新パラメータ 証拠金予測 2011/3/252011/03/25 16:33

25日のシミュレーションです。

本日の大証発表の基準ボラティリティは30.26%です。SPAN証拠金を計算するに当たっては、シナリオによって、本日のボラティリィティにボラティリィティ・スキャンレンジの+31.1%、不変(+0%)、そして、-31.1%を足して価格を計算しますが、30.26%-31.1%では、ボラティリィティがマイナスになってしまいます。この時どうするのか、はっきり言って未知の世界です。いったいどうなるのでしょうか?

 

表の予測値は、99万円、31.1%ベースで本日の証拠金をシミュレートしたものです。計算に当たっては、細心の注意を払って行っておりますが、当方がなんら保証するものではありません。ご利用、ご参照は、自己責任でお願いします。

なお、明日以降も同様の物をアップする予定です。何かお気づきの点がありましたらコメントお願いします。

 

限月

STRIKE

PC

価格

予測値

本日

差額

2011-4

5,500

C

3,980

4,950,600

4,323,300

627,300

2011-4

6,000

C

3,540

4,451,000

3,823,300

627,700

2011-4

6,500

C

3,040

3,954,900

3,320,400

634,500

2011-4

6,750

C

2,790

3,708,600

3,067,600

641,000

2011-4

7,000

C

2,540

3,458,900

2,817,600

641,300

2011-4

7,250

C

2,290

3,209,300

2,567,500

641,800

2011-4

7,500

C

2,040

2,966,200

2,312,300

653,900

2011-4

7,750

C

1,790

2,716,500

2,062,100

654,400

2011-4

8,000

C

1,480

2,473,000

1,807,000

666,000

2011-4

8,250

C

1,180

2,228,900

1,551,800

677,100

2011-4

8,500

C

1,010

2,007,000

1,280,400

726,600

2011-4

8,750

C

745

1,743,300

1,036,400

706,900

2011-4

9,000

C

555

1,507,800

789,500

718,300

2011-4

9,250

C

360

1,277,300

564,300

713,000

2011-4

9,500

C

200

1,056,000

375,200

680,800

2011-4

9,750

C

90

854,900

228,600

626,300

2011-4

10,000

C

36

744,200

130,700

613,500

2011-4

10,250

C

14

655,200

70,300

584,900

2011-4

10,500

C

6

576,000

36,700

539,300

2011-4

10,750

C

4

499,900

22,000

477,900

2011-4

11,000

C

3

426,400

14,200

412,200

2011-4

11,250

C

2

355,300

9,000

346,300

2011-4

11,500

C

2

292,700

9,000

283,700

2011-4

11,750

C

1

232,400

8,000

224,400

2011-4

12,000

C

1

186,800

8,000

178,800

2011-4

12,250

C

2

160,500

9,000

151,500

2011-4

12,500

C

1

121,800

8,000

113,800

2011-4

12,750

C

1

99,400

8,000

91,400

2011-4

13,000

C

1

82,100

9,000

73,100

2011-4

13,500

C

1

43,400

8,000

35,400

2011-4

14,000

C

1

28,500

8,000

20,500

2011-4

14,500

C

1

34,000

8,000

26,000

2011-4

5,500

P

3

35,800

10,000

25,800

2011-4

6,000

P

5

68,500

12,000

56,500

2011-4

6,500

P

6

115,600

13,000

102,600

2011-4

6,750

P

10

158,400

17,000

141,400

2011-4

7,000

P

12

202,300

19,000

183,300

2011-4

7,250

P

15

255,700

22,000

233,700

2011-4

7,500

P

19

317,700

28,700

289,000

2011-4

7,750

P

22

385,000

35,800

349,200

2011-4

8,000

P

28

459,900

48,500

411,400

2011-4

8,250

P

37

538,600

67,800

470,800

2011-4

8,500

P

50

621,100

96,100

525,000

2011-4

8,750

P

70

708,000

138,800

569,200

2011-4

9,000

P

105

805,400

205,300

600,100

2011-4

9,250

P

160

916,800

299,200

617,600

2011-4

9,500

P

250

1,087,700

429,200

658,500

2011-4

9,750

P

400

1,307,300

607,500

699,800

2011-4

10,000

P

590

1,537,800

817,000

720,800

2011-4

10,250

P

815

1,777,500

1,062,200

715,300

2011-4

10,500

P

1070

2,024,400

1,305,600

718,800

2011-4

10,750

P

1290

2,274,100

1,555,600

718,500

2011-4

11,000

P

1560

2,519,000

1,808,200

710,800

2011-4

11,250

P

1810

2,768,900

2,058,200

710,700

2011-4

11,500

P

2060

3,018,900

2,308,200

710,700

2011-4

11,750

P

2310

3,268,900

2,558,200

710,700

2011-4

12,000

P

2560

3,518,900

