JP2007213504A - Option strategy management support system, option strategy management support method and option strategy management support program - Google Patents

Abstract

<P>PROBLEM TO BE SOLVED: To provide an option strategy management support system, method and program, for efficiently and easily supporting preparation of an option strategy by improving operability of a user. <P>SOLUTION: When a selected brand is specified in a control screen, a control part 11 patterns the specified brand, and extracts a preset strategy including it in a configuration pattern. The extracted preset strategy is displayed on the control screen. Selection processing of the displayed preset strategy is executed. Specifically, when the preset strategy is selected on a preset strategy list, the control part 11 specifies a constitutive brand group based on a standard price. The control part 11 performs bias of the standard price of a constitutive brand on the basis of a price of the selected brand. The control part 11 displays a specified brand candidate on the control screen. <P>COPYRIGHT: (C)2007,JPO&INPIT

Description

  The present invention relates to a technique for supporting option trading.

  In recent years, with the development of financial services, various financial transactions have been actively conducted. This financial transaction includes option transactions. Option trading refers to the right (option) to buy or sell a certain product (underlying asset) at a predetermined price (strike price) within a predetermined date (maturity date) or until that date. It is a transaction to buy and sell. In option trading, calls and puts are traded respectively. Here, buying and selling rights (call) and selling rights (put) are traded. Calls and puts are reserved by the option buyer by paying the option price (premium). The buyer can then exercise the rights at an advantageous time until the maturity date. In option trading, the buyer can also waive if disadvantageous. And the option right will cease when it expires.

  On the other hand, option sellers are obliged to accept the buyer's rights in return for the premium received from the buyer. Thereby, the buyer can limit the loss range, obtain a high leverage effect, or use it as an effective hedging means.

Furthermore, various strategies can be configured by combining a plurality of options. Thereby, it is possible to predict a future market and prepare a transaction corresponding to it. For example, a technique relating to a sales contract support system for supporting such transactions has been studied (see Patent Document 1). This document describes a technology relating to a sales contract support system for selecting and selling at least one financial derivative product out of cash, futures and options. This sales contract support system includes a price scenario section that generates a past history or future forecast value of a physical market price, and a calculation section that calculates two types of feature quantities based on a price scenario output from the price scenario section. Prepare. And it has a calculation part which calculates the frequency distribution of the degree of change from two kinds of feature quantities, respectively, and a purchase ratio determination part which totals the calculated frequency distribution and determines the purchase ratio of the financial derivative product. This makes it possible to formulate an appropriate trading plan even if the specialized knowledge is insufficient.
JP 2003-296577 A (first page)

  Today, with the development of the Internet, option trading is also being carried out among individual investors. However, option trading, unlike stock trading, is complicated in its structure due to its special characteristics and may be difficult for individual investors to use.

  If you are unfamiliar with creating such an option strategy, the combination takes time. In particular, since the price of stocks fluctuates sequentially, there are cases where the timing of trading is lost while searching for a combination that realizes a strategy.

  The present invention has been made to solve the above-described problems, and an object of the present invention is to provide an option strategy management support system for improving user operability and supporting the creation of option strategies efficiently and easily. An option strategy management support method and an option strategy management support program are provided.

  In order to solve the above-described problem, the invention described in claim 1 provides, for each option strategy, a transaction target identifier for each put option and call option constituting the option strategy. Generates option identifiers with purchase and sale identifiers for identifying purchases, and in the case of multiple options, for each option identifier combination, arranges the relationship of each option according to the purchase price An option strategy management support system for supporting option transactions, comprising: option strategy data storage means for recording a configuration pattern to which a position identifier is assigned; and control means for specifying designation of a brand and an option strategy, the control means For the specified brand A transaction object identifier is assigned, and an option identifier in which a transaction identifier is added to the transaction object identifier is generated. In the option strategy data storage means, a configuration pattern including the option identifier is specified as an option strategy candidate. The gist is to output.

  According to a second aspect of the present invention, in the option strategy management support system according to the first aspect, the control means sequentially acquires price data of tradeable brands, and the optional strategy is arbitrarily selected from the candidates. Is selected, it is a brand necessary for constituting the option strategy, and brand candidates other than the designated brand are extracted from the option strategy data storage means and output. .

  According to a third aspect of the present invention, in the option strategy management support system according to the first or second aspect, when a shift value is set in the selection of the option strategy, the shift value from at-the-money is set. The gist is to identify and output stock candidates with strike prices that have been raised or lowered only by the tradeable stocks.

