2017年12月15日

12月15日スマイルカーブ





原資産 22551.27




短期金利 -0.05%




期近修正ATM(残存日数24.75日換算)


前日 始値 高値 安値 終値 (前日比)
14.379% 14.332% 14.723% 14.194% 14.571% +0.192


ATR 瞬間 19.363% +5.570



5日 18.087% +0.686



20日 21.746% -0.190



60日 20.551% +0.016







1月限
残存日数 15.75


修正ATM
補正値 -25


前日 始値 高値 安値 終値 (前日比)
14.162% 14.119% 14.590% 13.926% 14.428% +0.266



歪み率 4.120% +0.109
SP 始値 高値 安値 終値 前日比
14000 63.002% 61.396% 62.156% +1.302 1円売
14250 60.844% 59.247% 59.991% +1.235 1円売
14500 58.719% 57.131% 57.860% +1.168 1円売
14750 56.629% 55.049% 55.763% +1.103 1円売
15000 54.570% 52.998% 53.698% +1.039 1円売
15250 52.542% 50.978% 51.664% +0.975 1円売
15500 50.543% 48.987% 49.659% +0.913 1円売
15750 48.573% 47.025% 47.683% +0.851 1円売
16000 46.630% 45.089% 45.734% +0.790 1円売
16250 44.713% 43.179% 43.810% +0.729 1円売
16500 42.822% 41.291% 41.912% +0.670 1円売
16750 40.954% 39.427% 40.038% +0.611 1円売
17000 39.110% 37.586% 38.187% +0.552 1円売
17250 37.288% 35.767% 36.357% +0.494 1円売
17500 34.635% 35.486% 33.968% 34.549% +0.437 1円売
17750 32.863% 33.705% 32.190% 32.761% +0.380 1円売
18000 31.109% 31.943% 30.446% 30.991% +0.323 1円売
18250 29.373% 30.609% 29.100% 30.052% +0.348
18500 29.635% 30.174% 28.674% 29.113% +0.307
18750 27.829% 29.119% 27.618% 27.942% +0.072
19000 27.240% 27.819% 26.582% 26.954% +0.013
19125 26.316% 27.206% 25.825% 26.255% -0.065
19250 26.284% 26.770% 25.513% 25.666% -0.101
19375 25.339% 26.139% 24.766% 25.114% -0.101
19500 25.099% 25.497% 24.282% 24.755% +0.041
19625 25.260% 25.294% 23.894% 24.080% -0.133
19750 23.754% 24.500% 23.402% 23.488% -0.245
19875 23.275% 23.979% 22.832% 23.032% -0.219
20000 22.722% 23.412% 22.318% 22.539% -0.231
20125 22.468% 22.859% 21.838% 21.999% -0.206
20250 21.766% 22.237% 21.264% 21.464% -0.176
20375 21.024% 21.811% 20.751% 20.982% -0.203
20500 20.754% 21.284% 20.327% 20.398% -0.249
20625 20.123% 20.756% 19.873% 20.165% -0.064
20750 19.619% 20.308% 19.408% 19.652% -0.102
20875 19.183% 19.864% 18.926% 19.247% -0.070
21000 18.915% 19.404% 18.559% 18.884% +0.037
21125 18.478% 18.904% 18.102% 18.427% +0.036
21250 18.015% 18.412% 17.680% 18.047% +0.093
21375 17.414% 18.025% 17.290% 17.663% +0.055
21500 17.375% 17.658% 16.868% 17.172% +0.074
21625 17.084% 17.176% 16.483% 16.799% -0.043
21750 16.257% 16.742% 16.111% 16.481% +0.046
21875 15.920% 16.339% 15.704% 16.081% +0.018
22000 15.638% 16.004% 15.347% 15.764% +0.112
22125 15.113% 15.646% 14.995% 15.430% +0.069
22250 15.073% 15.295% 14.636% 15.044% +0.049
22375 14.732% 19.163% 14.272% 14.770% -0.010
22500 14.323% 14.698% 14.027% 14.461% -0.022
22625 14.047% 14.434% 13.760% 14.307% +0.112
22750 14.180% 14.275% 13.656% 14.153% +0.193
22875 14.339% 17.103% 13.497% 13.999% +0.215
23000 13.687% 13.969% 13.338% 13.845% +0.121
23125 13.637% 13.924% 13.323% 13.815% +0.150
23250 13.508% 13.876% 13.311% 13.805% +0.212
23375 13.310% 13.919% 13.253% 13.808% +0.288
23500 13.483% 13.948% 13.211% 13.877% +0.321
23625 13.632% 14.015% 13.365% 13.946% +0.405
23750 13.700% 14.063% 13.414% 13.997% +0.468
23875 13.708% 14.134% 13.468% 14.083% +0.491
24000 13.886% 14.194% 13.580% 14.136% +0.475
24125 13.785% 14.322% 13.657% 14.179% +0.442
24250 14.139% 14.411% 13.731% 14.233% +0.455
24375 13.960% 14.607% 13.819% 14.301% +0.522
24500 14.304% 14.811% 14.027% 14.395% +0.511
24625 14.515% 14.990% 14.165% 14.746% +0.756
24750 14.519% 15.330% 14.254% 15.010% +0.718
24875 15.221% 15.513% 14.538% 15.398% +0.936
25000 14.761% 16.158% 14.732% 15.786% +1.010
25250 16.050% 16.868% 15.469% 16.563% +1.157 1円売
25500 17.315% 18.131% 16.747% 17.835% +1.191 1円売
25750 19.374% 18.003% 19.086% +1.225 1円売
26000 20.596% 19.237% 20.316% +1.259 1円売
26500 22.983% 21.648% 22.720% +1.325 1円売

