https:/
Gold Price Forecast – Gold Markets Pullback to 200 Day EMA
Gold markets got rocked during the trading session on Tuesday to reach down towards the 200 day EMA again.
* Gold
現在日付 2021/2/3
1st Price 1839.4 month: 4
2nd Price 1839.4 month: 4
Monthly change sigma -2.0
Next month's average sigma -0.1
HV 0.202
HV/σh 0.2
Daily expected return 3.0
Daily STDEV 22.3
Monthly STDEV 52.8
Premium total: -6.30
Net Δ 0.0
Net Γ 0.0
Net Λ -16
VaR/Balance (V/B) [%] -1.1%
σ Version Tactics Contract C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
-1.2 1.0 VirtSprd:Mini: [['Put-NakedLong-OTM' -0.1594]] J -1 1,760 -1 26.60 0.14 0.189 1846.5 2021/1/12 1
-0.9 1.1 VirtSprd: J -1 1,775 1 20.30 0.14 0.171 1839.4 2021/2/3 1
---
___ GARCH model results review ___
2021年 2月 3日 水曜日 02時20分00秒 JST
VolPerSigma : Volatility : Filename : Products
-0.32 : 0.515 : result3.txt : ./Crude Oil WTI Futures Historical Data (2).csv
-0.44 : 0.029 : result6.txt : ./US 10 Year T-Note Futures Historical Data (3).csv
-0.54 : 0.199 : result1.txt : ./US Corn Futures Historical Data (1).csv
-0.79 : 0.054 : result2.txt : ./EUR_USD Historical Data (1).csv
-0.85 : 0.138 : result5.txt : ./Gold Futures Historical Data (7).csv
0.07 : 0.271 : result4.txt : ./US 500 Futures Historical Data (1).csv
1.70 : 0.242 : result0.txt : ./US Soybeans Futures Historical Data (1).csv
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---
* Euro
現在日付 2021/2/10
1st future price 1.2136 month= 3
2nd future price 1.21605 month= 6
Monthly change sigma -0.1
Next month's average sigma 0.1
HV: 0.060
HV/σ 0.1
Daily expected return 0.0020
Daily STDEV 0.0046
Monthly STDEV 0.0200
Earned premium -0.0040
Net Δ -0.32
Net Γ -16.3
Net Λ 0.2
VaR/Balance (V/B) [%] 0.0%
___ Expected Utility ___
Player : Strategy : risk_neutral : risk_loving : risk_averse
risk_neutral_max_str: [[['Call-ReverseCalendarSpread-ATM' 0.0059 1.1846 1.0433]]]
risk_loving_max_str: [[['Call-ReverseCalendarSpread-ATM' 0.0059 1.1846 1.0433]]]
risk_averse_max_str: [[['Call-ReverseCalendarSpread-ATM' 0.0059 1.1846 1.0433]]]
___ Max Mini ___
Mini: [['Put-NakedLong-OTM' -0.0002]
['Put-LongRatioSpread-OTM' -0.0002]]
σ Version Tactics Code C1/P-1 Strike Sell1/Buy-1 Premium(>0) Time IV price date qty
-0.8 1.0 ['Put-LongRatioSpread-OTM' -0.0002]] J -1 1.190 -1 0.0029 0.16 0.061 1.2162 2021/2/10 4
-0.7 1.0 ['Put-LongRatioSpread-OTM' -0.0002]] J -1 1.195 1 0.0038 0.16 0.059 1.2161 2021/2/10 2
-0.8 1.0 MISS J -1 1.190 1 0.0029 0.16 0.061 1.2161 2021/2/10 -
https:/
UR/USD stays bid around 1.2130 ahead of Powell
EUR/USD keeps the buying interest well and sound near 1.2130.
US inflation figures came in on the soft side in January.
Fed’s Powell will speak on the US labour market later in the session.
---
https:/
EUR/USD climbs to fresh weekly highs above 1.2160
EUR/USD continues to push higher in American session.
US Dollar Index extends daily slide, closes in on 90.00.
Retreating US Treasury bond yields weigh on USD.
