2016年06月29日

6月29日スマイルカーブ





原資産 15629.05




短期金利 0.10%




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)
29.713% 26.866% 28.140% 25.733% 26.036% -3.678







7月限
残存日数 6.75


修正ATM
補正値 -30


前日 始値 高値 安値 終値 (前日比)
31.160% 28.069% 28.749% 24.853% 25.181% -5.979



歪み率 7.051% +0.505
SP 始値 高値 安値 終値 前日比
11000 71.790% 73.639% 69.910% 73.639% +5.609 1円売
11250 67.485% 69.257% 66.254% 69.257% +4.559 1円売
11500 67.801% 67.801% 63.150% 64.957% +1.751 1円売
11750 63.395% 63.395% 60.328% 60.733% +0.279 1円売
12000 59.062% 59.578% 57.417% 57.653% -0.902
12250 57.364% 57.364% 54.517% 54.572% -1.873
12500 54.884% 54.884% 51.431% 51.492% -2.692
12750 50.449% 52.459% 48.706% 49.868% -2.633
13000 49.711% 49.890% 46.100% 47.130% -3.326
13125 48.341% 48.979% 44.648% 45.282% -4.355
13250 47.618% 47.771% 43.018% 44.272% -4.409
13375 45.930% 46.474% 42.302% 43.262% -4.404
13500 45.895% 45.895% 41.161% 42.060% -4.861
13625 44.396% 44.573% 39.846% 40.994% -4.739
13750 43.599% 43.826% 38.755% 39.952% -5.048
13875 42.485% 42.626% 37.449% 38.998% -4.948
14000 41.116% 41.341% 36.561% 37.669% -5.258
14125 40.095% 40.443% 35.257% 36.775% -5.142
14250 39.249% 39.285% 34.432% 35.789% -5.053
14375 37.826% 38.657% 33.242% 34.470% -4.942
14500 36.710% 37.184% 32.226% 33.690% -4.551
14625 36.073% 36.073% 31.068% 32.323% -4.738
14750 34.961% 34.961% 30.215% 31.839% -3.959
14875 33.439% 33.682% 29.186% 30.519% -4.222
15000 33.352% 33.352% 28.207% 29.508% -4.318
15125 31.507% 31.507% 27.035% 28.588% -4.214
15250 30.777% 30.980% 26.212% 27.468% -4.261
15375 31.866% 31.866% 25.368% 26.405% -4.387
15500 28.549% 28.949% 24.710% 25.582% -4.493
15625 27.459% 28.283% 24.450% 25.076% -4.157
15750 27.195% 28.186% 24.191% 24.430% -4.379
15875 26.571% 27.533% 23.746% 23.956% -4.205
16000 26.095% 27.123% 23.477% 23.775% -4.207
16125 25.218% 26.649% 23.734% 23.767% -3.899
16250 25.411% 26.566% 23.303% 23.303% -4.204
16375 25.265% 26.804% 23.427% 23.427% -4.034
16500 25.468% 26.746% 23.554% 23.554% -4.114
16625 25.685% 26.978% 23.825% 23.825% -3.888
16750 25.816% 27.142% 24.023% 24.023% -3.754
16875 26.063% 27.527% 24.152% 24.152% -4.067
17000 26.187% 27.970% 24.624% 24.624% -3.961
17125 26.360% 28.208% 24.781% 24.781% -4.033
17250 28.050% 28.951% 25.375% 25.375% -3.827
17375 28.593% 29.305% 26.365% 26.365% -3.691
17500 28.707% 30.586% 27.354% 27.354% -2.919
17625 30.217% 32.034% 28.344% 28.344% -2.827
17750 31.708% 32.953% 29.334% 29.334% -2.735 1円売
17875 30.758% 33.023% 30.312% 30.746% -2.220 1円売
18000 32.127% 34.386% 31.701% 32.142% -1.644 1円売
18125 33.479% 35.733% 33.073% 33.522% -1.085 1円売
18250 34.817% 37.066% 34.430% 34.886% -0.982 1円売
18375 36.140% 38.384% 35.771% 36.235% -0.881 1円売
18500 37.448% 39.689% 37.099% 37.570% -0.782 1円売
18625 38.743% 40.980% 38.412% 38.890% -0.684 1円売
18750 40.025% 42.259% 39.711% 40.197% -0.587 1円売
18875 41.293% 43.524% 40.998% 41.490% -0.492 1円売
19000 44.777% 42.271% 42.771% -0.398 1円売
19125 43.793% 46.019% 43.532% 44.039% -0.305 1円売
19250 47.248% 44.781% 45.295% -0.214 1円売
19375 48.466% 46.018% 46.539% -0.123 1円売
19500 49.673% 47.244% 47.771% -0.034 1円売
19625 50.869% 48.458% 48.992% +0.054 1円売
19750 52.055% 49.662% 50.203% +0.142 1円売
20000 54.394% 52.036% 52.591% +0.314 1円売
20250 56.694% 54.369% 54.937% +0.482 1円売
20500 58.956% 56.663% 57.244% +0.646 1円売
20750 61.180% 58.919% 59.513% +0.808 1円売
21000 63.369% 61.139% 61.746% +0.967 1円売
21250 65.524% 63.324% 63.943% +1.122 1円売
21500 67.646% 65.474% 66.106% +1.275 1円売
21750 69.737% 67.582% 68.237% +1.425 1円売
22000 71.798% 69.639% 70.335% +1.573 1円売
22250 73.829% 71.667% 72.404% +1.718 1円売
22500 75.832% 73.666% 74.442% +1.861 1円売
22750 77.806% 75.637% 76.452% +2.002 1円売
23000 79.753% 77.580% 78.434% +2.140 1円売
23250 81.674% 79.497% 80.388% +2.277 1円売
23500 83.568% 81.388% 82.317% +2.411 1円売

