2016年12月02日

12月2日スマイルカーブ





原資産 18334.29




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)
18.580% 18.946% 19.616% 18.924% 19.496% +0.916







12月限
残存日数 4.75


修正ATM
補正値 25


前日 始値 高値 安値 終値 (前日比)
18.400% 20.539% 22.361% 20.339% 21.139% +2.739



歪み率 8.475% +0.758
SP 始値 高値 安値 終値 前日比
9000 168.968% 164.738% 168.522% +13.914 1円売
9250 162.847% 158.764% 162.390% +13.351 1円売
9500 156.886% 152.946% 156.417% +12.802 1円売
9750 151.075% 147.274% 150.594% +12.268 1円売
10000 145.406% 141.742% 144.914% +11.746 1円売
10250 139.872% 136.340% 139.368% +11.236 1円売
10500 134.466% 131.064% 133.951% +10.738 1円売
10750 129.180% 125.905% 128.654% +10.250 1円売
11000 124.008% 120.858% 123.473% +9.773 1円売
11250 118.947% 115.918% 118.401% +9.306 1円売
11500 113.989% 111.079% 113.432% +8.849 1円売
11750 109.129% 106.336% 108.562% +8.400 1円売
12000 104.364% 101.685% 103.786% +7.959 1円売
12250 99.687% 97.120% 99.099% +7.526 1円売
12500 95.096% 92.632% 94.497% +7.101 1円売
12750 90.585% 88.214% 89.976% +6.683 1円売
13000 86.151% 83.872% 85.531% +6.272 1円売
13250 80.289% 81.790% 79.601% 81.160% +5.867 1円売
13500 76.102% 77.498% 75.398% 76.858% +5.468 1円売
13750 71.978% 73.273% 71.259% 72.621% +5.075 1円売
14000 67.916% 69.109% 67.182% 68.447% +4.686 1円売
14250 63.911% 65.005% 63.162% 64.332% +4.303 1円売
14375 62.974% 61.172% 62.295% +4.113 1円売
14500 59.961% 60.956% 59.196% 60.272% +3.925 1円売
14625 58.006% 58.952% 57.232% 58.262% +3.737 1円売
14750 56.062% 56.960% 55.281% 56.264% +3.550 1円売
14875 54.131% 54.979% 53.341% 54.279% +3.364 1円売
15000 52.211% 53.029% 51.413% 52.305% +3.179 1円売
15125 50.303% 51.927% 49.496% 50.343% +2.995 1円売
15250 48.405% 51.143% 47.590% 49.886% +4.307
15375 46.517% 49.237% 45.861% 48.509% +4.012
15500 44.639% 47.799% 44.330% 47.313% +3.899
15625 42.770% 46.702% 42.460% 45.326% +3.068
15750 44.047% 45.379% 42.775% 43.711% +2.657
15875 42.077% 44.289% 41.082% 42.361% +2.658
16000 40.115% 42.544% 39.669% 41.041% +2.551
16125 40.061% 41.503% 37.835% 39.228% +1.951
16250 38.034% 40.079% 37.683% 38.435% +2.168
16375 37.387% 38.939% 36.407% 36.920% +1.494
16500 36.416% 37.334% 35.355% 35.760% +1.522
16625 35.213% 36.144% 34.100% 34.711% +1.238
16750 33.832% 35.064% 33.059% 33.784% +1.663
16875 33.536% 33.842% 31.685% 32.814% +1.506
17000 32.253% 32.826% 31.131% 32.197% +1.675
17125 31.176% 31.708% 29.864% 31.205% +1.632
17250 30.155% 30.670% 28.834% 29.915% +1.291
17375 29.089% 29.613% 27.796% 29.074% +1.456
17500 28.152% 28.519% 26.826% 28.009% +1.324
17625 27.391% 27.407% 25.831% 27.039% +1.269
17750 26.784% 26.784% 24.926% 26.133% +1.317
17875 24.273% 25.775% 23.631% 25.278% +1.396
18000 24.130% 24.515% 23.144% 24.515% +1.599
18125 23.159% 23.544% 22.078% 23.341% +1.146
18250 22.997% 22.997% 21.359% 22.166% +0.928
18375 21.914% 22.161% 20.646% 20.992% +1.648
18500 19.892% 21.675% 19.892% 20.559% +2.169
18625 18.102% 21.176% 18.102% 20.127% +2.111
18750 18.013% 20.694% 18.013% 19.694% +2.053
18875 18.485% 20.281% 18.485% 19.261% +2.023
19000 17.881% 20.108% 17.881% 19.100% +2.489
19125 17.839% 19.901% 17.839% 19.070% +2.631
19250 17.821% 19.855% 17.821% 19.176% +2.601
19375 17.638% 19.912% 17.638% 19.446% +2.557
19500 18.891% 20.414% 18.676% 20.108% +2.935
19625 18.810% 21.146% 18.810% 20.774% +2.956
19750 18.842% 21.899% 18.842% 21.876% +3.173
19875 20.388% 23.122% 20.388% 23.122% +3.534
20000 21.912% 24.226% 21.749% 23.850% +3.376
20125 23.415% 25.745% 23.253% 25.383% +4.024 1円売
20250 27.245% 24.738% 26.897% +4.151 1円売
20375 28.726% 26.203% 28.392% +4.278 1円売
20500 30.191% 27.652% 29.870% +4.404 1円売
20750 33.072% 30.498% 32.776% +4.654 1円売
21000 35.892% 33.282% 35.620% +4.899 1円売
21250 38.655% 36.010% 38.407% +5.141 1円売
21500 41.365% 38.684% 41.140% +5.380 1円売

