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第11周交易59次共78手,盈利11.1K,2.1%(5.0,4.2,5.7,-3.0,-0.9),原仓1.7,新仓(换约)9.8,交易-0.8。YTD -80.9K,-12.9%。现账户资金547.2K,杠杆0.27,净仓0,波动率0.50%(0.12%~1.99%),风险正常。
本周股市强劲反弹,商品期货出现暴跌。盈利主要来自做空原油期货的溢价。目前账户持有1手6B-6A多仓。4手CLK-CLM空仓。风险正常。CLK-CLM目前的溢价为$2.55美元,在CLK22到期时必将下跌,除非原油又暴涨。原油不同合约之间的配对效应(PE)超过85%,因此拿6手CLK-CLM的风险还不比拿一手原油的风险高。
以下是目前账户的持仓情况,
SID |
Contract/Pair |
RV |
WV |
WM |
PE |
MV |
ATR |
SR |
V% |
WN |
DateTime |
Pos |
46 |
PTF |
32.39 |
2.28 |
6.44 |
0.00% |
$547,207 |
$2,722 |
0.50% |
0.50% |
93.8 |
03/18 17:18 |
0 |
45 |
ZWK22-ZCK22 |
2.54 |
(1.62) |
8.06 |
6.82% |
$15,938 |
$2,099 |
0.38% |
3.96% |
89 |
03/08 13:43 |
-2 |
44 |
ZSK22-ZWK22 |
(0.79) |
1.34 |
8.42 |
-18.71% |
$30,313 |
$2,674 |
0.49% |
5.05% |
79 |
02/03 10:54 |
-2 |
43 |
ZSK22-ZCK22 |
0.39 |
1.21 |
6.73 |
33.20% |
$46,250 |
$1,338 |
0.24% |
1.61% |
83 |
02/02 08:15 |
2 |
42 |
ZBM22-6JM22 |
(1.78) |
2.97 |
4.26 |
12.63% |
$47,131 |
$1,532 |
0.28% |
1.01% |
84 |
02/27 18:00 |
0 |
41 |
YMM22-RSM22 |
0.55 |
1.67 |
4.09 |
38.37% |
$69,195 |
$2,154 |
0.39% |
1.24% |
137 |
03/16 08:24 |
0 |
40 |
RBJ22-HOJ22 |
(0.95) |
(2.56) |
8.73 |
53.93% |
($14,612) |
$3,744 |
0.68% |
2.48% |
85 |
03/09 05:04 |
0 |
39 |
RBJ22-CLJ22 |
1.22 |
2.29 |
4.82 |
65.81% |
$31,068 |
$2,023 |
0.37% |
1.49% |
162 |
03/02 21:34 |
0 |
38 |
NQM22-YMM22 |
1.74 |
3.63 |
4.75 |
29.11% |
$115,185 |
$6,786 |
1.24% |
2.35% |
77 |
02/25 08:36 |
0 |
37 |
NQM22-RSM22 |
0.39 |
3.67 |
(6.57) |
23.03% |
$184,380 |
$7,368 |
1.35% |
2.55% |
75 |
01/24 12:17 |
0 |
36 |
NQM22-ESM22 |
1.78 |
3.50 |
4.65 |
50.26% |
$65,455 |
$4,761 |
0.87% |
1.65% |
69 |
02/25 08:33 |
0 |
35 |
NGJ22-NGK22 |
0.00 |
1.03 |
3.24 |
84.69% |
($340) |
$407 |
0.07% |
0.83% |
531 |
02/18 02:49 |
0 |
34 |
HOJ22-CLJ22 |
3.03 |
2.72 |
(7.40) |
46.97% |
$45,680 |
$4,310 |
0.79% |
2.86% |
88 |
03/09 05:04 |
0 |
33 |
HGK22-SIK22 |
0.53 |
3.12 |
(5.36) |
-5.55% |
($7,775) |
$3,723 |
0.68% |
2.96% |
79 |
03/08 07:50 |
0 |
32 |
GCJ22-SIK22 |
0.19 |
(1.11) |
(4.37) |
37.93% |
$66,475 |
$2,190 |
0.40% |
1.74% |
90 |
01/19 05:59 |
0 |
31 |
ESM22-YMM22 |
2.96 |
3.13 |
(3.71) |
52.87% |
$49,730 |
$2,576 |
0.47% |
1.15% |
139 |
03/15 05:08 |
0 |
30 |
ESM22-RSM22 |
4.04 |
3.24 |
(4.02) |
40.64% |
$118,925 |
$3,245 |
0.59% |
1.45% |
113 |
02/24 02:18 |
0 |
29 |
CLK22-CLM22 |
0.00 |
1.71 |
(10.09) |
87.26% |
$2,550 |
$656 |
0.12% |
0.64% |
190 |
03/14 01:38 |
-4 |
28 |
CLJ22-CLK22 |
0.00 |
1.83 |
8.01 |
90.25% |
$1,820 |
$524 |
0.10% |
0.50% |
173 |
03/01 12:04 |
0 |
27 |
6EM22-6CM22 |
0.49 |
1.52 |
(6.77) |
6.89% |
$59,171 |
$1,054 |
0.19% |
0.76% |
73 |
03/06 20:51 |
0 |
26 |
6EM22-6AM22 |
(0.70) |
(2.86) |
(10.37) |
7.81% |
$64,286 |
$1,043 |
0.19% |
0.75% |
70 |
03/06 20:52 |
0 |
25 |