  According to a fourth aspect of the present invention, in the option strategy management support system according to any one of the first to third aspects, the control means has a price axis lower than the strike price for buying a call option. A zero value is assigned as profit / loss slope data in the range, and the option size value is assigned as profit / loss slope data in the high price axis range. A zero value is assigned as data, and the size value of the option is multiplied by a negative value as profit / loss slope data in a high price axis range, and for buying a put option, profit / loss is in the price axis range lower than the strike price. The option size value multiplied by a negative value is added as slope data, and zero as profit / loss slope data in the high price axis range For selling put options, the profit / loss slope data is assigned the size value of the option in the price axis range lower than the strike price, and the zero value is assigned as the profit / loss slope data in the higher price axis range, The strike price of each option is arranged and the profit / loss slope data is summed, and the profit / loss slope data of each area divided by the strike price is totaled.If the profit / loss slope data is positive, the profit / loss slope data is set to a constant positive value. If the profit / loss slope data is negative, the profit / loss slope data is converted to a constant negative value, and if the profit / loss slope data of the same value continues on the price axis, the option strategy pattern is compiled. The gist is to specify.

  According to a fifth aspect of the present invention, in the option strategy management support system according to the fourth aspect, the control means outputs a graphed shape using the profit / loss slope data calculated for the price axis. Is the gist.

The invention described in claim 6 provides a trading object identifier for each of the put strategy and the call option that constitutes the option strategy, and a trading identifier for buying and selling between selling and buying. If an option identifier with a number of options is generated and is composed of multiple options, a position identifier in which the relationship of each option is arranged according to the purchase price is recorded and recorded for all option identifier combinations. A method for supporting option transactions using an option strategy management support system comprising an option strategy data storage means for recording a configuration pattern and a control means for acquiring designation of a brand and an option strategy, the control means comprising: For the specified brand A transaction object identifier is assigned, and an option identifier in which a transaction identifier is added to the transaction object identifier is generated. In the option strategy data storage means, a configuration pattern including the option identifier is specified as an option strategy candidate. The gist is to output.

  The invention described in claim 7 provides a trading object identifier for each of the put strategy and the call option constituting the option strategy for the option strategy, and a trading identifier for buying and selling between selling and buying. If an option identifier with a number of options is generated and is composed of multiple options, a position identifier in which the relationship of each option is arranged according to the purchase price is recorded and recorded for all option identifier combinations. A program for supporting option transactions using an option strategy management support system comprising an option strategy data storage means for recording a configuration pattern and a control means for acquiring designation of a brand and an option strategy, the control means comprising: , The specified stock A transaction target identifier is assigned to the transaction target identifier, and an option identifier is added to the transaction target identifier, and a configuration pattern including the option identifier is specified as an option strategy candidate in the option strategy data storage unit. It is made to function as a means to output.

(Function)
According to the first, sixth, or seventh aspect of the invention, the option strategy management support system includes the option strategy data storage unit that records the configuration pattern to which the position identifier in which the relationship of each option is arranged according to the sale price is assigned. Prepare. When a brand is specified, the control means assigns a transaction target identifier to the brand, and generates an option identifier in which a trading identifier is added to the transaction target identifier. Then, in the option strategy data storage means, the configuration pattern including the option identifier is specified as an option strategy candidate, and this candidate is output. As a result, it is possible to grasp an option strategy that can be realized using the specified brand.

  According to the invention described in claim 2, the control means sequentially acquires price data of tradeable brands. If any option strategy is selected from these candidates, brand candidates that are necessary for constituting the option strategy and other than the designated brand are extracted from the option strategy data storage means. ,Output. As a result, it is possible to specify a brand necessary for realizing the option strategy.

  According to the invention described in claim 3, when a shift value is set in the selection of the option strategy, the control means can control the stock price candidate for the strike price that is increased or decreased from the at-the-money by the shift value. Are identified from the tradeable brands and output. As a result, an option strategy can be established by predicting a state in which profits can be obtained by exercising the rights.

  According to the invention described in claim 4, the slope of profit and loss is calculated based on the exercise price of each option. Then, the slope of each price area is added in order of the strike price, and normalized to a zero value or a constant value. Thereby, the user can grasp the outline of the option strategy.

  According to the fifth aspect of the present invention, the control means outputs the graphed shape using the profit / loss slope data calculated with respect to the price axis. As a result, the outline of the option strategy can be grasped more easily.

  According to the present invention, it is possible to improve user operability and create an option strategy efficiently and easily.