続きを読む

actok at 16:11コメント(0)IVデータ 
■大引け
相場は4日続落。昼過ぎに急反発しましたが続かず、結局マイナスサイドでの引けとなりました。IVはコール高プット安。

今日の取引はありません。


始値 高値 安値 現値 前日比
先物 22585 22720 22440 22520 -110
期近 14.332% 14.723% 14.194% 14.571% +0.192
1月限 14.119% 14.590% 13.926% 14.428% +0.266
2月限 14.607% 14.964% 14.474% 14.745% +0.041
3月限 15.603% 15.176% 15.356% -0.001

デルタ セータ Cガンマ Pガンマ ベガL ベガS



+0.20 +0.10 +325 -134
+0.84 -117 +0.29 +190
累計


545,916 -183

続きを読む

actok at 16:04コメント(0)トレードとポジション 

2017年12月14日

12月14日スマイルカーブ





原資産 22667.27




短期金利 -0.05%




期近修正ATM(残存日数24.75日換算)


前日 始値 高値 安値 終値 (前日比)
14.595% 14.411% 14.526% 14.145% 14.379% -0.216


ATR 瞬間 13.792% -5.399



5日 17.402% -1.687



20日 21.936% -0.718



60日 20.535% -0.102







1月限
残存日数 16.75


修正ATM
補正値 -25


前日 始値 高値 安値 終値 (前日比)
14.428% 14.273% 14.358% 13.877% 14.162% -0.265



歪み率 4.010% +0.038
SP 始値 高値 安値 終値 前日比
14000 61.142% 60.622% 60.854% +1.412 1円売
14250 59.052% 58.526% 58.756% +1.351 1円売
14500 56.997% 56.464% 56.692% +1.291 1円売
14750 54.973% 54.434% 54.660% +1.232 1円売
15000 52.980% 52.435% 52.660% +1.174 1円売
15250 51.018% 50.466% 50.689% +1.116 1円売
15500 49.083% 48.526% 48.747% +1.060 1円売
15750 47.177% 46.613% 46.832% +1.004 1円売
16000 45.296% 44.726% 44.944% +0.949 1円売
16250 43.441% 42.865% 43.081% +0.895 1円売
16500 41.611% 41.028% 41.243% +0.841 1円売
16750 39.803% 39.215% 39.427% +0.788 1円売
17000 38.019% 37.423% 37.635% +0.735 1円売
17250 36.255% 35.653% 35.863% +0.683 1円売
17500 34.512% 33.903% 34.112% +0.632 1円売
17750 32.300% 32.788% 32.173% 32.381% +0.581 1円売
18000 30.601% 31.084% 30.462% 30.668% -0.221 1円売
18250 28.919% 29.935% 28.767% 29.704% -0.275
18500 29.200% 29.265% 28.189% 28.806% -0.262
18750 27.451% 28.424% 27.138% 27.869% -0.245
19000 26.899% 27.295% 25.837% 26.942% -0.219
19125 26.003% 26.678% 25.460% 26.319% -0.253
19250 25.987% 26.017% 24.944% 25.767% -0.297
19375 25.073% 25.475% 24.409% 25.215% -0.341
19500 24.853% 24.966% 23.989% 24.714% -0.376
19625 24.507% 24.539% 23.607% 24.213% -0.441
19750 24.068% 24.101% 23.070% 23.732% -0.486
19875 23.554% 23.651% 22.629% 23.251% -0.433
