2016年05月31日

5月31日スマイルカーブ





原資産 17229.03




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)
22.274% 22.638% 22.873% 22.201% 22.283% +0.010







6月限
残存日数 7.75


修正ATM
補正値 -5


前日 始値 高値 安値 終値 (前日比)
20.027% 20.145% 20.827% 19.724% 19.898% -0.128



歪み率 7.429% +0.523
SP 始値 高値 安値 終値 前日比
10500 94.317% 90.285% 94.133% +6.971 1円売
10750 90.143% 86.160% 89.949% +6.730 1円売
11000 86.058% 82.123% 85.854% +6.494 1円売
11250 82.057% 78.167% 81.843% +6.264 1円売
11500 78.136% 74.290% 77.912% +6.038 1円売
11750 74.290% 70.487% 74.057% +5.818 1円売
12000 67.128% 70.516% 66.754% 70.274% +5.601 1円売
12250 66.811% 63.088% 66.558% +5.390 1円売
12500 59.858% 63.169% 59.484% 62.907% +5.182 1円売
12750 56.314% 59.589% 56.314% 59.317% +4.340 1円売
13000 52.826% 56.780% 52.826% 56.327% +4.097
13250 53.916% 50.469% 53.512% +4.031
13500 49.382% 50.792% 47.611% 50.698% +3.964
13750 45.834% 47.838% 44.495% 47.838% +3.852
13875 44.077% 46.408% 43.560% 46.408% +3.705
14000 42.330% 45.337% 42.330% 44.977% +3.299
14125 40.593% 43.886% 40.593% 43.546% +2.892
14250 38.866% 42.917% 38.866% 42.397% +2.899
14375 38.956% 41.339% 37.503% 40.934% +2.952
14500 38.549% 40.264% 37.448% 39.815% +2.916
14625 36.725% 38.800% 36.104% 38.168% +2.426
14750 34.907% 37.795% 34.907% 36.992% +2.333
14875 34.117% 36.107% 33.845% 35.815% +1.952
15000 33.122% 35.359% 32.817% 34.638% +2.049
15125 31.969% 33.761% 31.736% 33.462% +1.749
15250 30.691% 32.635% 30.648% 32.103% +1.585
15375 29.830% 31.462% 29.706% 30.951% +1.657
15500 29.163% 30.314% 28.399% 29.863% +1.513
15625 27.839% 29.450% 27.608% 28.744% +1.372
15750 26.992% 28.060% 26.625% 27.484% +1.148
15875 25.859% 27.293% 25.526% 26.632% +1.228
16000 24.933% 26.068% 24.678% 25.669% +1.124
16125 24.239% 25.151% 23.681% 24.657% +0.990
16250 23.288% 24.308% 22.906% 23.871% +0.923
16375 22.223% 23.453% 22.126% 22.977% +0.704
16500 22.240% 22.729% 21.442% 22.186% +0.619
16625 21.556% 22.197% 20.869% 21.662% +0.726
16750 21.183% 21.786% 20.362% 21.141% +0.473
16875 20.535% 21.169% 19.770% 20.438% +0.099
17000 20.207% 20.941% 19.708% 20.183% +0.055
17125 19.819% 21.065% 19.649% 19.813% -0.134
17250 20.530% 21.058% 19.723% 19.921% -0.247
17375 20.490% 21.018% 19.682% 19.885% -0.325
17500 20.634% 21.332% 19.745% 20.077% -0.329
17625 20.560% 21.431% 19.962% 20.237% -0.469
17750 21.628% 21.882% 20.323% 20.485% -0.581
17875 21.770% 22.079% 20.600% 20.916% -0.484
18000 22.408% 22.468% 20.893% 21.083% -0.744
18125 22.814% 22.828% 21.214% 21.454% -0.657
18250 22.968% 23.206% 21.551% 21.776% -0.809
18375 23.652% 23.676% 21.911% 22.051% -0.725
18500 23.991% 24.254% 22.205% 22.371% -0.762
18625 24.450% 24.648% 22.519% 22.572% -1.172
18750 24.488% 25.382% 22.995% 23.015% -1.085
18875 24.944% 25.739% 23.431% 23.578% -0.979
19000 25.029% 26.301% 23.984% 24.142% -1.005
19125 26.329% 27.412% 24.755% 24.866% -0.933
19250 27.613% 27.940% 23.601% 25.590% -1.012
19375 28.881% 28.881% 25.909% 26.325% -1.029
19500 30.135% 30.135% 27.051% 27.060% -1.045
19625 29.127% 30.315% 27.736% 27.795% -0.907
19750 30.282% 31.054% 28.041% 28.530% -0.769
20000 32.909% 30.366% 30.852% +0.206 1円売
20250 35.136% 32.644% 33.131% +0.386 1円売
20500 37.320% 34.877% 35.367% +0.526 1円売
20750 39.465% 37.067% 37.560% +0.663 1円売
21000 41.571% 39.218% 39.713% +0.798 1円売
21250 43.642% 41.332% 41.829% +0.929 1円売
21500 45.678% 43.409% 43.908% +1.058 1円売
21750 47.680% 45.451% 45.954% +1.184 1円売
22000 49.651% 47.461% 47.966% +1.308 1円売
22250 51.591% 49.438% 49.946% +1.430 1円売
22500 53.502% 51.386% 51.896% +1.549 1円売
22750 55.384% 53.303% 53.817% +1.667 1円売
23000 57.239% 55.193% 55.709% +1.783 1円売