Hereinafter, an embodiment embodying the present invention will be described with reference to FIGS. This embodiment will be described as an option strategy management support system, an option strategy management support method, and an option strategy management support program used when a user creates an option strategy using a client terminal. In the present embodiment, the following restrictions are set for selectable brands in order to simplify strategy creation.
・ In case of option only, up to 3 brands will be the upper limit, and it will not be possible to specify over the contract month. Moreover, the designation of the same brand is limited to two.
-In the case of options and futures, only combinations of one option and one future are possible.
・ In the case of futures only, the upper limit is 2 brands. When two brands are selected, only the combination of selling and buying is possible, and it is not possible to specify a contract spanning a contract month.

In the present embodiment, as shown in FIG. 1, a client terminal 10 and a service providing server 20 connected via the Internet are used.
The service providing server 20 is a computer server that provides various information regarding options to the client terminal 10 of the user. The service providing server 20 includes a management computer, and has a user authentication function and various information providing functions. For example, the client terminal 10 is provided with strategy pattern data 122 and preset strategy data 123 described later. In addition, a real-time price data providing means 24 is provided to sequentially provide price data of tradeable brands.

The service providing server 20 further includes a strategy pattern data storage unit 22 and a preset strategy data storage unit 23.
As shown in FIG. 2, the strategy pattern data storage unit 22 stores strategy pattern data 220 for specifying a strategy pattern. In the strategy pattern data 220, available strategy pattern data is registered in advance by pattern division. The strategy pattern data 220 includes data relating to a strategy identifier, a strategy diagram, and a pattern value. A specific example of the strategy pattern data 220 recorded in the strategy pattern data storage unit 22 is shown in FIG.

In the strategy identifier data area, data relating to an identifier assigned to identify each strategy pattern is recorded.
Schematic data indicating the shape of the strategy pattern is recorded in the strategy diagram data area. This strategy diagram uses a diagram that schematically represents the spot price on the horizontal axis and the profit and loss on the vertical axis.

  In the pattern value data area, data expressing a standardized value of the slope of the dependence of profit and loss on the spot price in this strategy pattern is recorded. This pattern value is used when specifying by using a pattern in which the strategy is simplified in the processing described later. In the present embodiment, the pattern value is calculated according to the following procedure.

  (A) For buying a call option, a zero value is assigned as profit / loss slope data in a price axis range lower than the strike price, and an option size value is assigned as profit / loss slope data in a higher price axis range.

  (B) For the sale of a call option, a zero value is assigned as profit / loss slope data in the price axis range lower than the strike price, and the option size value is multiplied by a negative value as profit / loss slope data in the higher price axis range. Is granted.

  (C) For the purchase of put options, the option size value multiplied by a negative value is added as profit / loss slope data in the price axis range lower than the strike price, and zero value is given as profit / loss slope data in the higher price axis range. Is granted.

  (D) For selling put options, the profit / loss slope data is assigned the size value of the option in the price axis range lower than the strike price, and the zero value is assigned as the profit / loss slope data in the higher price axis range.

(E) The strike price of each option is arranged in order of price, and the profit / loss slope data of each area divided by the strike price is totaled.
(F) If the profit / loss slope data is a positive value, the profit / loss slope data is converted to a constant positive value, and if the profit / loss slope data is a negative value, the profit / loss slope data is converted to a constant negative value.

(G) When profit / loss slope data having the same value continues on the price axis, an option strategy pattern is generated by collecting the data.
As a result, the pattern value is a numerical value that represents the slope of the strategy pattern by breaking it down into “maintain constant profit / loss”, “upward trend toward right”, and “downward trend”. Here, “0” is used for “maintain constant profit / loss”, “1” is used as a positive value for “upward trend”, and “−1” is used as a negative value for “downward trend”.

  The preset strategy data storage unit 23 stores preset strategy data 230 as shown in FIG. In the preset strategy data 230, strategies frequently used in transactions are registered in advance. The preset strategy data 230 includes data regarding strategy identifiers, strategy diagrams, C / P classifications, strategy names, constituent brands, sizes, bull / bear classifications, and constituent patterns. A specific example of the preset strategy data 230 recorded in the preset strategy data storage unit 23 is shown in FIG. Note that preset strategy data is strategy data that is added or deleted irregularly and is not fixed in nature.

In the strategy identifier data area, data relating to an identifier assigned to identify each preset strategy is recorded.
In the strategy diagram data area, data relating to a diagram showing the pattern shape of the preset strategy is recorded.

In the C / P classification data area, data relating to the transaction object identifier for distinguishing between the call option (C) and the put option (P) is recorded.
Data relating to the name of the preset strategy is recorded in the strategy name data area. For example, “long call”, “synthetic long call”, “vertical bull call spread”, “vertical bull put spread” are commonly used for strategies Use the name.

