https:/
Crude oil soars on surprise OPEC+ output cut; mounting demand worries?
Investing.com -- Oil prices soared Monday after a group of the world's largest oil exporters announced a surprise cut to their production levels, attempting to provide support to a market that has fallen this year on concerns of an economic slowdown across the developed world.
* Oil
現在日付 2023/4/3
1st Price 80.40 Jun
2nd Price 80.15 Jul
Mothly change/σ -0.0
Next month's average change/σ 0.7
Daily STDEV 1.63
Monthly STDEV 7.16
Monthly expected return 0.93
HV 0.451
HV/σ 2.22
total premium: -3.5
Net Δ -0.4
Net Γ -0.0
Net Λ -21.6
VaR/Balance (V/B) [%] -28.8%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty Intial qty
0.7 2.0 CLOSE1:Call rev cal spread X 1 94.00 -1 1.78 0.54 0.49 82.93 2022/9/8 0 1
0.7 2.0 CLOSE2:Call rev cal spread Z 1 94.00 1 3.19 0.62 0.49 82.35 2022/9/8 0 1
0.7 2.1 CLOSE1: X 1 94.00 1 2.59 0.54 0.43 88.79 2022/9/14 1
0.7 2.1 CLOSE2: Z 1 94.00 -1 4.50 0.62 0.46 88.07 2022/9/14 1
1.1 2.1 CLOSE3:CallCalSprd X 1 100.00 1 1.27 0.54 0.44 88.79 2022/9/14 0 1
1.0 2.1 CLOSE4:CallRevCalSprd:CallCalSprd Z 1 100.00 -1 2.79 0.62 0.46 88.07 2022/9/14 0 1
1.1 2.2 CLOSE3: X 1 100.00 -1 0.28 0.54 0.54 82.69 2022/9/29 1
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 1
1.0 2.3 CLOSE4: Z 1 100.00 1 0.98 0.62 0.50 84.62 2022/10/14 1
-0.1 2.4 CLOSE6:PutRevCalSprd:ROLL G -1 77.00 1 2.59 1.00 0.52 90.20 2022/11/7 0 1
0.8 2.4 CLOSE5 F 1 100.00 -1 2.58 1.00 0.47 91.41 2022/11/7 1
-0.1 2.5 CLOSE7:PutRevCalSprd: F -1 77.00 -1 1.59 1.00 0.49 85.77 2022/11/11 0 1
-0.1 2.6 CLOSE6: G -1 77.00 -1 3.78 1.00 0.49 80.66 2022/11/30 1
-0.1 2.6 CLOSE7: F -1 77.00 1 1.77 1.00 0.52 80.62 2022/11/30 1
-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
-0.5 2.6 EXPIRED:LongButterflly:RevRatioSprd:Roll_PutRevCalSprd H -1 68.00 1 2.42 1.00 0.53 80.66 2022/11/30 0 2
-0.5 2.7 CLOSE8: G -1 68.00 1 0.40 1.00 0.46 77.51 2022/12/28 0 2
-0.3 2.7 EXPIRED:LongButterflly:RevRatioSprd: H -1 73.00 -1 2.92 1.00 0.46 77.61 2022/12/28 0 1
0.4 2.7 CLOSE9:CallRevCalSprd H 1 91.50 -1 1.05 1.00 0.43 77.61 2022/12/28 0 2
0.4 2.7 Naked:RevRatio:Naked:CallRevCalSprd J 1 91.50 1 2.07 1.00 0.43 77.61 2022/12/28 0 2
-0.7 1.0 EXPIRED:LongButterflly: H -1 63.00 -1 0.12 1.00 0.55 80.07 2023/1/25 0 1
0.4 1.0 CLOSE9: H 1 91.50 1 0.29 1.00 0.39 80.07 2023/1/25 0 2
-0.4 1.0 CLOSE10:Role:PutRevCalSprd H -1 69.50 -1 0.40 1.00 0.47 80.07 2023/1/25 0 2