続きを読む

actok at 19:03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。IVは大幅続落でした。

夜間取引。
7P142@48円×4枚買い。
7P137@32円×8枚買い。
7P135@17円×10枚買い。
7P132@11円×12枚買い。
7C162@50円×2枚買い。
先物ミニ7月限@15470円×5枚、@15520円×5枚買い戻し。

今日の取引。
7P112@1円×60枚返済売り。
7P115@1円×58枚返済売り。
7P140@18円×12枚買い。
7P145@39円×2枚買い。
7C165@23円×2枚買い。


始値 高値 安値 現値 前日比
先物 15525 15600 15360 15575 +275
期近 26.866% 28.140% 25.733% 26.036% -3.678
7月限 28.069% 28.749% 24.853% 25.181% -5.979
8月限 26.510% 27.967% 25.963% 26.273% -2.929
9月限 26.573% 24.734% 25.144% -2.389

デルタ セータ Cガンマ Pガンマ ベガL ベガS



+0.10 +0.40 +320 -198
+2.46 -305 +0.49 +122
累計


547,305 -353

続きを読む

actok at 19:00コメント(0)トラックバック(0)トレードとポジション 

2016年06月28日

6月28日スマイルカーブ





原資産 15360.92




短期金利 0.10%




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)
31.334% 33.067% 33.589% 28.990% 29.713% -1.621







