2018年09月21日

9月21日スマイルカーブ






原資産 23906.75




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)
14.484% 14.586% 14.961% 14.414% 14.766% +0.282


ATR 瞬間 24.410% +9.435



5日 22.650% +0.934



20日 19.656% +0.548



60日 19.029% +0.229







10月限
残存日数 12.75


修正ATM
補正値 -155


前日 始値 高値 安値 終値 (前日比)
14.224% 14.327% 14.747% 14.125% 14.579% +0.355



歪み率 5.779% +0.145
SP 始値 高値 安値 終値 前日比
15000 66.904% 65.320% 66.602% +3.978 1円売
16000 58.151% 56.613% 57.834% +3.670 1円売
16500 52.873% 53.957% 52.441% 53.634% +3.524 1円売
16750 51.902% 50.396% 51.575% +3.453 1円売
17000 49.874% 48.378% 49.543% +3.383 1円売
17250 47.871% 46.385% 47.537% +3.314 1円売
17500 44.868% 45.893% 44.415% 45.554% +2.868 1円売
17750 42.928% 43.938% 42.469% 43.596% +2.249
18000 41.010% 42.370% 41.010% 42.186% +2.178
18250 39.113% 40.777% 39.107% 40.777% +2.107
18500 37.236% 39.674% 37.236% 39.548% +2.216
18750 37.839% 38.318% 36.699% 38.318% +2.347
19000 37.475% 37.506% 35.192% 36.887% +2.275
19250 35.474% 35.506% 33.555% 35.456% +2.204
19500 33.490% 34.025% 32.519% 34.025% +2.109
19750 31.523% 32.547% 31.077% 32.547% +1.966
19875 30.544% 31.824% 30.330% 31.824% +1.887
20000 30.586% 31.101% 29.721% 31.101% +1.806
20125 29.587% 30.423% 29.002% 30.423% +1.794
20250 29.397% 29.746% 28.334% 29.746% +1.759
20375 28.382% 29.069% 27.750% 29.069% +1.725
20500 27.370% 28.384% 27.055% 28.384% +1.682
20625 27.002% 27.699% 26.321% 27.699% +1.640
20750 26.531% 27.064% 25.716% 27.064% +1.651
20875 25.489% 26.324% 25.018% 26.324% +1.612
21000 24.922% 25.584% 24.334% 25.584% +1.576
21125 24.290% 24.896% 23.684% 24.896% +1.507
21250 23.602% 24.209% 23.119% 24.209% +1.509
21375 23.190% 23.447% 22.483% 23.447% +1.389
21500 22.382% 22.734% 21.836% 22.685% +1.186
21625 22.052% 22.162% 21.088% 22.106% +1.202
21750 21.136% 21.533% 20.611% 21.533% +1.299
21875 20.605% 20.898% 20.039% 20.782% +1.100
22000 19.970% 20.376% 19.518% 20.233% +1.096
22125 19.246% 19.745% 18.998% 19.653% +1.049
22250 18.727% 19.265% 18.430% 19.056% +0.983
22375 18.202% 18.703% 17.916% 18.544% +0.961
22500 17.647% 18.176% 17.421% 18.023% +0.971
22625 17.045% 17.668% 16.952% 17.536% +0.956
22750 16.719% 17.244% 16.507% 17.073% +0.906
22875 16.026% 16.807% 16.026% 16.588% +0.858
23000 15.906% 16.414% 15.430% 16.306% +0.935
23125 15.498% 16.238% 15.072% 15.870% +0.897
23250 15.274% 15.876% 14.941% 15.557% +0.905
23375 14.754% 15.525% 14.457% 15.150% +0.809
23500 14.668% 15.237% 14.197% 14.900% +0.718
23625 14.699% 15.019% 14.125% 14.671% +0.599
23750 14.137% 14.753% 14.008% 14.581% +0.592
23875 14.014% 14.822% 13.877% 14.491% +0.559
24000 13.871% 14.810% 13.783% 14.519% +0.592
24125 14.105% 14.675% 13.973% 14.547% +0.598
24250 13.986% 14.791% 13.914% 14.551% +0.548
24375 14.414% 14.689% 14.185% 14.554% +0.534
24500 14.344% 14.792% 14.222% 14.574% +0.635
24625 14.458% 14.840% 14.333% 14.670% +0.550
24750 14.523% 14.892% 14.344% 14.781% +0.643
24875 14.590% 15.059% 14.472% 14.881% +0.625
25000 14.595% 15.131% 14.549% 14.980% +0.665
25125 14.781% 15.230% 14.647% 15.064% +0.652
25250 14.915% 15.410% 14.661% 15.184% +0.628
25375 15.043% 15.530% 14.885% 15.369% +0.604
25500 15.253% 15.724% 15.050% 15.446% +0.589
25625 15.215% 15.871% 15.016% 15.590% +0.640
25750 15.438% 16.062% 15.246% 15.751% +0.439
26000 16.185% 16.399% 14.856% 16.055% +0.019
26250 16.383% 16.992% 16.072% 16.284% -1.083
26500 17.739% 18.346% 17.194% 17.641% -1.034 1円売
26750 19.677% 18.543% 18.989% -0.973 1円売
27000 20.987% 19.869% 20.314% -0.914 1円売
続きを読む