20000 22.979% 23.013% 22.244% 22.770% -0.370
20125 22.353% 22.468% 21.789% 22.205% -0.414
20250 21.988% 22.023% 21.245% 21.640% -0.407
20375 21.519% 21.556% 20.854% 21.185% -0.363
20500 21.196% 21.233% 20.346% 20.647% -0.343
20625 20.345% 20.550% 19.979% 20.228% -0.391
20750 20.208% 20.248% 19.512% 19.754% -0.430
20875 19.740% 19.781% 19.130% 19.317% -0.449
21000 19.029% 19.292% 18.701% 18.847% -0.409
21125 18.755% 18.822% 18.292% 18.391% -0.518
21250 18.213% 18.422% 17.879% 17.954% -0.440
21375 17.660% 17.996% 17.422% 17.607% -0.417
21500 17.251% 17.625% 17.091% 17.097% -0.514
21625 17.067% 17.220% 16.684% 16.842% -0.378
21750 16.675% 16.943% 16.302% 16.435% -0.348
21875 16.106% 16.418% 15.896% 16.064% -0.429
22000 16.208% 16.272% 15.554% 15.652% -0.447
22125 15.269% 15.724% 15.209% 15.361% -0.417
22250 15.372% 15.446% 14.866% 14.995% -0.367
22375 14.960% 15.105% 14.522% 14.780% -0.324
22500 14.297% 14.763% 14.178% 14.483% -0.360
22625 14.229% 14.632% 14.002% 14.195% -0.423
22750 14.344% 14.344% 13.680% 13.960% -0.377
22875 14.494% 14.494% 13.524% 13.784% -0.327
23000 13.896% 13.896% 13.457% 13.724% -0.213
23125 14.101% 14.101% 13.390% 13.664% -0.099
23250 13.753% 13.753% 13.323% 13.593% -0.142
23375 13.575% 13.716% 13.286% 13.521% -0.137
23500 14.014% 14.014% 13.250% 13.556% -0.083
23625 13.470% 13.634% 13.221% 13.541% -0.052
23750 13.772% 13.772% 13.288% 13.528% -0.121
23875 13.736% 13.736% 13.311% 13.592% -0.068
24000 13.747% 13.747% 13.338% 13.661% -0.009
24125 13.758% 13.758% 13.366% 13.736% +0.055
24250 14.080% 14.080% 13.414% 13.778% +0.077
24375 13.967% 13.967% 13.381% 13.779% +0.072
24500 14.147% 14.147% 13.580% 13.884% +0.092
24625 14.098% 14.098% 13.597% 13.989% +0.154
24750 14.292% 14.444% 13.786% 14.292% +0.384
24875 14.283% 14.635% 13.846% 14.462% +0.296
25000 13.868% 15.191% 13.840% 14.777% +0.480
25250 15.122% 15.570% 14.803% 15.405% +0.319 1円売
25500 16.352% 16.806% 15.877% 16.644% +0.843 1円売
25750 17.562% 18.020% 17.090% 17.861% +0.875 1円売
26000 19.215% 18.283% 19.058% +0.907 1円売
26500 21.548% 20.611% 21.395% +0.970 1円売