  In the component brand data area, data relating to the component brand necessary for realizing the preset strategy is recorded. Here, in the case of an option, the constituent brand is expressed as “101 ± K.N * A”. Here, “± K” is the strike price, and is expressed by relative designation from At The Money (ATM). “+0” means ATM, and “+1” means the value of ATM plus one strike price. "N" means a relative designated contract month. “A” indicates a call / put classification, “3” indicates a put, and “4” indicates a call. In the case of futures, it is expressed as “101.N”, where “N” means a relative designated contract month. For example, in the case of “long call”, it is created using the constituent brand “101 + 0.N * 4”. In the case of “synthetic long call”, a plurality of constituent issues (“101.N” and “101 + 0.N * 3”) are used.

  In the size data area and the bull / bear data area, data relating to identifiers assigned to distinguish the size of the preset strategy, the bull (bullish) and the bear (bear) of this strategy are recorded.

  In the configuration pattern data area, data relating to the configuration pattern of the preset strategy is recorded. Specifically, each element constituting this preset strategy is expressed using a call option (C) and a put option (P), “−” indicates SELL (sell), and “+” indicates BUY (buy. ) To express. For example, in the case of “short butterfly 1”, the configuration pattern is described as “−C <+ C2 <−C”. Further, for pattern matching, the decomposable part is described by decomposing up to the minimum unit. Accordingly, “−C <−C” and “−C <+ C <−C” are assigned to “−C <+ C2 <−C”.

  The client terminal 10 connected to the service providing server 20 via the Internet is a computer terminal used by a user who makes an option transaction. In this embodiment, the client terminal 10 functions as an option strategy management support system. The client terminal 10 includes a control unit 11 as a control unit, a memory 12, a communication unit, and the like. The memory 12 stores strategy pattern data 220 and preset strategy data 230 provided from the service providing server 20 and functions as an option strategy data storage unit.

  The control unit 11 is constituted by a CPU, storage means (RAM, ROM, etc.), etc., and performs processing described later (processing including a step of generating an option identifier, a step of specifying an option strategy candidate, and the like). By executing the option strategy management support program for this purpose, the control unit 11 functions as a means for generating an option identifier described in the claims, a means for specifying a candidate for an option strategy, and the like.

Next, a processing procedure for supporting creation of an option strategy using the above system will be described.
(Control screen)
When creating an option strategy, first, the program of the client terminal 10 is activated and the service providing server 20 is accessed. In this case, the service providing server 20 performs user authentication by a known method. Then, after the user authentication is completed, the provision of an option strategy creation support service is started. Specifically, the strategy pattern data 220 recorded in the strategy pattern data storage unit 22 and the preset strategy data 230 recorded in the preset strategy data storage unit 23 are transmitted to the client terminal 10 together with the control screen data. . These data are stored in the memory 12 of the client terminal 10. Then, a control screen 500 shown in FIG. 6 is displayed on the display of the client terminal 10.

  The control screen 500 includes an option list 510, a futures list 520, a preset strategy list 530, a user registration strategy list 540, a strategy confirmation window 550, and a parameter list 560.

  In the option list 510, a table that absolutely displays the strike price for options that can be traded is output. Here, option stocks are displayed in order of strike price by CALL / PUT for each contract month. In this option list 510, prices at that time regarding options that can be traded are displayed based on the price data supplied from the real-time price data providing means 24 of the service providing server 20. When a strategy is selected as will be described later, the constituent stocks of this strategy are highlighted on the option list 510.

In the futures list 520, a table displaying a list of futures that can be traded is output.
In the preset strategy list 530, a table displaying a list of general strategies registered (preset) on the service providing server 20 side in advance is output. This preset strategy list 530 is output using the preset strategy data 123 recorded in the memory 12. In the preset strategy list 530, each time a brand is selected, strategies extracted according to a strategy narrowing process described later are displayed. Further, the preset strategy list 530 includes a Shift column. With the value set in the Shift field, the strike price can be corrected up and down at a relative position from ATM (At The Money).

  In the user registration strategy list 540, a table displaying a list of strategies created and registered by the user is output. This user registration strategy list 540 is output using the available user registration strategy data 124 recorded in the memory 12. In accordance with a strategy pattern extraction process described later, a strategy is extracted and registered in the user registration strategy list 540.

In the strategy confirmation window 550, a corresponding strategy diagram is displayed in conjunction with the brand specified by the user.
The parameter list 560 displays a list of parameter values used when calculating index data necessary for analysis, such as an optional theoretical price. The user can change the parameter value by calling the parameter registration screen.