actok at 16:46コメント(0)IVデータ 
■大引け
相場は反発して直近高値を更新。IVも全面高となりました。

夜間取引。
10C248@23円×4枚売り。
10C251@15円×4枚売り。
10P177@1円×32枚返済売り。
10C237@275円×1枚買い。
先物ミニ10月限@23670円×5枚売り。

今日の取引。
10C241@160円×1枚売り。
10P180@1円×32枚返済売り。
10C241@175円×1枚売り。
10C246@57円×4枚売り。
先物ミニ10月限@23740円×5枚買い戻し。


始値 高値 安値 現値 前日比
先物 23710 23825 23605 23750 +290
期近 14.586% 14.961% 14.414% 14.766% +0.282
10月限 14.327% 14.747% 14.125% 14.579% +0.355
11月限 14.768% 15.145% 14.544% 14.890% +0.194
12月限 15.343% 14.844% 15.087% +0.171

デルタ セータ Cガンマ Pガンマ ベガL ベガS



+0.42 +0.02 +525 -329
+1.18 -117 +0.45 +196
累計


558,419 +413
続きを読む

actok at 16:45コメント(0)トレードとポジション 

2018年09月20日

9月20日スマイルカーブ






原資産 23621.91




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)
14.650% 14.379% 14.926% 14.003% 14.484% -0.167


