2017年01月23日

1月23日スマイルカーブ





原資産 18933.00




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)
17.673% 18.062% 18.202% 17.286% 17.880% +0.207







2月限
残存日数 13.75


修正ATM
補正値 -5


前日 始値 高値 安値 終値 (前日比)
17.328% 17.673% 17.920% 16.769% 17.505% +0.177



歪み率 4.575% -0.202
SP 始値 高値 安値 終値 前日比
11000 76.941% 75.383% 76.410% +1.053 1円売
11250 73.980% 72.441% 73.441% +0.946 1円売
11500 71.080% 69.559% 70.534% +0.840 1円売
11750 68.239% 66.736% 67.685% +0.737 1円売
12000 65.453% 63.967% 64.892% +0.635 1円売
12250 62.720% 61.250% 62.151% +0.535 1円売
12500 60.038% 58.584% 59.461% +0.437 1円売
12750 57.403% 55.965% 56.819% +0.339 1円売
13000 54.815% 53.391% 54.223% +0.244 1円売
13250 52.270% 50.861% 51.671% +0.149 1円売
13500 49.766% 48.371% 49.160% +0.056 1円売
13750 47.302% 45.921% 46.688% -0.036 1円売
14000 44.042% 44.876% 43.508% 44.254% -0.128 1円売
14250 41.667% 42.486% 41.139% 41.856% -0.218 1円売
14500 39.324% 40.379% 39.089% 39.491% -1.141 1円売
14750 37.014% 38.620% 36.898% 37.698% -1.494
15000 34.733% 36.885% 34.733% 35.905% -1.846
15250 34.846% 35.025% 33.659% 34.231% -1.832
15375 33.661% 34.201% 32.828% 33.251% -1.968
15500 32.483% 33.703% 32.130% 32.557% -1.819
15625 31.311% 33.016% 31.146% 31.925% -1.607
15750 31.564% 32.155% 30.662% 31.293% -1.559
15875 31.437% 31.813% 29.959% 30.526% -1.646
16000 30.202% 30.869% 28.986% 29.760% -1.747
16125 28.972% 30.047% 28.476% 28.993% -1.696
16250 28.565% 29.169% 27.748% 28.226% -1.713
16375 28.620% 28.663% 27.216% 27.481% -1.653
16500 27.867% 27.952% 26.750% 26.936% -1.565
16625 27.486% 27.532% 25.963% 26.405% -1.659
16750 26.548% 26.671% 25.692% 25.928% -1.365
16875 25.909% 26.145% 24.977% 25.542% -1.080
17000 25.447% 25.656% 24.689% 24.966% -1.181
17125 25.064% 25.116% 24.225% 24.473% -1.098
17250 24.271% 24.581% 23.756% 23.961% -1.054
17375 23.753% 24.044% 23.323% 23.498% -0.990
17500 23.381% 23.576% 22.845% 23.117% -0.963
17625 23.064% 23.125% 22.315% 22.530% -1.003
17750 22.137% 22.721% 21.806% 22.213% -0.801
17875 21.526% 22.233% 21.077% 21.646% -0.825
18000 21.197% 21.597% 20.532% 21.019% -0.959
18125 20.591% 20.988% 20.096% 20.523% -0.839
18250 20.518% 20.672% 19.509% 20.085% -0.825
18375 19.399% 19.956% 19.147% 19.464% -0.945
18500 19.050% 19.545% 18.450% 19.002% -0.910
18625 18.664% 19.066% 17.966% 18.564% -0.795
18750 18.208% 18.502% 17.670% 18.016% -0.886
18875 17.931% 18.057% 17.217% 17.679% -0.602
19000 17.528% 17.708% 16.763% 17.268% -0.721
19125 16.657% 17.295% 16.314% 16.879% -0.686
19250 17.044% 17.044% 16.004% 16.557% -0.441
19375 17.013% 17.013% 15.870% 16.375% -0.350
19500 16.504% 16.656% 15.684% 16.110% -0.546
19625 16.569% 16.698% 15.540% 15.991% -0.353
19750 16.152% 16.540% 15.458% 15.959% -0.343
19875 16.298% 16.549% 15.453% 15.817% -0.334
20000 16.406% 16.563% 15.443% 15.810% -0.038
20125 16.216% 16.678% 15.421% 15.861% -0.162
20250 16.501% 16.798% 15.432% 15.935% -0.024
20375 16.719% 16.980% 15.541% 15.975% -0.088
20500 16.560% 17.318% 15.636% 16.090% -0.065
20625 17.213% 17.638% 15.803% 16.367% +0.029
20750 17.213% 17.806% 16.128% 16.727% +0.314
20875 17.508% 18.029% 16.179% 16.895% +0.326
21000 17.547% 18.487% 16.858% 17.352% +0.627
21125 18.434% 18.760% 17.123% 17.808% +0.815
21250 17.900% 19.312% 17.463% 18.265% +1.179 1円売
21375 18.716% 19.531% 18.288% 19.088% +1.527 1円売
21500 19.524% 20.343% 19.103% 19.902% +1.867 1円売
21625 20.323% 21.148% 19.911% 20.708% +2.198 1円売
21750 21.115% 21.944% 20.710% 21.506% +2.521 1円売
22000 23.515% 22.285% 23.079% +2.563 1円売
22250 24.207% 25.057% 23.832% 24.624% +2.606 1円売
22500 26.572% 25.350% 26.141% +2.648 1円売
23000 29.525% 28.309% 29.099% +2.733 1円売

