https:/
Gold muted as traders keep eye on U.S. dollar
* Gold
現在日付 2020/10/6
1st Price 1922.7 month: 12
2nd Price 1922.7 month: 12
Monthly change sigma -0.4
Next month's average sigma -0.6
HV 0.156
HV/σh -0.6
Daily expected return 5.6
Daily STDEV 22.1
Monthly STDEV 49.5
Premium total: 12.30
Net Δ -0.3
Net Γ 0.0
Net Λ -149
VaR/Balance (V/B) [%] -5.9%
σ Version Tactics Contract C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
1.3 2.0 Pre-Conversion:Mini: [['Put-CalendarSpread-ATM' -0.1383]] X -1 1,975 1 48.10 0.06 0.180 1973.4 2020/9/16 1
0.8 2.0 Pre-Conversion:Mini: [['Put-CalendarSpread-ATM' -0.1383]] Z -1 1,975 -1 71.60 0.13 0.217 1980.4 2020/9/16 1
0.8 2.1 Pre-Conversion: Z 1 1,975 1 35.80 0.13 0.204 1922.7 2020/10/6 1
___ GARCH model results review ___
2020年 10月12日 月曜日 22時52分52秒 JST
VolPerSigma : Volatility : Filename : Products
-0.10 : 0.062 : result4.txt : ./EUR_USD Historical Data.csv
-0.25 : 0.774 : result1.txt : ./Crude Oil WTI Futures Historical Data.csv
-0.34 : 0.167 : result6.txt : ./US 500 Futures Historical Data.csv
-0.37 : 0.165 : result0.txt : ./Gold Futures Historical Data (2).csv
-0.43 : 0.116 : result5.txt : ./US Soybeans Futures Historical Data (2).csv
-0.63 : 0.029 : result2.txt : ./US 10 Year T-Note Futures Historical Data (4).csv
0.22 : 0.228 : result3.txt : ./US Corn Futures Historical Data.csv
https:/
U.S. stocks open higher despite stalled stimulus talks
* T-note
Date 2020/10/12
Future 1st price 138.275 month = 12
Future 2nd price 138.180 month = 3
Mothly sigma -0.5
Next month's average sigma -0.8
HV 0.0199
HV/σ -0.9
Daily STDEV 0.2
Monthly STDEV 1.6
Premium total: 0.19
Net Δ -0.5
Net Γ 0.4
Net Λ -35.1
VaR/Balance (V/B) [%] -11.0%
σ Version Tactics Code C1/P-1 権利行使価格 Short1/Buy-1 残存期間 Premium(>0) IV Price Traded date Qty
-0.1 2.0 EXPIRED:Mini: [['Put-CalendarSpread-ATM' -0.0031]] U -1 138.50 1 1.00 0.23 0.028 138.69 2020/7/13 0
-0.1 2.0 EXPIRED:LongButterfly:ShortRatioSprd:Mini: [['Put-CalendarSpread-ATM' -0.0031]] V -1 138.50 -1 1.00 0.43 0.042 139.04 2020/7/13 0
-0.2 2.1 EXPIRED:LongButterfly:ShortRatioSprd: V -1 138.00 1 1.00 0.11 0.034 139.04 2020/8/3 0
-0.2 2.2 EXPIRED:LongButterfly: V -1 137.50 -1 1.00 0.06 0.058 139.56 2020/8/24 0
0.7 2.2 CLOSE:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 4.5485 129.4257 3.3653]]] X 1 139.50 -1 0.03 0.50 0.031 139.58 2020/8/24 0
2.2 2.2 CLOSE2:NakedShort:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 4.5485 129.4257 3.3653]]] X 1 141.00 1 0.03 0.14 0.041 139.59 2020/8/24 0
0.7 2.3 CLOSE: X 1 139.50 1 0.03 0.33 0.033 139.31 2020/9/9 0
2.2 2.4 CLOSE2: X 1 141.00 -1 0.03 0.03 0.039 139.66 2020/9/28 0
0.4 2.5 CLOSE3:risk_neutral_max_str: [[['Call-ShortRatioSpread-ATM' 5.4275 179.9697 3.654]]] Z 1 139.50 -1 0.11 0.53 0.032 139.66 2020/9/28 0