-0.4 1.0 CLOSE10:Role:PutRevCalSprd J -1 69.50 1 1.22 1.00 0.45 80.38 2023/1/25 0 2
0.3 1.1 CLOSE11:RevRatio: J 1 87.50 -1 0.44 1.00 0.38 73.97 2023/2/6 0 1
-0.4 1.1 CLOSE10: H -1 69.50 1 0.70 1.00 0.51 73.97 2023/2/6 2
-0.4 1.1 CLOSE10: J -1 69.50 -1 2.14 1.00 0.45 73.97 2023/2/6 2
-0.7 1.1 CLOSE12:Role-PutRevCal J -1 63.00 -1 0.70 1.00 0.47 73.97 2023/2/6 0 4
-3.6 1.1 PARTCLOSE:LongButterfly:RevRatio:Role-PutRevCal K -1 63.00 1 1.38 0.04 0.45 74.25 2023/2/6 2 4
0.1 1.1 CLOSE14:CallRevCal J 1 83.50 -1 0.89 1.00 0.38 73.97 2023/2/6 0 2
0.6 1.1 CLOSE13:CallRevCal K 1 83.50 1 1.91 0.04 0.37 74.25 2023/2/6 0 2
0.3 1.2 CLOSE11 J 1 87.50 1 0.13 1.00 0.43 75.02 2023/2/28 1
-0.7 1.2 CLOSE12: J -1 63.00 1 0.16 1.00 0.52 75.02 2023/2/28 4
0.6 1.2 CLOSE13: K 1 83.50 -1 1.29 0.04 0.36 75.16 2023/2/28 2
0.1 1.2 CLOSE14: J 1 83.50 1 0.29 1.00 0.39 75.02 2023/2/28 2
1.1 1.2 CLOSE15:CallRevCal K 1 86.00 -1 0.87 0.04 0.36 75.16 2023/2/28 0 3
0.6 1.2 LongButterfly2:PARTCLOSE2:CallRatio:CallRevCal M 1 86.00 1 1.72 0.12 0.36 75.16 2023/2/28 2 3
-3.4 1.2 LongButterfly:RevRatio: K -1 64.00 -1 0.69 0.04 0.41 75.16 2023/2/28 1 1
-3.8 1.3 LongButterfly: K -1 62.00 -1 2.02 0.04 0.54 66.82 2023/3/16 1 1
-3.6 1.3 PARTCLOSE: K -1 63.00 -1 2.33 0.04 0.53 66.82 2023/3/16 2
1.1 1.3 CLOSE15: K 1 86.00 1 0.18 0.04 0.48 66.82 2023/3/16 3
0.2 1.3 LongButterfly2:CallRatio: M 1 82.50 -1 0.92 0.12 0.45 66.67 2023/3/16 1 1
1.0 1.4 LongButterfly2: M 1 89.50 -1 1.20 0.12 0.35 80.40 2023/4/3 1 1
0.6 1.4 PARTCLOSE2: M 1 86.00 -1 2.04 0.12 0.36 80.40 2023/4/3 1
1.3 1.4 CallRevCal M 1 91.50 -1 0.88 0.12 0.36 80.40 2023/4/3 5 5
1.0 1.4 CallRevCal N 1 91.50 1 1.54 0.20 0.34 80.15 2023/4/3 5 5
当初予定では、明日、半減期でコールレシオをロングバタフライにするつもりだった。
OPEC減産による原油急騰により、一日前倒し、ロングバタフライ化して無リスク化。
更に、３ヶ月間の高値上限に迫っている為、コールでリバースカレンダを建てる。枚数が多いのが懸念材料だが、バランスとマージンエクセスディフィシットを保護し、かつ、多少改善することができた。
まずは僥倖。
ーーー
Crude oil higher; monthly loss likely on growth fears
https:/
* Oil
現在日付 2023/4/28
1st Price 75.54 Jun
2nd Price 75.36 Jul
Mothly change/σ 0.4
Next month's average change/σ 0.7
Daily STDEV 1.57
Monthly STDEV 7.13
Monthly expected return 0.83
HV 0.342
HV/σ -0.09
total premium: 1.8
Net Δ 0.1
Net Γ 0.1
Net Λ -24.1
VaR/Balance (V/B) [%] -22.3%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
1.1 2.0 CLOSE1:Call rev cal spread X 1 94.00 -1 1.78 0.47 0.49 82.93 2022/9/8 0
1.0 2.0 CLOSE2:Call rev cal spread Z 1 94.00 1 3.19 0.55 0.49 82.35 2022/9/8 0
1.1 2.1 CLOSE1: X 1 94.00 1 2.59 0.47 0.43 88.79 2022/9/14
