2025-07-14 Derivatives Futures and Options Insights

📋 Strategy Components

📊 This strategy utilizes a high-frequency trading algorithm capable of responding instantly to rapid price fluctuations,
and is designed to achieve fully automated trading through live price analysis and rule-based execution.

📈 Note: This system also generates an automated end-of-day summary report, allowing you to quantitatively evaluate daily trade performance and strategy results.

📌 Note: Current-month contracts are typically used for short-term tactical decisions,
while next-month contracts reflect market expectations and are key to basis and calendar spread strategies.
Significant deviations between the two may indicate arbitrage opportunities, making regular comparison essential for informed futures trading.

📌 Interpretation Guide:
• Market Basis: Live Futures Price – KOSPI200 Spot Index
• Theorist Basis: Theoretical Futures Price – KOSPI200 Spot Index
• Actual Basis: Live Futures Price – Theoretical Price
• Basis Gap: Difference between theorist and market basis
→ Positive (+): May indicate underpriced futures
→ Negative (–): May suggest overpriced futures

📈 KOSPI200 Futures Price Movement Visualization (Total: 18 events)

📌 Chart Interpretation:

• Event-Driven Sampling: Data points are logged whenever the price moves more than 0.1%, capturing only significant market shifts.
• X-axis represents event sequence rather than real time. More frequent price changes result in denser data, visualizing volatility concentration.
• Y-axis shows futures price. Color coding:
  Red indicates upward movement,
  Blue for downward movement, based on real-time deviation from the session’s opening price.
• ‘BUY’ and ‘SELL’ markers denote trade signal triggers and are used for evaluating long-short (dual position) strategies.
• This chart is designed for intra-day analysis; it does not reflect previous closing prices.
• It is also applicable to advanced use cases such as machine learning-based pattern recognition and high-frequency strategy testing.

🚦 KOSPI200 Market Speed Analysis (Based on the Last 15 Minutes)

This section evaluates the market speed and volatility of KOSPI200 futures
based on the number of price movement signals detected in the most recent 15 minutes.
As of now, the futures price is 430.35, and the threshold movement size is 0.1%.

📊 Option Price Table (±9 Rows from Central Strike)

The table below presents real-time data for call and put options centered around the strike price,
captured during significant price movements in KOSPI200 futures.

📌 Notes on Option Price Data:

• Data is collected when the real-time futures price changes by more than 0.1%.
• We gather quotes for 9 levels above and below the central strike at that moment, for both calls and puts.
• Captured fields include volume, bid/ask prices and sizes, delta – key metrics for strategy development.
• This dataset provides high-resolution intraday option quotes beyond traditional open/close snapshots.
• It supports automated trading systems and backtesting analysis with thousands of entries accumulated.
• Our strategies continue to evolve using this detailed, real-world data as a core foundation.

📦 Current Option Holdings

This table shows your currently held call and put option positions.
Each row includes the option code, holding quantity, and whether the position is a 📈 Long (Buy) or 📉 Short (Sell).

📌 Unclosed Call-Put 1:1 Long Pairs

This table shows Call and Put options that were bought together and are still open positions (not yet closed).
Each row includes the entry price and order ID, which help analyze exit timing and manage risk.

🧮 Real-Time Margin Analysis Results

This table presents a real-time margin analysis of your currently held 1:1 Call-Put option pairs.
You can assess each position based on its individual Call Margin, Put Margin, and the Total Margin,
which may inform decisions on potential exit or risk mitigation.

🧠 Unlike simple price averaging, this delta-based ATM detection relies on the balance of market sensitivity (delta), enabling more precise and data-driven decision-making. (Automated Trading System using Kiwoom Open API+ and Python)

📌 Note: The same center strike identification logic is applied not only in real-time strategy execution but also in backtesting evaluations and automated report generation for the previous trading day.

📊 Option Price Table (±9 Rows from Central Strike)

The table below presents real-time data for call and put options centered around the strike price,
captured during significant price movements in KOSPI200 futures.