1.2 2.5 NakedShort:risk_neutral_max_str: [[['Call-ShortRatioSpread-ATM' 5.4275 179.9697 3.654]]] Z 1 141.00 1 0.11 0.15 0.044 139.63 2020/9/28 4
0.4 2.6 CLOSE3: Z 1 139.50 1 0.11 0.26 0.044 138.86 2020/10/12 0
---
https:/
Shares struggle as coronavirus overshadows China data
* E-mini S&P500
現在日付 2020/10/13
1st price 3,514.25 month= 12
2nd price 3,514.25 month= 12
Daily extected return 11.41
Daily Stdev 40.82
Monthly expected return 46.79
Monthly Stdev 129.06
Monthly change sigma 1.0
Next month's average sigma 0.6
HV 0.19
HV/σ -0.1
Earned premium -38.25
Net Δ 0.2
Net Γ -0.0
Net Λ 393.4
VaR/Balance (V/B) [%] 1.0%
___ Expected Utility ___
Player : Strategy : risk_neutral : risk_loving : risk_averse
risk_neutral_max_str: [[['Call-ShortRatioSpread-ATM' 1760.2719 12845661.1266 59.8541]]]
risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 1760.2719 12845661.1266 59.8541]]]
risk_averse_max_str: [[['Call-ShortRatioSpread-ATM' 1760.2719 12845661.1266 59.8541]]]
___ Max Mini ___
Mini: [['Call-NakedLong-OTM' -4.8738]]
σ Version Tactics Code C1/P-1 権利行使価格 Sell1/Buy-1 プレミアム 残存期間 IV Price エントリ日 qty
1.0 2.0 Mini: [['Call-NakedLong-OTM' -4.8738]] X 1 3,670 -1 38.25 0.13 0.186 3,514.25 2020/10/13 1
* E-mini S&P500
現在日付 2020/10/22
1st price 3,414.50 month= 12
2nd price 3,414.50 month= 12
Daily extected return 8.36
Daily Stdev 40.80
Monthly expected return 46.79
Monthly Stdev 129.06
Monthly change sigma 0.9
Next month's average sigma 0.6
HV 0.16
HV/σ -0.5
Earned premium -4.75
Net Δ -0.2
Net Γ 0.0
Net Λ -290.3
VaR/Balance (V/B) [%] -10.0%
σ Version Tactics Code C1/P-1 権利行使価格 Sell1/Buy-1 プレミアム 残存期間 IV Price エントリ日 qty
1.7 2.0 ShortRatioSprd:Mini: [['Call-NakedLong-OTM' -4.8738]] X 1 3,670 -1 38.25 0.11 0.186 3,514.25 2020/10/13 1
1.6 2.1 ShortRatioSprd: X 1 3,650 1 16.75 0.11 0.193 3,414.50 2020/10/22 2
https:/
U.S. Futures Just Lower; Stimulus Talks and Jobless Claims in Focus
---
https:/
10-year Treasury yield falls for 4th straight day amid fears of a worsening pandemic
* T-note
Date 2020/10/28
Future 1st price 139.000 month = 12
Future 2nd price 138.195 month = 3
Mothly sigma -0.4
Next month's average sigma -0.8
HV 0.0239
HV/σ 0.1
Daily STDEV 0.2
Monthly STDEV 1.6
Premium total: 0.95
Net Δ 0.1
Net Γ 0.6
Net Λ -43.2
VaR/Balance (V/B) [%] -4.3%
___ Expected Utility ___
Player : Strategy : risk_neutral : risk_loving : risk_averse
risk_neutral_max_str: [[['Put-NakedShort-Float' 0.55 52.3573 2.6685]]]
risk_loving_max_str: [[['Put-NakedShort-Float' 0.55 52.3573 2.6685]]]
risk_averse_max_str: [[['Put-NakedShort-Float' 0.55 52.3573 2.6685]]]
___ Max Mini ___
Mini: [['Call-CalendarSpread-ATM' -0.0025]
['Call-CalendarSpread-Float' -0.0025]]
σ Version Tactics Code C1/P-1 権利行使価格 Short1/Buy-1 残存期間 Premium(>0) IV Price Traded date Qty