1.0 2.1 CLOSE2: Z 1 94.00 -1 4.50 0.55 0.46 88.07 2022/9/14
1.4 2.1 CLOSE3:CallCalSprd X 1 100.00 1 1.27 0.47 0.44 88.79 2022/9/14 0
1.3 2.1 CLOSE4:CallRevCalSprd:CallCalSprd Z 1 100.00 -1 2.79 0.55 0.46 88.07 2022/9/14 0
1.4 2.2 CLOSE3: X 1 100.00 -1 0.28 0.47 0.54 82.69 2022/9/29
1.0 2.2 ROLL:CLOSE5:Naked:CallRevCalSprd: F 1 100.00 1 2.22 1.00 0.50 81.77 2022/9/29 0
1.3 2.3 CLOSE4: Z 1 100.00 1 0.98 0.55 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
1.0 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
-0.3 2.6 CLOSE8:Roll_PutRevCalSprd G -1 68.00 -1 1.39 1.00 0.53 80.66 2022/11/30 0
-0.3 2.6 EXPIRED:LongButterflly:RevRatioSprd:Roll_PutRevCalSprd H -1 68.00 1 2.42 1.00 0.53 80.66 2022/11/30 0
-0.3 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
0.6 2.7 CLOSE9:CallRevCalSprd H 1 91.50 -1 1.05 1.00 0.43 77.61 2022/12/28 0
0.6 2.7 Naked:RevRatio:Naked:CallRevCalSprd J 1 91.50 1 2.07 1.00 0.43 77.61 2022/12/28 0
-0.5 1.0 EXPIRED:LongButterflly: H -1 63.00 -1 0.12 1.00 0.55 80.07 2023/1/25 0
0.6 1.0 CLOSE9: H 1 91.50 1 0.29 1.00 0.39 80.07 2023/1/25 0
-0.2 1.0 CLOSE10:Role:PutRevCalSprd H -1 69.50 -1 0.40 1.00 0.47 80.07 2023/1/25 0
-0.2 1.0 CLOSE10:Role:PutRevCalSprd J -1 69.50 1 1.22 1.00 0.45 80.38 2023/1/25 0
0.5 1.1 CLOSE11:RevRatio: J 1 87.50 -1 0.44 1.00 0.38 73.97 2023/2/6 0
-0.2 1.1 CLOSE10: H -1 69.50 1 0.70 1.00 0.51 73.97 2023/2/6
-0.2 1.1 CLOSE10: J -1 69.50 -1 2.14 1.00 0.45 73.97 2023/2/6
-0.5 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 EXPIRED:PARTCLOSE:LongButterfly:RevRatio:Role-PutRevCal K -1 63.00 1 1.38 1.00 0.45 74.25 2023/2/6 0
0.3 1.1 CLOSE14:CallRevCal J 1 83.50 -1 0.89 1.00 0.38 73.97 2023/2/6 0
0.3 1.1 CLOSE13:CallRevCal K 1 83.50 1 1.91 1.00 0.37 74.25 2023/2/6 0
0.5 1.2 CLOSE11 J 1 87.50 1 0.13 1.00 0.43 75.02 2023/2/28
-0.5 1.2 CLOSE12: J -1 63.00 1 0.16 1.00 0.52 75.02 2023/2/28
0.3 1.2 CLOSE13: K 1 83.50 -1 1.29 1.00 0.36 75.16 2023/2/28
0.3 1.2 CLOSE14: J 1 83.50 1 0.29 1.00 0.39 75.02 2023/2/28
0.4 1.2 CLOSE15:CallRevCal K 1 86.00 -1 0.87 1.00 0.36 75.16 2023/2/28 0
1.8 1.2 LongButterfly2:PARTCLOSE2:CallRatio:CallRevCal M 1 86.00 1 1.72 0.05 0.36 75.16 2023/2/28 2
-0.5 1.2 EXPIRED:LongButterfly:RevRatio: K -1 64.00 -1 0.69 1.00 0.41 75.16 2023/2/28 0
-0.5 1.3 EXPIRED:LongButterfly: K -1 62.00 -1 2.02 1.00 0.54 66.82 2023/3/16 0
-0.5 1.3 PARTCLOSE: K -1 63.00 -1 2.33 1.00 0.53 66.82 2023/3/16
0.4 1.3 CLOSE15: K 1 86.00 1 0.18 1.00 0.48 66.82 2023/3/16