  By using the control screen 500 described above, operations such as “brand” selection + “registration” designation, “narrowing mode” designation + brand selection, “strategy display mode” designation + brand selection, etc., as shown in FIG. Can be done.

<Selection of brand name + “Register” designation>
When “brand” is selected and “registration” is designated, the control unit 11 executes a strategy extraction process to be described later, and displays the strategy in the user registration strategy list 540 as a strategy diagram. When detecting a double click of the user registration strategy display line, the control unit 11 reversely displays the constituent components of the strategy on the option list 510.

<"Selection mode" designation + selection of brand>
The control unit 11 displays the strategy (plurality) extracted according to the strategy narrowing process in the strategy list (preset) every time the brand is selected. Each time a brand is designated, the control unit 11 narrows down candidates (becoming strategies). As a result, the number of corresponding strategies displayed in the preset strategy list 530 is reduced.

<"Strategy display mode" designation + stock selection>
Each time a brand is selected, the control unit 11 determines a strategy diagram in accordance with a strategy pattern extraction process described later, and displays it in a strategy confirmation window 550 (floating display).

<Double-click the strategy on the preset strategy list>
When the control unit 11 detects a double-click of an arbitrary strategy on the preset strategy list 530, the control unit 11 highlights the constituent stocks of the strategy on the option list.

  In addition, when double-clicking a strategy on the preset strategy list and highlighting a constituent stock on the option list, the control unit 11 starts from ATM (at the money) according to the shift value set in the Shift column. The strike price is shifted up and down and displayed in reverse video.

<Double-click the strategy on the user registration strategy list>
When the control unit 11 detects a double click of an arbitrary strategy on the user registration strategy list 540, the control unit 11 highlights the constituent stocks of the strategy on the option list.

Next, a process for creating a strategy using the basic operation described above will be described below.
(Strategy narrowing process)
In this strategy narrowing-down process, the selected brand is patterned (character string), and the corresponding strategy is extracted from the preset strategy component pattern by matching search of the character string. Here, it demonstrates using FIG.

  First, the control unit 11 temporarily stores the brand selected on the control screen 500 in the memory 12 (step S1-1). Specifically, the identifier of the brand selected from the option brands displayed in the option list 510 is stored.

  The control unit 11 patterns the selected brand (step S1-2). Here, call / put classification (hereinafter referred to as “C / P classification”) and sell / buy are symbolized. Calls are represented by “C”, puts by “P”, and futures by “F”. Furthermore, using a trade identifier for specifying sell and buy, sell is represented by “−” and buy is represented by “+”. The quantity (number of sheets) is indicated by adding a number “2” to the right of the C / P section when there are two sheets in the same section. For example, in the case of “buy two call options”, “+ C2” is indicated. Next, when there are a plurality of selected stocks, they are symbolized in order of strike price. In the case of the same strike price, the stocks represented by the above method are combined with “=”. When C and P are selected with the same value, C is placed on the left. On the other hand, in the case of different strike prices, stocks with small strike prices are arranged in order from the left, and the stocks are joined by “<” as a position identifier. Futures with no strike price are always positioned at the left end.

An example of pattern (character string) conversion is shown below.
(Example 1) In the case of “buy one call with a strike price of 12500 yen”, “+ C”. (Example 2) In the case of “buy one call with an exercise price of 12,500 yen” and “buy one put with an exercise price of 13000 yen”, “+ C <+ P”.
(Example 3) In the case of “buy one call with an exercise price of 12,500 yen” and “sell two calls with an exercise price of 14,000 yen”, “+ C <−C2”.

  Next, the control unit 11 extracts a preset strategy including the pattern data (character string) of the selected brand in the configuration pattern (step S1-3). Specifically, the control unit 11 performs matching between the pattern (character string) created in step S1-2 and the configuration pattern of the preset strategy data 230 recorded in the preset strategy data storage unit 23. Then, a configuration pattern that matches the pattern (character string) or a part thereof is extracted.

  Then, the control unit 11 displays a preset strategy corresponding to the extracted configuration pattern (step S1-4). Specifically, a strategy diagram with a strategy name is displayed in the preset strategy list 530 of the control screen 500.

  Next, the control unit 11 executes a preset strategy selection process (step S1-5). Here, when detecting a double-click on a strategy display line on the preset strategy list 530, the control unit 11 specifies the preset strategy displayed on the line selected by the user.