-0.1 2.0 EXPIRED:Mini: [['Put-CalendarSpread-ATM' -0.0031]] U -1 138.50 1 1.00 0.23 0.028 138.69 2020/7/13 0
-0.1 2.0 EXPIRED:LongButterfly:ShortRatioSprd:Mini: [['Put-CalendarSpread-ATM' -0.0031]] V -1 138.50 -1 1.00 0.43 0.042 139.04 2020/7/13 0
-0.2 2.1 EXPIRED:LongButterfly:ShortRatioSprd: V -1 138.00 1 1.00 0.11 0.034 139.04 2020/8/3 0
-0.3 2.2 EXPIRED:LongButterfly: V -1 137.50 -1 1.00 0.06 0.058 139.56 2020/8/24 0
0.1 2.2 CLOSE:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 4.5485 129.4257 3.3653]]] X 1 139.50 -1 1.00 0.50 0.031 139.58 2020/8/24 0
0.4 2.2 CLOSE2:NakedShort:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 4.5485 129.4257 3.3653]]] X 1 141.00 1 1.00 0.14 0.041 139.59 2020/8/24 0
0.1 2.3 CLOSE: X 1 139.50 1 1.00 0.33 0.033 139.31 2020/9/9 0
0.4 2.4 CLOSE2: X 1 141.00 -1 1.00 0.03 0.039 139.66 2020/9/28 0
0.4 2.5 CLOSE3:risk_neutral_max_str: [[['Call-ShortRatioSpread-ATM' 5.4275 179.9697 3.654]]] Z 1 139.50 -1 0.06 0.53 0.032 139.66 2020/9/28 0
1.4 2.5 NakedShort:risk_neutral_max_str: [[['Call-ShortRatioSpread-ATM' 5.4275 179.9697 3.654]]] Z 1 141.00 1 0.06 0.15 0.044 139.63 2020/9/28 4
0.4 2.6 CLOSE3: Z 1 139.50 1 0.06 0.26 0.044 138.86 2020/10/12 0
-0.2 2.7 risk_neutral_max_str: [[['Put-NakedShort-Float' 0.55 52.3573 2.6685]]] F -1 138.50 1 0.16 0.49 0.039 138.61 2020/10/28 1
Gold muted as traders keep eye on U.S. dollar
* Gold
現在日付 2020/10/6
1st Price 1922.7 month: 12
2nd Price 1922.7 month: 12
Monthly change sigma -0.4
Next month's average sigma -0.6
HV 0.156
HV/σh -0.6
Daily expected return 5.6
Daily STDEV 22.1
Monthly STDEV 49.5
Premium total: 12.30
Net Δ -0.3
Net Γ 0.0
Net Λ -149
VaR/Balance (V/B) [%] -5.9%
σ Version Tactics Contract C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
1.3 2.0 Pre-Conversion:Mini: [['Put-CalendarSpread-ATM' -0.1383]] X -1 1,975 1 48.10 0.06 0.180 1973.4 2020/9/16 1
0.8 2.0 Pre-Conversion:Mini: [['Put-CalendarSpread-ATM' -0.1383]] Z -1 1,975 -1 71.60 0.13 0.217 1980.4 2020/9/16 1
0.8 2.1 Pre-Conversion: Z 1 1,975 1 35.80 0.13 0.204 1922.7 2020/10/6 1
___ GARCH model results review ___
2020年 10月12日 月曜日 22時52分52秒 JST
VolPerSigma : Volatility : Filename : Products
-0.10 : 0.062 : result4.txt : ./EUR_USD Historical Data.csv
-0.25 : 0.774 : result1.txt : ./Crude Oil WTI Futures Historical Data.csv
-0.34 : 0.167 : result6.txt : ./US 500 Futures Historical Data.csv
-0.37 : 0.165 : result0.txt : ./Gold Futures Historical Data (2).csv
-0.43 : 0.116 : result5.txt : ./US Soybeans Futures Historical Data (2).csv
-0.63 : 0.029 : result2.txt : ./US 10 Year T-Note Futures Historical Data (4).csv
0.22 : 0.228 : result3.txt : ./US Corn Futures Historical Data.csv
https:/
U.S. stocks open higher despite stalled stimulus talks