📌 Notes on Option Price Data:

• Data is collected when the real-time futures price changes by more than 0.1%.
• We gather quotes for 9 levels above and below the central strike at that moment, for both calls and puts.
• Captured fields include volume, bid/ask prices and sizes, delta – key metrics for strategy development.
• This dataset provides high-resolution intraday option quotes beyond traditional open/close snapshots.
• It supports automated trading systems and backtesting analysis with thousands of entries accumulated.
• Our strategies continue to evolve using this detailed, real-world data as a core foundation.

📋 Strategy Structure

📊 This strategy is powered by a high-frequency trading engine capable of reacting swiftly to market volatility,
enabling fully automated trade execution based on real-time data analytics and predefined signal logic.

📈 Post-Close Reports: An automated end-of-day P&L summary and strategy performance report is generated daily, providing a quantitative breakdown of trade outcomes and system behavior.

📌 Post-close analysis engine quantifies the entire strategy lifecycle and outcomes,
enabling automated logging and statistical tracking for strategy review and refinement on the next trading day.

📌 Note: Current-month contracts are typically used for short-term tactical decisions,
while next-month contracts reflect market expectations and are key to basis and calendar spread strategies.
Significant deviations between the two may indicate arbitrage opportunities, making regular comparison essential for informed futures trading.

📌 Interpretation Guide:
• Market Basis: Live Futures Price – KOSPI200 Spot Index
• Theorist Basis: Theoretical Futures Price – KOSPI200 Spot Index
• Actual Basis: Live Futures Price – Theoretical Price
• Basis Gap: Difference between theorist and market basis
→ Positive (+): May indicate underpriced futures
→ Negative (–): May suggest overpriced futures

📈 KOSPI200 Futures Price Movement Visualization (Total: 77 events)

📌 Chart Interpretation:

• Event-Driven Sampling: Data points are logged whenever the price moves more than 0.1%, capturing only significant market shifts.
• X-axis represents event sequence rather than real time. More frequent price changes result in denser data, visualizing volatility concentration.
• Y-axis shows futures price. Color coding:
  Red indicates upward movement,
  Blue for downward movement, based on real-time deviation from the session’s opening price.
• ‘BUY’ and ‘SELL’ markers denote trade signal triggers and are used for evaluating long-short (dual position) strategies.
• This chart is designed for intra-day analysis; it does not reflect previous closing prices.
• It is also applicable to advanced use cases such as machine learning-based pattern recognition and high-frequency strategy testing.

🚦 KOSPI200 Market Speed Analysis (Based on the Last 15 Minutes)

This section evaluates the market speed and volatility of KOSPI200 futures
based on the number of price movement signals detected in the most recent 15 minutes.
As of now, the futures price is 432.4, and the threshold movement size is 0.1%.

📊 Option Price Table (±9 Rows from Central Strike)

The table below presents real-time data for call and put options centered around the strike price,
captured during significant price movements in KOSPI200 futures.

📌 Notes on Option Price Data:

• Data is collected when the real-time futures price changes by more than 0.1%.
• We gather quotes for 9 levels above and below the central strike at that moment, for both calls and puts.
• Captured fields include volume, bid/ask prices and sizes, delta – key metrics for strategy development.
• This dataset provides high-resolution intraday option quotes beyond traditional open/close snapshots.
• It supports automated trading systems and backtesting analysis with thousands of entries accumulated.
• Our strategies continue to evolve using this detailed, real-world data as a core foundation.

💼 Matched Entry & Exit Positions + Margin Summary

The table below summarizes matched entry and exit positions where a trade was completed through both buy and sell actions.
For each entry, you’ll find the order type, entry time, option code, and liquidation margin.
This helps assess strategy profitability and risk management efficiency.

💰 [Settlement Summary] Fees and Net Profit Based on Option Pairs

This section summarizes the settlement details for paired Call and Put options.
It includes entry and exit fees, total transaction cost, and the final realized profit/loss (in KRW) for each position, categorized by entry type.

📈 Realized Profit Overview

This table summarizes your total realized profit after all entries and exits have been settled.
It includes the total P&L, total fees, and the final net realized profit (P&L − fees).