続きを読む

actok at 16:13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。夜間取引では上昇していましたが、大引けにかけて売りに押されました。IVは期近中心に続伸。

夜間取引。
12C192@13円×7枚返済売り。
12C190@46円×4枚、@47円×4枚、@55円×4枚返済売り。
先物ミニ12月限@18500円×10枚、@18555円×10枚買い戻し。

今日の取引。
1C198@46円×2枚売り。
12C190@23円×4枚返済売り。
12P175@30円×4枚買い。
先物ミニ3月限@18275円×5枚、@18345円×5枚買い戻し。


始値 高値 安値 現値 前日比
先物 18435 18475 18315 18335 -135
期近 18.946% 19.616% 18.924% 19.496% +0.916
12月限 20.539% 22.361% 20.339% 21.139% +2.739
1月限 18.845% 19.435% 18.825% 19.414% +0.814
2月限





デルタ セータ Cガンマ Pガンマ ベガL ベガS



-0.20 -0.06 +527 -555
+1.67 +166 -0.26 -28
累計


549,169 +62

続きを読む

actok at 16:01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12月01日

12月1日スマイルカーブ





原資産 18473.72




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)
17.636% 18.000% 18.745% 17.345% 18.580% +0.944







12月限
残存日数 5.75


修正ATM
補正値 25


前日 始値 高値 安値 終値 (前日比)
17.152% 17.411% 19.517% 16.715% 18.400% +1.248



歪み率 7.717% +0.363
SP 始値 高値 安値 終値 前日比
9000 155.784% 151.975% 154.609% +13.094 1円売
9250 150.251% 146.528% 149.039% +12.668 1円売
9500 144.861% 141.224% 143.614% +12.253 1円売
9750 139.608% 136.053% 138.326% +11.850 1円売
10000 134.484% 131.009% 133.168% +11.456 1円売
10250 129.483% 126.085% 128.133% +11.072 1円売
10500 124.596% 121.274% 123.213% +10.696 1円売
10750 119.820% 116.572% 118.404% +10.330 1円売
11000 115.147% 111.972% 113.699% +9.971 1円売
11250 110.574% 107.469% 109.094% +9.621 1円売
11500 106.095% 103.059% 104.583% +9.277 1円売
11750 101.705% 98.736% 100.162% +8.941 1円売
12000 95.072% 97.401% 94.498% 95.827% +8.612 1円売
12250 93.178% 90.339% 91.573% +8.288 1円売
12500 89.032% 86.256% 87.396% +7.971 1円売
12750 84.966% 82.244% 83.293% +7.660 1円売
13000 80.978% 78.302% 79.259% +7.355 1円売
13250 77.056% 74.425% 75.293% +7.055 1円売
13500 73.198% 70.610% 71.390% +6.760 1円売
13750 69.400% 66.854% 67.547% +6.470 1円売
14000 63.725% 65.659% 63.154% 63.761% +6.184 1円売
14250 60.078% 61.972% 59.507% 60.029% +5.904 1円売
14375 60.148% 57.703% 58.182% +5.765 1円売
14500 56.482% 58.338% 55.910% 56.348% +5.627 1円売
14625 54.702% 56.550% 54.130% 54.525% +5.491 1円売
14750 52.933% 54.772% 52.360% 52.714% +5.355 1円売
14875 51.175% 53.007% 50.602% 50.915% +5.221 1円売
15000 49.428% 51.252% 48.855% 49.126% +5.087 1円売