続きを読む

actok at 23:39コメント(0)トラックバック(0)IVデータ 
■大引け
相場は5日続伸。IVはコール安プット高でした。

今日の取引。
6C173@180円×2枚売り。
7C200@14円×10枚買い。
7C205@7円×30枚買い。
コール側にカレンダーバック。

7C173@445円×2枚売り。
6C182@21円×12枚買い。
逆にリバースバック。


始値 高値 安値 現値 前日比
先物 17020 17260 16985 17225 +155
期近 22.638% 22.873% 22.201% 22.283% +0.010
6月限 20.145% 20.827% 19.724% 19.898% -0.128
7月限 23.122% 23.332% 22.533% 22.704% -0.131
8月限 23.124% 22.447% 22.542% -0.205

デルタ セータ Cガンマ Pガンマ ベガL ベガS



+0.37 +0.02 +254 -135
+1.58 -105 +0.39 +119
累計


549,467 +192

続きを読む

actok at 23:37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05月30日

5月30日スマイルカーブ





原資産 17075.51




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)
22.241% 22.195% 22.680% 22.143% 22.274% +0.033







6月限
残存日数 8.75


修正ATM
補正値 -5


前日 始値 高値 安値 終値 (前日比)
19.868% 19.881% 20.416% 19.651% 20.027% +0.158



歪み率 6.907% -0.142
SP 始値 高値 安値 終値 前日比
10500 85.059% 87.162% 84.475% 87.162% +6.816 1円売
10750 83.219% 80.581% 83.219% +6.616 1円売
11000 79.360% 76.770% 79.360% +6.422 1円売
11250 75.579% 73.036% 75.579% +6.232 1円売
11500 71.874% 69.375% 71.874% +6.047 1円売
11750 68.239% 65.785% 68.239% +5.866 1円売
12000 62.861% 64.672% 62.260% 64.672% +5.688 1円売
12250 59.402% 61.169% 58.798% 61.169% +5.515 1円売
12500 56.002% 57.725% 55.597% 57.725% +4.573 1円売
12750 52.659% 55.773% 52.659% 54.977% +4.326
13000 49.367% 52.578% 49.367% 52.230% +4.079
13250 49.482% 49.482% 47.133% 49.482% +3.986
13500 46.090% 46.734% 44.135% 46.734% +3.425
13750 42.741% 44.005% 41.993% 43.986% +3.286
13875 41.083% 42.702% 40.732% 42.702% +3.254
14000 39.434% 41.895% 39.434% 41.678% +3.587
14125 39.611% 40.654% 38.373% 40.654% +3.613
14250 37.915% 39.498% 37.424% 39.498% +3.506
14375 36.228% 37.987% 36.228% 37.982% +2.832
14500 36.901% 36.951% 35.217% 36.899% +3.026
14625 34.104% 35.777% 34.104% 35.742% +2.623
14750 33.379% 34.661% 33.144% 34.658% +2.851
14875 32.458% 33.863% 32.115% 33.863% +2.837
15000 31.387% 32.590% 31.151% 32.590% +2.585
15125 30.769% 31.712% 30.124% 31.712% +2.559
15250 29.413% 30.518% 29.243% 30.518% +2.266
15375 28.826% 29.402% 28.096% 29.294% +2.021