  Then, the control unit 11 specifies a constituent stock group based on the reference price (the initial setting is the strike price of at-the-money) (step S1-6). Specifically, the control unit 11 removes the constituent stocks remaining by removing the stock selected in Step S1-1 from the constituent stocks necessary for realizing the specified preset strategy based on the reference price. Identify.

  Further, the control unit 11 biases the reference price of the constituent brand based on the price of the selected brand (step S1-7). Specifically, the control unit 11 identifies the constituent brand group based on the value set in the Shift column of the preset strategy list 530. In this case, on the basis of the price supplied from the real-time price data providing means 24 of the service providing server 20, a brand is determined by adding the value set in the Shift column to the reference price.

  Then, the control unit 11 displays the specified constituent brand group on the control screen 500 (step S1-8). Specifically, the specified brand candidate (the constituent brand group remaining in the constituent brand group excluding the selected brand) is displayed in reverse on the option list 510.

(Strategy pattern extraction processing)
Next, the strategy pattern extraction process will be described with reference to FIG. Here, a strategy pattern is extracted by the C / P classification, quantity (SIZE), strike price, and code (SELL / BUY) as a trade identifier of the brand selected in the option list 510.

  First, the control part 11 acquires the attribute of a selected brand about the brand selected from the option list (step S2-1). Here, regarding the acquisition of the C / P category, using the C / P category table shown in FIG. 10 (a), if the stock selected in the option list is a call option, “C”, if it is a put option, Is “P”, and “F” for futures.

  For the quantity (SIZE), the quantity (1, 2) input in the SIZE column of the option list is used. The code (SELL / BUY) is determined using the code table shown in FIG. 10B depending on whether the input of the quantity to the option list is the “SELL” area or the “BUY” area. In the case of the “SELL” area, “−”, and in the case of the “BUY” area, “+”. As for the strike price, the strike price of the selected issue is used as it is. For futures, there is no strike price. A specific example of extracting brand attribute data is shown in FIG.

  Next, the control part 11 performs decomposition | disassembly and addition of attribute data (step S2-2). More specifically, the brand attribute data extracted in step S2-1 is developed into two profit / loss slope data (loss slope data) in the price axis range divided by each strike price. Note that there is no strike price for futures, so there is no disassembly based on the strike price.

  Specifically, the control unit 11 first develops by brand (step S3-1). Here, the up and down slope of the profit and loss is calculated with respect to the price axis of the strike price. In this case, the inclination conversion table shown in FIG. Here, “S” is the quantity (absolute value) entered in the SIZE column of the option list 510.

  Specifically, for the purchase of a call option, a zero value (0) is assigned as profit / loss slope data in a price axis range lower than the strike price, and an option size value ( 1 * S). For option sales, a zero value (0) is given as profit / loss slope data in the price axis range lower than the strike price, and a negative value is added as profit / loss slope data in the higher price axis range ( -1 * S).

  For the purchase of put options, the option size value (-1 * S) multiplied by a negative value is given as profit / loss slope data in the price axis range lower than the strike price, and the profit / loss slope data in the higher price axis range. A zero value (0) is assigned. For option sales, put the option size value (1 * S) as profit / loss slope data in the price axis range lower than the strike price, and zero (0) as profit / loss slope data in the higher price axis range. Give.

For futures, a size value with a trading code is assigned.
Next, the control unit 11 adds the expanded data (step S3-2). At step S3-1, the attribute data developed for each brand is added up. This summation method is shown below. First, the strike price of each brand (option) is arranged in order of price (step S4-1). Then, the slope data sorted in order of the price of the strike price in step S4-1 are added together (step S4-2). Further, the combined inclination data is corrected (step S4-3). In this correction, the inclination correction table shown in FIG. 10E is used. When the inclination is “1” or more, “1”, when the inclination is “−1” or less, “−1”, and the inclination is “0”. In this case, “0” is set.

  Next, the control unit 11 determines a strategy pattern (step S2-3). The tilt data added in step S3-2 is further corrected in the horizontal direction, and based on this, the corresponding strategy diagram (pattern) is obtained from the strategy pattern data 122 of the memory 12. Here, the control unit 11 first performs lateral correction (step S5-1). Specifically, the same inclination data continuous in the horizontal direction is combined into one. For example, when “0”, “1”, and “−1” continue from the strike price, they are grouped into “0”, “1”, and “−1”, respectively.