7月限
残存日数 7.75


修正ATM
補正値 -35


前日 始値 高値 安値 終値 (前日比)
33.487% 35.385% 36.479% 29.445% 31.160% -2.327



歪み率 6.546% +0.313
SP 始値 高値 安値 終値 前日比
11000 69.387% 70.334% 67.709% 68.030% -0.879
11250 67.135% 67.680% 63.921% 64.698% -2.283
11500 64.367% 65.090% 61.706% 63.206% -1.422
11750 63.699% 63.953% 58.868% 60.454% -2.413
12000 61.805% 61.805% 55.584% 58.554% -2.566
12250 59.866% 60.022% 53.416% 56.446% -2.865
12500 57.196% 57.729% 50.960% 54.184% -2.831
12750 55.720% 55.971% 48.756% 52.501% -2.764
13000 53.916% 53.979% 46.766% 50.456% -2.973
13125 52.943% 53.216% 45.695% 49.637% -2.734
13250 51.727% 52.476% 44.403% 48.681% -2.617
13375 51.463% 51.463% 43.694% 47.666% -3.019
13500 49.552% 50.374% 42.648% 46.921% -3.036
13625 48.489% 49.619% 41.812% 45.734% -3.189
13750 48.026% 48.463% 41.014% 44.999% -3.243
13875 47.179% 47.518% 40.177% 43.946% -3.248
14000 46.719% 46.719% 39.394% 42.928% -3.598
14125 44.536% 45.351% 38.084% 41.917% -3.239
14250 44.034% 44.052% 37.262% 40.842% -3.237
14375 43.109% 43.109% 36.374% 39.412% -3.400
14500 40.716% 41.324% 35.509% 38.241% -3.460
14625 39.613% 40.083% 34.180% 37.062% -3.307
14750 38.576% 38.975% 33.559% 35.799% -3.438
14875 38.497% 38.497% 32.818% 34.740% -3.098
15000 36.947% 36.947% 32.002% 33.826% -3.091
15125 34.892% 35.962% 31.126% 32.802% -2.493
15250 34.978% 34.978% 30.401% 31.729% -2.753
15375 33.052% 33.985% 29.719% 30.792% -2.726
15500 32.333% 33.299% 29.070% 30.075% -2.346
15625 32.480% 32.825% 28.330% 29.233% -2.380
15750 31.992% 32.198% 27.988% 28.808% -1.996
15875 32.039% 32.039% 27.309% 28.161% -2.051
16000 30.656% 31.338% 26.897% 27.982% -1.673
16125 30.779% 30.912% 26.726% 27.667% -1.630
16250 30.008% 30.985% 26.952% 27.507% -1.297
16375 30.299% 30.823% 27.052% 27.461% -0.876
16500 30.655% 31.052% 27.100% 27.668% -0.728
16625 30.876% 31.331% 27.167% 27.713% -0.655
16750 31.003% 31.442% 27.233% 27.777% -0.528
16875 31.127% 32.093% 27.530% 28.219% -0.332
17000 32.163% 32.163% 27.612% 28.585% -0.096
17125 31.229% 32.729% 28.092% 28.815% -0.510
17250 31.568% 33.140% 28.406% 29.202% -0.353
17375 33.042% 33.524% 28.835% 30.056% +0.094
17500 34.497% 34.664% 29.785% 30.273% -0.096
17625 34.252% 34.767% 30.206% 31.171% +0.258
17750 33.074% 35.507% 30.915% 32.068% +0.612
17875 34.348% 36.395% 31.072% 32.966% +1.381
18000 35.607% 37.529% 32.205% 33.786% +1.403
18125 36.853% 37.722% 32.974% 34.607% +1.839 1円売
18250 38.086% 38.951% 34.204% 35.868% +2.715 1円売
18375 39.306% 40.169% 35.448% 37.116% +2.787 1円売
18500 40.514% 41.374% 36.679% 38.351% +2.858 1円売
18625 41.710% 42.567% 37.897% 39.574% +2.928 1円売
18750 42.894% 43.748% 39.103% 40.784% +2.997 1円売
18875 44.066% 44.918% 40.297% 41.982% +3.066 1円売
19000 45.228% 46.077% 41.479% 43.169% +3.135 1円売
19125 47.225% 42.650% 44.344% +3.203 1円売
19250 48.363% 43.809% 45.509% +3.270 1円売
19375 49.491% 44.958% 46.662% +3.336 1円売
19500 50.608% 46.096% 47.805% +3.402 1円売
19625 51.716% 47.224% 48.938% +3.468 1円売
19750 52.814% 48.342% 50.061% +3.533 1円売
20000 54.981% 50.548% 52.277% +3.661 1円売
20250 57.113% 52.717% 54.455% +3.787 1円売
20500 59.209% 54.849% 56.598% +3.912 1円売
20750 61.272% 56.946% 58.705% +4.034 1円売
21000 63.303% 59.010% 60.779% +4.154 1円売
21250 65.302% 61.042% 62.821% +4.273 1円売
21500 67.272% 63.042% 64.831% +4.390 1円売
21750 69.212% 65.012% 66.811% +4.505 1円売
22000 71.123% 66.953% 68.763% +4.618 1円売
22250 73.008% 68.866% 70.685% +4.730 1円売
22500 74.865% 70.752% 72.581% +4.841 1円売
22750 76.697% 72.611% 74.450% +4.950 1円売
23000 78.504% 74.444% 76.293% +5.057 1円売
23250 80.287% 76.253% 78.112% +5.163 1円売
23500 82.046% 78.037% 79.906% +5.268 1円売

続きを読む

actok at 18:43コメント(0)トラックバック(0)IVデータ 
■大引け
相場は小反落。序盤再び15000円を割り込む場面もありましたが、その後下げ幅を縮小しました。IVは続落。