* Euro
現在日付 2021/2/23
1st future price 1.2195 month= 6
2nd future price 1.2195 month= 6
Monthly change sigma 0.3
Next month's average sigma 0.1
HV: 0.060
HV/σ 0.1
Daily expected return 0.0020
Daily STDEV 0.0045
Monthly STDEV 0.0200
Earned premium -0.0002
Net Δ 0.08
Net Γ 3.5
Net Λ -0.0
VaR/Balance (V/B) [%] -1.6%
σ Version Tactics Code C1/P-1 Strike Sell1/Buy-1 Premium(>0) Time IV price date qty
-1.2 1.0 VirtSprd: PARTCLOSE:['Put-LongRatioSpread-OTM' -0.0002]] J -1 1.190 -1 0.0029 0.12 0.061 1.2162 2021/2/10 2
-1.0 1.0 VirtSprd: ['Put-LongRatioSpread-OTM' -0.0002]] J -1 1.195 1 0.0038 0.12 0.059 1.2161 2021/2/10 2
-1.2 1.0 MISS J -1 1.190 1 0.0029 0.12 0.061 1.2161 2021/2/10 -
-1.2 1.1 PARTCLOSE: J -1 1.190 1 0.0019 0.12 0.064 1.2195 2021/2/23 -
---
https:/
Gold prices steady as bond yields hold higher, U.S. dollar firms
* Gold
現在日付 2021/2/24
1st Price 1807.2 month: 4
2nd Price 1809.7 month: 6
Monthly change sigma -1.0
Next month's average sigma -0.1
HV 0.156
HV/σh -1.1
Daily expected return 3.0
Daily STDEV 22.1
Monthly STDEV 50.7
Premium total: 14.50
Net Δ -0.4
Net Γ 0.0
Net Λ -315
VaR/Balance (V/B) [%] -14.7%
σ Version Tactics Contract C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
-0.9 1.0 VirtSprd:Mini: [['Put-NakedLong-OTM' -0.1594]] J -1 1,760 -1 26.60 0.08 0.189 1846.5 2021/1/12 1
-0.6 1.1 VirtSprd: J -1 1,775 1 20.30 0.08 0.171 1839.4 2021/2/3 1
1.5 1.2 NakedShort-OTM J 1 1,880 1 10.40 0.08 0.171 1807.2 2021/2/24 2
---
___ GARCH model results review ___
2021年 2月24日 水曜日 04時09分09秒 JST
VolPerSigma : Volatility : Filename : Products
-0.29 : 0.634 : result2.txt : ./Crude Oil WTI Futures Historical Data.csv
-0.47 : 0.062 : result1.txt : ./EUR_USD Historical Data (2).csv
-0.58 : 0.025 : result6.txt : ./US 10 Year T-Note Futures Historical Data.csv
-0.60 : 0.161 : result0.txt : ./Gold Futures Historical Data (2).csv
-0.71 : 0.119 : result5.txt : ./US 500 Futures Historical Data.csv
0.05 : 0.165 : result3.txt : ./US Soybeans Futures Historical Data.csv
0.73 : 0.248 : result4.txt : ./US Corn Futures Historical Data.csv
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---
Gold Price Forecast – Gold Markets Pullback to 200 Day EMA
Gold markets got rocked during the trading session on Tuesday to reach down towards the 200 day EMA again.
* Gold
現在日付 2021/2/3
1st Price 1839.4 month: 4
2nd Price 1839.4 month: 4
Monthly change sigma -2.0
Next month's average sigma -0.1
HV 0.202
HV/σh 0.2
Daily expected return 3.0
Daily STDEV 22.3
Monthly STDEV 52.8
Premium total: -6.30
Net Δ 0.0
Net Γ 0.0
Net Λ -16
VaR/Balance (V/B) [%] -1.1%
σ Version Tactics Contract C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
-1.2 1.0 VirtSprd:Mini: [['Put-NakedLong-OTM' -0.1594]] J -1 1,760 -1 26.60 0.14 0.189 1846.5 2021/1/12 1
-0.9 1.1 VirtSprd: J -1 1,775 1 20.30 0.14 0.171 1839.4 2021/2/3 1
---
___ GARCH model results review ___
2021年 2月 3日 水曜日 02時20分00秒 JST
VolPerSigma : Volatility : Filename : Products
-0.32 : 0.515 : result3.txt : ./Crude Oil WTI Futures Historical Data (2).csv
-0.44 : 0.029 : result6.txt : ./US 10 Year T-Note Futures Historical Data (3).csv
-0.54 : 0.199 : result1.txt : ./US Corn Futures Historical Data (1).csv
-0.79 : 0.054 : result2.txt : ./EUR_USD Historical Data (1).csv
-0.85 : 0.138 : result5.txt : ./Gold Futures Historical Data (7).csv
0.07 : 0.271 : result4.txt : ./US 500 Futures Historical Data (1).csv