ATR 瞬間 14.975% -15.284



5日 21.716% -3.628



20日 19.108% -0.636



60日 18.800% -0.324







10月限
残存日数 13.75


修正ATM
補正値 -155


前日 始値 高値 安値 終値 (前日比)
14.498% 14.363% 14.790% 13.714% 14.224% -0.274



歪み率 5.634% -0.128
SP 始値 高値 安値 終値 前日比
15000 63.144% 62.287% 62.625% +1.887 1円売
16000 54.403% 54.707% 53.836% 54.164% +1.592 1円売
16500 50.390% 50.664% 49.786% 50.109% +1.450 1円売
16750 48.423% 48.682% 47.801% 48.122% +0.735 1円売
17000 46.481% 47.089% 45.841% 46.160% +0.046 1円売
17250 44.563% 46.471% 43.905% 44.223% -0.620 1円売
17500 45.543% 45.543% 42.154% 42.686% -0.884
17750 40.797% 43.384% 40.769% 41.347% -0.910
18000 41.603% 41.935% 40.009% 40.009% -0.936
18250 41.380% 41.380% 38.670% 38.670% -0.854
18500 39.392% 39.392% 37.024% 37.331% -0.772
18750 37.425% 37.425% 35.972% 35.972% -0.733
19000 35.475% 36.065% 34.607% 34.612% -0.694
19250 34.665% 35.439% 33.104% 33.252% -0.656
19500 32.696% 33.323% 31.805% 31.917% -0.592
19750 31.592% 31.886% 30.502% 30.581% -0.621
19875 31.318% 31.318% 29.880% 29.937% -0.634
20000 30.309% 30.476% 28.935% 29.294% -0.593
20125 29.912% 29.912% 28.539% 28.629% -0.577
20250 29.430% 29.430% 27.879% 27.987% -0.538
20375 28.398% 28.478% 27.144% 27.344% -0.555
20500 27.836% 27.836% 26.592% 26.702% -0.581
20625 26.795% 27.096% 25.954% 26.059% -0.533
20750 26.165% 26.527% 25.262% 25.413% -0.533
20875 25.486% 25.922% 24.578% 24.711% -0.563
21000 25.087% 25.087% 23.906% 24.008% -0.596
21125 24.303% 24.361% 23.308% 23.389% -0.522
21250 23.486% 23.658% 22.572% 22.699% -0.568
21375 23.352% 23.352% 21.940% 22.058% -0.527
21500 21.993% 22.324% 21.364% 21.500% -0.453
21625 21.282% 21.721% 20.767% 20.904% -0.422
21750 21.052% 21.052% 20.133% 20.234% -0.527
21875 20.501% 20.501% 19.568% 19.682% -0.503
22000 19.710% 19.849% 19.031% 19.136% -0.471
22125 19.111% 19.188% 18.457% 18.605% -0.498
22250 18.629% 18.629% 17.951% 18.073% -0.534
22375 18.009% 18.056% 17.441% 17.583% -0.511
22500 17.534% 17.575% 16.943% 17.052% -0.509
22625 16.899% 17.077% 16.480% 16.580% -0.485
22750 16.475% 16.766% 16.035% 16.166% -0.416
22875 16.107% 16.380% 15.465% 15.730% -0.347
23000 15.859% 15.901% 15.122% 15.371% -0.452
23125 15.094% 15.593% 14.662% 14.973% -0.472
23250 14.617% 15.342% 14.277% 14.652% -0.416
23375 14.336% 14.944% 13.969% 14.341% -0.414
23500 14.292% 14.741% 13.700% 14.182% -0.338
23625 14.378% 14.580% 13.092% 14.072% -0.310
23750 13.868% 14.532% 13.248% 13.988% -0.241
23875 13.801% 14.564% 13.439% 13.932% -0.226
24000 13.857% 14.506% 13.291% 13.927% -0.274
24125 14.094% 14.579% 13.285% 13.949% -0.146
24250 13.949% 14.597% 13.368% 14.003% -0.160
24375 14.010% 14.630% 13.449% 14.020% -0.140
24500 14.111% 14.658% 13.564% 13.939% -0.277
24625 14.059% 14.695% 13.677% 14.120% -0.097
24750 14.060% 14.770% 13.786% 14.138% -0.108
24875 14.249% 14.860% 13.751% 14.256% -0.067
25000 14.327% 14.974% 13.967% 14.315% -0.059
25125 14.286% 15.239% 14.072% 14.412% -0.026
25250 14.417% 15.173% 14.144% 14.556% -0.018
25375 14.627% 15.346% 14.265% 14.765% +0.101
25500 14.597% 15.495% 14.467% 14.857% +0.082
25625 14.817% 15.646% 14.592% 14.949% +0.013
25750 14.826% 15.796% 14.717% 15.311% +0.213
26000 15.082% 16.288% 15.082% 16.036% +0.239 1円売
26250 17.615% 16.409% 17.367% +0.905 1円売
26500 18.920% 17.710% 18.675% +0.948 1円売
26750 20.203% 18.990% 19.962% +0.991 1円売
27000 21.466% 20.249% 21.228% +1.033 1円売
続きを読む

actok at 17:42コメント(0)IVデータ 
■大引け
相場は5営業日ぶりに反落。IVもOTMコールを除き下落しました。

今日の取引はありません。


始値 高値 安値 現値 前日比
先物 23595 23630 23415 23460 -60
期近 14.379% 14.926% 14.003% 14.484% -0.167
10月限 14.363% 14.790% 13.714% 14.224% -0.274
11月限 14.393% 15.101% 14.222% 14.696% -0.106
12月限 15.188% 14.550% 14.916% -0.129

