2019.02.13 (Wed) 09:15 Call back spread entry Entry
Nikkei futures started with recovering 21,000 yen from the closing of the Tokyo market. IV is in full bloom, especially put is strong.
Oh, this seems to be possible with a call back spread just like yesterday.
I think that it is good for those thinking that it is difficult for option trading to have a lot of spreads. There are a lot of spreads, but in the end they either “sell a high IV, bought a cheap IV and are doing that squeezing.” What is option trade is the trading of volatility and the advantage of volatility trade is to “use regression characteristics with strong volatility”.
As a result of selling a high IV on a smile curve and buying a cheap IV, trying to take shelter using a strong volatility regression characteristic, it became a ○ ○ spread, that kind of atmosphere. It’s not with spreads, “Everything depends on a smile curve.”
A note on call back spread is a yesterday’s report.
2019.02.13 (Wed) 10: 30 Delta adjustment
Mini selling of delta adjustment with close attention to the Chinese market. In the report of yesterday regarding delta adjustment as well.
2019.02.13 (Wed) 11: 40 Delta adjustment
Add mini selling of delta adjustment again. The image is omitted.
2019.02.13 (Wed) 12: 30 Tokyo Market Afternoon Progress
The Nikkei futures also posted a solid performance.
IV has exceeded + 1%.
Tokyo Market In the afternoon, the futures seem to drip. I’ve been raised to 21,000 yen so far, so I will peel off if I lower it. Volatility · Long’s position is quick to wither. Let’s return it while fruit remains. The position will be repaid soon.
2019.02.13 (Wed) 13:10 Total repayment
Full repayment is completed. Let’s look for the next opportunity.
1903C22500 @+12qty 18.00 JPY -> close 27.00 JPY (+108,000 JPY)
1903C21000 @-1qty 370.00JPY -> close 430.00 JPY (-60,000 JPY)
1903M @-2qty 21145.00 JPY -> close 21140.00 JPY (+1,000 JPY)
This profit and loss +49,000 JPY
Total profit and loss +49,000 JPY