6CM22-6AM22 |
(1.44) |
(1.86) |
5.77 |
21.46% |
$5,115 |
$571 |
0.10% |
0.77% |
85 |
03/14 22:58 |
0 |
24 |
6BM22-6CM22 |
(1.89) |
1.90 |
(5.04) |
-0.34% |
$2,971 |
$553 |
0.10% |
0.70% |
81 |
02/24 10:55 |
0 |
23 |
6BM22-6AM22 |
(2.62) |
(4.17) |
(8.97) |
11.99% |
$8,086 |
$639 |
0.12% |
0.86% |
74 |
03/06 20:52 |
1 |
22 |
ZWK22 |
2.55 |
(2.12) |
11.60 |
1,060.00 |
$53,000 |
$2,253 |
0.41% |
4.25% |
79 |
03/07 20:00 |
0 |
21 |
ZSK22 |
0.39 |
(1.81) |
5.69 |
1,666.25 |
$83,313 |
$2,003 |
0.37% |
2.40% |
65 |
02/23 23:01 |
0 |
20 |
ZCK22 |
(1.23) |
(1.92) |
5.54 |
741.25 |
$37,063 |
$1,052 |
0.19% |
2.84% |
75 |
02/23 23:25 |
0 |
19 |
ZBM22 |
(2.85) |
2.03 |
(6.49) |
152'100 |
$152,313 |
$1,754 |
0.32% |
1.15% |
75 |
03/10 10:24 |
0 |
18 |
YMM22 |
(3.18) |
3.90 |
(6.48) |
34,704.00 |
$173,520 |
$3,496 |
0.64% |
2.01% |
79 |
01/24 12:17 |
0 |
17 |
SIK22 |
(0.18) |
(2.14) |
5.51 |
25.14 |
$125,675 |
$3,528 |
0.64% |
2.81% |
49 |
02/24 05:42 |
0 |
16 |
RSM22 |
(3.19) |
3.52 |
5.00 |
2,086.50 |
$104,325 |
$3,193 |
0.58% |
3.06% |
55 |
02/02 05:35 |
0 |
15 |
RBJ22 |
0.78 |
1.35 |
9.04 |
3.24 |
$136,168 |
$5,918 |
1.08% |
4.35% |
78 |
03/06 18:03 |
0 |
14 |
NQM22 |
(1.21) |
3.98 |
5.91 |
14,435.25 |
$288,705 |
$9,573 |
1.75% |
3.32% |
63 |
02/02 07:31 |
0 |
13 |
NGK22 |
(0.97) |
1.04 |
(5.07) |
4.94 |
$49,390 |
$2,550 |
0.47% |
5.16% |
77 |
03/08 08:03 |
0 |
12 |
NGJ22 |
(0.97) |
1.02 |
5.06 |
4.91 |
$49,050 |
$2,659 |
0.49% |
5.42% |
75 |
01/28 09:20 |
0 |
11 |
HOJ22 |
2.82 |
1.90 |
8.09 |
3.59 |
$150,780 |
$8,128 |
1.49% |
5.39% |
64 |
03/06 18:02 |
0 |
10 |
HGK22 |
0.85 |
4.71 |
(5.78) |
4.72 |
$117,900 |
$3,042 |
0.56% |
2.58% |
63 |
03/07 11:37 |
0 |
9 |
GCJ22 |
0.18 |
(2.02) |
(5.79) |
1,921.50 |
$192,150 |
$3,201 |
0.58% |
1.67% |
64 |
02/24 15:07 |
0 |
8 |
ESM22 |
3.26 |
3.95 |
5.77 |
4,465.00 |
$223,250 |
$5,466 |
1.00% |
2.45% |
71 |
02/02 15:20 |
0 |
7 |
CLM22 |
(2.21) |
1.07 |
7.45 |
100.73 |
$100,730 |
$4,778 |
0.87% |
4.74% |
88 |
03/06 18:03 |
4 |
6 |
CLK22 |
(2.21) |
1.17 |
7.45 |
103.28 |
$103,280 |
$5,150 |
0.94% |
4.99% |
84 |
03/06 18:02 |
-4 |
5 |
CLJ22 |
(2.21) |
1.24 |
7.45 |
105.10 |
$105,100 |
$5,378 |
0.98% |
5.12% |
80 |
03/06 18:01 |
0 |
4 |
6JM22 |
(0.32) |
(3.13) |
(8.38) |
0.01 |
$105,181 |
$571 |
0.10% |
0.54% |
54 |
03/14 21:27 |
0 |
3 |
6EM22 |
(0.54) |
1.47 |
(5.30) |
1.11 |
$138,531 |
$1,132 |
0.21% |
0.82% |
75 |
03/04 08:52 |
0 |
2 |
6CM22 |
(2.26) |
1.20 |
(5.65) |
0.79 |
$79,360 |
$551 |
0.10% |
0.69% |
54 |
01/24 11:49 |
0 |
1 |
6BM22 |
(2.50) |
1.97 |
(7.98) |
1.32 |
$82,331 |
$534 |
0.10% |
0.65% |
73 |
02/24 11:01 |
1 |
0 |
6AM22 |
0.89 |
1.53 |
5.71 |
0.74 |
$74,245 |
$727 |
0.13% |
0.98% |
49 |
03/03 10:02 |
-1 |
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