/10 0
2.1 1.1 CLOSE2:CallRevCalSprd K 1 1,600.0 -1 0.06 4.1 0.140 1,503.3 2023/3/10 0
1.3 1.1 Rario:CallRevCalSprd M 1 1,600.0 1 0.15 9.1 0.128 1,491.0 2023/3/10 2
-1.1 1.2 Conversion:PutCal: K -1 1,430.0 -1 0.06 32.7 0.211 1,426.8 2023/3/23 2
-1.1 1.3 Conversion: K 1 1,430.0 1 0.06 31.3 0.179 1,435.3 2023/3/28 2
2.1 1.4 CLOSE2: K 1 1,600.0 1 0.06 1.7 0.188 1,489.0 2023/3/31
1.0 1.4 Ratio: M 1 1,580.0 -1 0.15 8.7 0.147 1,459.0 2023/3/31 1
1.7 1.4 Naked K 1 1,580.0 1 0.06 3.1 0.183 1,489.0 2023/3/31 1
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Date 2023/3/10
1st Future price 1,503.2 Month= 5
2nd Future price 1,491.0 Month= 7
Monthly sigma -
Next month's average sigma #DIV/0!
HV 0.13
HV/σ -1.3
Daily expected return 3.3
Daily STDEV 15.2
Monthly expected return 20.9
Monthly STDEV 64.7
Premium total: 13.50
Net Δ -0.1
Net Γ 0.0
Net Λ -343.5
VaR/Balance (V/B) [%] -41.5%
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:PutCalSprd J -1 1,430.0 1 0.04 1.7 0.168 1,530.0 2023/2/24 2
-1.0 1.0 CLOSE:PutCalSprd K -1 1,430.0 -1 0.12 5.7 0.165 1,530.0 2023/2/24 0
-1.0 1.1 CLOSE: K -1 1,430.0 1 0.12 5.6 0.154 1,503.3 2023/3/10
1.3 1.1 CallRevCalSprd K 1 1,600.0 -1 0.12 4.1 0.140 1,503.3 2023/3/10 2
0.9 1.1 CallRevCalSprd M 1 1,600.0 1 0.21 9.1 0.128 1,491.0 2023/3/10 2
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Oil Prices on Course for 15-Month Low as Bank Jitters Spread -- Update
Oil prices tumbled for a third day Wednesday, putting crude benchmarks on course to close at their lowest level in 15 months, as concerns about the health of major banks spread to Europe and stoked fears about recessions.
Brent crude, the international oil benchmark, plunged 4.5% to $73.98 a barrel, taking it to its lowest level since December 2021. West Texas Intermediate, the U.S. oil gauge, also dropped 4.8% to $67.90 a barrel, also marking a 15-month low.
* Oil
現在日付 2023/3/16
1st Price 66.82 May
2nd Price 66.67 Jun
Mothly change/σ -1.7
Next month's average change/σ 0.4
Daily STDEV 1.71
Monthly STDEV 7.26
Monthly expected return 0.68
HV 0.381
HV/σ 1.18
total premium: 2.3
Net Δ -0.2
Net Γ 0.0
Net Λ -63.3
VaR/Balance (V/B) [%] -80.5%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
1.4 2.0 CLOSE1:Call rev cal spread X 1 94.00 -1 1.78 0.59 0.49 82.93 2022/9/8 0
1.3 2.0 CLOSE2:Call rev cal spread Z 1 94.00 1 3.19 0.67 0.49 82.35 2022/9/8 0
1.4 2.1 CLOSE1: X 1 94.00 1 2.59 0.59 0.43 88.79 2022/9/14
1.3 2.1 CLOSE2: Z 1 94.00 -1 4.50 0.67 0.46 88.07 2022/9/14
1.7 2.1 CLOSE3:CallCalSprd X 1 100.00 1 1.27 0.59 0.44 88.79 2022/9/14 0
1.6 2.1 CLOSE4:CallRevCalSprd:CallCalSprd Z 1 100.00 -1 2.79 0.67 0.46 88.07 2022/9/14 0
1.7 2.2 CLOSE3: X 1 100.00 -1 0.28 0.59 0.54 82.69 2022/9/29
1.3 2.2 ROLL:CLOSE5:Naked:CallRevCalSprd: F 1 100.00 1 2.22 1.00 0.50 81.77 2022/9/29 0