続きを読む

actok at 16:37コメント(0)IVデータ 
■大引け
相場は小幅続落。IVも軟調でした。

夜間取引。
1C243@14円×6枚売り。

今日の取引。
1C252@1円×40枚返済売り。
1C237@42円×2枚買い。


始値 高値 安値 現値 前日比
先物 22665 22750 22595 22630 -70
期近 14.411% 14.526% 14.145% 14.379% -0.216
1月限 14.273% 14.358% 13.877% 14.162% -0.265
2月限 14.628% 14.849% 14.482% 14.704% -0.200
3月限 15.500% 15.205% 15.358% -0.002

デルタ セータ Cガンマ Pガンマ ベガL ベガS



+0.26 +0.09 +369 -145
+0.99 -124 +0.35 +224
累計


546,099 -214

続きを読む

actok at 16:24コメント(0)トレードとポジション 

2017年12月13日

12月13日スマイルカーブ





原資産 22729.77




短期金利 -0.05%




期近修正ATM(残存日数24.75日換算)


前日 始値 高値 安値 終値 (前日比)
14.496% 14.392% 14.779% 14.272% 14.595% +0.099


ATR 瞬間 19.191% +7.909



5日 19.089% +0.097



20日 22.655% -0.310



60日 20.637% +0.000







1月限
残存日数 17.75


修正ATM
補正値 -20


前日 始値 高値 安値 終値 (前日比)
14.350% 14.207% 14.648% 14.041% 14.428% +0.078



歪み率 3.972% -0.038
SP 始値 高値 安値 終値 前日比
14000 59.730% 59.079% 59.442% +0.975 1円売
14250 57.708% 57.048% 57.405% +0.918 1円売
14500 55.719% 55.050% 55.401% +0.863 1円売
14750 53.761% 53.083% 53.428% +0.807 1円売
15000 51.833% 51.146% 51.486% +0.753 1円売
15250 49.933% 49.237% 49.572% +0.699 1円売
15500 48.062% 47.357% 47.687% +0.646 1円売
15750 46.217% 45.503% 45.828% +0.594 1円売
16000 44.398% 43.675% 43.995% +0.542 1円売
16250 42.604% 41.872% 42.186% +0.491 1円売
16500 40.833% 40.092% 40.402% +0.441 1円売
16750 39.085% 38.335% 38.640% +0.391 1円売
17000 37.378% 37.378% 36.599% 36.899% +0.341 1円売
17250 35.653% 34.884% 35.180% +0.292 1円売
17500 33.989% 33.989% 33.189% 33.481% +0.243 1円売
17750 32.324% 32.365% 31.513% 31.800% -0.415 1円売
18000 32.816% 32.816% 30.889% 30.889% -0.303
18250 31.089% 31.089% 29.299% 29.979% -0.192
18500 29.379% 29.859% 28.737% 29.068% -0.080
18750 27.684% 29.010% 27.564% 28.114% -0.025
19000 27.191% 27.275% 26.835% 27.160% +0.026
19125 26.324% 26.852% 26.230% 26.572% -0.093
19250 26.341% 26.417% 25.947% 26.064% -0.131
19375 25.457% 25.787% 25.268% 25.556% -0.095
19500 25.271% 25.336% 24.875% 25.090% -0.017
19625 24.961% 24.961% 24.317% 24.654% +0.091
19750 24.048% 24.334% 23.839% 24.219% +0.098
19875 23.631% 23.946% 23.347% 23.685% +0.068