続きを読む

actok at 16:39コメント(0)トラックバック(0)IVデータ 
■大引け
相場は反落して再び19000円割れ。IVはFOTMコールを除き低下しました。

今日の取引。
先物ミニ2月限@18950円×5枚@18905円×5枚買い戻し。
2P162@5円×24枚買い。
2P163@6円×8枚買い戻し。
2P165@7円×16枚買い。
2C192@165円×1枚買い。


始値 高値 安値 現値 前日比
先物 18945 19015 18850 18920 -245
期近 18.062% 18.202% 17.286% 17.880% +0.207
2月限 17.673% 17.920% 16.769% 17.505% +0.177
3月限 18.397% 18.525% 17.710% 18.186% +0.168
4月限 18.946% 19.219% 18.653% 19.011% +0.209

デルタ セータ Cガンマ Pガンマ ベガL ベガS



+0.40 +0.00 +297 -130
+1.96 -126 +0.40 +166
累計


549,015 -598

続きを読む

actok at 16:36コメント(0)トラックバック(0)トレードとポジション 

2017年01月20日

1月20日スマイルカーブ





原資産 19177.31




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)
17.731% 17.985% 18.198% 17.579% 17.673% -0.058







2月限
残存日数 14.75


修正ATM
補正値 0


前日 始値 高値 安値 終値 (前日比)
17.509% 17.924% 18.114% 17.081% 17.328% -0.181



歪み率 4.778% +0.103
SP 始値 高値 安値 終値 前日比
11000 75.357% 73.843% 75.357% +2.829 1円売
11250 72.496% 71.003% 72.496% +2.738 1円売
11500 69.694% 68.223% 69.694% +2.649 1円売
11750 66.948% 65.498% 66.948% +2.562 1円売
12000 64.257% 62.827% 64.257% +2.476 1円売
12250 61.616% 60.206% 61.616% +2.392 1円売
12500 59.025% 57.633% 59.025% +2.310 1円売
12750 56.480% 55.107% 56.480% +2.229 1円売
13000 53.980% 52.625% 53.980% +2.150 1円売
13250 51.521% 50.184% 51.521% +2.073 1円売
13500 47.931% 49.104% 47.784% 49.104% +1.996 1円売
13750 45.568% 46.724% 45.421% 46.724% +1.921 1円売
14000 43.242% 44.382% 43.098% 44.382% +1.847 1円売
14250 40.950% 42.667% 40.805% 42.074% +0.780 1円売
14500 41.758% 40.055% 40.633% +0.663
14750 39.054% 39.582% 38.227% 39.191% +0.742
15000 36.721% 37.991% 36.643% 37.750% +0.659
15250 34.417% 36.231% 34.417% 36.063% +0.625
15375 34.805% 35.504% 34.544% 35.219% +0.432
15500 33.625% 35.070% 33.625% 34.376% +0.238
15625 33.583% 34.064% 32.961% 33.532% +0.176
15750 32.382% 33.286% 32.345% 32.852% +0.278
15875 32.079% 32.882% 31.610% 32.173% +0.261
16000 30.862% 31.941% 30.862% 31.507% +0.258
16125 30.379% 31.328% 29.807% 30.689% +0.253
16250 29.148% 30.579% 29.148% 29.939% +0.222
16375 29.596% 29.944% 28.686% 29.134% +0.122
16500 28.316% 29.280% 28.291% 28.501% +0.025