1.6 2.3 CLOSE4: Z 1 100.00 1 0.98 0.67 0.50 84.62 2022/10/14
0.4 2.4 CLOSE6:PutRevCalSprd:ROLL G -1 77.00 1 2.59 1.00 0.52 90.20 2022/11/7 0
1.3 2.4 CLOSE5 F 1 100.00 -1 2.58 1.00 0.47 91.41 2022/11/7
0.4 2.5 CLOSE7:PutRevCalSprd: F -1 77.00 -1 1.59 1.00 0.49 85.77 2022/11/11 0
0.4 2.6 CLOSE6: G -1 77.00 -1 3.78 1.00 0.49 80.66 2022/11/30
0.4 2.6 CLOSE7: F -1 77.00 1 1.77 1.00 0.52 80.62 2022/11/30
0.0 2.6 CLOSE8:Roll_PutRevCalSprd G -1 68.00 -1 1.39 1.00 0.53 80.66 2022/11/30 0
0.0 2.6 EXPIRED:LongButterflly:RevRatioSprd:Roll_PutRevCalSprd H -1 68.00 1 2.42 1.00 0.53 80.66 2022/11/30 0
0.0 2.7 CLOSE8: G -1 68.00 1 0.40 1.00 0.46 77.51 2022/12/28 0
0.2 2.7 EXPIRED:LongButterflly:RevRatioSprd: H -1 73.00 -1 2.92 1.00 0.46 77.61 2022/12/28 0
1.0 2.7 CLOSE9:CallRevCalSprd H 1 91.50 -1 1.05 1.00 0.43 77.61 2022/12/28 0
1.0 2.7 Naked:RevRatio:Naked:CallRevCalSprd J 1 91.50 1 2.07 1.00 0.43 77.61 2022/12/28 2
-0.2 1.0 EXPIRED:LongButterflly: H -1 63.00 -1 0.12 1.00 0.55 80.07 2023/1/25 0
1.0 1.0 CLOSE9: H 1 91.50 1 0.29 1.00 0.39 80.07 2023/1/25 0
0.1 1.0 CLOSE10:Role:PutRevCalSprd H -1 69.50 -1 0.40 1.00 0.47 80.07 2023/1/25 0
0.1 1.0 CLOSE10:Role:PutRevCalSprd J -1 69.50 1 1.22 1.00 0.45 80.38 2023/1/25 0
0.8 1.1 CLOSE11:RevRatio: J 1 87.50 -1 0.44 1.00 0.38 73.97 2023/2/6 0
0.1 1.1 CLOSE10: H -1 69.50 1 0.70 1.00 0.51 73.97 2023/2/6
0.1 1.1 CLOSE10: J -1 69.50 -1 2.14 1.00 0.45 73.97 2023/2/6
-0.2 1.1 CLOSE12:Role-PutRevCal J -1 63.00 -1 0.70 1.00 0.47 73.97 2023/2/6 0
-0.5 1.1 PARTCLOSE:LongButterfly:RevRatio:Role-PutRevCal K -1 63.00 1 1.38 0.09 0.45 74.25 2023/2/6 2
0.7 1.1 CLOSE14:CallRevCal J 1 83.50 -1 0.89 1.00 0.38 73.97 2023/2/6 0
2.2 1.1 CLOSE13:CallRevCal K 1 83.50 1 1.91 0.09 0.37 74.25 2023/2/6 0
0.8 1.2 CLOSE11 J 1 87.50 1 0.13 1.00 0.43 75.02 2023/2/28
-0.2 1.2 CLOSE12: J -1 63.00 1 0.16 1.00 0.52 75.02 2023/2/28
2.2 1.2 CLOSE13: K 1 83.50 -1 1.29 0.09 0.36 75.16 2023/2/28
0.7 1.2 CLOSE14: J 1 83.50 1 0.29 1.00 0.39 75.02 2023/2/28
2.6 1.2 CLOSE15:CallRevCal K 1 86.00 -1 0.87 0.09 0.36 75.16 2023/2/28 0
1.8 1.2 CallRatio:CallRevCal M 1 86.00 1 1.72 0.17 0.36 75.16 2023/2/28 3
-0.4 1.2 LongButterfly:RevRatio: K -1 64.00 -1 0.69 0.09 0.41 75.16 2023/2/28 1
-0.6 1.3 LongButterfly: K -1 62.00 -1 2.02 0.09 0.54 66.82 2023/3/16 1
-0.5 1.3 PARTCLOSE: K -1 63.00 -1 2.33 0.09 0.53 66.82 2023/3/16
2.6 1.3 CLOSE15: K 1 86.00 1 0.18 0.09 0.48 66.82 2023/3/16
1.5 1.3 CallRatio: M 1 82.50 -1 0.92 0.17 0.45 66.67 2023/3/16 1
緊急ストップ・ロス。リカバリは後日。
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https:/
Crude oil lower on growth concerns, rising U.S. inventories
Investing.com -- Oil prices retreated Thursday, snapping a three-day rally, after a surprise rise in U.S. crude stockpiles and with the Federal Reserve highlighting global growth concerns.