20000 23.143% 23.304% 22.885% 23.141% +0.009
20125 22.595% 22.823% 22.368% 22.620% -0.097
20250 22.326% 22.332% 21.909% 22.047% -0.047
20375 21.656% 21.811% 21.361% 21.547% -0.134
20500 21.465% 21.465% 20.898% 20.990% -0.183
20625 20.691% 20.892% 20.482% 20.620% -0.020
20750 20.302% 20.464% 19.971% 20.184% -0.059
20875 19.813% 19.996% 19.566% 19.766% -0.047
21000 19.396% 19.557% 19.121% 19.256% -0.164
21125 19.012% 19.098% 18.669% 18.908% -0.023
21250 18.512% 18.697% 18.279% 18.394% -0.058
21375 18.128% 18.242% 17.852% 18.024% +0.015
21500 17.615% 17.823% 17.406% 17.611% -0.040
21625 17.246% 17.426% 16.811% 17.220% -0.082
21750 16.730% 17.047% 16.704% 16.783% -0.154
21875 16.425% 16.742% 16.311% 16.493% -0.076
22000 16.245% 16.300% 15.936% 16.098% -0.086
22125 15.855% 16.171% 15.638% 15.778% -0.128
22250 15.534% 15.642% 15.289% 15.362% -0.176
22375 15.240% 15.318% 15.013% 15.103% -0.103
22500 14.721% 15.068% 14.686% 14.843% -0.111
22625 14.406% 14.913% 14.361% 14.618% -0.127
22750 14.243% 14.581% 14.077% 14.338% -0.198
22875 14.202% 14.400% 13.977% 14.111% -0.178
23000 13.977% 14.239% 13.697% 13.937% -0.194
23125 14.186% 14.186% 13.509% 13.763% -0.246
23250 13.674% 13.978% 13.532% 13.734% -0.183
23375 13.981% 13.981% 13.415% 13.658% -0.259
23500 13.774% 13.966% 13.391% 13.640% -0.276
23625 13.499% 13.903% 13.429% 13.593% -0.261
23750 13.842% 13.853% 13.430% 13.650% -0.141
23875 13.585% 13.857% 13.428% 13.660% -0.187
24000 13.840% 13.859% 13.461% 13.670% -0.182
24125 13.767% 13.875% 13.501% 13.681% -0.153
24250 14.014% 14.014% 13.503% 13.701% -0.247
24375 13.895% 13.900% 13.580% 13.707% -0.226
24500 13.803% 13.941% 13.589% 13.792% -0.225
24625 14.146% 14.146% 13.630% 13.836% -0.177
24750 14.034% 14.034% 13.711% 13.907% -0.207
24875 13.966% 14.234% 13.730% 14.166% +0.012
25000 14.138% 14.417% 13.828% 14.296% +0.075
25250 14.762% 15.483% 14.531% 15.086% +0.589
25500 14.893% 15.953% 14.893% 15.801% +1.138 1円売
25750 16.075% 17.133% 16.075% 16.986% +1.165 1円売
26000 18.293% 17.247% 18.150% +1.193 1円売
26500 20.559% 19.514% 20.425% +1.247 1円売

