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第九周交易41次共87手,亏损-9.4K(-22.2,17.8,-5.9,6.3,-5.4),-1.5%。原仓-21.7,新仓0.3,交易12.2。YTD -$54.7K,-8.4%。现账户资金628.0K,保证金257.1K,杠杆5.4,波动率2.2%,风险很高。
本周股市依然是大起大落,最终收盘变化不大。盈利主要来自于做空期指,亏损来自做多黄金,债卷。目前账户持有一手GC,2手NG,2手ZB,1手6C/6A,2手ES/RS,2手ES/YM,1手NQ/RS,1手ZB/ES,1手NG掉期组合多仓与3手RB/HO,2手ZS/ZW空仓。与上周相比,主要是减少了1手ES/RS空仓。仍在做空股市,但险有所降低。
以下是本周期货及配对组合相对值及变化情况
期货/组合 |
RV |
变化 |
市值 |
RSH21 |
3.92 |
0.90 |
$109,485 |
NQH21/YMH21 |
3.52 |
1.17 |
$95,540 |
NQH21/ESH21 |
2.68 |
0.82 |
$61,025 |
NQH21 |
2.61 |
0.75 |
$253,050 |
6CH21/6AH21 |
2.16 |
0.15 |
$2,145 |
6BH21/6AH21 |
2.01 |
0.09 |
$9,570 |
RBJ21/HOJ21 |
1.70 |
0.02 |
$5,414 |
6BH21 |
1.42 |
0.06 |
$86,425 |
ZSK21 |
1.39 |
0.58 |
$71,663 |
ZSK21/ZWK21 |
1.38 |
0.65 |
$38,938 |
RBJ21 |
1.28 |
0.24 |
$87,234 |
6CH21 |
1.19 |
0.24 |
$79,000 |
HGK21 |
1.07 |
0.03 |
$102,500 |
ZCK21 |
0.99 |
0.13 |
$27,363 |
6JH21 |
0.95 |
0.08 |
$115,375 |
ESH21/YMH21 |
0.82 |
0.42 |
$34,515 |
ZBM21/YMH21 |
0.63 |
0.49 |
($604) |
NGJ21 |
0.54 |
0.09 |
$26,960 |
ZBM21/ESH21 |
0.38 |
0.32 |
($35,119) |
ZSK21/ZCK21/2 |
0.33 |
0.29 |
$16,938 |
CLJ21 |
0.30 |
0.39 |
$66,280 |
ZBM21 |
0.29 |
0.30 |
$156,906 |
SIK21 |
0.04 |
0.19 |
$126,475 |
CLJ21/CLK21 |
0.00 |
0.00 |
$200 |
NGJ21/NGK21 |
0.00 |
0.00 |
($380) |
GCJ21/SIK21 |
0.20 |
0.20 |
$43,345 |
6JH21/6BH21 |
0.25 |
0.03 |
$28,950 |
SIK21/HGK21 |
0.49 |
0.13 |
$23,975 |
YMH21 |
0.65 |
0.36 |
$157,510 |
ZWK21 |
0.78 |
0.55 |
$32,725 |
6EH21 |
0.90 |
0.28 |
$148,900 |
ZWK21/ZCK21 |
0.98 |
0.50 |
$5,363 |
NQH21/RSH21/2 |
1.00 |
0.11 |
$34,080 |
GCJ21 |
1.04 |
0.18 |
$169,820 |
HOJ21 |
1.39 |
0.37 |
$81,820 |
ESH21 |
1.59 |
0.43 |
$192,025 |
ZBM21/NQH21 |
2.05 |
0.40 |
($96,144) |
6AH21 |
2.22 |
0.11 |
$76,855 |
YMH21/RSH21 |
3.24 |
0.85 |
$48,025 |
ESH21/RSH21/2 |
3.98 |
0.92 |
($26,945) |
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