OPへなちょこ資料 2010/06~2010/09
2010年6月限 | 2010年7月限 | 2010年8月限 | 2010年9月限 | ||
■ | 1ヶ月前 | 2010/5/14 | 2010/6/11 | 2010/7/9 | 2010/8/13 |
取引残日数 | 20 | 20 | 24 | 20 | |
① | 先物引値 | 10450 | 9710 | 9580 | 9270 |
call_IV | 23.81 | 24.02 | 21.33 | 23.37 | |
put_IV | 31.12 | 32.40 | 27.09 | 29.49 | |
sum_IV | 54.93 | 56.42 | 48.42 | 52.86 | |
■ | 1週間前 | 2010/6/4 | 2010/7/2 | 2010/8/6 | 2010/9/3 |
取引残日数 | 5 | 5 | 5 | 5 | |
② | 先物引値 | 9930 | 9210 | 9650 | 9040 |
②-① | -520 | -500 | 70 | -230 | |
call_IV | 27.35 | 28.81 | 25.81 | 28.12 | |
put_IV | 35.87 | 37.85 | 32.51 | 32.34 | |
sum_IV | 63.22 | 66.66 | 58.32 | 60.46 | |
■ | SQ前日 | 2010/6/10 | 2010/7/8 | 2010/8/12 | 2010/9/9 |
③ | 先物引値 | 9530 | 9540 | 9190 | 9090 |
③-② | -400 | 330 | -460 | 50 | |
call_IV | 61.33 | 46.64 | 50.98 | 58.64 | |
put_IV | 56.32 | 70.47 | 68.06 | 60.09 | |
sum_IV | 117.65 | 117.11 | 119.04 | 118.73 | |
■④ | SQ値 | 9747 | 9636 | 9189 | 9150 |
④-③ | 217 | 96 | -1 | 60 |