Since this is a short report this time, let’s write the input method to the smile catcher’s position sheet as a simulation of the put and back spread of NFP event play. I hope you can use it as a reference when managing positions with a smile catcher.
2018.12.07 (FRI) Observation before Employment Statistics
Yesterday was a huge shock, the stock markets around the world suddenly match the eyes, but as the rice market last night played a full return from minus 800 dollars, today a calm market without price is I am back. It may be the calm before the storm though.
Well the fun of tonight is 22: 30 NFP. Friday night is not the case when I’m drinking from this time. It is not necessarily not to go drink. Before going out, observe the smile curve, if the money seems to be falling (vulgar) First of all, let ‘s leave the drinks and go out (Osan).
As for IV, today’s market is calm, so it is not amusing to scrape off something special made yesterday, but NS is getting fuzzy. This feeling … It seems to be a prime of NFP (grin)
Although it is grinning and skew already stands, it is impossible to say flattery with a perfect smile curve to set up event play. Rather it is also a bit subtle, but it seems to be managed somehow. Well if you do not do it, it will not work as well, so let’s do it for the time being.
Position is always usual during event play, put back spread. Combine the spread before the event and repay it after passing. As the spread goes for taking the skew standing, the result of NFP does not matter.
Before taking a position, let’s first observe the trend of the market while simulating the exercise price and the number of sheets. Do not rush.
Download and launch the legendary Nikkei 225 option trading support tool “Smile catcher” from the following page and prepare it firmly (explanatory sentences)
Also do not forget to start Rakuten Market Speed and Rakuten RSS.
20:50 Put Back Spread Entry
The put-back spread increases the number of buy balls of FOTM put. Of course, it is necessary to carefully build up the buyer as the difference of 1 yen and the number of x affect the profit and loss. Just because Mendokai does not hit the selling board, put a buy order and wait patiently. If you do not decide at a time you will hedge by applying a mini to an existing contract. Once the FOTM put makes the whole promise, build a seller.
Put back spread is not convenient when the market is moved while building a buy ball, so when you set up spreads it is better when the quotation is quiet as possible.
1812P 21750 @ -1 qty 390.00 JPY
1812P19000 @ + 33 qty 9.00 JPY
I tried organizing a put back spread. -1: Delta neutral with +33. Since the current value of the Nikkei futures is 21540 yen, it becomes “ITM Put Back Spread”. I think you will understand why ITM putt was sold later.
Let’s enter the position we built in the procedure of the image below into the smile catcher.
1. Open the “position” sheet of the smile catcher,
2. Enter the position within the red frame. The type is a selection formula of futures, mini, put · call.
3. When you can enter, press the “Update” button on the upper left.
4. Greek and position gains and losses are automatically entered in the dark blue frame. Greeks and position gains and losses are real-time renewals, so the values should change from moment to moment. Welcome to Yoshikichi World.
To erase the input, select the corresponding cell or column and delete the value with “Delete” on the keyboard, or you can press “clear” button for all erase.
If you put this put-back spread on a payoff diagram, it becomes like this. This image is a modified smile catcher for myself, but the versatility height that it gives me as much as I like for ease of use is also a good place for a smile catcher.
Let’s enter the floor until we sit in front of 22: 30 NFP.
22:15 Announcement of Employment Statistics in December
There is no particular change in position either. Rush into NFP as it is.
2018.12.08 (SAT) 00: 30 Full repayment
NY opened the market where I was upset by the non-responsiveness of NFP. The NY momentum is not momentum yesterday, and it is not convenient for the position if it is stagnated or reduced at the current level. But if you cross the week at this position, Monday will almost certainly have a melancholy morning. So it is about time to prepay and pay all the money. This event play was completely misfire. Fierce reflection. On the other hand I think that you could use it as a teacher.
As with this smile curve, it is common for ATM ~ call side IV to drop most by event passing. That is, skew stands. The reason why you bother sold the ITM putt is kore. The hero is enough to make a DITM putt sale ball with call purchase + mini 10 sale. It was unfortunate this time.
After repaying the position, let’s input the repaid value to the smile catcher.
In the following past articles also please simulate the put through play play of the put back spread so please see.