1.2 1.3 LongButterfly2:CallRatio: M 1 82.50 -1 0.92 0.05 0.45 66.67 2023/3/16 1
2.5 1.4 LongButterfly2: M 1 89.50 -1 1.20 0.05 0.35 80.40 2023/4/3 1
1.8 1.4 PARTCLOSE2: M 1 86.00 -1 2.04 0.05 0.36 80.40 2023/4/3
2.8 1.4 CallRevCal M 1 91.50 -1 0.88 0.05 0.36 80.40 2023/4/3 5
1.8 1.4 CallRevCal N 1 91.50 1 1.54 0.13 0.34 80.15 2023/4/3 5
-2.7 1.5 Close16::NakedShort M -1 60.50 1 1.36 0.05 1.01 75.54 2023/3/23 0
-2.7 1.6 Close16: M -1 60.50 -1 0.15 0.05 0.57 75.54 2023/4/28
-2.0 1.6 PutRevCal M -1 64.00 -1 0.23 0.05 0.49 75.54 2023/4/28 3
-1.3 1.6 PutRevCal N -1 64.00 1 0.79 0.13 0.44 75.36 2023/4/28 3
---
Crude oil soars on surprise OPEC+ output cut; mounting demand worries?
Investing.com -- Oil prices soared Monday after a group of the world's largest oil exporters announced a surprise cut to their production levels, attempting to provide support to a market that has fallen this year on concerns of an economic slowdown across the developed world.
* Oil
現在日付 2023/4/3
1st Price 80.40 Jun
2nd Price 80.15 Jul
Mothly change/σ -0.0
Next month's average change/σ 0.7
Daily STDEV 1.63
Monthly STDEV 7.16
Monthly expected return 0.93
HV 0.451
HV/σ 2.22
total premium: -3.5
Net Δ -0.4
Net Γ -0.0
Net Λ -21.6
VaR/Balance (V/B) [%] -28.8%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty Intial qty
0.7 2.0 CLOSE1:Call rev cal spread X 1 94.00 -1 1.78 0.54 0.49 82.93 2022/9/8 0 1
0.7 2.0 CLOSE2:Call rev cal spread Z 1 94.00 1 3.19 0.62 0.49 82.35 2022/9/8 0 1
0.7 2.1 CLOSE1: X 1 94.00 1 2.59 0.54 0.43 88.79 2022/9/14 1
0.7 2.1 CLOSE2: Z 1 94.00 -1 4.50 0.62 0.46 88.07 2022/9/14 1
1.1 2.1 CLOSE3:CallCalSprd X 1 100.00 1 1.27 0.54 0.44 88.79 2022/9/14 0 1
1.0 2.1 CLOSE4:CallRevCalSprd:CallCalSprd Z 1 100.00 -1 2.79 0.62 0.46 88.07 2022/9/14 0 1
1.1 2.2 CLOSE3: X 1 100.00 -1 0.28 0.54 0.54 82.69 2022/9/29 1
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 1
1.0 2.3 CLOSE4: Z 1 100.00 1 0.98 0.62 0.50 84.62 2022/10/14 1
-0.1 2.4 CLOSE6:PutRevCalSprd:ROLL G -1 77.00 1 2.59 1.00 0.52 90.20 2022/11/7 0 1
0.8 2.4 CLOSE5 F 1 100.00 -1 2.58 1.00 0.47 91.41 2022/11/7 1
-0.1 2.5 CLOSE7:PutRevCalSprd: F -1 77.00 -1 1.59 1.00 0.49 85.77 2022/11/11 0 1
-0.1 2.6 CLOSE6: G -1 77.00 -1 3.78 1.00 0.49 80.66 2022/11/30 1
-0.1 2.6 CLOSE7: F -1 77.00 1 1.77 1.00 0.52 80.62 2022/11/30 1
-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
-0.5 2.6 EXPIRED:LongButterflly:RevRatioSprd:Roll_PutRevCalSprd H -1 68.00 1 2.42 1.00 0.53 80.66 2022/11/30 0 2