16625 27.899% 28.615% 27.761% 28.065% +0.370
16750 27.333% 28.005% 27.179% 27.293% +0.147
16875 26.955% 27.436% 26.483% 26.622% +0.105
17000 26.409% 26.815% 25.990% 26.147% +0.140
17125 25.959% 26.181% 25.501% 25.571% +0.019
17250 25.148% 25.639% 24.850% 25.015% +0.049
17375 24.608% 25.007% 24.229% 24.488% +0.095
17500 24.224% 24.428% 23.739% 24.080% +0.174
17625 23.371% 23.895% 23.177% 23.533% +0.130
17750 22.658% 23.322% 22.658% 23.014% +0.129
17875 22.131% 23.254% 22.008% 22.472% +0.208
18000 21.893% 22.581% 21.590% 21.978% +0.130
18125 21.391% 21.995% 21.068% 21.363% +0.201
18250 20.666% 21.204% 20.513% 20.910% +0.118
18375 20.449% 20.781% 19.847% 20.409% +0.236
18500 19.932% 20.336% 19.296% 19.912% +0.206
18625 19.144% 19.798% 18.801% 19.359% +0.045
18750 18.949% 19.190% 18.497% 18.902% +0.083
18875 18.681% 18.862% 17.978% 18.281% -0.066
19000 17.987% 18.604% 17.623% 17.989% -0.078
19125 17.856% 18.087% 17.099% 17.566% +0.120
19250 17.255% 17.570% 16.756% 16.998% -0.061
19375 17.049% 17.303% 16.501% 16.726% -0.193
19500 17.001% 17.039% 16.354% 16.656% +0.019
19625 16.845% 17.092% 16.050% 16.344% -0.180
19750 16.587% 16.789% 16.120% 16.302% -0.070
19875 16.230% 16.800% 15.763% 16.151% -0.107
20000 16.431% 16.781% 15.849% 15.849% -0.247
20125 16.372% 16.604% 15.951% 16.023% -0.027
20250 16.437% 16.581% 15.959% 15.959% -0.106
20375 16.646% 16.701% 16.055% 16.063% -0.051
20500 16.748% 16.771% 16.098% 16.155% -0.112
20625 16.754% 16.819% 16.211% 16.337% +0.093
20750 16.701% 17.114% 16.399% 16.413% +0.010
20875 17.225% 17.272% 16.288% 16.569% +0.000
21000 17.627% 17.627% 16.667% 16.724% -0.038
21125 17.000% 17.717% 16.918% 16.994% +0.026
21250 17.851% 18.015% 17.086% 17.086% +0.032
21375 18.693% 18.693% 17.479% 17.561% +0.152
21500 18.112% 18.527% 17.683% 18.035% +0.244
21625 18.887% 19.043% 18.185% 18.510% +0.439
21750 19.655% 19.812% 18.947% 18.985% +0.164 1円売
22000 21.327% 20.476% 20.516% +0.216 1円売
22250 22.814% 21.976% 22.018% +0.268 1円売
22500 24.109% 24.274% 23.449% 23.493% +0.318 1円売
23000 27.120% 26.318% 26.366% +0.415 1円売