15125 47.692% 49.508% 47.118% 47.347% +4.193 1円売
15250 45.965% 47.774% 45.390% 45.579% +3.171 1円売
15375 44.248% 46.050% 43.644% 44.497% +3.350
15500 42.540% 44.336% 41.917% 43.415% +3.350
15625 40.841% 42.630% 40.349% 42.258% +3.612
15750 42.123% 42.123% 39.804% 41.053% +3.437
15875 40.334% 40.572% 38.110% 39.704% +3.323
16000 38.553% 39.473% 37.237% 38.490% +3.492
16125 36.778% 37.760% 35.477% 37.276% +3.256
16250 35.009% 36.728% 34.618% 36.267% +3.332
16375 33.247% 36.565% 32.942% 35.426% +3.593
16500 33.085% 34.709% 32.265% 34.238% +3.506
16625 31.259% 34.238% 29.956% 33.474% +3.745
16750 30.586% 32.753% 30.079% 32.121% +3.514
16875 29.631% 31.858% 28.867% 31.307% +3.674
17000 29.166% 30.906% 27.869% 30.522% +3.652
17125 28.314% 29.867% 27.269% 29.573% +3.681
17250 26.733% 28.957% 26.349% 28.625% +3.522
17375 26.241% 27.996% 25.484% 27.618% +3.468
17500 25.008% 26.892% 24.558% 26.685% +3.438
17625 23.813% 25.823% 23.368% 25.770% +3.468
17750 23.218% 24.863% 22.675% 24.815% +3.518
17875 22.651% 23.890% 21.746% 23.882% +3.479
18000 21.401% 22.916% 20.819% 22.916% +3.363
18125 20.376% 22.195% 19.739% 22.195% +3.747
18250 19.899% 21.238% 18.968% 21.238% +3.363
18375 18.682% 20.303% 17.906% 19.344% +2.194
18500 18.086% 19.381% 17.177% 18.390% +1.876
18625 17.383% 18.873% 16.882% 18.016% +1.927
18750 16.107% 18.422% 16.107% 17.641% +1.959
18875 16.323% 17.881% 15.801% 17.238% +1.859
19000 15.890% 17.471% 15.504% 16.611% +1.338
19125 15.623% 17.302% 15.176% 16.439% +1.340
19250 15.300% 17.237% 15.022% 16.575% +1.651
19375 15.885% 17.333% 14.997% 16.889% +1.729
19500 15.469% 17.769% 15.099% 17.173% +1.636
19625 15.923% 18.309% 14.997% 17.818% +1.377
19750 16.598% 19.158% 15.574% 18.704% +1.499
19875 16.661% 20.039% 16.195% 19.589% +1.061
20000 18.068% 21.202% 17.028% 20.474% +0.642
20125 19.453% 21.812% 18.044% 21.359% +0.240 1円売
20250 20.819% 23.088% 19.349% 22.745% +0.355 1円売
20375 22.167% 24.451% 20.718% 24.114% +0.468 1円売
20500 25.797% 22.068% 25.465% +0.580 1円売
20750 28.443% 24.718% 28.122% +0.797 1円売
21000 31.032% 27.306% 30.720% +1.008 1円売
21250 33.568% 29.838% 33.265% +1.214 1円売
21500 36.054% 32.318% 35.760% +1.415 1円売