2,808,200

710,700

2011-4

12,250

P

2810

3,768,900

3,058,200

710,700

2011-4

12,500

P

3060

4,018,900

3,308,200

710,700

2011-4

12,750

P

3310

4,268,900

3,558,200

710,700

2011-4

13,000

P

3560

4,518,900

3,808,200

710,700

2011-4

13,500

P

4060

5,018,800

4,308,200

710,600

2011-4

14,000

P

4560

5,518,800

4,808,200

710,600

2011-4

14,500

P

5060

6,018,800

5,308,300

710,500

2011-5

6,000

C

3540

4,487,900

3,811,600

676,300

2011-5

6,500

C

3040

4,002,700

3,311,200

691,500

2011-5

6,750

C

2790

3,772,300

3,060,200

712,100

2011-5

7,000

C

2540

3,540,600

2,809,000

731,600

2011-5

7,250

C

2290

3,294,900

2,559,100

735,800

2011-5

7,500

C

2040

3,062,700

2,307,800

754,900

2011-5

7,750

C

1790

2,841,800

2,055,100

786,700

2011-5

8,000

C

1540

2,613,200

1,802,800

810,400

2011-5

8,250

C

1320

2,393,600

1,578,700

814,900

2011-5

8,500

C

1090

2,176,100

1,343,200

832,900

2011-5

8,750

C

880

1,962,100

1,125,700

836,400

2011-5

9,000

C

680

1,755,100

914,600

840,500

2011-5

9,250

C

480

1,558,300

723,800

834,500

2011-5

9,500

C

345

1,366,600

542,500

824,100

2011-5

9,750

C

220

1,189,400

389,600

799,800

2011-5

10,000

C

125

1,022,300

261,200

761,100

2011-5

10,250

C

70

886,900

179,100

707,800

2011-5

10,500

C

37

757,500

110,400

647,100

2011-5

10,750

C

21

656,100

72,800

583,300

2011-5

11,000

C

12

568,000

47,800

520,200

2011-5

11,250

C

7

492,100

31,700

460,400

2011-5

11,500

C

5

435,000

23,500

411,500

2011-5

11,750

C

3

376,900

15,700

361,200

2011-5

12,000

C

2

330,000

11,100

318,900

2011-5

12,250

C

2

302,800

11,100

291,700

2011-5

12,500

C

2

279,200

9,400

269,800

2011-5

12,750

C

1

258,500

9,000

249,500

2011-5

13,000

C

1

223,200

9,000

214,200

2011-5

13,500

C

1

187,400

9,000

178,400

2011-5

14,000

C

1

151,500

8,000

143,500

2011-5

14,500

C

1

133,100

8,000

125,100

2011-5

6,000

P

19

195,100

30,300

164,800

2011-5

6,500

P

27

264,200

44,100

220,100

2011-5

6,750

P

32

305,400

53,000

252,400

2011-5

7,000

P

38

352,000

63,800

288,200

2011-5

7,250

P

47

408,800

79,100

329,700

2011-5

7,500

P

60

476,500

100,300

376,200

2011-5

7,750

P

70

546,400

124,500

421,900

2011-5

8,000

P

90

626,100

151,000

475,100

2011-5

8,250

P

110

713,100

189,600

523,500

2011-5

8,500

P

140

816,100

231,800

584,300

2011-5

8,750

P

180

931,600

292,300

639,300

2011-5

9,000

P

235

1,062,000

371,000

691,000

2011-5

9,250

P

310

1,207,900

472,000

735,900

2011-5

9,500

P

400

1,361,400

589,300

772,100

2011-5

9,750

P

555

1,534,900

744,600

790,300

2011-5

10,000

P

685

1,725,100

919,900

805,200

2011-5

10,250

P

900

1,926,500

1,124,300

802,200

2011-5

10,500

P

1130

2,143,700

1,346,900

796,800

2011-5

10,750

P

1360

2,367,000

1,590,800

776,200

2011-5

11,000

P

1560

2,597,900

1,822,400

775,500

2011-5

11,250

P

1820

2,845,000

2,082,300

762,700

2011-5

11,500

P

2080

3,065,100

2,313,000

752,100

2011-5

11,750

P

2300

3,312,800

2,563,000

749,800

2011-5

12,000

P

2560

3,560,700

2,822,900

737,800

2011-5

12,250

P

2810

3,809,000

3,072,900

736,100

2011-5

12,500

P

3050

4,057,500

3,312,900

744,600