15500 27.601% 28.431% 27.270% 28.350% +1.928
15625 26.848% 27.422% 26.265% 27.372% +1.869
15750 26.072% 26.397% 25.450% 26.336% +1.724
15875 25.220% 25.516% 24.508% 25.404% +1.634
16000 24.081% 24.627% 23.658% 24.546% +1.445
16125 23.170% 23.826% 22.759% 23.666% +1.397
16250 22.723% 23.116% 21.810% 22.948% +1.347
16375 21.794% 22.444% 21.230% 22.273% +1.150
16500 21.459% 21.887% 20.509% 21.567% +0.999
16625 20.546% 21.413% 20.300% 20.936% +0.737
16750 20.345% 20.987% 19.945% 20.669% +0.735
16875 19.853% 20.705% 19.629% 20.339% +0.519
17000 19.888% 20.485% 19.554% 20.129% +0.059
17125 19.798% 20.547% 19.599% 19.948% +0.019
17250 20.263% 20.620% 19.657% 20.168% +0.103
17375 20.486% 20.874% 19.798% 20.210% -0.238
17500 20.499% 21.454% 20.000% 20.406% -0.171
17625 20.917% 21.878% 20.152% 20.706% -0.280
17750 21.129% 22.009% 20.587% 21.066% -0.313
17875 21.659% 22.417% 21.091% 21.400% -0.416
18000 21.882% 22.739% 21.369% 21.827% -0.365
18125 22.218% 23.208% 21.817% 22.111% -0.499
18250 22.318% 23.627% 22.179% 22.585% -0.460
18375 22.934% 24.166% 22.563% 22.776% -0.870
18500 23.683% 24.552% 23.002% 23.133% -1.011
18625 24.199% 25.191% 23.429% 23.745% -0.891
18750 24.392% 25.639% 23.740% 24.100% -1.137
18875 24.980% 26.283% 24.496% 24.558% -1.281
19000 25.333% 27.150% 25.103% 25.147% -1.603
19125 26.604% 27.833% 25.710% 25.800% -1.615
19250 27.859% 28.567% 26.598% 26.603% -1.477
19375 27.725% 28.958% 27.033% 27.354% -1.380
19500 28.905% 30.032% 27.831% 28.105% -1.283
19625 30.262% 28.348% 28.702% -1.297
19750 30.792% 29.170% 29.299% -1.311
20000 31.153% 32.816% 30.584% 30.646% -1.155
20250 33.901% 32.718% 32.746% -0.695 1円売
20500 35.963% 34.812% 34.840% -0.572 1円売
20750 37.987% 36.866% 36.896% -0.452 1円売
21000 39.321% 39.976% 38.872% 38.915% -0.335 1円売
21250 41.273% 41.931% 40.842% 40.900% -0.220 1円売
21500 43.853% 42.779% 42.851% -0.108 1円売
21750 45.744% 44.684% 44.770% +0.001 1円売
22000 47.606% 46.559% 46.658% +0.109 1円売
22250 49.438% 48.405% 48.517% +0.214 1円売
22500 51.243% 50.222% 50.347% +0.318 1円売
22750 53.020% 52.013% 52.150% +0.419 1円売
23000 54.772% 53.777% 53.927% +0.519 1円売