続きを読む

actok at 19:00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。夜間取引の強基調を引き継いで上昇し、一時高値18755円をつけましたが、午後に入ってから急反落して上げ幅を縮小しました。IVは上昇。

夜間取引。
12C187@140円×2枚返済売り。
12C186@210円×1枚売り。
12P186@210円×1枚売り。
12C188@65円×2枚、@75円×2枚売り。
1C202@20円×8枚買い。

今日の取引。
12C188@120円×1枚売り。
12P181@55円×2枚売り。
先物ミニ12月限@18630円×10枚、@18550円×10枚、@18500円×5枚買い戻し。
12C190@49円×4枚、@39円×4枚返済売り。
12C192@13円×1枚返済売り。

コール側のIVが盛り上がったので、買い玉を手仕舞いしてガンマロングを縮小しました。


始値 高値 安値 現値 前日比
先物 18595 18755 18465 18470 +90
期近 18.000% 18.745% 17.345% 18.580% +0.944
12月限 17.411% 19.517% 16.715% 18.400% +1.248
1月限 18.071% 18.712% 17.360% 18.599% +0.883
2月限





デルタ セータ Cガンマ Pガンマ ベガL ベガS



+1.74 -0.81 +724 -593
+1.58 -58 +0.93 +131
累計


549,107 +207

続きを読む

actok at 18:00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11月30日

11月30日スマイルカーブ





原資産 18379.62




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)
17.902% 17.926% 18.194% 17.497% 17.636% -0.266