Then, the control unit 11 identifies the strategy pattern by comparing with the strategy pattern data recorded in the memory 12 (step S5-2).
Hereinafter, an example of pattern extraction will be shown. Here, as shown in FIG. 11A, the result of extracting the brand attribute data is “Buy one Call with an exercise price of 12500 yen” as the brand 1, and “Put with the strike price of 12000 yen as the brand 2”. It is assumed that “sell two” and “buy one call with a strike price of 10500 yen” as the brand 3. In this case, the above-described selected brand attribute data extraction process is expressed as “C + 1 12500”, “P-2 12000”, and “C + 1 10500”, respectively.

Next, decomposition and summation of the extraction results of the brand attribute data are performed. At the time of disassembly, as shown in FIG. 11B, one set is made up of the combination of the strike price and the front and back slope data.
Then, as shown in FIG. 11C, lateral correction is performed. That is, continuous slope data is collected. Thereby, a strategy pattern for retrieval is extracted. This embodiment corresponds to “8” in FIG.

As described above, according to the present embodiment, the following effects can be obtained.
In the above embodiment, the preset strategy data storage unit 23 stores the preset strategy data 230. The preset strategy data 230 includes data related to the configuration pattern. In this configuration pattern, elements for realizing the strategy are recorded. When the brand is identified, the control unit 11 identifies the pattern for search by patterning the selected brand. And the control part 11 extracts the preset strategy which contains the specified pattern in a structure pattern (step S1-3). Thereby, the strategy candidate realizable with the specified brand | brand can be grasped | ascertained.

  In the above embodiment, when the preset strategy is selected, the control unit 11 specifies a constituent brand group based on the base price (step S1-6). Specifically, in order to realize the specified preset strategy, the control unit 11 subtracts the stocks selected in step S1-1 from the constituent elements and specifies the necessary constituent stocks based on the reference price. To identify. Thereby, it is possible to grasp the brands necessary for realizing the strategy.

  In the above embodiment, the control unit 11 biases the reference price of the constituent brand based on the price of the selected brand (step S1-7). Specifically, the control unit 11 specifies a brand candidate based on the value set in the Shift column of the preset strategy list 530. In this case, on the basis of the price supplied from the real-time price data providing means 24 of the service providing server 20, the brand is specified by adding the value set in the Shift column to the reference price. Thereby, the brand for realizing the strategy can be specified by using the actual price.

  In the above embodiment, the control unit 11 acquires the attributes of the selected brand for the brand selected in the option list 510 (step S2-1). And the control part 11 performs decomposition | disassembly and addition of attribute data (step S2-2). Here, the control unit 11 arranges the strike prices of the brands in order of price (step S4-1), and adds the slope data sorted in order of the strike price in step S4-1 (step S4-2). Further, the control unit 11 corrects the added inclination data (step S4-3). Next, the control unit 11 first performs lateral correction (step S5-1), and compares the strategy pattern recorded in the strategy pattern data storage unit 22 to specify the strategy pattern (step S5-2). . Thereby, a strategy can be extracted.

In addition, you may change the said embodiment into the following aspects.
In the above embodiment, the data recorded in the strategy pattern data storage unit 22 and the preset strategy data storage unit 23 is transmitted to the client terminal and stored in the memory 12. Then, using the strategy pattern data 122 and preset strategy data stored in the memory 12, the control unit 11 of the client terminal 10 executes a strategy narrowing process and a strategy pattern extraction process. These processes are not limited to being executed in the client terminal 10, and each process can be performed by the service providing server 20.

  In the above embodiment, the control unit 11 biases the reference price of the constituent brand based on the price of the selected brand (step S1-7). In addition to step S1-7, it is also possible to shift the reference price of the preset strategy based on the strike price of the brand selected in the preset strategy extraction stage (step S1-3).

1 is a schematic diagram of a system according to an embodiment of the present invention. Explanatory drawing of the data recorded on the strategy pattern data storage part. Explanatory drawing of the data recorded on the preset strategy data storage part. Explanatory drawing of strategy pattern data. Explanatory drawing of preset strategy data. Explanatory drawing of the control screen output to the client terminal. Explanatory drawing of the list which comprises a control screen. Explanatory drawing of the process sequence of one Embodiment of this invention. Explanatory drawing of the process sequence of one Embodiment of this invention. It is explanatory drawing of the specific example of one Embodiment of this invention, Comprising: (a) is C / P division | segmentation table for determining transaction object identifier, (b) is a code | cord | chord table for determining trading identifier, (c) is A specific example of attribute acquisition, (d) shows an inclination conversion table for determining inclination data, and (e) shows an inclination correction table. It is explanatory drawing of the specific example of one Embodiment of this invention, Comprising: (a) is a specific example of attribute acquisition of a selected brand, (b) is a specific example of decomposition | disassembly and summation of brand attribute data, (c) is horizontal. Explanatory drawing of the specific example of correction | amendment of a direction.