夜間取引。
7P136@80円×2枚売り。
7P135@60円×3枚買い。
先物ミニ7月限@13130円×5枚買い戻し。

今日の取引。
7P132@30円×8枚買い。
7P135@27円×5枚買い。
7P137@45円×2枚、@38円×4枚買い。
7P140@55円×2枚買い。


始値 高値 安値 現値 前日比
先物 15070 15425 14960 15300 -55
期近 33.067% 33.589% 28.990% 29.713% -1.621
7月限 35.385% 36.479% 29.445% 31.160% -2.327
8月限 32.201% 32.509% 28.584% 29.203% -1.189
9月限 29.387% 29.861% 26.993% 27.533% -0.851

デルタ セータ Cガンマ Pガンマ ベガL ベガS



-0.11 +0.42 +409 -283
+0.88 -385 +0.32 +126
累計


547,658 -369

続きを読む

actok at 18:27コメント(0)トラックバック(0)トレードとポジション 

2016年06月27日

6月27日スマイルカーブ





原資産 15408.58




短期金利 0.10%




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)
37.615% 33.720% 35.036% 31.334% 31.334% -6.281







7月限
残存日数 8.75


修正ATM
補正値 -30


前日 始値 高値 安値 終値 (前日比)
42.275% 37.044% 38.398% 33.443% 33.487% -8.788



歪み率 6.233% +0.537
SP 始値 高値 安値 終値 前日比
11000 71.845% 72.102% 67.155% 68.909% -3.479
11250 68.699% 69.347% 64.180% 66.982% -3.887
11500 67.445% 67.445% 61.733% 64.628% -4.200
11750 65.343% 65.343% 59.821% 62.867% -4.267
12000 63.322% 63.322% 57.612% 61.121% -4.648
12250 60.704% 60.704% 55.650% 59.310% -4.201
12500 58.916% 58.916% 53.698% 57.015% -5.043
12750 57.064% 57.064% 52.106% 55.265% -4.495
13000 55.543% 55.543% 50.394% 53.429% -4.968
13125 52.824% 54.580% 49.566% 52.371% -4.835
13250 53.567% 53.617% 48.738% 51.297% -4.719
13375 52.763% 52.763% 47.848% 50.685% -4.938
13500 52.599% 52.599% 47.063% 49.957% -4.412
13625 49.581% 51.061% 45.481% 48.922% -4.475
13750 49.716% 49.716% 45.071% 48.242% -4.184
13875 48.713% 49.023% 44.102% 47.193% -4.704
14000 47.450% 47.825% 43.293% 46.525% -4.844
14125 45.947% 46.781% 42.424% 45.156% -4.766
14250 45.941% 45.941% 41.795% 44.079% -4.397
14375 44.975% 44.975% 40.756% 42.813% -4.732
14500 43.689% 43.689% 39.413% 41.701% -4.268
14625 43.062% 43.062% 38.133% 40.369% -4.579
14750 42.512% 42.512% 37.351% 39.237% -4.714
14875 40.662% 40.662% 36.226% 37.838% -5.115
15000 40.204% 40.204% 35.516% 36.917% -5.120
15125 37.717% 38.114% 34.206% 35.295% -5.824
15250 34.910% 37.420% 33.545% 34.482% -5.713
15375 34.313% 36.526% 32.230% 33.518% -5.721
15500 34.956% 35.774% 31.515% 32.421% -6.038
15625 33.224% 35.013% 30.834% 31.612% -6.067
15750 32.753% 34.676% 30.418% 30.804% -6.070
15875 32.748% 33.913% 29.765% 30.211% -5.857
16000 32.172% 33.449% 28.996% 29.656% -5.696
16125 31.562% 33.230% 28.754% 29.297% -5.822
16250 30.978% 33.371% 28.360% 28.805% -6.239
16375 32.072% 32.900% 28.332% 28.337% -6.335
16500 31.421% 32.914% 28.396% 28.396% -5.906
16625 32.022% 33.123% 28.281% 28.368% -5.925
16750 31.339% 33.399% 28.305% 28.305% -6.193
16875 31.711% 33.585% 28.550% 28.550% -5.921
17000 31.683% 34.040% 28.680% 28.680% -5.764
17125 32.259% 34.269% 28.679% 29.324% -5.865
17250 33.232% 34.819% 29.487% 29.555% -5.773
17375 33.331% 35.341% 29.962% 29.962% -5.995
17500 33.935% 35.664% 30.369% 30.369% -6.165
17625 34.333% 36.550% 30.913% 30.913% -6.198
17750 35.713% 36.946% 31.456% 31.456% -5.908
17875 35.775% 37.490% 31.585% 31.585% -6.034
18000 35.383% 38.072% 32.383% 32.383% -5.490
18125 36.631% 38.026% 32.768% 32.768% -5.440
18250 35.224% 39.068% 33.153% 33.153% -5.389 1円売
18375 39.086% 39.506% 34.330% 34.330% -4.848 1円売
18500 37.517% 39.088% 35.494% 35.494% -4.318 1円売
18625 38.646% 40.186% 36.646% 36.646% -3.800 1円売
18750 39.764% 41.301% 37.787% 37.787% -3.294 1円売
18875 40.871% 42.404% 38.916% 38.916% -2.800 1円売
19000 41.968% 43.498% 40.034% 40.034% -2.316 1円売
19125 44.581% 41.142% 41.142% -2.248 1円売
19250 45.654% 42.239% 42.239% -2.180 1円売
19375 46.718% 43.326% 43.326% -2.114 1円売
19500 47.772% 44.403% 44.403% -2.048 1円売
19625 48.817% 45.470% 45.470% -1.983 1円売
19750 49.852% 46.528% 46.528% -1.919 1円売
20000 51.897% 48.616% 48.616% -1.794 1円売
20250 52.404% 53.908% 50.668% 50.668% -1.671 1円売
20500 55.886% 52.686% 52.686% -1.551 1円売
20750 57.832% 54.671% 54.671% -1.434 1円売
21000 59.747% 56.625% 56.625% -1.319 1円売
21250 61.633% 58.548% 58.548% -1.206 1円売
21500 63.491% 60.441% 60.441% -1.095 1円売
21750 65.321% 62.307% 62.307% -0.987 1円売
22000 67.124% 64.144% 64.144% -0.880 1円売
22250 68.902% 65.955% 65.955% -0.776 1円売
22500 70.654% 67.740% 67.740% -0.673 1円売
22750 72.383% 69.500% 69.500% -0.572 1円売
23000 74.087% 71.236% 71.236% -0.472 1円売
23250 75.769% 72.949% 72.949% -0.374 1円売
23500 77.428% 74.638% 74.638% -0.278 1円売

