オプション取引ログコミュのJan. 2021

___ GARCH model results review ___
2021年 1月 5日 火曜日 22時58分31秒 JST
VolPerSigma : Volatility : Filename : Products
-0.32 : 0.062 : result4.txt : ./EUR_USD Historical Data.csv
-0.34 : 0.379 : result1.txt : ./Crude Oil WTI Futures Historical Data.csv
-0.53 : 0.140 : result6.txt : ./US 500 Futures Historical Data.csv
-0.53 : 0.191 : result3.txt : ./US Corn Futures Historical Data.csv
-0.70 : 0.023 : result5.txt : ./US 10 Year T-Note Futures Historical Data (2).csv
-0.79 : 0.147 : result0.txt : ./Gold Futures Historical Data.csv
2.69 : 0.236 : result2.txt : ./US Soybeans Futures Historical Data.csv


https://www.marketwatch.com/story/gold-prices-wobble-as-dollar-rises-but-retreat-in-bitcoin-stocks-limits-slide-11610372856
Gold prices log gain to start week, even as dollar stages mini rebound

* Gold
現在日付 2021/1/12
1st Price 1846.5 month: 4
2nd Price 1846.5 month: 4
Monthly change sigma 0.3
Next month's average sigma -0.1
HV 0.211
HV/σh 0.6
Daily expected return 3.3
Daily STDEV 22.6
Monthly STDEV 51.2
Premium total: -26.60
Net Δ -0.3
Net Γ -0.0
Net Λ 272
VaR/Balance (V/B) [%] 0.4%

___ Expected Utility ___
Player : Strategy : risk_neutral : risk_loving : risk_averse
risk_neutral_max_str:  [[['Call-ShortRatioSpread-ATM' 226.322 720481.9003 28.9942]]]
risk_loving_max_str:  [[['Call-ShortRatioSpread-ATM' 226.322 720481.9003 28.9942]]]
risk_averse_max_str:  [[['Call-ShortRatioSpread-ATM' 226.322 720481.9003 28.9942]]]
___ Max Mini ___
Mini:  [['Put-NakedLong-OTM' -0.1594]]

σ Version Tactics Contract C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty

-1.1 1.0 Mini:  [['Put-NakedLong-OTM' -0.1594]] J -1 1,760 -1 26.60 0.20 0.189 1846.5 2021/1/12 1

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