12月限
残存日数 6.75


修正ATM
補正値 -5


前日 始値 高値 安値 終値 (前日比)
17.126% 17.221% 17.842% 16.828% 17.152% +0.026



歪み率 7.353% +0.454
SP 始値 高値 安値 終値 前日比
9000 141.563% 138.216% 141.515% +10.194 1円売
9250 136.419% 133.162% 136.371% +9.853 1円売
9500 131.409% 128.240% 131.361% +9.520 1円売
9750 126.525% 123.442% 126.477% +9.197 1円売
10000 121.761% 118.761% 121.712% +8.881 1円売
10250 117.110% 114.191% 117.061% +8.573 1円売
10500 112.565% 109.726% 112.517% +8.272 1円売
10750 108.123% 105.361% 108.074% +7.978 1円売
11000 103.777% 101.091% 103.728% +7.691 1円売
11250 99.523% 96.910% 99.474% +7.409 1円売
11500 95.355% 92.815% 95.306% +7.134 1円売
11750 91.271% 88.802% 91.221% +6.864 1円売
12000 87.265% 84.865% 87.215% +6.599 1円売
12250 83.334% 81.002% 83.284% +6.340 1円売
12500 79.474% 77.208% 79.424% +6.086 1円売
12750 75.683% 73.481% 75.632% +5.836 1円売
13000 71.955% 69.818% 71.905% +5.590 1円売
13250 68.289% 66.214% 68.238% +5.349 1円売
13500 63.219% 64.681% 62.667% 64.630% +5.112 1円売
13750 59.729% 61.128% 59.174% 61.077% +4.879 1円売
14000 56.290% 57.628% 55.732% 57.576% +4.649 1円売
14250 52.899% 54.177% 52.339% 54.125% +4.423 1円売
14375 52.469% 50.659% 52.417% +4.312 1円売
14500 49.554% 50.772% 48.991% 50.720% +4.201 1円売
14625 47.898% 49.087% 47.333% 49.034% +4.091 1円売
14750 46.252% 47.412% 45.685% 47.359% +3.519 1円売
14875 47.899% 47.954% 44.444% 45.694% +2.957 1円売
15000 42.990% 44.436% 42.990% 44.039% +2.406 1円売
15125 44.455% 44.510% 42.052% 43.155% +2.625
15250 42.746% 42.801% 40.661% 42.408% +2.982
15375 41.046% 41.203% 39.588% 41.147% +2.825
15500 36.574% 40.121% 36.574% 40.064% +2.732
15625 37.670% 38.703% 37.101% 38.646% +2.303
15750 35.993% 37.674% 35.993% 37.616% +2.418
15875 36.014% 36.439% 35.167% 36.380% +2.007
16000 34.283% 35.057% 33.734% 34.998% +1.827
16125 33.785% 34.107% 33.114% 34.021% +1.909
16250 32.012% 33.099% 32.012% 32.934% +1.886
16375 31.190% 31.897% 30.952% 31.833% +1.828
16500 30.170% 30.853% 30.070% 30.732% +1.609
16625 29.618% 29.932% 29.024% 29.728% +1.539
16750 28.249% 28.962% 28.209% 28.607% +1.177
16875 27.671% 28.305% 27.183% 27.634% +1.021
17000 27.107% 27.332% 26.546% 26.870% +0.991
17125 26.191% 26.433% 25.462% 25.892% +0.904
17250 24.763% 25.491% 24.597% 25.103% +1.002
17375 24.023% 24.500% 23.709% 24.150% +0.792
17500 22.911% 23.689% 22.873% 23.246% +0.953
17625 22.096% 22.833% 21.850% 22.302% +0.867
17750 20.983% 22.106% 20.810% 21.297% +0.842
17875 20.354% 20.984% 19.649% 20.403% +0.764
18000 19.146% 20.013% 18.718% 19.552% +0.651
18125 18.281% 19.186% 17.941% 18.448% +0.377
18250 17.531% 18.252% 17.178% 17.875% +0.533
18375 17.143% 17.723% 16.483% 17.150% +0.466
18500 17.031% 17.363% 15.971% 16.515% +0.149
18625 16.798% 17.076% 15.532% 16.089% +0.258
18750 16.481% 16.563% 15.302% 15.682% -0.030
18875 16.054% 16.429% 15.057% 15.379% -0.200
19000 15.885% 16.349% 14.898% 15.273% -0.274
19125 15.773% 16.359% 14.757% 15.098% -0.538
19250 16.070% 16.470% 14.763% 14.924% -0.816
19375 16.439% 16.744% 15.073% 15.160% -0.775
19500 16.718% 17.102% 15.464% 15.537% -0.999
19625 17.247% 17.873% 16.305% 16.441% -0.528
19750 17.174% 18.710% 17.117% 17.204% -0.648 1円売
19875 18.471% 19.529% 18.205% 18.528% +0.341 1円売
20000 19.750% 20.825% 19.485% 19.832% +0.434 1円売
20125 22.104% 20.748% 21.119% +0.525 1円売
20250 22.259% 23.368% 21.995% 22.390% +0.615 1円売
20375 24.616% 23.263% 23.645% +0.703 1円売
20500 25.850% 24.480% 24.886% +0.790 1円売
20750 28.276% 26.874% 27.325% +0.960 1円売
21000 30.653% 29.216% 29.712% +1.126 1円売
21250 32.981% 31.511% 32.051% +1.288 1円売
21500 35.266% 33.762% 34.345% +1.447 1円売

続きを読む

actok at 17:45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。IVはコール安プット高でした。

夜間取引。
12C188@55円×4枚売り。
12C183@230円×1枚売り。
12P183@225円×1枚売り。
1C186@315円×1枚売り。


始値 高値 安値 現値 前日比
先物 18355 18380 18280 18380 +90
期近 17.926% 18.194% 17.497% 17.636% -0.266
12月限 17.221% 17.842% 16.828% 17.152% +0.026
1月限 18.055% 18.424% 17.601% 17.716% -0.368
2月限 19.077% 18.576% 18.669% -0.372

デルタ セータ Cガンマ Pガンマ ベガL ベガS



+2.08 -0.79 +699 -547
-1.90 -119 +1.29 +152
累計


548,899 -362

続きを読む

actok at 17:43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11月29日

11月29日スマイルカーブ





原資産 18290.97




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)
17.885% 18.566% 18.566% 17.729% 17.902% +0.016