続きを読む

actok at 17:42コメント(0)トラックバック(0)IVデータ 
■大引け
相場は反発。大引けにかけて買い戻されての高値引けでした。IVは大幅反落。

夜間取引。
7C160@135円×2枚買い。
7C165@55円×2枚買い。
7C167@32円×4枚買い。
7P130@50円×4枚買い戻し。
7P132@65円×4枚買い戻し。
7P137@90円×4枚買い戻し、@85円×2枚買い。
ベガをロングにしてもうひと勝負。

今日の取引。
7P152@455円×1枚買い。
7P136@85円×4枚売り。
小さくプットレシオ。

7P130@29円×20枚買い。
7C162@55円×2枚買い。
LS。

先物ミニ7月限@15230円×5枚、@15340円×5枚、@15370円×5枚売り。
7C152@380円×1枚買い。
7P140@100円×4枚返済売り。
ヘッジ付きでブルシンセ。


始値 高値 安値 現値 前日比
先物 15125 15355 14995 15355 +395
期近 33.720% 35.036% 31.334% 31.334% -6.281
7月限 37.044% 38.398% 33.443% 33.487% -8.788
8月限 32.190% 33.936% 30.392% 30.392% -4.738
9月限 30.846% 28.383% 28.383% -3.129

デルタ セータ Cガンマ Pガンマ ベガL ベガS



+0.02 +0.17 +433 -334
+1.32 -302 +0.19 +99
累計


548,027 +629

続きを読む

actok at 17:28コメント(0)トラックバック(0)トレードとポジション 

2016年06月24日

6月24日スマイルカーブ





原資産 15007.49




短期金利 0.10%




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)
30.337% 29.550% 41.551% 27.661% 37.615% +7.279