* Oil
現在日付 2023/3/23
1st Price 71.48 May
2nd Price 71.34 Jun
Mothly change/σ -0.7
Next month's average change/σ 0.4
Daily STDEV 1.65
Monthly STDEV 7.17
Monthly expected return 0.78
HV 0.372
HV/σ 1.08
total premium: -1.0
Net Δ -0.7
Net Γ 0.1
Net Λ -74.5
VaR/Balance (V/B) [%] -141.1%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
1.2 2.0 CLOSE1:Call rev cal spread X 1 94.00 -1 1.78 0.57 0.49 82.93 2022/9/8 0
1.1 2.0 CLOSE2:Call rev cal spread Z 1 94.00 1 3.19 0.65 0.49 82.35 2022/9/8 0
1.2 2.1 CLOSE1: X 1 94.00 1 2.59 0.57 0.43 88.79 2022/9/14
1.1 2.1 CLOSE2: Z 1 94.00 -1 4.50 0.65 0.46 88.07 2022/9/14
1.5 2.1 CLOSE3:CallCalSprd X 1 100.00 1 1.27 0.57 0.44 88.79 2022/9/14 0
1.4 2.1 CLOSE4:CallRevCalSprd:CallCalSprd Z 1 100.00 -1 2.79 0.65 0.46 88.07 2022/9/14 0
1.5 2.2 CLOSE3: X 1 100.00 -1 0.28 0.57 0.54 82.69 2022/9/29
1.1 2.2 ROLL:CLOSE5:Naked:CallRevCalSprd: F 1 100.00 1 2.22 1.00 0.50 81.77 2022/9/29 0
1.4 2.3 CLOSE4: Z 1 100.00 1 0.98 0.65 0.50 84.62 2022/10/14
0.2 2.4 CLOSE6:PutRevCalSprd:ROLL G -1 77.00 1 2.59 1.00 0.52 90.20 2022/11/7 0
1.1 2.4 CLOSE5 F 1 100.00 -1 2.58 1.00 0.47 91.41 2022/11/7
0.2 2.5 CLOSE7:PutRevCalSprd: F -1 77.00 -1 1.59 1.00 0.49 85.77 2022/11/11 0
0.2 2.6 CLOSE6: G -1 77.00 -1 3.78 1.00 0.49 80.66 2022/11/30
0.2 2.6 CLOSE7: F -1 77.00 1 1.77 1.00 0.52 80.62 2022/11/30
-0.1 2.6 CLOSE8:Roll_PutRevCalSprd G -1 68.00 -1 1.39 1.00 0.53 80.66 2022/11/30 0
-0.1 2.6 EXPIRED:LongButterflly:RevRatioSprd:Roll_PutRevCalSprd H -1 68.00 1 2.42 1.00 0.53 80.66 2022/11/30 0
-0.1 2.7 CLOSE8: G -1 68.00 1 0.40 1.00 0.46 77.51 2022/12/28 0
0.1 2.7 EXPIRED:LongButterflly:RevRatioSprd: H -1 73.00 -1 2.92 1.00 0.46 77.61 2022/12/28 0
0.8 2.7 CLOSE9:CallRevCalSprd H 1 91.50 -1 1.05 1.00 0.43 77.61 2022/12/28 0
0.8 2.7 Naked:RevRatio:Naked:CallRevCalSprd J 1 91.50 1 2.07 1.00 0.43 77.61 2022/12/28 2
-0.3 1.0 EXPIRED:LongButterflly: H -1 63.00 -1 0.12 1.00 0.55 80.07 2023/1/25 0
0.8 1.0 CLOSE9: H 1 91.50 1 0.29 1.00 0.39 80.07 2023/1/25 0
-0.1 1.0 CLOSE10:Role:PutRevCalSprd H -1 69.50 -1 0.40 1.00 0.47 80.07 2023/1/25 0
-0.1 1.0 CLOSE10:Role:PutRevCalSprd J -1 69.50 1 1.22 1.00 0.45 80.38 2023/1/25 0
0.6 1.1 CLOSE11:RevRatio: J 1 87.50 -1 0.44 1.00 0.38 73.97 2023/2/6 0
-0.1 1.1 CLOSE10: H -1 69.50 1 0.70 1.00 0.51 73.97 2023/2/6
-0.1 1.1 CLOSE10: J -1 69.50 -1 2.14 1.00 0.45 73.97 2023/2/6
-0.3 1.1 CLOSE12:Role-PutRevCal J -1 63.00 -1 0.70 1.00 0.47 73.97 2023/2/6 0