デルタ セータ Cガンマ Pガンマ ベガL ベガS



+0.39 +0.00 +384 -199
+0.71 -114 +0.40 +185
累計


558,006 -286
続きを読む

actok at 17:31コメント(0)トレードとポジション 

2018年09月19日

9月19日スマイルカーブ






原資産 23679.99




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)
14.774% 14.586% 15.166% 14.478% 14.650% -0.124


ATR 瞬間 30.259% -0.076



5日 25.344% +2.142



20日 19.745% +0.850



60日 19.124% +0.119







10月限
残存日数 14.75


修正ATM
補正値 -160


前日 始値 高値 安値 終値 (前日比)
14.711% 14.673% 15.155% 14.216% 14.498% -0.213



歪み率 5.762% -0.061
SP 始値 高値 安値 終値 前日比
15000 61.023% 60.353% 60.738% +3.134 1円売
16000 52.687% 52.876% 52.258% 52.572% +1.666 1円売
16500 48.810% 48.972% 48.378% 48.659% +0.501
16750 46.910% 47.461% 46.554% 47.387% +0.603
17000 45.035% 46.252% 44.724% 46.115% +0.557
17250 46.072% 46.100% 43.711% 44.842% +0.511
17500 44.137% 44.164% 42.693% 43.570% +0.570
17750 42.224% 42.481% 41.461% 42.257% +0.588
18000 42.061% 42.089% 40.213% 40.945% +0.607
18250 40.121% 40.150% 39.037% 39.524% +0.621
18500 38.202% 38.773% 37.792% 38.103% +0.636
18750 37.492% 37.522% 36.268% 36.705% +0.671
19000 35.558% 36.056% 35.163% 35.306% +0.622
19250 34.549% 34.803% 33.746% 33.908% +0.573
19500 32.606% 33.461% 32.352% 32.509% +0.524
19750 32.031% 32.146% 31.074% 31.203% +0.655
19875 31.038% 31.544% 30.531% 30.571% +0.665
20000 30.598% 30.824% 29.800% 29.887% +0.624
20125 30.090% 30.239% 29.161% 29.206% +0.610
20250 29.078% 29.643% 28.388% 28.525% +0.596
20375 28.909% 28.973% 27.819% 27.899% +0.637
20500 27.879% 28.318% 27.173% 27.283% +0.673
20625 27.213% 27.666% 26.477% 26.592% +0.728
20750 26.509% 26.966% 25.864% 25.945% +0.710
20875 26.066% 26.307% 25.171% 25.275% +0.697
21000 25.277% 25.684% 24.522% 24.604% +0.649
21125 24.708% 25.093% 23.694% 23.911% +0.633
21250 24.075% 24.417% 23.179% 23.267% +0.620
21375 23.386% 23.752% 22.521% 22.586% +0.539
21500 22.459% 23.135% 21.723% 21.953% +0.521
21625 22.032% 22.520% 21.193% 21.327% +0.541
21750 21.498% 21.952% 20.685% 20.761% +0.504
21875 21.141% 21.309% 20.110% 20.185% +0.519
22000 20.169% 20.757% 19.525% 19.608% +0.502
22125 19.727% 20.187% 18.955% 19.103% +0.521
22250 19.059% 19.633% 18.426% 18.607% +0.601
22375 18.657% 19.096% 17.907% 18.093% +0.516
22500 17.943% 18.582% 17.398% 17.560% +0.436
22625 17.489% 18.065% 16.910% 17.065% +0.448
22750 16.808% 17.618% 16.434% 16.582% +0.308
22875 16.472% 17.233% 16.011% 16.077% +0.254
23000 15.928% 16.734% 15.575% 15.823% +0.314
23125 15.700% 16.355% 15.166% 15.445% +0.342
23250 15.221% 16.005% 14.931% 15.068% +0.269
23375 14.952% 15.694% 14.518% 14.755% +0.262
23500 14.405% 15.491% 14.252% 14.520% +0.198
23625 14.680% 15.133% 14.129% 14.382% +0.089
23750 14.343% 15.010% 13.979% 14.229% +0.017
23875 14.697% 14.946% 13.967% 14.159% -0.060
24000 14.426% 14.942% 13.974% 14.202% -0.100
24125 14.543% 14.938% 13.915% 14.095% -0.145
24250 14.626% 15.068% 13.985% 14.162% -0.148
24375 14.395% 15.004% 14.070% 14.160% -0.215
24500 14.604% 15.084% 14.085% 14.217% -0.214
24625 14.540% 15.156% 14.130% 14.217% -0.252
24750 14.779% 15.150% 14.151% 14.247% -0.266
24875 14.775% 15.240% 14.197% 14.323% -0.287
25000 14.702% 15.278% 14.198% 14.374% -0.296
25125 14.762% 15.391% 14.350% 14.438% -0.391
25250 14.938% 15.552% 14.235% 14.575% -0.475
25500 15.109% 15.697% 14.724% 14.775% -0.517
25750 15.453% 16.019% 15.060% 15.098% -0.550
26000 16.329% 16.329% 15.492% 15.797% -0.208
26250 16.918% 16.918% 15.861% 16.462% -0.780 1円売
26500 16.967% 17.727% 16.868% 17.727% -0.730 1円売
26750 18.204% 18.971% 18.107% 18.971% -0.683 1円売
27000 20.196% 19.325% 20.196% -0.636 1円売
続きを読む