続きを読む

actok at 18:02コメント(0)トラックバック(0)IVデータ 
■大引け
相場は続伸して一ヶ月ぶりに17000円の大台を回復しました。IVはコール安プット高。

今日の取引。
6P170@230円×1枚買い。
6P161@37円×4枚売り。


始値 高値 安値 現値 前日比
先物 16975 17075 16905 17070 +250
期近 22.195% 22.680% 22.143% 22.274% +0.033
6月限 19.881% 20.416% 19.651% 20.027% +0.158
7月限 22.819% 23.329% 22.772% 22.836% -0.196
8月限 23.184% 22.727% 22.747% -0.454

デルタ セータ Cガンマ Pガンマ ベガL ベガS



+0.02 +0.14 +118 -85
+1.55 -36 +0.17 +33
累計


549,275 +307

続きを読む

actok at 17:58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05月27日

5月27日スマイルカーブ





原資産 16821.74




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)
22.515% 22.576% 22.918% 22.092% 22.241% -0.275







6月限
残存日数 9.75


修正ATM
補正値 0


前日 始値 高値 安値 終値 (前日比)
20.377% 20.777% 21.082% 19.426% 19.868% -0.509



歪み率 7.049% +0.592
SP 始値 高値 安値 終値 前日比
10500 80.496% 79.067% 80.347% +4.047 1円売
10750 76.755% 75.371% 76.603% +3.870 1円売
11000 72.319% 73.093% 71.753% 72.938% +3.696 1円売
11250 69.505% 68.208% 69.347% +3.526 1円売
11500 65.987% 64.732% 65.827% +3.359 1円売
11750 61.892% 62.537% 61.323% 62.374% +3.196 1円売
12000 58.546% 59.166% 57.976% 58.984% +2.154 1円売
12250 55.259% 56.370% 55.160% 55.654% +1.172
12500 55.721% 55.721% 53.153% 53.153% +1.019
12750 48.850% 51.423% 48.803% 50.651% +0.866
13000 49.030% 49.030% 47.802% 48.150% +1.167
13250 45.758% 46.875% 45.067% 45.496% +1.057
13500 42.531% 44.282% 42.481% 43.309% +1.160
13750 41.209% 41.567% 40.434% 40.700% +0.670
13875 39.569% 40.545% 38.865% 39.449% +0.927
14000 39.304% 39.411% 37.774% 38.091% +0.253
14125 37.634% 38.251% 36.065% 37.041% +0.448
14250 37.040% 37.132% 35.664% 35.992% +0.304
14375 35.346% 36.274% 34.612% 35.150% +0.489
14500 34.522% 35.063% 33.415% 33.874% +0.214
14625 33.550% 34.056% 32.394% 33.119% +0.270
14750 32.459% 33.022% 31.434% 31.808% +0.027
14875 31.806% 32.189% 30.675% 31.026% -0.013
15000 30.478% 31.201% 29.688% 30.004% -0.125
15125 29.498% 30.236% 28.787% 29.153% -0.034
15250 28.716% 29.327% 27.843% 28.252% +0.086
15375 27.720% 28.373% 26.744% 27.273% -0.022
15500 27.059% 27.485% 26.037% 26.422% -0.100
15625 26.122% 26.636% 25.117% 25.503% -0.026