-1.3 1.1 PARTCLOSE:LongButterfly:RevRatio:Role-PutRevCal K -1 63.00 1 1.38 0.07 0.45 74.25 2023/2/6 2
0.5 1.1 CLOSE14:CallRevCal J 1 83.50 -1 0.89 1.00 0.38 73.97 2023/2/6 0
1.8 1.1 CLOSE13:CallRevCal K 1 83.50 1 1.91 0.07 0.37 74.25 2023/2/6 0
0.6 1.2 CLOSE11 J 1 87.50 1 0.13 1.00 0.43 75.02 2023/2/28
-0.3 1.2 CLOSE12: J -1 63.00 1 0.16 1.00 0.52 75.02 2023/2/28
1.8 1.2 CLOSE13: K 1 83.50 -1 1.29 0.07 0.36 75.16 2023/2/28
0.5 1.2 CLOSE14: J 1 83.50 1 0.29 1.00 0.39 75.02 2023/2/28
2.2 1.2 CLOSE15:CallRevCal K 1 86.00 -1 0.87 0.07 0.36 75.16 2023/2/28 0
1.5 1.2 CallRatio:CallRevCal M 1 86.00 1 1.72 0.15 0.36 75.16 2023/2/28 3
-1.1 1.2 LongButterfly:RevRatio: K -1 64.00 -1 0.69 0.07 0.41 75.16 2023/2/28 1
-1.4 1.3 LongButterfly: K -1 62.00 -1 2.02 0.07 0.54 66.82 2023/3/16 1
-1.3 1.3 PARTCLOSE: K -1 63.00 -1 2.33 0.07 0.53 66.82 2023/3/16
2.2 1.3 CLOSE15: K 1 86.00 1 0.18 0.07 0.48 66.82 2023/3/16
1.1 1.3 CallRatio: M 1 82.50 -1 0.92 0.15 0.45 66.67 2023/3/16 1
-1.7 1.4 PutRCS K -1 60.50 -1 0.48 0.07 0.53 71.48 2023/3/23 3
-1.1 1.4 PutRCS M -1 60.50 1 1.36 0.15 0.51 71.34 2023/3/23 3
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https:/
SOYBEANS DOWN 3RD DAY IN A ROW | THURSDAY, MARCH 23, 2023
Soybean exports came in significantly below expectations at 152,500 metric tons for 2022/2023, down 77% from the previous week and 55% from the prior 4-week average.
* Soybean
Date 2023/3/23
1st Future price 1,426.6 Month= 5
2nd Future price 1,404.0 Month= 7
Monthly sigma -
Next month's average sigma #DIV/0!
HV 0.14
HV/σ -0.7
Daily expected return 2.0
Daily STDEV 15.2
Monthly expected return 20.9
Monthly STDEV 64.7
Premium total: -52.25
Net Δ 0.0
Net Γ 0.0
Net Λ 66.3
VaR/Balance (V/B) [%] -7.1%
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
0.3 1.0 PutCal:Naked:PutCalSprd J -1 1,430.0 1 0.00 1.7 0.168 1,530.0 2023/2/24 2
0.1 1.0 CLOSE:PutCalSprd K -1 1,430.0 -1 0.08 5.7 0.165 1,530.0 2023/2/24 0
0.1 1.1 CLOSE: K -1 1,430.0 1 0.08 5.6 0.154 1,503.3 2023/3/10
2.7 1.1 CallRevCalSprd K 1 1,600.0 -1 0.08 4.1 0.140 1,503.3 2023/3/10 2
1.8 1.1 CallRevCalSprd M 1 1,600.0 1 0.18 9.1 0.128 1,491.0 2023/3/10 2
0.1 1.2 PutCal: K -1 1,430.0 -1 0.08 32.7 0.211 1,426.8 2023/3/23 2
緊急ストップ・ロス。
カレンダーに変化して防御。
４月限がアサインされるなら、ロールしてリバーサルにするか、クローズするか。
---
https:/
CBOT soybeans may rise into $14.40-1/2 to $14.47 range
* Soybean
Date 2023/3/28
1st Future price 1,435.2 Month= 5
2nd Future price 1,413.4 Month= 7
Monthly sigma -
Next month's average sigma #DIV/0!