続きを読む

actok at 16:09コメント(0)トラックバック(0)IVデータ 
■大引け
相場は小幅続伸。IVは小幅まちまちでした。

夜間取引。
2C200@49円×2枚買い。
2P180@65円×2枚買い。
2P156@3円×8枚買い。
2C196@125円×1枚買い戻し。

今日の取引。
先物ミニ2月限@19170円×5枚売り。
2P155@3円×21枚返済売り。


始値 高値 安値 現値 前日比
先物 19045 19165 19020 19165 +65
期近 17.985% 18.198% 17.579% 17.673% -0.058
2月限 17.924% 18.114% 17.081% 17.328% -0.181
3月限 18.048% 18.283% 17.835% 18.018% +0.016
4月限 19.382% 19.382% 18.432% 18.803% -0.056

デルタ セータ Cガンマ Pガンマ ベガL ベガS



+0.67 -0.06 +401 -151
+2.05 -166 +0.61 +250
累計


549,614 +16

続きを読む

actok at 16:05コメント(0)トラックバック(0)トレードとポジション 

2017年01月19日

1月19日スマイルカーブ





原資産 19112.20




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)
17.889% 17.450% 18.137% 17.260% 17.731% -0.158







2月限
残存日数 15.75


修正ATM
補正値 0


前日 始値 高値 安値 終値 (前日比)
17.731% 16.925% 18.063% 16.925% 17.509% -0.221



歪み率 4.675% +0.248
SP 始値 高値 安値 終値 前日比
11000 72.528% 71.444% 72.528% +3.821 1円売
11250 69.758% 68.680% 69.758% +3.742 1円売
11500 67.045% 65.974% 67.045% +3.665 1円売
11750 64.387% 63.322% 64.387% +3.590 1円売
12000 61.781% 60.721% 61.781% +3.517 1円売
12250 59.224% 58.170% 59.224% +3.445 1円売
12500 56.715% 55.666% 56.715% +3.375 1円売
12750 54.251% 53.207% 54.251% +3.306 1円売
13000 51.190% 51.829% 50.791% 51.829% +3.239 1円売
13250 49.449% 48.415% 49.449% +3.174 1円売
13500 47.107% 46.078% 47.107% +3.110 1円売
13750 44.803% 43.777% 44.803% +3.047 1円売
14000 41.964% 42.534% 41.512% 42.534% +2.067 1円売
14250 39.746% 41.393% 39.714% 41.294% +1.968
14500 40.203% 40.203% 38.930% 39.970% +1.923
14750 37.916% 38.488% 37.591% 38.450% +1.682
15000 35.658% 37.177% 35.624% 37.091% +1.819
15250 34.955% 35.580% 33.357% 35.438% +1.483
15375 34.970% 34.970% 33.850% 34.788% +1.396
15500 33.796% 34.407% 33.193% 34.137% +1.309
15625 32.628% 33.356% 32.366% 33.356% +1.250
15750 32.359% 32.835% 31.775% 32.575% +1.211
15875 31.176% 32.109% 31.132% 31.912% +1.188
16000 31.382% 31.383% 30.302% 31.249% +1.117
16125 30.165% 30.762% 29.514% 30.436% +0.889
16250 30.024% 30.093% 29.072% 29.718% +0.874
16375 28.781% 29.345% 28.322% 29.012% +0.807
16500 28.408% 28.749% 27.780% 28.476% +0.835