15750 25.150% 25.703% 24.287% 24.612% -0.073
15875 24.583% 24.843% 23.378% 23.770% -0.181
16000 23.656% 24.206% 22.585% 23.100% -0.126
16125 23.030% 23.717% 21.761% 22.270% -0.365
16250 22.525% 22.722% 21.235% 21.601% -0.372
16375 22.486% 22.486% 20.728% 21.122% -0.469
16500 21.459% 21.813% 20.120% 20.568% -0.617
16625 20.763% 21.521% 19.808% 20.199% -0.711
16750 20.631% 21.198% 19.405% 19.933% -0.603
16875 20.805% 21.012% 19.437% 19.820% -0.285
17000 20.640% 21.001% 19.393% 20.070% -0.226
17125 20.412% 21.155% 19.416% 19.928% -0.398
17250 20.739% 21.369% 19.619% 20.065% -0.476
17375 20.914% 21.560% 19.624% 20.448% -0.270
17500 21.510% 21.667% 20.048% 20.578% -0.427
17625 21.614% 22.066% 20.408% 20.986% -0.266
17750 21.801% 22.154% 20.858% 21.379% -0.212
17875 22.252% 22.580% 21.368% 21.815% -0.155
18000 22.657% 22.988% 21.734% 22.191% -0.110
18125 22.863% 23.355% 22.106% 22.610% +0.117
18250 23.152% 23.916% 22.590% 23.045% +0.011
18375 23.726% 24.211% 23.071% 23.646% +0.216
18500 24.443% 24.761% 23.605% 24.145% +0.282
18625 24.962% 25.257% 23.963% 24.635% +0.393
18750 25.218% 25.789% 24.829% 25.237% +0.354
18875 25.856% 26.483% 25.468% 25.839% +0.371
19000 26.324% 27.189% 26.122% 26.750% +0.797
19125 26.559% 27.664% 26.530% 27.415% +0.772
19250 27.743% 28.333% 27.327% 28.080% +0.747
19375 27.559% 29.192% 27.559% 28.734% +0.757
19500 28.674% 30.211% 28.620% 29.389% +0.766
19625 30.368% 29.188% 30.000% +0.928
19750 30.907% 29.428% 30.611% +0.902
20000 30.715% 32.120% 30.579% 31.801% +1.263
20250 32.700% 33.611% 32.315% 33.441% +1.356 1円売
20500 35.580% 34.269% 35.412% +1.451 1円売
20750 37.514% 36.188% 37.348% +1.545 1円売
21000 39.415% 38.073% 39.250% +1.636 1円売
21250 41.283% 39.926% 41.120% +1.726 1円売
21500 43.120% 41.748% 42.959% +1.815 1円売
21750 44.928% 43.541% 44.768% +1.902 1円売
22000 46.708% 45.305% 46.549% +1.988 1円売
22250 48.460% 47.042% 48.302% +2.072 1円売
22500 50.185% 48.753% 50.029% +2.155 1円売
22750 51.886% 50.438% 51.731% +2.236 1円売
23000 53.561% 52.099% 53.407% +2.317 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。小幅な値動きに終始しました。IVは中安外高。