HV 0.15
HV/σ -0.1
Daily expected return 1.7
Daily STDEV 15.1
Monthly expected return 20.9
Monthly STDEV 64.7
Premium total: 10.50
Net Δ -0.2
Net Γ 0.0
Net Λ -214.5
VaR/Balance (V/B) [%] -57.5%
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
1.3 Conversion:ASSIGN: K 1 1,430.0 1,430.0 2023/3/28 2
-0.0 1.0 ASSIGN:PutCal:Naked:PutCalSprd J -1 1,430.0 1 1.00 1.7 0.168 1,530.0 2023/2/24 0
-0.1 1.0 CLOSE:PutCalSprd K -1 1,430.0 -1 0.07 5.7 0.165 1,530.0 2023/2/24 0
-0.1 1.1 CLOSE: K -1 1,430.0 1 0.07 5.6 0.154 1,503.3 2023/3/10
2.8 1.1 CallRevCalSprd K 1 1,600.0 -1 0.07 4.1 0.140 1,503.3 2023/3/10 2
1.8 1.1 CallRevCalSprd M 1 1,600.0 1 0.16 9.1 0.128 1,491.0 2023/3/10 2
-0.1 1.2 Conversion:PutCal: K -1 1,430.0 -1 0.07 32.7 0.211 1,426.8 2023/3/23 2
-0.1 1.3 Conversion: K 1 1,430.0 1 0.07 31.3 0.179 1,435.3 2023/3/28 2
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https:/
GRAINS-Soybeans, corn set for quarterly losses; market eyes US planting report
* Soybean
Date 2023/3/31
1st Future price 1,489.0 Month= 5
2nd Future price 1,459.0 Month= 7
Monthly sigma -
Next month's average sigma #DIV/0!
HV 0.15
HV/σ -0.3
Daily expected return 2.3
Daily STDEV 15.1
Monthly expected return 20.9
Monthly STDEV 64.7
Premium total: 8.50
Net Δ -0.3
Net Γ 0.0
Net Λ -213.4
VaR/Balance (V/B) [%] -80.7%
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
1.3 Conversion:ASSIGN: K 1 1,430.0 1,430.0 2023/3/28 2
-0.3 1.0 ASSIGN:PutCal:Naked:PutCalSprd J -1 1,430.0 1 1.00 1.7 0.168 1,530.0 2023/2/24 0
-1.1 1.0 CLOSE:PutCalSprd K -1 1,430.0 -1 0.06 5.7 0.165 1,530.0 2023/2/24 0
-1.1 1.1 CLOSE: K -1 1,430.0 1 0.06 5.6 0.154 1,503.3 2023/3/10 0
2.1 1.1 CLOSE2:CallRevCalSprd K 1 1,600.0 -1 0.06 4.1 0.140 1,503.3 2023/3/10 0
1.3 1.1 Rario:CallRevCalSprd M 1 1,600.0 1 0.15 9.1 0.128 1,491.0 2023/3/10 2
-1.1 1.2 Conversion:PutCal: K -1 1,430.0 -1 0.06 32.7 0.211 1,426.8 2023/3/23 2
-1.1 1.3 Conversion: K 1 1,430.0 1 0.06 31.3 0.179 1,435.3 2023/3/28 2
2.1 1.4 CLOSE2: K 1 1,600.0 1 0.06 1.7 0.188 1,489.0 2023/3/31
1.0 1.4 Ratio: M 1 1,580.0 -1 0.15 8.7 0.147 1,459.0 2023/3/31 1
1.7 1.4 Naked K 1 1,580.0 1 0.06 3.1 0.183 1,489.0 2023/3/31 1
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