actok at 17:29コメント(0)IVデータ 
■大引け
相場は4日続伸。IVはOTMコールが安いほかは堅調でした。

夜間取引。
10P180@3円×32枚買い。
10P190@5円×16枚買い。
10C240@97円×2枚買い。
10P195@7円×16枚買い。
10P216@27円×1枚売り。
10C242@100円×2枚買い。
先物ミニ10月限@22605円×10枚、@22635円×5枚売り。

今日の取引。

10P211@20円×3枚売り。
10P195@6円×6枚返済売り。
10C252@9円×32枚買い。
先物ミニ10月限@23580円×5枚売り。
10P195@6円×10枚返済売り。

コールが剥げたところでは積極的に買い増ししていく方針で。


始値 高値 安値 現値 前日比
先物 23625 23690 23500 23520 +245
期近 14.586% 15.166% 14.478% 14.650% -0.124
10月限 14.673% 15.155% 14.216% 14.498% -0.213
11月限 14.495% 15.238% 14.495% 14.802% -0.048
12月限 15.338% 14.764% 15.045% +0.042

デルタ セータ Cガンマ Pガンマ ベガL ベガS



+0.53 -0.03 +489 -217
+1.12 -176 +0.50 +272
累計


558,293 +260
続きを読む

actok at 16:40コメント(0)トレードとポジション 

2018年09月18日

9月18日スマイルカーブ






原資産 23440.54




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)
14.537% 14.677% 14.956% 14.372% 14.774% +0.237