16625 27.524% 28.126% 27.240% 27.695% +0.616
16750 27.251% 27.558% 26.714% 27.146% +0.630
16875 26.521% 26.975% 26.162% 26.518% +0.651
17000 25.961% 26.305% 25.641% 26.007% +0.659
17125 25.708% 25.807% 25.080% 25.552% +0.792
17250 24.694% 25.209% 24.558% 24.966% +0.680
17375 23.981% 24.629% 23.930% 24.393% +0.768
17500 23.617% 24.069% 23.378% 23.906% +0.671
17625 23.062% 23.549% 22.809% 23.403% +0.761
17750 22.700% 22.943% 22.244% 22.885% +0.812
17875 21.610% 22.437% 21.549% 22.264% +0.725
18000 20.920% 22.099% 20.857% 21.848% +0.812
18125 20.916% 21.549% 20.664% 21.162% +0.738
18250 20.225% 20.967% 20.090% 20.792% +0.878
18375 19.340% 20.284% 19.264% 20.174% +0.830
18500 19.231% 19.951% 19.149% 19.706% +0.793
18625 18.803% 19.389% 18.647% 19.314% +0.999
18750 18.363% 18.950% 18.203% 18.819% +0.739
18875 17.613% 18.498% 17.507% 18.347% +0.746
19000 17.322% 18.302% 17.204% 18.067% +0.634
19125 16.660% 18.015% 16.660% 17.446% +0.445
19250 16.639% 17.406% 16.555% 17.058% +0.288
19375 16.212% 17.169% 16.212% 16.919% +0.326
19500 15.900% 16.950% 15.900% 16.637% +0.278
19625 15.745% 16.942% 15.745% 16.524% +0.253
19750 15.472% 16.843% 15.472% 16.372% +0.231
19875 15.940% 16.872% 15.725% 16.259% +0.083
20000 15.622% 16.683% 15.622% 16.096% -0.042
20125 15.680% 16.692% 15.680% 16.051% -0.113
20250 15.602% 16.690% 15.602% 16.065% -0.136
20375 15.586% 16.618% 15.586% 16.114% -0.173
20500 15.587% 16.695% 15.587% 16.268% -0.151
20625 15.774% 16.838% 15.774% 16.245% -0.277
20750 16.043% 17.023% 16.006% 16.402% -0.488
20875 16.041% 17.105% 16.041% 16.569% -0.307
21000 16.314% 17.511% 16.232% 16.762% -0.302
21125 16.348% 17.756% 16.348% 16.968% -0.224
21250 17.173% 17.887% 16.264% 17.054% -0.373
21375 17.989% 18.073% 16.827% 17.408% -0.477
21500 17.433% 18.553% 17.131% 17.791% -0.829
21625 18.185% 18.960% 17.878% 18.071% -1.278
21750 18.928% 19.705% 18.623% 18.821% -1.249 1円売
22000 21.172% 20.091% 20.300% -1.192 1円売
22250 22.612% 21.532% 21.750% -1.137 1円売
22500 24.026% 22.946% 23.175% -1.084 1円売
23000 26.784% 25.702% 25.951% -0.983 1円売