12月限
残存日数 7.75


修正ATM
補正値 0


前日 始値 高値 安値 終値 (前日比)
16.848% 17.948% 18.035% 16.883% 17.126% +0.278



歪み率 6.900% +0.141
SP 始値 高値 安値 終値 前日比
9000 131.508% 128.831% 131.321% +7.373 1円売
9250 126.709% 124.106% 126.518% +7.089 1円売
9500 122.035% 119.503% 121.840% +6.812 1円売
9750 117.478% 115.016% 117.280% +6.543 1円売
10000 113.034% 110.639% 112.831% +6.280 1円売
10250 108.694% 106.366% 108.488% +6.023 1円売
10500 104.455% 102.191% 104.245% +5.772 1円売
10750 100.310% 98.109% 100.096% +5.526 1円売
11000 94.017% 96.255% 94.017% 96.037% +5.286 1円売
11250 92.285% 90.206% 92.064% +5.051 1円売
11500 88.397% 86.376% 88.172% +4.821 1円売
11750 84.586% 82.622% 84.357% +4.595 1円売
12000 80.848% 78.941% 80.616% +4.373 1円売
12250 77.180% 75.328% 76.944% +4.155 1円売
12500 71.664% 73.578% 71.664% 73.339% +3.942 1円売
12750 70.039% 68.294% 69.797% +3.731 1円売
13000 64.746% 66.561% 64.746% 66.314% +3.525 1円売
13250 61.373% 63.139% 61.373% 62.889% +3.321 1円売
13500 58.052% 59.772% 58.052% 59.518% +3.121 1円売
13750 56.456% 54.911% 56.198% +2.924 1円売
14000 51.560% 53.188% 51.560% 52.927% +2.729 1円売
14250 48.382% 49.967% 48.382% 49.702% +2.537 1円売
14375 48.373% 47.033% 48.105% +2.071 1円売
14500 45.247% 46.789% 45.247% 46.519% +1.616 1円売
14625 46.889% 46.889% 44.284% 44.944% +1.170 1円売
14750 45.251% 45.251% 43.826% 43.840% +1.197
14875 43.622% 43.769% 42.712% 42.737% +1.224
15000 42.002% 42.775% 41.633% 41.633% +1.250
15125 40.391% 41.058% 40.380% 40.530% +1.277
15250 38.788% 40.138% 38.788% 39.426% +1.304
15375 38.980% 38.980% 38.198% 38.323% +1.191
15500 37.329% 38.273% 37.329% 37.333% +1.191
15625 35.685% 36.854% 35.685% 36.343% +1.191
15750 35.306% 35.980% 35.198% 35.198% +0.966
15875 34.644% 34.788% 34.151% 34.373% +1.061
16000 32.927% 33.850% 32.437% 33.170% +0.777
16125 32.035% 32.838% 31.711% 32.111% +0.583
16250 30.994% 32.138% 30.994% 31.048% +0.424
16375 30.401% 30.828% 30.004% 30.004% +0.304
16500 30.003% 30.322% 29.124% 29.124% +0.361
16625 28.514% 29.042% 28.003% 28.190% +0.360
16750 27.994% 28.224% 27.299% 27.431% +0.355
16875 26.880% 27.586% 26.422% 26.613% +0.404
17000 26.321% 26.639% 25.784% 25.879% +0.474
17125 25.624% 25.863% 24.922% 24.988% +0.379
17250 24.610% 24.960% 24.063% 24.102% +0.389
17375 23.779% 24.104% 23.208% 23.358% +0.495
17500 22.611% 23.639% 22.266% 22.293% +0.308
17625 21.715% 22.458% 21.364% 21.435% +0.290
17750 20.917% 21.370% 20.395% 20.456% +0.239
17875 20.095% 20.690% 19.414% 19.639% +0.210
18000 19.153% 19.848% 18.492% 18.901% +0.262
18125 18.391% 19.038% 17.477% 18.071% +0.255
18250 17.887% 18.082% 17.121% 17.341% +0.047
18375 17.684% 17.684% 16.390% 16.684% +0.058
18500 17.256% 17.256% 15.921% 16.366% +0.123
18625 17.246% 17.246% 15.720% 15.831% -0.029
18750 16.268% 16.391% 15.302% 15.712% -0.034
18875 16.372% 16.372% 15.317% 15.578% +0.070
19000 16.238% 16.238% 15.242% 15.547% +0.135
19125 16.230% 16.230% 15.179% 15.637% +0.226
19250 16.245% 16.264% 15.227% 15.740% +0.195
19375 16.866% 16.866% 15.584% 15.935% +0.155
19500 17.026% 17.078% 15.931% 16.536% +0.518
19625 17.449% 17.645% 16.427% 16.969% +0.555
19750 18.753% 18.753% 17.316% 17.852% +0.904
19875 18.491% 18.856% 17.581% 18.187% +0.570 1円売
20000 19.679% 19.713% 18.771% 19.398% +1.260 1円売
20125 20.662% 19.957% 20.594% +1.636 1円売
20250 21.831% 21.129% 21.775% +1.704 1円売
20375 22.993% 22.287% 22.942% +1.770 1円売
20500 24.142% 23.431% 24.096% +1.836 1円売
20750 26.401% 25.681% 26.365% +1.966 1円売
21000 28.613% 27.879% 28.586% +2.094 1円売
21250 30.781% 30.032% 30.763% +2.219 1円売
21500 32.908% 32.145% 32.899% +2.342 1円売