-0.5 2.7 CLOSE8: G -1 68.00 1 0.40 1.00 0.46 77.51 2022/12/28 0 2
-0.3 2.7 EXPIRED:LongButterflly:RevRatioSprd: H -1 73.00 -1 2.92 1.00 0.46 77.61 2022/12/28 0 1
0.4 2.7 CLOSE9:CallRevCalSprd H 1 91.50 -1 1.05 1.00 0.43 77.61 2022/12/28 0 2
0.4 2.7 Naked:RevRatio:Naked:CallRevCalSprd J 1 91.50 1 2.07 1.00 0.43 77.61 2022/12/28 0 2
-0.7 1.0 EXPIRED:LongButterflly: H -1 63.00 -1 0.12 1.00 0.55 80.07 2023/1/25 0 1
0.4 1.0 CLOSE9: H 1 91.50 1 0.29 1.00 0.39 80.07 2023/1/25 0 2
-0.4 1.0 CLOSE10:Role:PutRevCalSprd H -1 69.50 -1 0.40 1.00 0.47 80.07 2023/1/25 0 2
-0.4 1.0 CLOSE10:Role:PutRevCalSprd J -1 69.50 1 1.22 1.00 0.45 80.38 2023/1/25 0 2
0.3 1.1 CLOSE11:RevRatio: J 1 87.50 -1 0.44 1.00 0.38 73.97 2023/2/6 0 1
-0.4 1.1 CLOSE10: H -1 69.50 1 0.70 1.00 0.51 73.97 2023/2/6 2
-0.4 1.1 CLOSE10: J -1 69.50 -1 2.14 1.00 0.45 73.97 2023/2/6 2
-0.7 1.1 CLOSE12:Role-PutRevCal J -1 63.00 -1 0.70 1.00 0.47 73.97 2023/2/6 0 4
-3.6 1.1 PARTCLOSE:LongButterfly:RevRatio:Role-PutRevCal K -1 63.00 1 1.38 0.04 0.45 74.25 2023/2/6 2 4
0.1 1.1 CLOSE14:CallRevCal J 1 83.50 -1 0.89 1.00 0.38 73.97 2023/2/6 0 2
0.6 1.1 CLOSE13:CallRevCal K 1 83.50 1 1.91 0.04 0.37 74.25 2023/2/6 0 2
0.3 1.2 CLOSE11 J 1 87.50 1 0.13 1.00 0.43 75.02 2023/2/28 1
-0.7 1.2 CLOSE12: J -1 63.00 1 0.16 1.00 0.52 75.02 2023/2/28 4
0.6 1.2 CLOSE13: K 1 83.50 -1 1.29 0.04 0.36 75.16 2023/2/28 2
0.1 1.2 CLOSE14: J 1 83.50 1 0.29 1.00 0.39 75.02 2023/2/28 2
1.1 1.2 CLOSE15:CallRevCal K 1 86.00 -1 0.87 0.04 0.36 75.16 2023/2/28 0 3
0.6 1.2 LongButterfly2:PARTCLOSE2:CallRatio:CallRevCal M 1 86.00 1 1.72 0.12 0.36 75.16 2023/2/28 2 3
-3.4 1.2 LongButterfly:RevRatio: K -1 64.00 -1 0.69 0.04 0.41 75.16 2023/2/28 1 1
-3.8 1.3 LongButterfly: K -1 62.00 -1 2.02 0.04 0.54 66.82 2023/3/16 1 1
-3.6 1.3 PARTCLOSE: K -1 63.00 -1 2.33 0.04 0.53 66.82 2023/3/16 2
1.1 1.3 CLOSE15: K 1 86.00 1 0.18 0.04 0.48 66.82 2023/3/16 3
0.2 1.3 LongButterfly2:CallRatio: M 1 82.50 -1 0.92 0.12 0.45 66.67 2023/3/16 1 1
1.0 1.4 LongButterfly2: M 1 89.50 -1 1.20 0.12 0.35 80.40 2023/4/3 1 1
0.6 1.4 PARTCLOSE2: M 1 86.00 -1 2.04 0.12 0.36 80.40 2023/4/3 1
1.3 1.4 CallRevCal M 1 91.50 -1 0.88 0.12 0.36 80.40 2023/4/3 5 5
1.0 1.4 CallRevCal N 1 91.50 1 1.54 0.20 0.34 80.15 2023/4/3 5 5
当初予定では、明日、半減期でコールレシオをロングバタフライにするつもりだった。
OPEC減産による原油急騰により、一日前倒し、ロングバタフライ化して無リスク化。
更に、３ヶ月間の高値上限に迫っている為、コールでリバースカレンダを建てる。枚数が多いのが懸念材料だが、バランスとマージンエクセスディフィシットを保護し、かつ、多少改善することができた。
まずは僥倖。
ーーー
Crude oil higher; monthly loss likely on growth fears