続きを読む

actok at 16:15コメント(0)トラックバック(0)IVデータ 
■大引け
相場は続伸して19000円台を回復しました。IVはコール安プット高。

今日の取引。
先物ミニ2月限@19100円×10枚売り。
2P162@8円×8枚返済売り。
2P163@10円×8枚売り。


始値 高値 安値 現値 前日比
先物 19060 19110 18955 19100 +270
期近 17.450% 18.137% 17.260% 17.731% -0.158
2月限 16.925% 18.063% 16.925% 17.509% -0.221
3月限 18.126% 18.229% 17.688% 18.002% -0.124
4月限 19.005% 18.572% 18.859% -0.061

デルタ セータ Cガンマ Pガンマ ベガL ベガS



+0.44 +0.02 +397 -179
+2.05 -151 +0.46 +218
累計


549,598 +579

続きを読む

actok at 16:11コメント(0)トラックバック(0)トレードとポジション 

2017年01月18日

1月18日スマイルカーブ





原資産 18851.08




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)
17.912% 17.979% 18.929% 17.253% 17.889% -0.023







2月限
残存日数 16.75


修正ATM
補正値 -10


前日 始値 高値 安値 終値 (前日比)
17.720% 18.119% 18.949% 16.923% 17.731% +0.011



歪み率 4.427% -0.239
SP 始値 高値 安値 終値 前日比
11000 69.172% 67.188% 68.707% +2.523 1円売
11250 66.485% 64.510% 66.015% +2.448 1円売
11500 63.853% 61.886% 63.380% +2.374 1円売
11750 59.825% 61.274% 59.315% 60.797% +2.302 1円売
12000 58.746% 56.794% 58.264% +2.232 1円売
12250 56.265% 54.320% 55.779% +2.163 1円売
12500 53.830% 51.891% 53.340% +2.095 1円売
12750 51.439% 49.506% 50.944% +2.029 1円売
13000 49.089% 47.161% 48.590% +1.964 1円売
13250 45.399% 46.778% 44.855% 46.275% +1.207 1円売
13500 43.136% 44.523% 42.968% 43.997% +0.487 1円売
13750 40.909% 42.915% 40.909% 41.756% -0.197 1円売
14000 41.425% 41.845% 40.467% 40.467% +0.136
14250 39.133% 40.358% 39.010% 39.326% +0.338
14500 38.527% 39.060% 37.681% 38.047% +0.402
14750 37.439% 38.007% 36.248% 36.768% +0.329
15000 35.087% 35.994% 34.444% 35.273% +0.171
15250 33.682% 34.827% 33.298% 33.955% +0.191
15375 33.280% 33.753% 32.930% 33.392% +0.255
15500 32.757% 33.144% 32.254% 32.828% +0.320
15625 31.546% 32.453% 31.546% 32.106% +0.277
15750 31.446% 31.851% 30.541% 31.364% +0.216
15875 30.689% 31.020% 30.097% 30.723% +0.352
16000 29.876% 30.473% 29.515% 30.132% +0.505
16125 29.392% 29.849% 28.740% 29.547% +0.516
16250 28.792% 29.182% 28.195% 28.844% +0.447
16375 28.097% 28.644% 27.296% 28.205% +0.517
16500 27.322% 28.004% 26.892% 27.641% +0.497
16625 26.946% 27.453% 26.333% 27.079% +0.584
16750 26.413% 26.879% 25.756% 26.516% +0.698
16875 25.931% 26.340% 25.153% 25.867% +0.570
17000 25.306% 25.839% 24.645% 25.348% +0.611
17125 24.842% 25.336% 24.102% 24.760% +0.551
17250 24.094% 24.821% 23.537% 24.286% +0.644
17375 23.686% 24.297% 23.061% 23.626% +0.485
17500 23.092% 23.780% 22.170% 23.235% +0.652
17625 22.339% 23.258% 21.591% 22.642% +0.533
17750 21.859% 22.701% 21.132% 22.072% +0.575
17875 21.552% 22.154% 20.669% 21.539% +0.605
18000 21.003% 21.724% 20.015% 21.036% +0.645
18125 20.238% 21.269% 19.647% 20.424% +0.484
18250 19.860% 20.797% 19.171% 19.914% +0.501
18375 19.489% 20.424% 18.690% 19.344% +0.442
18500 18.564% 20.043% 18.094% 18.913% +0.417
18625 18.654% 19.418% 17.713% 18.315% +0.271
18750 18.122% 18.794% 17.231% 18.080% +0.371
18875 18.047% 18.572% 16.989% 17.600% +0.234
19000 17.851% 18.139% 16.506% 17.434% +0.288
19125 17.824% 17.936% 16.229% 17.001% +0.106
19250 17.130% 17.655% 15.974% 16.770% +0.139
19375 16.895% 17.518% 15.809% 16.593% +0.062
19500 16.939% 17.458% 15.676% 16.360% +0.010
19625 16.592% 17.369% 15.619% 16.271% -0.085
19750 16.703% 17.292% 15.462% 16.142% -0.220
19875 16.681% 17.298% 15.491% 16.175% -0.058
20000 16.804% 17.376% 15.499% 16.138% -0.124
20125 16.747% 17.429% 15.516% 16.163% -0.134
20250 16.680% 17.478% 15.581% 16.201% -0.174
20375 16.999% 17.612% 15.665% 16.287% +0.148
20500 17.095% 17.691% 15.769% 16.419% -0.162
20625 17.287% 17.865% 15.864% 16.521% -0.133
20750 17.741% 18.116% 16.114% 16.890% -0.000
20875 17.414% 18.337% 16.258% 16.876% -0.279
21000 18.253% 18.464% 16.428% 17.064% -0.403
21125 18.179% 18.697% 16.481% 17.192% -0.587
21250 17.600% 18.917% 16.775% 17.427% -0.664
21375 18.335% 19.390% 17.270% 17.885% -0.518 1円売
21500 19.063% 19.814% 18.007% 18.620% -0.095 1円売
21625 19.784% 20.533% 18.737% 19.349% -0.072 1円売
21750 20.498% 21.245% 19.459% 20.070% -0.049 1円売
22000 22.650% 20.883% 21.491% -0.005 1円売
22250 24.030% 22.281% 22.887% +0.038 1円売
22500 25.387% 23.655% 24.259% +0.081 1円売
23000 28.033% 26.332% 26.934% +0.163 1円売