7月限
残存日数 9.75


修正ATM
補正値 -40


前日 始値 高値 安値 終値 (前日比)
33.672% 34.309% 48.187% 29.644% 42.275% +8.603



歪み率 5.695% -0.934
SP 始値 高値 安値 終値 前日比
11000 75.087% 86.143% 70.358% 72.388% -3.668
11250 75.422% 83.544% 68.425% 70.868% -3.473
11500 71.381% 80.944% 66.161% 68.828% -3.265
11750 68.940% 78.345% 64.226% 67.134% -2.480
12000 67.436% 76.121% 62.367% 65.768% -1.722
12250 67.115% 77.167% 60.244% 63.512% -2.070
12500 65.121% 72.086% 58.381% 62.058% -1.852
12750 59.575% 70.776% 56.538% 59.759% -1.726
13000 56.752% 67.964% 54.835% 58.396% -1.284
13250 55.244% 65.900% 52.937% 56.016% -1.631
13375 54.464% 64.987% 51.979% 55.623% -1.179
13500 53.129% 63.950% 51.012% 54.369% -1.364
13625 52.786% 62.738% 50.523% 53.398% -1.294
13750 52.488% 61.725% 49.791% 52.426% -1.401
13875 50.227% 60.582% 48.760% 51.898% -1.004
14000 49.871% 59.431% 47.882% 51.369% -0.753
14125 49.014% 64.638% 46.894% 49.922% -1.139
14250 46.428% 57.164% 45.995% 48.475% -1.391
14375 45.579% 56.031% 44.790% 47.544% -1.367
14500 43.176% 54.898% 43.176% 45.969% -1.998
14625 45.196% 55.226% 42.781% 44.948% -2.045
14750 44.914% 53.116% 40.168% 43.951% -2.128
14875 42.952% 52.243% 39.701% 42.953% -1.894
15000 41.568% 49.616% 39.233% 42.037% -1.999
15125 41.231% 48.354% 38.766% 41.120% -1.563
15250 40.576% 48.370% 38.202% 40.195% -1.576
15375 39.641% 48.707% 37.072% 39.239% -1.239
15500 38.933% 49.044% 36.190% 38.459% -1.081
15625 36.554% 46.336% 35.117% 37.679% -0.482
15750 35.335% 45.736% 34.018% 36.874% -0.435
15875 35.488% 45.136% 32.739% 36.068% -0.100
16000 34.817% 42.399% 29.948% 35.351% +0.231
16125 32.219% 42.884% 29.819% 35.119% +0.929
16250 35.017% 41.828% 29.688% 35.043% +1.929
16375 33.543% 40.864% 29.447% 34.673% +2.423
16500 30.861% 40.230% 28.522% 34.302% +2.566
16625 28.787% 40.345% 27.631% 34.293% +3.677
16750 28.541% 39.785% 27.094% 34.498% +4.523
16875 27.302% 39.863% 26.403% 34.471% +5.161
17000 26.785% 39.817% 26.016% 34.444% +5.598
17125 25.578% 41.856% 25.369% 35.189% +6.839
17250 27.331% 40.499% 25.253% 35.329% +7.193
17375 26.867% 40.448% 25.113% 35.957% +8.266
17500 26.352% 40.919% 24.957% 36.534% +8.999
17625 26.523% 41.152% 24.944% 37.111% +9.451
17750 25.933% 41.770% 25.087% 37.365% +9.682
17875 26.096% 42.341% 25.339% 37.619% +9.721
18000 25.761% 42.563% 25.626% 37.873% +9.887
18125 26.271% 42.808% 25.719% 38.208% +9.842
18250 27.691% 42.674% 26.238% 38.543% +9.798
18375 27.148% 43.531% 26.751% 39.177% +10.149
18500 28.458% 43.442% 27.256% 39.812% +10.198
18625 27.832% 44.415% 27.270% 40.446% +10.418
18750 29.045% 44.916% 28.075% 41.081% +10.526
18875 28.831% 44.771% 28.723% 41.716% +10.635
19000 29.973% 45.794% 29.353% 42.350% +10.932 1円売
19125 31.101% 45.784% 30.085% 43.389% +11.640 1円売
19250 29.953% 46.955% 29.852% 44.419% +12.337 1円売
19375 33.322% 47.612% 31.745% 45.440% +13.026 1円売
19500 32.026% 47.891% 31.329% 46.451% +13.705 1円売
19625 33.047% 48.888% 32.352% 47.454% +14.376 1円売
19750 34.059% 49.876% 33.365% 48.447% +14.397 1円売
20000 36.053% 51.828% 35.362% 50.410% +14.442 1円売
20250 38.011% 53.748% 37.323% 52.339% +14.488 1円売
20500 55.637% 39.248% 54.237% +14.537 1円売
20750 57.495% 41.141% 56.105% +14.586 1円売
21000 59.325% 43.001% 57.944% +14.637 1円売
21250 61.127% 44.831% 59.754% +14.688 1円売
21500 62.902% 46.631% 61.537% +14.741 1円売
21750 64.650% 48.403% 63.293% +14.793 1円売
22000 66.374% 50.148% 65.024% +14.846 1円売
22250 68.072% 51.866% 66.731% +14.900 1円売
22500 69.747% 53.559% 68.413% +14.953 1円売
22750 71.399% 55.227% 70.072% +15.007 1円売
23000 73.028% 56.872% 71.708% +15.061 1円売
23250 74.636% 58.494% 73.323% +15.115 1円売
23500 76.222% 60.093% 74.916% +15.169 1円売