続きを読む

actok at 17:38コメント(0)IVデータ 
■大引け
相場は小幅続落。IVは小幅まちまちでした。

今日の取引。
1C235@95円×2枚買い。


始値 高値 安値 現値 前日比
先物 22845 22875 22655 22700 -140
期近 14.392% 14.779% 14.272% 14.595% +0.099
1月限 14.207% 14.648% 14.041% 14.428% +0.078
2月限 14.754% 15.074% 14.682% 14.904% +0.067
3月限 15.560% 15.252% 15.359% -0.018

デルタ セータ Cガンマ Pガンマ ベガL ベガS



+0.37 +0.11 +450 -135
+1.24 -158 +0.48 +315
累計


546,314 -365

続きを読む

actok at 17:26コメント(0)トレードとポジション 

2017年12月12日

12月12日スマイルカーブ





原資産 22869.33




短期金利 -0.05%




期近修正ATM(残存日数24.75日換算)


前日 始値 高値 安値 終値 (前日比)
14.933% 14.655% 14.873% 14.475% 14.496% -0.436


ATR 瞬間 11.282% -0.051



5日 18.992% -3.959



20日 22.964% -1.340



60日 20.636% -0.412







1月限
残存日数 18.75


修正ATM
補正値 -25


前日 始値 高値 安値 終値 (前日比)
14.835% 14.483% 14.783% 14.273% 14.350% -0.485



歪み率 4.010% +0.112
SP 始値 高値 安値 終値 前日比
14000 58.720% 58.257% 58.467% +1.251 1円売
14250 56.754% 56.279% 56.487% +1.200 1円売
14500 54.819% 54.333% 54.538% +1.149 1円売
14750 52.915% 52.418% 52.621% +1.099 1円売
15000 51.040% 50.532% 50.733% +1.050 1円売
15250 49.194% 48.674% 48.873% +1.002 1円売
15500 47.053% 47.374% 46.843% 47.040% +0.954 1円売
15750 45.259% 45.580% 45.039% 45.234% +0.907 1円売
16000 43.490% 43.812% 43.259% 43.453% +0.860 1円売
16250 42.067% 41.504% 41.695% +0.814 1円売
16500 40.346% 39.772% 39.961% +0.769 1円売
16750 38.647% 38.061% 38.249% +0.724 1円売
17000 36.968% 36.372% 36.558% +0.680 1円売
17250 34.988% 35.359% 34.704% 34.888% +0.636 1円売
17500 33.350% 34.194% 33.055% 33.237% +0.041 1円売
17750 31.730% 32.855% 31.424% 32.215% +0.075
18000 32.225% 32.252% 31.193% 31.193% +0.102
18250 30.546% 31.609% 30.128% 30.170% +0.129
18500 28.883% 29.614% 28.883% 29.148% +0.083
18750 28.461% 28.716% 27.967% 28.139% +0.050
19000 26.767% 27.592% 26.767% 27.135% +0.045
19125 26.812% 27.033% 26.467% 26.665% +0.086
19250 26.533% 26.017% 26.195% +0.114
19375 25.794% 26.074% 25.487% 25.651% +0.080
19500 24.918% 25.540% 24.918% 25.107% +0.161
19625 24.623% 25.123% 24.528% 24.563% -0.010
19750 24.237% 24.562% 24.065% 24.120% +0.034
19875 23.780% 24.104% 23.559% 23.617% +0.013
20000 23.631% 23.663% 23.132% 23.132% -0.082
20125 22.698% 23.074% 22.581% 22.717% -0.013
20250 22.089% 22.621% 22.073% 22.094% -0.150
20375 21.724% 22.112% 21.644% 21.682% -0.078
20500 21.270% 21.658% 21.157% 21.172% -0.102
20625 20.957% 21.265% 20.640% 20.640% -0.339
20750 20.537% 20.787% 20.243% 20.243% -0.322
20875 20.030% 20.384% 19.813% 19.813% -0.263
21000 19.598% 19.911% 19.380% 19.421% -0.255
21125 19.072% 19.497% 18.931% 18.931% -0.350
21250 18.818% 19.065% 18.453% 18.453% -0.470
21375 18.421% 18.667% 18.008% 18.008% -0.505
21500 18.090% 18.380% 17.652% 17.652% -0.475
21625 17.703% 17.908% 17.273% 17.302% -0.455
21750 17.544% 17.593% 16.938% 16.938% -0.564
21875 16.878% 17.290% 16.569% 16.569% -0.493
22000 16.704% 16.824% 15.969% 16.184% -0.617
22125 16.067% 16.517% 15.873% 15.906% -0.493
22250 16.047% 16.198% 15.538% 15.538% -0.511
22375 15.333% 15.918% 15.090% 15.206% -0.554
22500 15.119% 15.561% 14.917% 14.953% -0.548
22625 14.885% 15.393% 14.615% 14.744% -0.577
22750 15.015% 15.204% 14.420% 14.535% -0.565
22875 14.522% 15.013% 14.206% 14.290% -0.569
23000 14.391% 14.751% 13.995% 14.131% -0.606
23125 14.529% 14.573% 13.838% 14.009% -0.605
23250 14.199% 14.454% 13.794% 13.917% -0.573
23375 14.220% 14.296% 13.703% 13.917% -0.452
23500 14.203% 14.281% 13.716% 13.916% -0.392
23625 14.163% 14.188% 13.655% 13.853% -0.455
23750 14.121% 14.243% 13.595% 13.791% -0.502
23875 13.776% 14.376% 13.652% 13.846% -0.449
24000 14.198% 14.356% 13.708% 13.853% -0.454
24125 14.020% 14.362% 13.742% 13.834% -0.510
24250 14.020% 14.386% 13.773% 13.948% -0.434
24375 14.251% 14.435% 13.802% 13.933% -0.518
24500 14.296% 14.451% 13.826% 14.017% -0.427
24625 14.266% 14.511% 13.774% 14.013% -0.455
24750 14.417% 14.554% 13.839% 14.115% -0.369
24875 14.363% 14.592% 13.991% 14.155% -0.415
25000 14.381% 14.664% 14.132% 14.221% -0.433
25250 14.758% 14.767% 14.357% 14.497% -0.342
25500 15.305% 15.305% 14.551% 14.663% -0.391 1円売
25750 15.360% 15.947% 15.039% 15.820% +0.310 1円売
26000 16.492% 17.083% 16.175% 16.958% +0.711 1円売
26500 19.298% 18.389% 19.178% +0.765 1円売