続きを読む

actok at 16:03コメント(0)トラックバック(0)IVデータ 
■大引け
相場は小幅反発。IVは小幅まちまちでした。

夜間取引。
2P140@2円×64枚買い。
2P155@5円×32枚買い。
2C197@55円×2枚買い。
2P168@38円×4枚売り。
2P162@21円×4枚、@20円×4枚返済売り
2C200@28円×2枚返済売り。
2C196@70円×1枚売り。

今日の取引。
2C190@280円×1枚買い。
2C192@175円×1枚買い。
2C200@30円×2枚買い。
先物ミニ2月限@18890円×10枚売り。


始値 高値 安値 現値 前日比
先物 18750 18930 18630 18830 +100
期近 17.979% 18.929% 17.253% 17.889% -0.023
2月限 18.119% 18.949% 16.923% 17.731% +0.011
3月限 17.757% 18.978% 17.689% 18.127% -0.142
4月限 19.678% 18.590% 18.919% -0.166

デルタ セータ Cガンマ Pガンマ ベガL ベガS



+0.25 +0.13 +408 -165
+1.89 -198 +0.38 +243
累計


549,019 +136

続きを読む

actok at 15:47コメント(0)トラックバック(0)トレードとポジション 

2017年01月17日

1月17日スマイルカーブ





原資産 18750.99




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)
16.282% 16.434% 17.912% 16.304% 17.912% +1.630