* T-note
Date 2020/10/12
Future 1st price 138.275 month = 12
Future 2nd price 138.180 month = 3
Mothly sigma -0.5
Next month's average sigma -0.8
HV 0.0199
HV/σ -0.9
Daily STDEV 0.2
Monthly STDEV 1.6
Premium total: 0.19
Net Δ -0.5
Net Γ 0.4
Net Λ -35.1
VaR/Balance (V/B) [%] -11.0%
σ Version Tactics Code C1/P-1 権利行使価格 Short1/Buy-1 残存期間 Premium(>0) IV Price Traded date Qty
-0.1 2.0 EXPIRED:Mini: [['Put-CalendarSpread-ATM' -0.0031]] U -1 138.50 1 1.00 0.23 0.028 138.69 2020/7/13 0
-0.1 2.0 EXPIRED:LongButterfly:ShortRatioSprd:Mini: [['Put-CalendarSpread-ATM' -0.0031]] V -1 138.50 -1 1.00 0.43 0.042 139.04 2020/7/13 0
-0.2 2.1 EXPIRED:LongButterfly:ShortRatioSprd: V -1 138.00 1 1.00 0.11 0.034 139.04 2020/8/3 0
-0.2 2.2 EXPIRED:LongButterfly: V -1 137.50 -1 1.00 0.06 0.058 139.56 2020/8/24 0
0.7 2.2 CLOSE:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 4.5485 129.4257 3.3653]]] X 1 139.50 -1 0.03 0.50 0.031 139.58 2020/8/24 0
2.2 2.2 CLOSE2:NakedShort:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 4.5485 129.4257 3.3653]]] X 1 141.00 1 0.03 0.14 0.041 139.59 2020/8/24 0
0.7 2.3 CLOSE: X 1 139.50 1 0.03 0.33 0.033 139.31 2020/9/9 0
2.2 2.4 CLOSE2: X 1 141.00 -1 0.03 0.03 0.039 139.66 2020/9/28 0
0.4 2.5 CLOSE3:risk_neutral_max_str: [[['Call-ShortRatioSpread-ATM' 5.4275 179.9697 3.654]]] Z 1 139.50 -1 0.11 0.53 0.032 139.66 2020/9/28 0
1.2 2.5 NakedShort:risk_neutral_max_str: [[['Call-ShortRatioSpread-ATM' 5.4275 179.9697 3.654]]] Z 1 141.00 1 0.11 0.15 0.044 139.63 2020/9/28 4
0.4 2.6 CLOSE3: Z 1 139.50 1 0.11 0.26 0.044 138.86 2020/10/12 0
---
https:/
Shares struggle as coronavirus overshadows China data
* E-mini S&P500
現在日付 2020/10/13
1st price 3,514.25 month= 12
2nd price 3,514.25 month= 12
Daily extected return 11.41
Daily Stdev 40.82
Monthly expected return 46.79
Monthly Stdev 129.06
Monthly change sigma 1.0
Next month's average sigma 0.6
HV 0.19
HV/σ -0.1
Earned premium -38.25
Net Δ 0.2
Net Γ -0.0
Net Λ 393.4
VaR/Balance (V/B) [%] 1.0%
___ Expected Utility ___
Player : Strategy : risk_neutral : risk_loving : risk_averse
risk_neutral_max_str: [[['Call-ShortRatioSpread-ATM' 1760.2719 12845661.1266 59.8541]]]
risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 1760.2719 12845661.1266 59.8541]]]
risk_averse_max_str: [[['Call-ShortRatioSpread-ATM' 1760.2719 12845661.1266 59.8541]]]
___ Max Mini ___
Mini: [['Call-NakedLong-OTM' -4.8738]]
σ Version Tactics Code C1/P-1 権利行使価格 Sell1/Buy-1 プレミアム 残存期間 IV Price エントリ日 qty
1.0 2.0 Mini: [['Call-NakedLong-OTM' -4.8738]] X 1 3,670 -1 38.25 0.13 0.186 3,514.25 2020/10/13 1
* E-mini S&P500
現在日付 2020/10/22
1st price 3,414.50 month= 12
2nd price 3,414.50 month= 12
Daily extected return 8.36
Daily Stdev 40.80
Monthly expected return 46.79
Monthly Stdev 129.06