続きを読む

actok at 23:44コメント(0)IVデータ 
■大引け
相場は小反落。IVはFOTMプットを除き続落しました。

今日の取引。
1C237@70円×2枚買い。


始値 高値 安値 現値 前日比
先物 22905 22965 22800 22840 -55
期近 14.655% 14.873% 14.475% 14.496% -0.436
1月限 14.483% 14.783% 14.273% 14.350% -0.485
2月限 15.080% 15.204% 14.807% 14.837% -0.387
3月限 15.477% 15.605% 15.371% 15.377% -0.283

デルタ セータ Cガンマ Pガンマ ベガL ベガS



+0.47 +0.10 +525 -144
+1.62 -173 +0.57 +381
累計


546,679 -396

続きを読む

actok at 23:42コメント(0)トレードとポジション 

2017年12月11日

12月11日スマイルカーブ





原資産 22923.85




短期金利 -0.05%




期近修正ATM(残存日数24.75日換算)


前日 始値 高値 安値 終値 (前日比)
15.534% 15.289% 15.289% 14.765% 14.933% -0.602


ATR 瞬間 11.334% -14.373



5日 22.951% -6.139



20日 24.304% -1.660



60日 21.049% -0.575







1月限
残存日数 19.75


修正ATM
補正値 -25


前日 始値 高値 安値 終値 (前日比)
15.478% 15.251% 15.251% 14.626% 14.835% -0.642



歪み率 3.898% +0.160
SP 始値 高値 安値 終値 前日比
14000 57.267% 56.373% 57.215% +1.834 1円売
14250 55.339% 54.452% 55.287% +1.788 1円売
14500 53.442% 52.561% 53.389% +1.743 1円売
14750 51.575% 50.701% 51.522% +1.699 1円売
15000 49.736% 48.868% 49.683% +1.655 1円売
15250 47.925% 47.063% 47.871% +1.612 1円売
15500 46.141% 45.285% 46.086% +1.570 1円売
15750 44.382% 43.531% 44.327% +1.529 1円売
16000 42.647% 41.802% 42.592% +1.488 1円売
16250 40.936% 40.096% 40.881% +1.448 1円売
16500 38.825% 39.248% 38.413% 39.192% +1.408 1円売
16750 37.168% 37.581% 36.751% 37.525% +1.369 1円売
17000 35.531% 35.935% 35.110% 35.878% +1.330 1円売
17250 36.227% 36.252% 33.629% 34.252% +0.590 1円売
17500 34.536% 34.561% 32.853% 33.196% +0.420
17750 32.863% 32.888% 31.779% 32.140% +0.249
18000 31.208% 31.697% 30.718% 31.091% +0.116
18250 30.879% 30.905% 29.713% 30.042% -0.017
18500 29.196% 29.605% 28.765% 29.065% -0.029
18750 28.458% 28.577% 27.760% 28.089% -0.211
19000 27.497% 27.525% 26.744% 27.090% -0.297
19125 26.633% 26.842% 26.171% 26.579% -0.307
19250 26.381% 26.410% 25.800% 26.082% -0.401
19375 25.508% 25.926% 25.192% 25.571% -0.435
19500 25.618% 25.647% 24.742% 24.946% -0.546
19625 24.722% 24.944% 24.301% 24.573% -0.484
19750 24.234% 24.507% 23.857% 24.087% -0.588
19875 24.672% 24.704% 23.372% 23.604% -0.691
20000 23.731% 23.763% 22.727% 23.214% -0.646
20125 23.066% 23.206% 22.518% 22.729% -0.669
20250 22.620% 22.735% 22.067% 22.244% -0.593
20375 22.321% 22.355% 21.556% 21.759% -0.686
20500 21.731% 21.776% 21.091% 21.275% -0.749
20625 21.768% 21.805% 20.768% 20.978% -0.702
20750 21.333% 21.371% 20.338% 20.565% -0.598
