第23周交易13次共29手。亏损-6.3K,-0.9% (-3.0, 1.7, 1.9, 3.1, -9.9)。YTD -$152.2K,-17.8%。 现账户资金704.6K,保证金277.3K,杠杆1.7,波动率1.8%。风险较高。
本周五报告就业人数增加,股市暴涨。账户因为卖掉所有纳指与其它期指的配对空仓,做空股市而严重亏损。账户目前持有1手GC/SI,1手HO/RB,2手NG,1手ZB/NQ,1手ZB/YM多仓和1手ZS/ZW空仓。风险较高。
以下是本周期货及配对组合相对值变化情况。
期货/组合 | RV | 变化 | 市值 |
NQM20/ESM20 | 3.33 | 0.41 | $36,893 |
NQM20/RSM20/2 | 3.18 | 0.09 | $45,925 |
6BM20/HON20 | 3.05 | 0.06 | $31,518 |
NQM20 | 2.99 | 0.03 | $196,155 |
GCQ20/6JM20 | 2.90 | 0.14 | $54,791 |
NQM20/YMM20 | 2.20 | 0.58 | $60,855 |
NGN20 | 2.07 | 0.44 | $18,000 |
CLN20 | 1.86 | 0.03 | $38,970 |
ZBU20/6JM20 | 1.64 | 0.09 | $58,556 |
GCQ20 | 1.61 | 0.32 | $168,860 |
6BM20 | 1.56 | 0.03 | $79,175 |
6BM20/6AM20 | 1.36 | 0.14 | $9,485 |
YMM20 | 1.08 | 0.71 | $135,300 |
6CM20 | 1.05 | 0.53 | $74,535 |
RBN20 | 0.93 | 0.32 | $50,539 |
SIN20 | 0.87 | 0.16 | $87,850 |
ESM20/RSM20/2 | 0.69 | 0.12 | $9,033 |
RBN20/CLN20 | 0.56 | 0.29 | $11,569 |
6CM20/6AM20 | 0.41 | 0.14 | $4,845 |
ZBU20/ESM20 | 0.19 | 0.26 | $13,363 |
ZBU20 | 0.12 | 0.27 | $172,625 |
CLQ20/CLN20 | 0.00 | 0.00 | $240 |
NGQ20/NGN20 | 0.00 | 0.00 | $960 |
ZCN20 | 0.05 | 0.30 | $16,625 |
ZWN20/ZCN20 | 0.06 | 0.54 | $9,138 |
ZWN20 | 0.09 | 0.53 | $25,763 |
ZSN20/ZCN20/2 | 0.12 | 0.06 | $10,163 |
ZSN20/ZWN20 | 0.16 | 0.46 | $17,650 |
6AM20 | 0.18 | 0.32 | $69,690 |
ZSN20 | 0.24 | 0.35 | $43,413 |
GCQ20/SIN20 | 0.33 | 0.05 | $81,010 |
ZBU20/YMM20 | 0.47 | 0.65 | $37,325 |
6EM20 | 0.52 | 0.31 | $141,169 |
RSM20 | 0.74 | 0.13 | $75,115 |
HGN20 | 0.93 | 0.31 | $63,563 |
ESM20/YMM20 | 1.07 | 0.72 | $23,963 |
CLN20/NGN20 | 1.38 | 0.41 | $20,970 |
ESM20 | 1.72 | 0.27 | $159,263 |
HON20/NGN20 | 2.12 | 0.44 | $29,657 |
HON20/RBN20 | 2.15 | 0.29 | ($2,881) |
ZBU20/NQM20 | 2.22 | 0.22 | ($23,530) |
6JM20 | 2.30 | 0.16 | $114,069 |
HON20/CLN20 | 3.10 | 0.06 | $8,687 |
HON20 | 3.19 | 0.06 | $47,657 |