Monthly change sigma 0.9
Next month's average sigma 0.6
HV 0.16
HV/σ -0.5
Earned premium -4.75
Net Δ -0.2
Net Γ 0.0
Net Λ -290.3
VaR/Balance (V/B) [%] -10.0%
σ Version Tactics Code C1/P-1 権利行使価格 Sell1/Buy-1 プレミアム 残存期間 IV Price エントリ日 qty
1.7 2.0 ShortRatioSprd:Mini: [['Call-NakedLong-OTM' -4.8738]] X 1 3,670 -1 38.25 0.11 0.186 3,514.25 2020/10/13 1
1.6 2.1 ShortRatioSprd: X 1 3,650 1 16.75 0.11 0.193 3,414.50 2020/10/22 2
https:/
U.S. Futures Just Lower; Stimulus Talks and Jobless Claims in Focus
---
https:/
10-year Treasury yield falls for 4th straight day amid fears of a worsening pandemic
* T-note
Date 2020/10/28
Future 1st price 139.000 month = 12
Future 2nd price 138.195 month = 3
Mothly sigma -0.4
Next month's average sigma -0.8
HV 0.0239
HV/σ 0.1
Daily STDEV 0.2
Monthly STDEV 1.6
Premium total: 0.95
Net Δ 0.1
Net Γ 0.6
Net Λ -43.2
VaR/Balance (V/B) [%] -4.3%
___ Expected Utility ___
Player : Strategy : risk_neutral : risk_loving : risk_averse
risk_neutral_max_str: [[['Put-NakedShort-Float' 0.55 52.3573 2.6685]]]
risk_loving_max_str: [[['Put-NakedShort-Float' 0.55 52.3573 2.6685]]]
risk_averse_max_str: [[['Put-NakedShort-Float' 0.55 52.3573 2.6685]]]
___ Max Mini ___
Mini: [['Call-CalendarSpread-ATM' -0.0025]
['Call-CalendarSpread-Float' -0.0025]]
σ Version Tactics Code C1/P-1 権利行使価格 Short1/Buy-1 残存期間 Premium(>0) IV Price Traded date Qty
-0.1 2.0 EXPIRED:Mini: [['Put-CalendarSpread-ATM' -0.0031]] U -1 138.50 1 1.00 0.23 0.028 138.69 2020/7/13 0
-0.1 2.0 EXPIRED:LongButterfly:ShortRatioSprd:Mini: [['Put-CalendarSpread-ATM' -0.0031]] V -1 138.50 -1 1.00 0.43 0.042 139.04 2020/7/13 0
-0.2 2.1 EXPIRED:LongButterfly:ShortRatioSprd: V -1 138.00 1 1.00 0.11 0.034 139.04 2020/8/3 0
-0.3 2.2 EXPIRED:LongButterfly: V -1 137.50 -1 1.00 0.06 0.058 139.56 2020/8/24 0
0.1 2.2 CLOSE:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 4.5485 129.4257 3.3653]]] X 1 139.50 -1 1.00 0.50 0.031 139.58 2020/8/24 0
0.4 2.2 CLOSE2:NakedShort:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 4.5485 129.4257 3.3653]]] X 1 141.00 1 1.00 0.14 0.041 139.59 2020/8/24 0
0.1 2.3 CLOSE: X 1 139.50 1 1.00 0.33 0.033 139.31 2020/9/9 0
0.4 2.4 CLOSE2: X 1 141.00 -1 1.00 0.03 0.039 139.66 2020/9/28 0
0.4 2.5 CLOSE3:risk_neutral_max_str: [[['Call-ShortRatioSpread-ATM' 5.4275 179.9697 3.654]]] Z 1 139.50 -1 0.06 0.53 0.032 139.66 2020/9/28 0
1.4 2.5 NakedShort:risk_neutral_max_str: [[['Call-ShortRatioSpread-ATM' 5.4275 179.9697 3.654]]] Z 1 141.00 1 0.06 0.15 0.044 139.63 2020/9/28 4
0.4 2.6 CLOSE3: Z 1 139.50 1 0.06 0.26 0.044 138.86 2020/10/12 0
-0.2 2.7 risk_neutral_max_str: [[['Put-NakedShort-Float' 0.55 52.3573 2.6685]]] F -1 138.50 1 0.16 0.49 0.039 138.61 2020/10/28 1
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