続きを読む

actok at 16:23コメント(0)トラックバック(0)IVデータ 
■大引け
相場は小幅続落。IVは期近高期先安でした。

夜間取引。
先物ミニ12月限@18350円×5枚売り。


始値 高値 安値 現値 前日比
先物 18235 18330 18230 18290 -40
期近 18.566% 18.566% 17.729% 17.902% +0.016
12月限 17.948% 18.035% 16.883% 17.126% +0.278
1月限 18.723% 18.723% 17.920% 18.084% -0.125
2月限 19.561% 18.852% 19.041% -0.079

デルタ セータ Cガンマ Pガンマ ベガL ベガS



+1.51 -0.09 +761 -534
-0.65 -163 +1.42 +227
累計


549,262 -198

続きを読む

actok at 16:17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11月28日

11月28日スマイルカーブ





原資産 18333.55




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)
18.198% 18.366% 18.581% 17.696% 17.885% -0.312







12月限
残存日数 8.75


修正ATM
補正値 0


前日 始値 高値 安値 終値 (前日比)
17.090% 17.460% 17.722% 16.581% 16.848% -0.242



歪み率 6.759% +0.595
SP 始値 高値 安値 終値 前日比
9000 124.204% 121.685% 123.949% +6.198 1円売
9250 119.689% 117.220% 119.430% +5.959 1円売
9500 115.291% 112.871% 115.028% +5.726 1円売
9750 111.004% 108.632% 110.737% +5.499 1円売
10000 106.822% 104.496% 106.552% +5.278 1円売
10250 102.740% 100.458% 102.465% +5.061 1円売
10500 98.751% 96.513% 98.473% +4.850 1円売
10750 94.851% 92.656% 94.570% +4.643 1円売
11000 91.037% 88.883% 90.751% +4.441 1円売
11250 87.302% 85.189% 87.013% +4.243 1円売
11500 83.644% 81.570% 83.352% +4.049 1円売
11750 80.059% 78.017% 79.763% +3.859 1円売
12000 76.543% 74.529% 76.243% +3.672 1円売
12250 73.092% 71.105% 72.789% +3.489 1円売
12500 69.704% 67.743% 69.397% +3.309 1円売
12750 64.891% 66.376% 64.440% 66.065% +3.132 1円売
13000 63.104% 61.191% 62.789% +2.958 1円売
13250 58.483% 59.886% 57.991% 59.568% +2.787 1円売
13500 55.355% 56.719% 54.842% 56.397% +2.618 1円売
13750 52.275% 53.600% 51.741% 53.274% +2.452 1円売
14000 49.240% 50.528% 48.685% 50.198% +2.288 1円売
14250 46.248% 47.498% 45.671% 47.164% +2.126 1円売
14375 46.034% 44.179% 46.034% +2.119
14500 43.295% 44.904% 42.697% 44.904% +1.798
14625 41.834% 43.972% 41.237% 43.774% +1.822
14750 40.381% 43.104% 40.381% 42.643% +1.573
14875 41.808% 41.906% 39.883% 41.513% +1.461
15000 37.501% 41.709% 37.501% 40.383% +1.349
15125 38.767% 39.705% 37.746% 39.252% +1.336
15250 37.258% 39.115% 36.597% 38.122% +1.155
15375 37.468% 37.515% 35.974% 37.132% +1.067
15500 34.263% 36.696% 34.263% 36.142% +0.912
15625 34.368% 35.949% 34.055% 35.152% +0.721
15750 32.828% 34.689% 32.828% 34.232% +0.879
15875 32.455% 33.755% 31.707% 33.313% +0.779
16000 30.880% 32.706% 30.880% 32.393% +0.920