続きを読む

actok at 17:09コメント(0)トラックバック(0)IVデータ 
■大引け
相場は大幅反落。夜間取引ではEU残留の味方が強く16000円台半ばまで続伸していましたが、開票が始まって離脱濃厚の報が伝わると急反落。一時切り返したものの、昼過ぎに離脱側の勝利が確定し、先物は東日本大震災以来のサーキットブレーカーが発動しました。IVは乱高下し、大引けではコール高プット安となりました。

夜間取引。
先物ミニ7月限@16215円×10枚、@16205円×10枚買い戻し。
7P150@145円×6枚買い。
7P140@60円×12枚買い。
7P135@21円×20枚、18円×10枚買い。
7P117@7円×20枚返済売り。
夜間取引の剥げで中ほどのプット買い、OTM売り。

今日の取引。
先物ミニ7月限@16160円×5枚、@16100円×5枚買い戻し。
7P135@70円×10枚、@80円×4枚、@95円×2枚、@120円×2枚返済売り。
7P140@140円×2枚返済売り。
7C177@18円×10枚、@14円×10枚、@13円×10枚返済売り。
7P115@22円×10枚、@16円×10枚買い。
バックの利益を確定しようとしましたが、タイミングが早く逆に損失となってしまいました。


始値 高値 安値 現値 前日比
先物 16295 16360 14785 14960 -1,205
期近 29.550% 41.551% 27.661% 37.615% +7.279
7月限 34.309% 48.187% 29.644% 42.275% +8.603
8月限 26.887% 37.981% 26.558% 35.130% +6.937
9月限

31.513% +5.351

デルタ セータ Cガンマ Pガンマ ベガL ベガS



-0.25 +0.22 +511 -457
+2.16 -291 -0.03 +53
累計


547,398 -368

続きを読む

actok at 16:14コメント(0)トラックバック(0)トレードとポジション 

2016年06月23日

6月23日スマイルカーブ





原資産 16220.19




短期金利 0.10%




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)
30.039% 31.459% 31.820% 30.172% 30.337% +0.298







