[En] Lv0054 [VIX 21points Again is a sign ? Put Calendar Spread] +243,000 JPY

2019.01.18 (FRI) 09: 45 Put Calendar Spread entry


The Nikkei futures also started steadily from the close, receiving a strong US stock last night. Notice whether 20500 yen iron plate resistance being beaten like everyday can break through.


The price range is as it is, but the movement has disappeared particularly around two days ago.




Entry put calendar spread. In the past few months there were many busy spreads tailored to the busy market, but this time it is a neglected system for the first time in conformity with quiet prices. Because calendar system Greek is the minimum, this time it seems to be a long relationship so much. Because near term – 6: beginning point + 3, it is exactly “anomalous” put calendar spread.

Well, as it is becoming a pillow when writing a calendar report, please see the Vega value described in the above image “payoff diagram”. It is a positive value of “+10.21”.

Because the Vega value is positive, the prime of IV works positive to the valuation gains / losses of the put / calendar spread. So even if a crash happens, there is no problem, rather Vega profits ride … … Nainai (hand gesture) at all. Do not trust what you are writing on a blog whose update has stopped (so you suspect that updating will stop after a crash). This Vega value plus is a trap. And the put and calendar spread is undeniably “an instant death position”, the guild’s training, the difference between theory and practice.

As for this matter, I write a note on the following past report, so if you are interested please join us.

2018.11.09(金)02:15 変則コール・カレンダー・スプレッド エントリー10月早々から始まったマーケットの大混乱も、今週になってようやくVIXが3日連続で20ポイントを下回っていることから終息宣言。今日は東京市場から静かなマーケ


2019.01.19 (SAT) 05:25 Mini Short entry


Today’s NY market is steady. Entry of mini selling balls at NS draw. This area around 21000 yen, which has exceeded 25 SMA, is about to return, is not it? Position is over the weekend. By the way, there are people who can not tilt the delta at all with option trade, and there are types that can tilt gangs. There are also 20 trade styles, I like the latter.


2019.01.21 (MON) 14: 55 Tokyo Market Close Process

The Tokyo market on Monday, the weekend will close soon. As of now, 20930 yen arrived before NS closing last weekend is a high return price. It is likely to become a major draw by shrinking the plus zone. Even though the volume is small as usual, the color of individual stocks proceeds as it is. There is also nothing special to mention about the index. Today the US market is closed.



Nikkei dropped off from NS’s return highs last week, so the putting will peel off in plain form. Calls are tonight compared to the previous day.


How to peel off the put is early > it is the beginning, and so far it is a convenient development that will become a put, calendar, spread. The position to the NS where the US market is closed will be carried over.


Since this position is a calendar system, I will post “smile curve excluding temporal influence” (I have forgotten so far). The image is of today’s NS, 18: 20. It can be seen that the putt has greatly scattered from the beginning in the near term. I do not know if the near term is cheap or the beginning of the term is expensive, but in any case what can be read from here is that the market is not going to have a big upheaval in the near future. And that one month ahead is not optimistic rather than immediate.

In the case that “the smile curve excluding temporal effects” overlaps with the beginning and the beginning, the market thinks that there is no unbalanced supply and demand both in the near term and the long term, and a stable market for a while Respectively. It rarely happens, but if it is close to the beginning of the term, it can be said that it is a condition that incorporates immediate big mess.

For example, in the Eleventh Report of last November 30th – December 4th, the “smile curve excluding temporal influence” was a period in which the near term has exceeded the beginning of the term. The market is beginning to incorporate the imminent upheaval. In reality, the market after this entered the market price of price exceeding 3000 yen price range and was sold until it fell below 19,000 yen. At this time the futures are still in the 22,000 yen range, but at this point in the option market already we had anticipated imminent turbulence.

2018.11.30(金)03:00 カバード・プット エントリー週末の米中首脳会談を控えて日経先物は日中から小動き。明日も神経質な展開になりそうだ。今週はここまで連日のジワ盛り。特にプットが強い。本日NYタイムに入り、時間的影響を排除した

Observing the “smile curve excluding temporal influence” in this way agrees with seeing “true distortion (true skew)” in the option market, does not extract from the normal smile curve You can make the sleeping of the lee skew stand out (In normal smile curves skew will stand by itself as time passes). It is not much better to observe the “smile curve excluding temporal influence” among optional exclusive traders than “lonely garbage indicator” or the well-known put call rate (somewhat like adults love it) I guess the guilds.