16125 30.998% 31.738% 29.947% 31.528% +0.839
16250 29.359% 30.831% 29.359% 30.624% +0.934
16375 28.961% 29.966% 28.744% 29.701% +1.005
16500 28.278% 28.994% 27.967% 28.763% +0.776
16625 26.977% 28.179% 26.977% 27.829% +0.785
16750 25.983% 27.308% 25.983% 27.075% +0.759
16875 25.463% 26.482% 25.463% 26.209% +0.563
17000 24.650% 25.687% 24.650% 25.405% +0.538
17125 24.042% 24.942% 23.991% 24.609% +0.516
17250 23.133% 24.067% 23.133% 23.713% +0.444
17375 22.294% 23.150% 22.294% 22.863% +0.191
17500 21.304% 22.344% 21.304% 21.986% +0.194
17625 20.731% 21.691% 20.710% 21.145% +0.019
17750 20.241% 20.809% 19.831% 20.217% -0.161
17875 19.279% 19.873% 19.073% 19.429% -0.174
18000 19.098% 19.098% 18.070% 18.640% -0.170
18125 18.307% 18.506% 17.586% 17.815% -0.348
18250 17.540% 17.818% 16.874% 17.294% -0.312
18375 17.358% 17.366% 16.408% 16.627% -0.463
18500 16.682% 17.049% 15.746% 16.243% -0.295
18625 16.329% 16.667% 15.416% 15.860% -0.408
18750 16.445% 16.515% 15.328% 15.746% -0.419
18875 16.288% 16.288% 15.133% 15.508% -0.371
19000 15.986% 16.101% 15.012% 15.411% -0.391
19125 16.052% 16.057% 15.007% 15.411% -0.328
19250 15.967% 16.229% 15.113% 15.544% -0.208
19375 16.294% 16.437% 15.311% 15.780% -0.125
19500 16.461% 16.893% 15.588% 16.018% -0.196
19625 17.259% 17.259% 15.874% 16.414% +0.024
19750 16.932% 17.754% 16.497% 16.948% +0.189
19875 18.148% 18.568% 17.098% 17.617% +0.242
20000 19.348% 19.496% 17.770% 18.138% +0.377
20125 18.973% 19.988% 18.553% 18.958% +0.462
20250 20.070% 21.086% 19.661% 20.072% +0.840 1円売
20375 22.171% 20.763% 21.172% +1.205 1円売
20500 23.244% 21.852% 22.260% +1.557 1円売
20750 25.355% 23.968% 24.399% +1.666 1円売
21000 27.422% 26.034% 26.492% +1.774 1円売
21250 29.449% 28.058% 28.544% +1.879 1円売
21500 31.437% 30.043% 30.556% +1.983 1円売

続きを読む

actok at 17:00コメント(0)トラックバック(0)IVデータ 
■大引け
週明けの相場は小幅反落。IVは小安い。

今日の取引。
12C190@27円×8枚買い。
12C192@11円×24枚買い。
先物ミニ3月限@18255円×10枚、@18285円×10枚、@18310円×5枚売り。
デルタロングを縮小しました。


始値 高値 安値 現値 前日比
先物 18305 18380 18210 18330 -45
期近 18.366% 18.581% 17.696% 17.885% -0.312
12月限 17.460% 17.722% 16.581% 16.848% -0.242
1月限 18.668% 18.918% 18.028% 18.209% -0.432
2月限 19.723% 19.056% 19.120% -0.458

デルタ セータ Cガンマ Pガンマ ベガL ベガS



+1.85 -0.09 +899 -581
+1.39 -225 +1.76 +318
累計


549,459 -262

続きを読む

actok at 16:55コメント(0)トラックバック(0)トレードとポジション 
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