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データ基準日: 2026-10-20 · 決済基準: 取引所最終日次決済価格

VX=F Deep Dive | Short: vol premium fades below 19 | 2026-10-21

We are short VX=F with invalidation on a daily close above 19 (next-session pivot R1). The prior session settled at 18.45 [settle 2026-10-20], down 0.81% on the day, after a +12.02% weekly surge in the last completed week (2026-10-12 to 2026-10-16) that stalled at the 20-day high of 19.95. The 5D change of +5.43% and 20D change of +6.03% leave price mid-range at the 49.2 percentile of the 20-day channel (17-19.95), while ATR14 of 0.858 (4.65% of price) and RV20 of 36.4% confirm a high-noise regime where mean reversion is the base case. In early Asian trade on 2026-10-21 (as of 06:45), the continuous contract printed 18.35, down 0.54% versus settle, already below the next-session pivot P of 18.6 and approaching S1 at 18.05. The VIX at 17.31 sits only at the 56th 1Y percentile, so the equity vol backdrop does not justify a sustained VX=F premium. We target a retest of S2 at 17.65, roughly 0.93 ATR below the invalidation, and treat any reclaim of 19 as evidence the vol bid is rebuilding.