By the way “smile curve eliminating temporal influence” can be easily implemented in “smile catcher”. Very thankfully the official is listed in “Optional volatility purchase introductory (Sheldon · Neutenberg)” introduced in the “carefully selected must-read list” below, so if you are interested, please refer to it.



2019.01.22 (TUE) 15: 00 Tokyo Market Close


The rally of the US closed the Tokyo market. Small movement.


The IV level is near the previous day. Beginning in the closing months of the contract month, Putt has become a battle for the end.



Putt is near the beginning of the term, and it has become a period of peeling off.



It is a disadvantageous development for put · calendar · spread due to putting in the near term and becoming flaky early. Position is carried over to NS. Tomorrow I will refrain from BOJ.


2019.01.23 (WED) 12: 05 Add mini short through BOJ

Last night ‘s Dow fell back to $ 300 for the first time in five days, but after the closing IBM settlement, we will return it outside the hours. The opening of the rocket started with the upper window of about 100 yen in the Tokyo market. But the upper window will also come buried. I passed BOJ earlier.



1903 M @ -3 qty BOJ @ 20628, mini sale added. Neither futures nor IV, no response, exchange rate slightly depreciated. Even so, it is + 300 yen from the low price of NS last night and there is still no watching in the market.


2019.01.23 (WED) 14: 40 Tokyo Market Close


Late place, futures do not move.



Late, IV not moving.



Position left untouched.


2019.01.23 (WED) 23: 45 NY Open market mini short added

Despite the downward push after the approach, NS has been steadily losing until now. Dow is $ 300 high, roughly + 1.2%.



IV is not particularly changed.



I’ve been lying, “” to the top. 1903 M @ -2 piece 20685 after adding to the NY market, adds persistent mini selling.


2019.01.24 (THU) 01: 00 NY Lunch time course



This time the NY stock plunge. Dow melted the plus area half. And uninformed VIX came on 21 points. There are no signs of doubt appearing in the smile curve of the Nikkei 225 option yet, but it is likely that VIX’s 21-point ride will be something in the near future. Then do not have a putting calendar spread. In general it is a difficulty to move, but I will throw it away as soon as I take care of it.

2019.01.24 (THU) 01: 10 Put Calendar Spread repayment

For the time being, put · calendar · spread is repayment. In the end, she could not get out of the contract month and could only take the sweater. Still victory wins. The position was only mini-selling.
1902P18500@-6qty 40.67 JPY -> repayment 19.00 JPY (+130,000 JPY)
1903P18500@+3qty 128.33 JPY -> repayment 97.00JPY (-94,000 JPY)
This profit and loss +36,000 JPY
Total profit and loss +36,000 JPY

2019.01.24 (THU) 02:15 All repayment




At this time Dow is my turn. The Nikkei futures are good selling climax at the place filling the upper window of the morning of this morning, it seems likely to clash down. Mini sales also returned and full repayment is completed.
1903M@-7qty 20726.00 JPY -> 20430.00 JPY (+207,000 JPY)
This profit and loss (+207,000 JPY)
Total profit and loss (+243,000 JPY)

Put Calendar Spread

【日経225先物オプション】専業トレーダー。Extremistan の僻地辺境、山岳地帯にひっそりと生息する Chronolynx(クロノリンクス) というユキヒョウに似たネコ科のサブスピーシーズ。好物はクズOP。2005年にFXデビュー後、2010年からオプションをメインにトレード。3.11で吹き飛んだことを切欠に、とある天才プロ集団であるクローズドギルドで勉強させてもらえることに。以来、戦友たちと切磋琢磨しつつ【ギルドの訓え】を身に付けるべく実践し、真剣に日々の取引を積み上げています。本サイトの開設は2018.07。

[Nikkei 225 option] trader. Snow leopard living in Extremistan, favorite is garbage OP. After FX debut in 2005, we trade the option to main from 2010. By noticing what we blew up in 3.11 we decided to study at a closed guild, a genius professional group. Since then, practicing to acquire [Guild's lesson] while practicing hardly with the fellows, we are accumulating daily transactions seriously. The opening of this site is 2018.07. TOKYO, JAPAN.

[Monthly profit and loss]

2019.03 +384,000 JPY
2019.02 +385,000 JPY
2019.01 +474,000 JPY
2018.12 +1,735,000 JPY
2018.11 +371,000 JPY
2018.10 +1,947,000 JPY
2018.09 +201,000 JPY
2018.08 +556,500 JPY

Emon Report for Nikkei225option trading