2011-5

12,750

P

3310

4,306,100

3,572,800

733,300

2011-5

13,000

P

3550

4,554,900

3,812,800

742,100

2011-5

13,500

P

4060

5,052,900

4,322,700

730,200

2011-5

14,000

P

4550

5,551,300

4,812,700

738,600

2011-5

14,500

P

5060

6,050,000

5,322,600

727,400

2011-6

3,000

C

6540

7,450,100

6,811,000

639,100

2011-6

3,500

C

6040

6,952,600

6,311,100

641,500

2011-6

4,000

C

5540

6,455,400

5,811,200

644,200

2011-6

4,500

C

5040

5,973,300

5,311,400

661,900

2011-6

5,000

C

4540

5,490,900

4,811,600

679,300

2011-6

5,500

C

4040

5,009,100

4,311,900

697,200

2011-6

6,000

C

3540

4,538,000

3,812,100

725,900

2011-6

6,500

C

3040

4,066,800

3,312,300

754,500

2011-6

6,750

C

2790

3,839,400

3,062,200

777,200

2011-6

7,000

C

2540

3,611,400

2,812,000

799,400

2011-6

7,250

C

2290

3,382,900

2,561,700

821,200

2011-6

7,500

C

2050

3,167,000

2,320,700

846,300

2011-6

7,750

C

1800

2,937,100

2,070,100

867,000

2011-6

8,000

C

1590

2,729,900

1,857,700

872,200

2011-6

8,250

C

1360

2,519,400

1,624,700

894,700

2011-6

8,500

C

1100

2,316,100

1,410,000

906,100

2011-6

8,750

C

945

2,113,000

1,198,700

914,300

2011-6

9,000

C

750

1,913,800

994,800

919,000

2011-6

9,250

C

560

1,734,700

816,400

918,300

2011-6

9,500

C

420

1,544,800

634,400

910,400

2011-6

9,750

C

295

1,379,800

486,900

892,900

2011-6

10,000

C

200

1,233,700

371,000

862,700

2011-6

10,250

C

130

1,090,800

267,200

823,600

2011-6

10,500

C

80

963,700

188,700

775,000

2011-6

10,750

C

47

855,000

133,000

722,000

2011-6

11,000

C

27

751,300

88,400

662,900

2011-6

11,250

C

16

665,100

60,900

604,200

2011-6

11,500

C

10

592,200

43,100

549,100

2011-6

11,750

C

6

533,500

33,400

500,100

2011-6

12,000

C

4

470,000

21,700

448,300

2011-6

12,250

C

5

444,200

21,800

422,400

2011-6

12,500

C

2

381,100

12,300

368,800

2011-6

13,000

C

2

338,700

12,200

326,500

2011-6

13,500

C

3

300,500

10,900

289,600

2011-6

14,000

C

1

240,600

8,000

232,600

2011-6

14,500

C

1

208,000

8,000

200,000

2011-6

15,000

C

1

187,500

8,000

179,500

2011-6

15,500

C

1

169,900

8,000

161,900

2011-6

16,000

C

1

155,500

8,000

147,500

2011-6

3,000

P

4

41,800

11,000

30,800

2011-6

3,500

P

6

62,600

13,000

49,600

2011-6

4,000

P

8

91,000

17,000

74,000

2011-6

4,500

P

11

121,300

19,000

102,300

2011-6

5,000

P

17

165,400

25,800

139,600

2011-6

5,500

P

21

216,900

34,800

182,100

2011-6

6,000

P

29

285,500

48,900

236,600

2011-6

6,500

P

41

373,100

69,600

303,500

2011-6

6,750

P

47

429,600

89,900

339,700

2011-6

7,000

P

55

474,300

95,000

379,300

2011-6

7,250

P

70

545,400

119,000

426,400

2011-6

7,500

P

90

626,100

149,800

476,300

2011-6

7,750

P

105

698,900

175,300

523,600

2011-6

8,000

P

130

786,000

213,500

572,500

2011-6

8,250

P

160

879,400

258,500

620,900

2011-6

8,500

P

195

989,300

311,600

677,700

2011-6

8,750

P

250

1,106,500

381,500

725,000

2011-6

9,000

P

305

1,235,400

463,100

772,300

2011-6

9,250

P

385

1,377,100

565,800

811,300

2011-6

9,500

P

480

1,524,300

683,500

840,800

2011-6

9,750

P

640

1,688,200

829,300

858,900

2011-6

10,000