7月限
残存日数 10.75


修正ATM
補正値 -35


前日 始値 高値 安値 終値 (前日比)
32.472% 34.897% 35.250% 33.275% 33.672% +1.200



歪み率 6.629% +0.180
SP 始値 高値 安値 終値 前日比
11000 75.116% 77.329% 72.850% 76.055% +3.298
11250 72.491% 74.678% 70.438% 74.341% +3.817
11500 70.789% 72.831% 68.353% 72.093% +4.238
11750 67.720% 70.159% 66.187% 69.614% +3.407
12000 66.893% 68.290% 64.001% 67.490% +3.603
12250 64.699% 66.231% 62.194% 65.582% +3.756
12500 63.186% 64.472% 60.141% 63.910% +4.169
12750 61.126% 62.353% 58.077% 61.485% +3.625
13000 59.020% 60.365% 56.085% 59.680% +3.932
13250 57.101% 58.499% 54.211% 57.648% +3.703
13375 55.955% 57.609% 53.358% 56.802% +3.740
13500 56.166% 56.634% 52.455% 55.733% +3.686
13625 54.948% 55.807% 51.573% 54.692% +3.654
13750 52.578% 54.823% 50.633% 53.828% +3.920
13875 53.159% 53.944% 49.613% 52.901% +3.599
14000 51.597% 53.133% 49.062% 52.122% +4.102
14125 50.780% 52.067% 47.938% 51.061% +3.834
14250 49.783% 51.139% 47.132% 49.867% +3.664
14375 49.324% 50.094% 46.189% 48.911% +3.780
14500 47.322% 49.035% 45.110% 47.966% +3.944
14625 47.109% 48.088% 44.390% 46.993% +3.851
14750 45.471% 47.126% 43.250% 46.079% +3.956
14875 44.794% 46.030% 42.481% 44.847% +3.841
15000 43.878% 44.969% 41.500% 44.036% +3.946
15125 42.743% 43.865% 40.607% 42.682% +3.661
15250 41.397% 42.727% 39.733% 41.770% +3.578
15375 40.280% 41.695% 38.757% 40.477% +3.134
15500 39.334% 40.541% 37.805% 39.541% +3.228
15625 38.511% 39.450% 36.859% 38.161% +3.014
15750 37.390% 38.380% 35.924% 37.309% +3.084
15875 36.341% 37.292% 34.673% 36.169% +2.939
16000 35.701% 36.311% 33.964% 35.121% +2.577
16125 34.445% 35.135% 33.255% 34.191% +2.372
16250 33.671% 34.293% 32.315% 33.114% +2.165
16375 32.601% 33.332% 31.631% 32.249% +2.061
16500 31.841% 32.434% 30.947% 31.736% +2.105
16625 31.417% 31.762% 30.009% 30.616% +1.540
16750 30.516% 31.193% 29.620% 29.975% +1.545
16875 29.985% 30.683% 28.935% 29.311% +1.265
17000 29.429% 30.190% 28.357% 28.846% +0.986
17125 29.476% 29.799% 27.764% 28.350% +0.984
17250 29.077% 29.604% 27.465% 28.135% +0.875
17375 29.645% 29.645% 27.003% 27.692% +0.518
17500 29.050% 29.219% 26.906% 27.535% +0.388
17625 28.609% 29.277% 26.760% 27.659% +0.431
17750 29.084% 29.336% 26.739% 27.683% +0.283
17875 28.988% 29.549% 26.959% 27.898% +0.198
18000 29.498% 29.756% 27.096% 27.986% +0.211
18125 29.784% 30.249% 27.332% 28.365% +0.126
18250 30.267% 30.696% 27.741% 28.745% -0.034
18375 30.546% 31.057% 28.014% 29.028% +0.018
18500 31.224% 31.788% 28.723% 29.614% +0.230
18625 31.002% 32.115% 28.989% 30.029% +0.315
18750 31.282% 32.351% 29.473% 30.555% +0.761
18875 31.313% 32.580% 29.880% 31.081% +0.916
19000 30.951% 32.922% 30.542% 31.418% +0.882
19125 32.019% 33.382% 30.943% 31.750% +0.862
19250 33.075% 34.059% 31.293% 32.082% +0.843
19375 34.121% 34.368% 31.906% 32.414% +1.047
19500 32.741% 34.470% 32.692% 32.746% +0.436
19625 33.708% 35.033% 32.521% 33.078% -0.167 1円売
19750 34.667% 35.199% 33.494% 34.050% -0.121 1円売
20000 36.558% 37.081% 35.412% 35.968% -0.030 1円売
20250 38.415% 38.935% 37.296% 37.851% +0.059 1円売
20500 40.756% 39.146% 39.701% +0.146 1円売
20750 42.547% 40.964% 41.519% +0.231 1円売
21000 44.309% 42.753% 43.307% +0.314 1円売
21250 46.042% 44.511% 45.065% +0.396 1円売
21500 47.747% 46.242% 46.796% +0.476 1円売
21750 49.426% 47.946% 48.500% +0.555 1円売
22000 51.080% 49.624% 50.178% +0.632 1円売
22250 52.710% 51.277% 51.831% +0.708 1円売
22500 54.315% 52.905% 53.460% +0.783 1円売
22750 55.898% 54.510% 55.065% +0.856 1円売
23000 57.458% 56.092% 56.647% +0.929 1円売
23250 58.997% 57.652% 58.208% +1.000 1円売
23500 60.515% 59.191% 59.747% +1.070 1円売

続きを読む

actok at 22:57コメント(1)トラックバック(0)IVデータ 
■大引け
相場は小幅反発。イギリスのEU離脱の賛否を問う国民投票を控え、IVは大きく上昇しました。

今日の取引。
7C177@23円×36枚買い。
7C168@150円×2枚売り。
7C166@245円×2枚売り。
7C161@515円×1枚売り。
コールバックを追加。


始値 高値 安値 現値 前日比
先物 16060 16220 16000 16165 +175
期近 31.459% 31.820% 30.172% 30.337% +0.298
7月限 34.897% 35.250% 33.275% 33.672% +1.200
8月限 29.146% 29.519% 27.979% 28.192% +0.026
9月限 26.353% 26.979% 25.791% 26.161% +0.139

デルタ セータ Cガンマ Pガンマ ベガL ベガS



+0.43 -0.38 +468 -501
+0.91 +121 +0.05 -33
累計


547,766 -215

続きを読む

actok at 22:54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年熊本地震災害義援金



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