2月限
残存日数 17.75


修正ATM
補正値 -5


前日 始値 高値 安値 終値 (前日比)
15.928% 15.909% 17.720% 15.909% 17.720% +1.792



歪み率 4.665% +0.395
SP 始値 高値 安値 終値 前日比
11000 67.548% 66.184% 66.184% -0.100 1円売
11250 64.952% 63.568% 63.568% -0.176 1円売
11500 62.409% 61.005% 61.005% -0.252 1円売
11750 59.918% 58.494% 58.494% -0.326 1円売
12000 57.475% 56.032% 56.032% -0.399 1円売
12250 55.079% 53.616% 53.616% -0.471 1円売
12500 52.727% 51.244% 51.244% -0.543 1円売
12750 50.417% 48.915% 48.915% -0.613 1円売
13000 48.147% 46.626% 46.626% -0.682 1円売
13250 45.946% 45.946% 44.661% 45.068% -0.057
13500 43.755% 43.755% 42.608% 43.510% +0.532
13750 41.598% 42.382% 40.720% 41.953% +1.087
14000 39.474% 40.818% 38.819% 40.331% +1.545
14250 39.994% 39.994% 37.649% 38.988% +1.447
14500 37.808% 39.332% 36.617% 37.645% +1.349
14750 35.651% 36.815% 34.991% 36.439% +1.389
15000 33.522% 35.581% 33.147% 35.102% +1.313
15250 32.855% 34.046% 32.531% 33.764% +1.154
15375 32.866% 33.452% 31.762% 33.136% +1.010
15500 31.758% 32.782% 31.300% 32.508% +1.257
15625 31.522% 31.951% 30.483% 31.828% +0.997
15750 30.400% 31.675% 29.999% 31.148% +0.972
15875 29.993% 30.692% 29.143% 30.371% +0.854
16000 28.861% 30.038% 28.602% 29.626% +0.774
16125 28.868% 29.576% 27.977% 29.031% +0.770
16250 28.190% 28.735% 27.487% 28.397% +0.778
16375 27.018% 28.255% 26.741% 27.688% +0.659
16500 26.662% 27.483% 26.209% 27.144% +0.611
16625 25.827% 26.878% 25.650% 26.495% +0.673
16750 25.265% 26.288% 25.050% 25.818% +0.587
16875 25.384% 25.754% 24.477% 25.297% +0.641
17000 24.108% 25.199% 24.003% 24.737% +0.628
17125 23.489% 24.660% 23.400% 24.209% +0.721
17250 23.140% 24.092% 22.841% 23.642% +0.624
17375 22.936% 23.588% 22.327% 23.140% +0.643
17500 21.973% 23.103% 21.810% 22.583% +0.590
17625 21.460% 22.551% 21.300% 22.109% +0.614
17750 20.684% 22.004% 20.684% 21.497% +0.756
17875 20.692% 21.501% 20.220% 20.934% +0.478
18000 19.986% 21.089% 19.660% 20.391% +0.502
18125 20.296% 20.588% 19.118% 19.940% +0.577
18250 18.865% 20.061% 18.599% 19.413% +0.509
18375 18.345% 19.377% 18.046% 18.902% +0.459
18500 17.600% 19.043% 17.600% 18.496% +0.500
18625 17.752% 18.680% 17.176% 18.044% +0.616
18750 16.777% 18.266% 16.625% 17.709% +0.685
18875 16.305% 17.592% 16.305% 17.366% +0.700
19000 15.995% 17.351% 15.995% 17.145% +1.018
19125 15.815% 17.066% 15.638% 16.895% +1.085
19250 15.503% 16.886% 15.402% 16.631% +1.097
19375 15.043% 16.576% 15.043% 16.531% +1.283
19500 15.241% 16.559% 15.082% 16.349% +1.185
19625 14.760% 16.386% 14.760% 16.356% +1.416
19750 15.142% 16.362% 14.636% 16.362% +1.521
19875 14.816% 16.233% 14.816% 16.233% +1.555
20000 14.807% 16.261% 14.807% 16.261% +1.512
20125 14.829% 16.298% 14.829% 16.298% +1.621
20250 14.713% 16.375% 14.713% 16.375% +1.722
20375 14.836% 16.269% 14.836% 16.139% +1.428
20500 15.064% 16.581% 15.025% 16.581% +1.844
20625 14.998% 16.654% 14.998% 16.654% +1.898
20750 15.246% 16.891% 15.246% 16.891% +1.951
20875 15.238% 17.155% 15.238% 17.155% +2.028
21000 15.491% 17.467% 15.491% 17.467% +1.984
21125 15.519% 17.779% 15.519% 17.779% +2.197
21250 16.296% 18.091% 16.152% 18.091% +2.253
21375 17.064% 18.403% 16.525% 18.403% +2.173
21500 16.534% 18.715% 16.534% 18.715% +2.065 1円売
21625 17.242% 19.421% 17.242% 19.421% +2.645 1円売
21750 17.942% 20.119% 17.942% 20.119% +2.656 1円売
22000 21.496% 19.452% 21.496% +2.680 1円売
22250 22.849% 20.805% 22.849% +2.704 1円売
22500 24.178% 22.135% 24.178% +2.729 1円売
23000 26.771% 24.726% 26.771% +2.780 1円売

続きを読む

actok at 16:30コメント(0)トラックバック(0)IVデータ 
■大引け
相場は大幅続落で今年に入って初めての19000円割れ。IVは続伸しました。

今日の取引。
2C198@50円×2枚売り。


始値 高値 安値 現値 前日比
先物 19050 19070 18730 18730 -335
期近 16.434% 17.912% 16.304% 17.912% +1.630
2月限 15.909% 17.720% 15.909% 17.720% +1.792
3月限 17.465% 18.269% 16.986% 18.269% +1.160
4月限 19.085% 18.105% 19.085% +0.941

デルタ セータ Cガンマ Pガンマ ベガL ベガS



+0.13 +0.16 +348 -134
+1.97 -173 +0.29 +215
累計


548,883 -562

続きを読む

actok at 16:12コメント(0)トラックバック(0)トレードとポジション 
平成28年鳥取県中部地震災害義援金



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平成28年台風10号等災害義援金



こちらから寄付ができます

平成28年熊本地震災害義援金



こちらから寄付ができます

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