今日の取引はありません。


始値 高値 安値 現値 前日比
先物 16850 16905 16795 16820 +25
期近 22.576% 22.918% 22.092% 22.241% -0.275
6月限 20.777% 21.082% 19.426% 19.868% -0.509
7月限 23.216% 23.691% 22.969% 23.032% -0.400
8月限 23.604% 22.989% 23.201% -0.225

デルタ セータ Cガンマ Pガンマ ベガL ベガS



+0.05 +0.12 +118 -79
+1.19 -40 +0.17 +39
累計


548,968 -27

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05月26日

5月26日スマイルカーブ





原資産 16796.29




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)
22.194% 22.377% 22.836% 22.042% 22.515% +0.322







6月限
残存日数 10.75


修正ATM
補正値 0


前日 始値 高値 安値 終値 (前日比)
20.267% 20.172% 20.807% 19.413% 20.377% +0.109



歪み率 6.457% +0.287
SP 始値 高値 安値 終値 前日比
10500 76.832% 75.769% 76.300% +3.608 1円売
10750 73.313% 72.230% 72.733% +3.454 1円売
11000 69.868% 68.766% 69.242% +3.303 1円売
11250 66.494% 65.372% 65.821% +3.156 1円売
11500 63.120% 63.186% 62.045% 62.468% +3.011 1円売
11750 59.874% 59.941% 58.781% 59.178% +2.035
12000 56.687% 57.442% 55.766% 56.830% +2.227
12250 53.558% 54.482% 53.353% 54.482% +2.418
12500 50.482% 52.653% 50.395% 52.134% +2.609
12750 50.844% 50.844% 48.369% 49.785% +2.800
13000 47.684% 47.688% 45.974% 46.984% +2.268
13250 44.571% 45.331% 43.772% 44.439% +1.993
13500 41.501% 42.733% 41.396% 42.149% +1.973
13750 40.283% 40.465% 39.276% 40.031% +2.062
13875 40.099% 40.111% 38.107% 38.522% +1.114
14000 38.503% 38.704% 37.376% 37.838% +1.560
14125 37.995% 38.048% 36.228% 36.593% +1.237
14250 35.336% 36.782% 35.284% 35.688% +1.326
14375 35.645% 35.645% 34.381% 34.661% +1.170
14500 34.010% 34.598% 33.441% 33.660% +1.079
14625 33.108% 33.927% 32.575% 32.849% +1.175
14750 32.680% 32.998% 31.673% 31.781% +0.860
14875 30.982% 32.174% 30.654% 31.038% +1.027
15000 30.266% 31.163% 29.910% 30.129% +0.874
15125 29.757% 30.319% 28.924% 29.187% +0.876
15250 28.668% 29.324% 28.037% 28.167% +0.675
15375 27.763% 28.410% 27.116% 27.295% +0.564
15500 27.438% 27.575% 26.318% 26.522% +0.610
15625 26.362% 26.645% 25.469% 25.529% +0.257
15750 25.317% 25.801% 24.652% 24.685% +0.424
15875 24.581% 25.486% 23.771% 23.951% +0.351
16000 24.265% 24.276% 23.052% 23.226% +0.169
16125 22.584% 23.804% 22.080% 22.635% +0.262
16250 22.414% 23.072% 21.690% 21.973% +0.346
16375 21.769% 22.493% 21.183% 21.592% +0.507
16500 21.575% 21.913% 20.606% 21.186% +0.349
16625 20.873% 21.572% 20.264% 20.910% +0.361
16750 20.800% 21.066% 20.102% 20.536% +0.241
16875 20.512% 20.891% 19.383% 20.105% +0.120
17000 19.981% 20.879% 19.797% 20.295% +0.303
17125 19.571% 20.907% 19.571% 20.327% +0.240
17250 19.605% 20.965% 19.605% 20.541% +0.194
17375 19.817% 21.050% 19.817% 20.718% +0.375
17500 20.334% 21.324% 20.206% 21.005% +0.280
17625 20.348% 21.504% 20.224% 21.251% +0.281
17750 20.914% 21.867% 20.866% 21.590% +0.368
17875 21.194% 22.026% 21.194% 21.970% +0.392
18000 21.460% 22.409% 21.460% 22.301% +0.453
18125 21.821% 22.804% 21.789% 22.493% +0.380
18250 21.757% 23.238% 21.757% 23.034% +0.479
18375 22.533% 23.686% 22.250% 23.430% +0.564
18500 22.781% 24.249% 22.759% 23.862% +0.620
18625 23.040% 24.698% 23.040% 24.243% +0.507
18750 23.436% 25.392% 23.436% 24.883% +0.685
18875 24.162% 26.124% 24.021% 25.468% +0.790
19000 24.759% 26.449% 24.718% 25.954% +0.979
19125 25.194% 27.041% 24.878% 26.643% +1.044
19250 25.408% 27.811% 25.108% 27.332% +1.039
19375 26.529% 28.538% 26.147% 27.978% +1.004
19500 27.636% 29.169% 26.812% 28.623% +1.108
19625 27.399% 29.299% 27.011% 29.072% +1.148
19750 28.442% 29.797% 27.423% 29.709% +1.364
20000 28.363% 30.967% 28.268% 30.538% +1.363
20250 30.261% 32.343% 30.167% 32.085% +1.083 1円売
20500 34.216% 32.029% 33.961% +1.166 1円売
20750 36.056% 33.857% 35.804% +1.248 1円売
21000 37.863% 35.653% 37.614% +1.328 1円売
21250 39.641% 37.418% 39.394% +1.407 1円売
21500 41.389% 39.154% 41.144% +1.484 1円売
21750 43.108% 40.862% 42.866% +1.560 1円売
22000 44.801% 42.542% 44.561% +1.635 1円売
22250 46.468% 44.196% 46.230% +1.708 1円売
22500 48.110% 45.826% 47.874% +1.781 1円売
22750 49.727% 47.431% 49.494% +1.852 1円売
23000 51.322% 49.012% 51.090% +1.922 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。高寄り後戻り売りに押されました。IVは小確り。