ATR 瞬間 30.335% +8.722



5日 23.202% +3.438



20日 18.895% +1.089



60日 19.005% +0.262







10月限
残存日数 15.75


修正ATM
補正値 -155


前日 始値 高値 安値 終値 (前日比)
14.426% 14.615% 14.906% 14.252% 14.711% +0.285



歪み率 5.823% -0.753
SP 始値 高値 安値 終値 前日比
15000 58.800% 58.800% 56.014% 57.604% -2.184 1円売
16000 50.472% 52.092% 50.367% 50.906% -2.347
16500 48.429% 49.107% 47.222% 48.158% -2.281
16750 46.399% 47.759% 46.105% 46.784% -2.100
17000 44.394% 46.246% 44.355% 45.558% -1.772
17250 43.768% 44.898% 43.354% 44.331% -1.334
17500 41.756% 43.511% 40.504% 43.000% -1.001
17750 40.808% 41.972% 40.602% 41.669% -0.777
18000 39.663% 40.641% 38.875% 40.338% -0.599
18250 37.633% 39.053% 37.562% 38.903% -0.526
18500 36.329% 37.736% 36.198% 37.467% -0.403
18750 34.915% 36.356% 34.750% 36.034% -0.277
19000 33.412% 34.855% 33.313% 34.685% -0.068
19250 31.835% 33.455% 31.352% 33.335% +0.150
19500 30.590% 32.497% 30.433% 31.986% +0.398
19750 28.852% 30.828% 28.811% 30.548% +0.558
19875 28.128% 30.117% 28.081% 29.906% +0.606
20000 27.666% 29.648% 27.314% 29.264% +0.655
20125 26.863% 28.843% 26.643% 28.596% +0.762
20250 26.284% 28.113% 25.997% 27.929% +0.846
20375 25.185% 27.409% 25.185% 27.262% +0.946
20500 24.744% 26.800% 24.624% 26.610% +1.032
20625 24.211% 26.163% 23.924% 25.864% +0.934
20750 23.601% 25.462% 23.234% 25.235% +1.031
20875 22.764% 24.730% 22.587% 24.577% +1.074
21000 22.183% 24.143% 21.946% 23.955% +1.039
21125 21.520% 23.449% 21.351% 23.278% +1.078
21250 20.904% 22.803% 20.678% 22.647% +1.080
21375 20.416% 22.146% 20.070% 22.046% +1.163
21500 19.419% 21.537% 19.419% 21.432% +1.200
21625 19.103% 20.949% 18.975% 20.785% +1.086
21750 18.461% 20.395% 18.450% 20.257% +1.179
21875 17.995% 19.805% 17.911% 19.665% +1.161
22000 17.764% 19.283% 17.352% 19.106% +1.124
22125 16.789% 18.771% 16.789% 18.581% +1.156
22250 16.539% 18.313% 16.453% 18.005% +1.096
22375 16.315% 17.996% 15.954% 17.578% +1.169
22500 15.848% 17.371% 15.525% 17.125% +1.216
22625 15.376% 17.007% 15.088% 16.617% +1.133
22750 15.089% 16.545% 14.705% 16.274% +1.257
22875 14.684% 16.154% 14.363% 15.823% +1.133
23000 14.376% 15.814% 14.165% 15.509% +1.136
23125 14.254% 15.579% 13.967% 15.104% +1.050
23250 13.793% 15.094% 13.769% 14.798% +0.990
23375 13.928% 14.813% 13.571% 14.493% +0.794
23500 14.016% 14.635% 13.508% 14.323% +0.636
23625 13.900% 14.581% 13.479% 14.293% +0.677
23750 13.893% 14.549% 13.571% 14.212% +0.667
23875 13.942% 14.566% 13.734% 14.219% +0.625
24000 14.045% 14.641% 13.761% 14.302% +0.620
24125 14.190% 14.533% 13.863% 14.239% +0.527
24250 14.332% 14.610% 13.955% 14.310% +0.454
24375 14.370% 14.643% 14.016% 14.375% +0.403
24500 14.515% 14.791% 14.079% 14.431% +0.287
24625 14.669% 14.952% 14.169% 14.470% +0.182
24750 14.912% 15.114% 14.232% 14.512% +0.081
24875 15.365% 15.365% 14.369% 14.610% -0.018
25000 15.266% 15.429% 14.453% 14.670% -0.082
25125 16.012% 16.012% 14.486% 14.829% -0.186
25250 15.380% 15.708% 14.645% 15.050% -0.229
25500 16.738% 16.738% 14.441% 15.292% -0.568
25750 16.794% 17.132% 15.150% 15.649% -0.881
26000 18.028% 18.115% 15.725% 16.005% -1.194 1円売
26250 19.241% 19.328% 16.959% 17.242% -1.146 1円売
26500 20.521% 18.172% 18.457% -1.100 1円売
26750 21.696% 19.366% 19.654% -1.055 1円売
27000 22.854% 20.541% 20.832% -1.011 1円売
続きを読む