P

785

1,864,200

991,700

872,500

2011-6

10,250

P

930

2,054,300

1,184,200

870,100

2011-6

10,500

P

1140

2,260,500

1,391,400

869,100

2011-6

10,750

P

1340

2,462,100

1,606,400

855,700

2011-6

11,000

P

1570

2,678,900

1,837,900

841,000

2011-6

11,250

P

1810

2,905,700

2,078,000

827,700

2011-6

11,500

P

2060

3,139,600

2,327,700

811,900

2011-6

11,750

P

2300

3,370,800

2,567,200

803,600

2011-6

12,000

P

2550

3,617,000

2,817,000

800,000

2011-6

12,250

P

2800

3,863,700

3,066,900

796,800

2011-6

12,500

P

3050

4,088,300

3,315,900

772,400

2011-6

13,000

P

3550

4,584,300

3,815,900

768,400

2011-6

13,500

P

4050

5,081,100

4,315,800

765,300

2011-6

14,000

P

4550

5,578,600

4,815,800

762,800

2011-6

14,500

P

5050

6,076,500

5,315,800

760,700

2011-6

15,000

P

5550

6,574,800

5,815,700

759,100

2011-6

15,500

P

6050

7,073,400

6,315,700

757,700

2011-6

16,000

P

6550

7,572,200

6,815,700

756,500

2011-7

4,500

C

5040

5,976,800

5,311,700

665,100

2011-7

5,000

C

4540

5,510,700

4,812,600

698,100

2011-7

5,500

C

4040

5,043,300

4,313,500

729,800

2011-7

6,000

C

3540

4,576,300

3,814,400

761,900

2011-7

6,500

C

3040

4,126,800

3,315,400

811,400

2011-7

7,000

C

2540

3,675,600

2,816,100

859,500

2011-7

7,500

C

2060

3,243,200

2,336,000

907,200

2011-7

8,000

C

1620

2,823,300

1,894,000

929,300

2011-7

8,500

C

1200

2,425,600

1,467,700

957,900

2011-7

9,000

C

815

2,048,900

1,068,900

980,000

2011-7

9,500

C

490

1,699,000

717,600

981,400

2011-7

10,000

C

250

1,380,600

435,100

945,500

2011-7

10,500

C

105

1,114,000

242,100

871,900

2011-7

11,000

C

41

895,800

125,800

770,000

2011-7

11,500

C

19

735,300

69,700

665,600

2011-7

12,000

C

10

611,500

41,600

569,900

2011-7

12,500

C

5

501,400

23,200

478,200

2011-7

13,000

C

4

435,800

17,600

418,200

2011-7

13,500

C

2

372,500

11,400

361,100

2011-7

14,000

C

4

366,800

15,500

351,300

2011-7

14,500

C

1

272,400

8,000

264,400

2011-7

15,000

C

1

245,100

8,000

237,100

2011-7

4,500

P

18

174,500

29,000

145,500

2011-7

5,000

P

23

221,100

36,500

184,600

2011-7

5,500

P

26

273,000

44,600

228,400

2011-7

6,000

P

35

362,900

65,400

297,500

2011-7

6,500

P

48

467,900

93,900

374,000

2011-7

7,000

P

70

585,600

133,200

452,400

2011-7

7,500

P

110

737,300

183,900

553,400

2011-7

8,000

P

160

911,700

260,300

651,400

2011-7

8,500

P

250

1,126,100

374,600

751,500

2011-7

9,000

P

355

1,371,600

529,400

842,200

2011-7

9,500

P

550

1,662,200

760,400

901,800

2011-7

10,000

P

805

1,991,600

1,054,100

937,500

2011-7

10,500

P

1160

2,361,100

1,428,200

932,900

2011-7

11,000

P

1590

2,767,900

1,863,100

904,800

2011-7

11,500

P

2070

3,210,000

2,341,800

868,200

2011-7

12,000

P

2560

3,669,900

2,829,700

840,200

2011-7

12,500

P

3050

4,040,100

3,315,000

725,100

2011-7

13,000

P

3550

4,536,500

3,815,000

721,500

2011-7

13,500

P

4050

5,034,400

4,315,100

719,300

2011-7

14,000

P

4550

5,533,100

4,815,100

718,000

2011-7

14,500

P

5050

6,071,300

5,315,400

755,900

2011-7

15,000

P

5550

6,579,500

5,815,900

763,600

 

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