夜間取引。
6P167@235円×1枚買い。
6C170@245円×1枚買い。
6P141@5円×10枚買い戻し。
6P158@50円×4枚売り。
6C171@210円×1枚、@220円×1枚売り。
6P163@110円×2枚売り。
ポジションを微調整。


始値 高値 安値 現値 前日比
先物 16950 16970 16730 16795 +25
期近 22.377% 22.836% 22.042% 22.515% +0.322
6月限 20.172% 20.807% 19.413% 20.377% +0.109
7月限 23.379% 23.748% 23.039% 23.432% +0.201
8月限 23.629% 23.147% 23.426% +0.010

デルタ セータ Cガンマ Pガンマ ベガL ベガS



+0.05 +0.11 +130 -89
+1.20 -39 +0.16 +41
累計


548,995 +13

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05月25日

5月25日スマイルカーブ





原資産 16771.24




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)
21.723% 21.812% 22.249% 21.570% 22.194% +0.471







6月限
残存日数 11.75


修正ATM
補正値 -10


前日 始値 高値 安値 終値 (前日比)
19.797% 19.591% 21.027% 19.436% 20.267% +0.470



歪み率 6.171% +0.272
SP 始値 高値 安値 終値 前日比
10500 72.808% 71.666% 72.692% +5.141 1円売
10750 68.830% 69.396% 68.288% 69.279% +5.013 1円売
11000 66.057% 64.980% 65.938% +4.889 1円売
11250 62.288% 62.785% 61.739% 62.665% +4.768 1円売
11500 59.114% 59.581% 58.562% 59.457% +4.005 1円売
11750 59.887% 59.930% 56.108% 57.143% +3.922
12000 56.646% 56.691% 53.820% 54.603% +3.613
12250 52.580% 51.011% 52.064% +3.305
12500 50.332% 50.376% 48.658% 49.525% +3.303
12750 47.251% 47.296% 45.875% 46.985% +2.533
13000 44.217% 45.537% 43.634% 44.715% +2.528
13250 41.226% 42.669% 41.226% 42.446% +2.523
13500 40.071% 40.966% 38.081% 40.176% +2.310
13750 38.364% 39.035% 37.503% 37.969% +1.833
13875 36.820% 37.648% 36.416% 37.408% +2.121
14000 36.319% 36.851% 35.175% 36.278% +1.588
14125 34.755% 35.577% 34.699% 35.356% +2.046
14250 33.198% 34.656% 33.198% 34.362% +1.900
14375 33.179% 33.720% 32.546% 33.491% +1.937
14500 32.210% 32.889% 31.940% 32.580% +1.790
14625 31.672% 32.096% 30.914% 31.674% +1.736
14750 30.481% 31.134% 30.300% 30.920% +1.843
14875 29.636% 30.440% 29.423% 30.011% +1.716
15000 28.650% 29.681% 28.650% 29.256% +1.727
15125 28.149% 28.701% 27.915% 28.311% +1.659
15250 27.646% 27.862% 27.081% 27.491% +1.597
15375 26.452% 27.061% 26.259% 26.731% +1.643
15500 25.729% 26.251% 25.463% 25.912% +1.503
15625 24.942% 25.453% 24.668% 25.272% +1.726
15750 23.925% 24.842% 23.905% 24.262% +1.327
15875 22.838% 24.074% 22.817% 23.600% +1.535
16000 22.338% 23.545% 22.338% 23.058% +1.584
16125 22.454% 22.682% 21.568% 22.373% +1.371
16250 20.746% 22.086% 20.746% 21.626% +1.323
16375 21.236% 21.599% 20.480% 21.085% +1.065
16500 20.392% 21.097% 20.011% 20.836% +1.075