actok at 20:00コメント(0)IVデータ 
■大引け
連休明けの相場は大幅続伸して23000円を大きく超えて引けました。IVは中高外安の傾向。

夜間取引。
10P172@4円×32枚買い。
10P177@5円×32枚買い。
10C250@5円×16枚買い。
10C245@16円×4枚買い。

今日の取引。
10C243@32円×4枚売り。
10P170@3円×32枚買い。
10P228@245円×1枚売り。
10P167@2円×32枚買い。
10P221@71円×1枚売り。
10P226@135円×1枚売り。
10C236@205円×1枚売り。


始値 高値 安値 現値 前日比
先物 22895 23320 22875 23275 +310
期近 14.677% 14.956% 14.372% 14.774% +0.237
10月限 14.615% 14.906% 14.252% 14.711% +0.285
11月限 14.755% 15.047% 14.360% 14.851% +0.148
12月限 15.199% 14.711% 15.003% +0.099

デルタ セータ Cガンマ Pガンマ ベガL ベガS



+0.25 -0.17 +313 -212
+1.07 -125 +0.08 +100
累計


558,033 +120

続きを読む

actok at 18:00コメント(0)トレードとポジション 

2018年09月14日

9月14日スマイルカーブ






原資産 23134.20




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)
14.471% 14.185% 14.797% 13.810% 14.537% +0.066


