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) |