https:/
* Oil
現在日付 2023/4/28
1st Price 75.54 Jun
2nd Price 75.36 Jul
Mothly change/σ 0.4
Next month's average change/σ 0.7
Daily STDEV 1.57
Monthly STDEV 7.13
Monthly expected return 0.83
HV 0.342
HV/σ -0.09
total premium: 1.8
Net Δ 0.1
Net Γ 0.1
Net Λ -24.1
VaR/Balance (V/B) [%] -22.3%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
1.1 2.0 CLOSE1:Call rev cal spread X 1 94.00 -1 1.78 0.47 0.49 82.93 2022/9/8 0
1.0 2.0 CLOSE2:Call rev cal spread Z 1 94.00 1 3.19 0.55 0.49 82.35 2022/9/8 0
1.1 2.1 CLOSE1: X 1 94.00 1 2.59 0.47 0.43 88.79 2022/9/14
1.0 2.1 CLOSE2: Z 1 94.00 -1 4.50 0.55 0.46 88.07 2022/9/14
1.4 2.1 CLOSE3:CallCalSprd X 1 100.00 1 1.27 0.47 0.44 88.79 2022/9/14 0
1.3 2.1 CLOSE4:CallRevCalSprd:CallCalSprd Z 1 100.00 -1 2.79 0.55 0.46 88.07 2022/9/14 0
1.4 2.2 CLOSE3: X 1 100.00 -1 0.28 0.47 0.54 82.69 2022/9/29
1.0 2.2 ROLL:CLOSE5:Naked:CallRevCalSprd: F 1 100.00 1 2.22 1.00 0.50 81.77 2022/9/29 0
1.3 2.3 CLOSE4: Z 1 100.00 1 0.98 0.55 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
1.0 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
-0.3 2.6 CLOSE8:Roll_PutRevCalSprd G -1 68.00 -1 1.39 1.00 0.53 80.66 2022/11/30 0
-0.3 2.6 EXPIRED:LongButterflly:RevRatioSprd:Roll_PutRevCalSprd H -1 68.00 1 2.42 1.00 0.53 80.66 2022/11/30 0
-0.3 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
0.6 2.7 CLOSE9:CallRevCalSprd H 1 91.50 -1 1.05 1.00 0.43 77.61 2022/12/28 0
0.6 2.7 Naked:RevRatio:Naked:CallRevCalSprd J 1 91.50 1 2.07 1.00 0.43 77.61 2022/12/28 0
-0.5 1.0 EXPIRED:LongButterflly: H -1 63.00 -1 0.12 1.00 0.55 80.07 2023/1/25 0
0.6 1.0 CLOSE9: H 1 91.50 1 0.29 1.00 0.39 80.07 2023/1/25 0
-0.2 1.0 CLOSE10:Role:PutRevCalSprd H -1 69.50 -1 0.40 1.00 0.47 80.07 2023/1/25 0
-0.2 1.0 CLOSE10:Role:PutRevCalSprd J -1 69.50 1 1.22 1.00 0.45 80.38 2023/1/25 0
0.5 1.1 CLOSE11:RevRatio: J 1 87.50 -1 0.44 1.00 0.38 73.97 2023/2/6 0
-0.2 1.1 CLOSE10: H -1 69.50 1 0.70 1.00 0.51 73.97 2023/2/6
-0.2 1.1 CLOSE10: J -1 69.50 -1 2.14 1.00 0.45 73.97 2023/2/6
-0.5 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 EXPIRED:PARTCLOSE:LongButterfly:RevRatio:Role-PutRevCal K -1 63.00 1 1.38 1.00 0.45 74.25 2023/2/6 0
0.3 1.1 CLOSE14:CallRevCal J 1 83.50 -1 0.89 1.00 0.38 73.97 2023/2/6 0
0.3 1.1 CLOSE13:CallRevCal K 1 83.50 1 1.91 1.00 0.37 74.25 2023/2/6 0
0.5 1.2 CLOSE11 J 1 87.50 1 0.13 1.00 0.43 75.02 2023/2/28
-0.5 1.2 CLOSE12: J -1 63.00 1 0.16 1.00 0.52 75.02 2023/2/28