Explanation of symbols

  DESCRIPTION OF SYMBOLS 10 ... Client terminal as an option strategy management support system, 11 ... Control part, 12 ... Memory, 122 ... Strategy pattern data, 123 ... Preset strategy data, 124 ... User registration strategy data, 20 ... Service provision server, 22 ... Strategy pattern Data storage unit, 23... Preset strategy data storage unit, 24.

Claims (7)

For each option strategy, a transaction object identifier is assigned to each put option and call option constituting the option strategy,
Generating an option identifier to which a trading identifier for specifying selling and buying is added to the transaction object identifier;
In the case of a plurality of options, an option strategy data storage means for recording a configuration pattern in which a position identifier in which the relationship of each option is arranged according to the strike price is recorded for all option identifier combinations; ,
An option strategy management support system for supporting option trading, comprising a control means for specifying designation of a brand and an option strategy,
The control means is
A transaction identifier is assigned to the specified symbol, and an option identifier is generated by adding a trading identifier to this transaction identifier.
An option strategy management support system characterized in that the option strategy data storage means specifies a configuration pattern including the option identifier as a candidate for an option strategy and outputs the candidate. The control means sequentially acquires price data of tradeable brands,
When any of the option strategies is selected from the candidates, it is a brand necessary for configuring the option strategy, and brand candidates other than the designated brand are selected from the option strategy data storage means. 2. The option strategy management support system according to claim 1, wherein the system is extracted and output.   In the selection of the option strategy, if a shift value is set, a stock candidate with an exercise price that is raised or lowered from the at-the-money by the shift value is identified from the tradeable stocks and output. The option strategy management support system according to claim 1 or 2, characterized in that The control means is
For the purchase of call options, a zero value is given as profit / loss slope data in the price axis range lower than the strike price, and the option size value is given as profit / loss slope data in the higher price axis range,
For the sale of call options, a zero value is assigned as profit / loss slope data in the price axis range lower than the strike price, and the option size value is multiplied by a negative value as profit / loss slope data in the higher price axis range. ,
For the purchase of put options, the option size value multiplied by a negative value is assigned as profit / loss slope data in the price axis range lower than the strike price, and the zero value is assigned as profit / loss slope data in the higher price axis range. ,
For the sale of put options, the profit / loss slope data in the price axis range lower than the strike price is given the size value of the option, the zero value is given as the profit / loss slope data in the higher price axis range,
Put the strike price of each option side by side and sum the profit / loss slope data, and the profit / loss slope data of each area divided by the strike price,
If the profit / loss slope data is positive, convert the profit / loss slope data to a constant positive value, and if the profit / loss slope data is negative, convert the profit / loss slope data to a constant negative value,
The option strategy management support system according to any one of claims 1 to 3, wherein an option strategy pattern is specified by collecting profit / loss slope data having the same value on the price axis in a continuous manner.   5. The option strategy management support system according to claim 4, wherein the control means outputs a graphed shape using profit / loss slope data calculated with respect to the price axis. For an option strategy, a transaction object identifier is assigned to each put option and call option constituting the option strategy, and
Generating an option identifier to which the transaction identifier for selling and buying is added to the transaction object identifier;
In the case of multiple options, option strategy data that records the configuration pattern by assigning a position identifier that arranges the relationship of each option according to the strike price to all combinations of option identifiers. Storage means;
A method for supporting option trading using an option strategy management support system comprising a control means for obtaining designation of a brand and an option strategy,
The control means is
A transaction identifier is assigned to the specified symbol, and an option identifier is generated by adding a trading identifier to this transaction identifier.
An option strategy management support method characterized in that, in the option strategy data storage means, a configuration pattern including the option identifier is specified as an option strategy candidate and the candidate is output. For an option strategy, a transaction object identifier is assigned to each put option and call option that constitute this option strategy,
Generating an option identifier to which the transaction identifier for selling and buying is added to the transaction object identifier;
In the case of multiple options, option strategy data that records the configuration pattern by assigning all the option identifier combinations by assigning a position identifier that arranges the relationship of each option according to the strike price. Storage means;
A program that supports option trading using an option strategy management support system having a control means for acquiring designation of brands and option strategies,
The control means;
A transaction identifier is assigned to the specified symbol, and an option identifier is generated by adding a trading identifier to this transaction identifier.
An option strategy management support program characterized in that the option strategy data storage means functions as means for specifying a configuration pattern including the option identifier as a candidate for an option strategy and outputting the candidate.

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