16625 20.153% 20.764% 19.584% 20.549% +0.906
16750 19.703% 20.798% 19.448% 20.295% +0.822
16875 19.393% 21.247% 19.235% 19.985% +0.522
17000 19.513% 20.351% 18.998% 19.993% +0.623
17125 19.784% 20.455% 19.117% 20.086% +0.637
17250 20.298% 20.459% 19.157% 20.347% +0.687
17375 19.886% 20.569% 19.548% 20.343% +0.441
17500 19.771% 20.861% 19.677% 20.724% +0.495
17625 20.200% 20.970% 19.884% 20.970% +0.628
17750 20.465% 21.223% 20.160% 21.223% +0.658
17875 20.744% 21.578% 20.439% 21.578% +0.631
18000 20.965% 21.866% 20.673% 21.848% +0.674
18125 21.210% 22.162% 20.883% 22.113% +0.450
18250 21.617% 22.555% 21.186% 22.555% +0.536
18375 21.692% 22.866% 21.471% 22.866% +0.491
18500 22.197% 23.242% 21.902% 23.242% +0.314
18625 22.462% 23.953% 22.290% 23.735% +0.165
18750 23.068% 24.198% 22.868% 24.198% +0.195
18875 23.518% 24.678% 22.997% 24.678% -0.141
19000 23.757% 24.974% 23.706% 24.974% -0.368
19125 24.848% 25.624% 24.555% 25.599% -0.294
19250 24.707% 26.302% 24.659% 26.293% -0.151
19375 25.733% 26.974% 25.509% 26.974% -0.021
19500 26.748% 27.515% 26.013% 27.515% -0.030
19625 27.930% 26.736% 27.924% -0.172
19750 26.725% 28.714% 26.681% 28.345% -0.301
20000 28.570% 29.354% 28.393% 29.175% -1.246 1円売
20250 31.150% 30.202% 31.002% -1.160 1円売
20500 32.942% 31.978% 32.795% -1.077 1円売
20750 34.701% 33.722% 34.556% -0.996 1円売
21000 36.430% 35.435% 36.286% -0.917 1円売
21250 38.130% 37.120% 37.987% -0.840 1円売
21500 39.801% 38.776% 39.660% -0.764 1円売
21750 41.446% 40.406% 41.306% -0.691 1円売
22000 43.065% 42.010% 42.927% -0.618 1円売
22250 44.660% 43.590% 44.522% -0.548 1円売
22500 46.230% 45.146% 46.094% -0.478 1円売
22750 47.777% 46.679% 47.642% -0.410 1円売
23000 49.302% 48.189% 49.168% -0.343 1円売

続きを読む

actok at 21:43コメント(0)トラックバック(0)IVデータ 
相場は反発。IVは総じて堅調でした。

今日の取引。
6P112@1円×100枚返済売り。
6P167@280円×1枚買い。
6C177@37円×1枚、@38円×3枚買い。


始値 高値 安値 現値 前日比
先物 16800 16820 16725 16770 +285
期近 21.812% 22.249% 21.570% 22.194% +0.471
6月限 19.591% 21.027% 19.436% 20.267% +0.470
7月限 23.074% 23.348% 22.607% 23.231% +0.224
8月限 23.491% 22.740% 23.417% +0.296

デルタ セータ Cガンマ Pガンマ ベガL ベガS



+0.10 +0.22 +111 -24
+0.87 -74 +0.32 +87
累計


548,981 +329

続きを読む

actok at 20:42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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2016年エクアドル地震救援金



こちらから寄付ができます
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