ATR 瞬間 21.613% -0.873



5日 19.763% +0.767



20日 17.806% +0.255



60日 18.743% -0.059







10月限
残存日数 16.75


修正ATM
補正値 -155


前日 始値 高値 安値 終値 (前日比)
14.348% 13.934% 14.698% 13.614% 14.426% +0.078



歪み率 6.576% +0.395
SP 始値 高値 安値 終値 前日比
15000 56.757% 60.073% 56.679% 59.788% +4.028
16000 52.268% 53.743% 51.258% 53.254% +2.913
16500 49.363% 50.642% 48.284% 50.440% +2.958
16750 46.122% 49.002% 46.036% 48.885% +2.832
17000 45.255% 47.459% 45.168% 47.329% +2.707
17250 44.181% 45.953% 44.092% 45.665% +2.555
17500 42.956% 44.324% 42.865% 44.001% +2.403
17750 41.616% 42.811% 41.297% 42.446% +2.360
18000 40.184% 41.184% 39.565% 40.937% +2.366
18250 38.127% 39.670% 37.978% 39.429% +2.372
18500 36.614% 38.099% 36.104% 37.870% +2.328
18750 35.039% 36.462% 34.941% 36.311% +2.284
19000 33.810% 34.826% 33.511% 34.752% +2.240
19250 32.095% 33.232% 31.915% 33.185% +2.185
19500 30.656% 31.801% 30.322% 31.588% +2.053
19750 29.113% 30.222% 28.809% 29.990% +2.091
19875 28.307% 29.441% 27.947% 29.299% +2.045
20000 27.480% 28.623% 27.329% 28.608% +2.028
20125 26.633% 27.947% 26.522% 27.834% +1.993
20250 25.980% 27.134% 25.734% 27.082% +1.902
20375 25.280% 26.378% 25.102% 26.316% +1.799
20500 24.537% 25.657% 24.373% 25.578% +1.765
20625 23.921% 24.976% 23.597% 24.930% +1.863
20750 23.091% 24.255% 22.956% 24.204% +1.807
20875 22.510% 23.597% 22.212% 23.503% +1.739
21000 21.855% 22.916% 21.580% 22.916% +1.748
21125 21.014% 22.208% 20.882% 22.200% +1.637
21250 20.453% 21.568% 20.196% 21.568% +1.666
21375 19.799% 20.912% 19.517% 20.883% +1.595
21500 19.236% 20.269% 18.885% 20.232% +1.477
21625 18.566% 19.716% 18.336% 19.699% +1.573
21750 17.647% 19.089% 17.490% 19.078% +1.525
21875 17.339% 18.514% 17.143% 18.504% +1.390
22000 16.909% 18.231% 16.655% 17.982% +1.448
22125 16.194% 17.425% 16.009% 17.425% +1.413
22250 16.112% 16.910% 15.557% 16.910% +1.406
22375 15.060% 16.447% 14.847% 16.409% +1.264
22500 14.997% 16.116% 14.692% 15.908% +1.212
22625 14.658% 15.486% 14.210% 15.484% +1.093
22750 14.262% 15.103% 13.957% 15.017% +0.932
22875 13.843% 14.846% 13.704% 14.690% +0.854
23000 13.510% 14.438% 13.451% 14.373% +0.786
23125 13.233% 14.384% 13.232% 14.053% +0.715
23250 13.291% 14.076% 13.086% 13.808% +0.477
23375 13.525% 14.002% 12.838% 13.699% +0.426
23500 12.899% 13.882% 12.899% 13.687% +0.472
23625 13.114% 13.896% 12.942% 13.616% +0.453
23750 13.194% 13.901% 12.881% 13.545% +0.256
23875 13.215% 13.940% 13.070% 13.593% +0.311
24000 13.213% 14.010% 13.103% 13.681% +0.260
24125 13.386% 14.127% 13.238% 13.712% +0.178
24250 13.456% 14.241% 13.373% 13.857% +0.087
24375 13.824% 14.388% 13.533% 13.972% -0.034
24500 14.044% 14.551% 13.743% 14.144% -0.099
24625 14.054% 14.706% 13.870% 14.287% -0.092
24750 14.508% 14.886% 14.101% 14.431% -0.115
24875 14.435% 15.120% 14.256% 14.628% -0.173
25000 14.609% 15.338% 14.464% 14.752% -0.334
25250 15.248% 15.716% 14.839% 15.279% -0.349
25500 15.380% 16.252% 15.291% 15.860% -0.307
25750 16.595% 16.893% 16.091% 16.530% -0.820
26000 17.790% 18.086% 17.199% 17.199% -1.313 1円売
26250 18.965% 19.260% 18.388% 18.388% -1.269 1円売
26500 20.122% 20.415% 19.557% 19.557% -1.226 1円売
26750 21.553% 20.708% 20.708% -1.185 1円売
27000 22.674% 21.842% 21.842% -1.144 1円売
続きを読む

actok at 18:10コメント(3)IVデータ 
■大引け
相場は大幅続伸。SQは23057.94と23000円超えで高値決着。その後も買いが優勢で、引けにかけて一段高となりました。IVはFOTMコールを除き上昇。

今日の取引。
10C231@220円×1枚売り。
10P221@140円×1枚売り。
10C233@170円×1枚売り。
10P218@90円×2枚売り。

SSを2セット入れてガンマをフラットにしました。


始値 高値 安値 現値 前日比
先物 22830 22965 22790 22965 +325
期近 14.185% 14.797% 13.810% 14.537% +0.066
10月限 13.934% 14.698% 13.614% 14.426% +0.078
11月限 14.581% 14.985% 14.046% 14.703% +0.005
12月限 15.133% 14.589% 14.904% +0.079

デルタ セータ Cガンマ Pガンマ ベガL ベガS



+0.12 -0.12 +117 -109
+0.77 -23 +0.00 +7
累計


557,913 +456
続きを読む

actok at 17:36コメント(0)トレードとポジション 
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