20875 20.816% 20.854% 19.953% 20.076% -0.715
21000 20.346% 20.385% 19.517% 19.676% -0.730
21125 19.899% 19.939% 19.153% 19.282% -0.739
21250 19.164% 19.286% 18.630% 18.923% -0.638
21375 18.912% 18.955% 18.326% 18.513% -0.643
21500 18.519% 18.564% 17.900% 18.126% -0.675
21625 18.006% 18.053% 17.541% 17.757% -0.613
21750 17.712% 17.762% 17.265% 17.502% -0.567
21875 17.268% 17.399% 16.784% 17.062% -0.551
22000 16.961% 17.039% 16.500% 16.801% -0.563
22125 16.739% 16.797% 16.239% 16.399% -0.617
22250 16.564% 16.627% 15.921% 16.050% -0.587
22375 15.975% 16.108% 15.499% 15.760% -0.506
22500 16.051% 16.123% 15.267% 15.501% -0.586
22625 15.893% 15.972% 15.056% 15.322% -0.495
22750 15.516% 15.602% 14.855% 15.101% -0.473
22875 15.246% 15.249% 14.616% 14.859% -0.476
23000 15.124% 15.124% 14.347% 14.736% -0.376
23125 14.413% 15.261% 14.144% 14.614% -0.412
23250 15.041% 15.041% 14.098% 14.491% -0.447
23375 14.831% 14.831% 14.029% 14.368% -0.483
23500 14.572% 14.598% 14.025% 14.308% -0.446
23625 14.518% 14.625% 14.012% 14.309% -0.480
23750 14.756% 14.756% 14.051% 14.293% -0.495
23875 14.475% 14.637% 13.820% 14.295% -0.511
24000 14.579% 14.726% 14.065% 14.307% -0.548
24125 14.870% 14.870% 14.089% 14.344% -0.585
24250 14.808% 14.808% 14.121% 14.382% -0.636
24375 14.804% 14.827% 14.197% 14.450% -0.643
24500 14.950% 14.950% 14.262% 14.444% -0.753
24625 15.064% 15.064% 14.223% 14.468% -0.821
24750 14.973% 15.032% 14.351% 14.483% -0.909
24875 15.074% 15.144% 14.383% 14.569% -0.939
25000 15.274% 15.274% 14.491% 14.655% -0.960
25250 15.615% 15.615% 14.599% 14.839% -0.990
25500 15.872% 15.872% 15.028% 15.054% -0.964
25750 16.152% 15.361% 15.510% -0.740
26000 16.276% 16.823% 16.178% 16.246% -0.267 1円売
26500 18.428% 18.973% 18.345% 18.413% -0.034 1円売

続きを読む

actok at 23:29コメント(0)IVデータ 
■大引け
週明けの相場は小幅続伸。IVは続落しました。

夜間取引。
1C252@5円×24枚買い。
1P200@13円×16枚買い。
1C247@12円×8枚買い。
1P200@12円×12枚買い。
1P172@1円×11枚返済売り。

今日の取引。
1C245@16円×4枚買い。
1P210@40円×2枚買い。


始値 高値 安値 現値 前日比
先物 22865 22915 22755 22895 +110
期近 15.289% 15.289% 14.765% 14.933% -0.602
1月限 15.251% 15.251% 14.626% 14.835% -0.642
2月限 15.413% 15.474% 15.145% 15.224% -0.535
3月限 15.891% 15.661% 15.661% -0.428

デルタ セータ Cガンマ Pガンマ ベガL ベガS



+0.62 +0.11 +658 -154
+2.20 -214 +0.72 +504
累計


547,074 -297

続きを読む

actok at 23:13コメント(0)トレードとポジション 
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