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第三周交易15次共25手,亏损-7.7K,-1.3% (-2.9,-2.3,3.9,1.7,-8.1),若无交易-14.4K。YTD -$68.3K,-10.5%。现账户资金582.2K,保证金209.5K,杠杆5.0,波动率2.7%,风险极高。
本周股市又创新高,账户因做空股市,做空罗素与其他期指的背离而亏损。本周大豆大跌,账户趁机割掉了部分严重亏损的ZS/ZW空仓。目前账户持有1手NG,4手ES/RS,3手HO/RB多仓,与1手NQ/YM,1手ES/ZB,1手NQ/ZB,1手ZS/ZW空仓。
以下是本周期货及配对组合相对值及变化情况。罗素RV值大于7,严重超买。
期货/组合 |
RV |
变化 |
市值 |
RSH21 |
7.07 |
0.80 |
$107,835 |
NQH21/YMH21 |
6.94 |
1.17 |
$112,650 |
NQH21/ESH21 |
5.36 |
0.97 |
$75,605 |
NQH21 |
5.16 |
0.54 |
$267,105 |
6BH21/6AH21 |
2.84 |
0.18 |
$8,356 |
6CH21/6AH21 |
2.60 |
0.04 |
$1,365 |
6BH21 |
2.34 |
0.18 |
$85,531 |
6CH21 |
2.10 |
0.05 |
$78,540 |
ZCH21 |
2.07 |
0.24 |
$25,013 |
ESH21/YMH21 |
1.73 |
0.74 |
$37,045 |
RBG21 |
1.53 |
0.48 |
$64,613 |
NGH21 |
1.24 |
0.21 |
$24,590 |
ZBH21/YMH21 |
0.86 |
0.49 |
$14,545 |
6JH21 |
0.80 |
0.13 |
$120,531 |
CLH21 |
0.19 |
0.17 |
$51,980 |
GCG21/SIH21 |
0.13 |
0.01 |
$57,725 |
ZBH21/ESH21 |
0.13 |
0.10 |
($22,500) |
SIH21/HGH21 |
0.10 |
0.15 |
$37,338 |
GCG21/HGH21 |
0.07 |
0.24 |
$95,063 |
ZWH21 |
0.01 |
0.32 |
$31,750 |
NGJ21/NGH21 |
0.00 |
0.00 |
$470 |
ZBH21 |
0.05 |
0.10 |
$169,000 |
ZSH21/ZWH21 |
0.13 |
0.98 |
$33,738 |
ZSH21 |
0.17 |
1.09 |
$65,488 |
SIH21 |
0.24 |
0.01 |
$127,825 |
GCG21 |
0.57 |
0.01 |
$185,550 |
HGH21 |
0.59 |
0.32 |
$90,488 |
ZWH21/ZCH21 |
0.66 |
0.20 |
$6,738 |
6JH21/6BH21 |
1.06 |
0.03 |
$35,000 |
CLH21/NGH21 |
1.13 |
0.16 |
$27,390 |
6EH21 |
1.14 |
0.56 |
$152,325 |
ZSH21/ZCH21/2 |
1.23 |
0.82 |
$15,463 |
NQH21/RSH21/2 |
1.42 |
0.20 |
$51,435 |
YMH21 |
1.70 |
0.73 |
$154,455 |
HOG21 |
1.77 |
0.13 |
$65,877 |
HOG21/RBG21 |
2.08 |
0.33 |
$1,264 |
HOH21/RBH21 |
2.08 |
0.33 |
$1,399 |
6AH21 |
2.47 |
0.06 |
$77,175 |
ESH21 |
3.14 |
0.03 |
$191,500 |
ZBH21/NQH21 |
4.50 |
0.38 |
($98,105) |
ESH21/RSH21/2 |
7.15 |
0.78 |
($24,170) |
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