I will explain the procedure of Smile Catcher’s contract month roll setting. If you do monthly roll monthly yourself, you can use the modified smile catcher for ease of use until the infrastructure collapses. This time we will proceed with commentary on the monthly roll work from “near the period 1901” to “near the term 1902”.
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1. Copy of deleted data
There is a part which will be deleted when you execute the contract month roll of Smile catcher, so copy it beforehand and keep data preservation.
Since the A column, the B column, and the C column are also deleted on line 7 of the E row of the “current value” sheet, if only the value is used, only the value (text only) is copied in the same manner as above and the data Please hold. This operation is not necessary if you are not using the A, B, C, E columns in the operation of the smile catcher.
2. New contract month setting
Select the new contract month from the pull-down menu of “SQ day selection” (3 points of B8, E8, H8) on the “setting” sheet.
3. Setting of ATM and data acquisition range
Enter the values for “ATM” (C10) and “Up and down from ATM” (D10).
For the setting of recommended “ATM” value, it is good to truncate the futures current value in units of 1000 yen and input a value of minus 1000 yen further. This is because we want to acquire more data of put FOTM than call FOTM taking into consideration the upper limit number of data acquisition of Rakuten RSS, so we adjust the ATM setting value shifted downward from the current value. For example, if the futures current value is 19500, set ATM to 18000. It is not strict here and it does not matter what you are about.
Leave the default value “5000” unless there is a particular reason for “ATM up and down” values.
4. Press “Acquire” button
When you have finished entering so far, press the “Acquire” button and select “Yes” in the subsequent message.
If messages are continuously generated as “no input is made” while the process is running, press and hold the “Enter” key on the keyboard until the message disappears to avoid it.
5. When acquisition of data failed
If no values are displayed below B12 and D12 like images, please log back in to market speed and try again from the “Acquire” button. The problem that there is a cell labeled “N / A” at the beginning of the period is avoided with the next item, so it is fine as it is now.
6. Avoid unnecessary data acquisition
Rakuten RSS has the data acquisition upper limit as mentioned above. Since you get the upper limit when you acquire the data of all the strikes in the range set in “3.”, in the usual deal, first delete the DITM which seems unnecessary and avoid this problem.
Delete the calls up to 12 rows or less in B row with the Delete key of the keyboard from the maximum strike (13000) to 4000 yen (16875).
D row 12 lines or less, please delete the maximum strike (23000) ~ 2000 yen (21125) with the keyboard “Delete” key.
Please do this work for all contract months on all three contract months.
Functions are included in the cell, but you can take drastic “Delete”. With this, the problem of the Rakuten RSS data acquisition upper limit can be avoided, and the smile catcher moves comfortably. With the smile catcher at the beginning of the development I had no problem without doing this, but as the strike in 125-yen increments was born and the number of data acquisition doubled, it is now better to respond in this way.
7. Restore copied data
After that, except for data that was saved in “1.”, except for the data of the old period, only the value is copied to the corresponding cell with the old second limit as the new first limit. This completes the roll work.
The explanation of the procedure of the contract roll setting of Smile catcher is over.