0.3 1.2 CLOSE13: K 1 83.50 -1 1.29 1.00 0.36 75.16 2023/2/28
0.3 1.2 CLOSE14: J 1 83.50 1 0.29 1.00 0.39 75.02 2023/2/28
0.4 1.2 CLOSE15:CallRevCal K 1 86.00 -1 0.87 1.00 0.36 75.16 2023/2/28 0
1.8 1.2 LongButterfly2:PARTCLOSE2:CallRatio:CallRevCal M 1 86.00 1 1.72 0.05 0.36 75.16 2023/2/28 2
-0.5 1.2 EXPIRED:LongButterfly:RevRatio: K -1 64.00 -1 0.69 1.00 0.41 75.16 2023/2/28 0
-0.5 1.3 EXPIRED:LongButterfly: K -1 62.00 -1 2.02 1.00 0.54 66.82 2023/3/16 0
-0.5 1.3 PARTCLOSE: K -1 63.00 -1 2.33 1.00 0.53 66.82 2023/3/16
0.4 1.3 CLOSE15: K 1 86.00 1 0.18 1.00 0.48 66.82 2023/3/16
1.2 1.3 LongButterfly2:CallRatio: M 1 82.50 -1 0.92 0.05 0.45 66.67 2023/3/16 1
2.5 1.4 LongButterfly2: M 1 89.50 -1 1.20 0.05 0.35 80.40 2023/4/3 1
1.8 1.4 PARTCLOSE2: M 1 86.00 -1 2.04 0.05 0.36 80.40 2023/4/3
2.8 1.4 CallRevCal M 1 91.50 -1 0.88 0.05 0.36 80.40 2023/4/3 5
1.8 1.4 CallRevCal N 1 91.50 1 1.54 0.13 0.34 80.15 2023/4/3 5
-2.7 1.5 Close16::NakedShort M -1 60.50 1 1.36 0.05 1.01 75.54 2023/3/23 0
-2.7 1.6 Close16: M -1 60.50 -1 0.15 0.05 0.57 75.54 2023/4/28
-2.0 1.6 PutRevCal M -1 64.00 -1 0.23 0.05 0.49 75.54 2023/4/28 3
-1.3 1.6 PutRevCal N -1 64.00 1 0.79 0.13 0.44 75.36 2023/4/28 3
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コメント(1)
___ GARCH model results review ___
2023年 4月28日 金曜日 23時42分14秒 JST
VolPerSigma : Volatility : Filename : Products
-0.53 : 0.145 : result1.txt : ./Gold Futures Historical Data.csv
-0.64 : 0.370 : result3.txt : ./Crude Oil WTI Futures Historical Data (2).csv
-0.86 : 0.086 : result4.txt : ./EUR_USD Historical Data.csv
-1.17 : 0.160 : result5.txt : ./US Soybeans Futures Historical Data (2).csv
-1.52 : 0.161 : result0.txt : ./S&P 500 Futures Historical Data.csv
0.01 : 0.267 : result2.txt : ./US Corn Futures Historical Data.csv
0.37 : 0.082 : result6.txt : ./US 10 Year T-Note Futures Historical Data.csv
2023年 4月28日 金曜日 23時42分14秒 JST
VolPerSigma : Volatility : Filename : Products
-0.53 : 0.145 : result1.txt : ./Gold Futures Historical Data.csv
-0.64 : 0.370 : result3.txt : ./Crude Oil WTI Futures Historical Data (2).csv
-0.86 : 0.086 : result4.txt : ./EUR_USD Historical Data.csv
-1.17 : 0.160 : result5.txt : ./US Soybeans Futures Historical Data (2).csv
-1.52 : 0.161 : result0.txt : ./S&P 500 Futures Historical Data.csv
0.01 : 0.267 : result2.txt : ./US Corn Futures Historical Data.csv
0.37 : 0.082 : result6.txt : ./US 10 Year T-Note Futures Historical Data.csv
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