1.70 : 0.242 : result0.txt : ./US Soybeans Futures Historical Data (1).csv
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---
* Euro
現在日付 2021/2/10
1st future price 1.2136 month= 3
2nd future price 1.21605 month= 6
Monthly change sigma -0.1
Next month's average sigma 0.1
HV: 0.060
HV/σ 0.1
Daily expected return 0.0020
Daily STDEV 0.0046
Monthly STDEV 0.0200
Earned premium -0.0040
Net Δ -0.32
Net Γ -16.3
Net Λ 0.2
VaR/Balance (V/B) [%] 0.0%
___ Expected Utility ___
Player : Strategy : risk_neutral : risk_loving : risk_averse
risk_neutral_max_str: [[['Call-ReverseCalendarSpread-ATM' 0.0059 1.1846 1.0433]]]
risk_loving_max_str: [[['Call-ReverseCalendarSpread-ATM' 0.0059 1.1846 1.0433]]]
risk_averse_max_str: [[['Call-ReverseCalendarSpread-ATM' 0.0059 1.1846 1.0433]]]
___ Max Mini ___
Mini: [['Put-NakedLong-OTM' -0.0002]
['Put-LongRatioSpread-OTM' -0.0002]]
σ Version Tactics Code C1/P-1 Strike Sell1/Buy-1 Premium(>0) Time IV price date qty
-0.8 1.0 ['Put-LongRatioSpread-OTM' -0.0002]] J -1 1.190 -1 0.0029 0.16 0.061 1.2162 2021/2/10 4
-0.7 1.0 ['Put-LongRatioSpread-OTM' -0.0002]] J -1 1.195 1 0.0038 0.16 0.059 1.2161 2021/2/10 2
-0.8 1.0 MISS J -1 1.190 1 0.0029 0.16 0.061 1.2161 2021/2/10 -
https:/
UR/USD stays bid around 1.2130 ahead of Powell
EUR/USD keeps the buying interest well and sound near 1.2130.
US inflation figures came in on the soft side in January.
Fed’s Powell will speak on the US labour market later in the session.
---
https:/
EUR/USD climbs to fresh weekly highs above 1.2160
EUR/USD continues to push higher in American session.
US Dollar Index extends daily slide, closes in on 90.00.
Retreating US Treasury bond yields weigh on USD.
* Euro
現在日付 2021/2/23
1st future price 1.2195 month= 6
2nd future price 1.2195 month= 6
Monthly change sigma 0.3
Next month's average sigma 0.1
HV: 0.060
HV/σ 0.1
Daily expected return 0.0020
Daily STDEV 0.0045
Monthly STDEV 0.0200
Earned premium -0.0002
Net Δ 0.08
Net Γ 3.5
Net Λ -0.0
VaR/Balance (V/B) [%] -1.6%
σ Version Tactics Code C1/P-1 Strike Sell1/Buy-1 Premium(>0) Time IV price date qty
-1.2 1.0 VirtSprd: PARTCLOSE:['Put-LongRatioSpread-OTM' -0.0002]] J -1 1.190 -1 0.0029 0.12 0.061 1.2162 2021/2/10 2
-1.0 1.0 VirtSprd: ['Put-LongRatioSpread-OTM' -0.0002]] J -1 1.195 1 0.0038 0.12 0.059 1.2161 2021/2/10 2
-1.2 1.0 MISS J -1 1.190 1 0.0029 0.12 0.061 1.2161 2021/2/10 -
-1.2 1.1 PARTCLOSE: J -1 1.190 1 0.0019 0.12 0.064 1.2195 2021/2/23 -
---
https:/
Gold prices steady as bond yields hold higher, U.S. dollar firms
* Gold
現在日付 2021/2/24
1st Price 1807.2 month: 4
2nd Price 1809.7 month: 6
Monthly change sigma -1.0
Next month's average sigma -0.1
HV 0.156
HV/σh -1.1
Daily expected return 3.0
Daily STDEV 22.1
Monthly STDEV 50.7
Premium total: 14.50
Net Δ -0.4
Net Γ 0.0
Net Λ -315
VaR/Balance (V/B) [%] -14.7%
σ Version Tactics Contract C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
-0.9 1.0 VirtSprd:Mini: [['Put-NakedLong-OTM' -0.1594]] J -1 1,760 -1 26.60 0.08 0.189 1846.5 2021/1/12 1
-0.6 1.1 VirtSprd: J -1 1,775 1 20.30 0.08 0.171 1839.4 2021/2/3 1
1.5 1.2 NakedShort-OTM J 1 1,880 1 10.40 0.08 0.171 1807.2 2021/2/24 2
---
___ GARCH model results review ___
2021年 2月24日 水曜日 04時09分09秒 JST
VolPerSigma : Volatility : Filename : Products
-0.29 : 0.634 : result2.txt : ./Crude Oil WTI Futures Historical Data.csv
-0.47 : 0.062 : result1.txt : ./EUR_USD Historical Data (2).csv
-0.58 : 0.025 : result6.txt : ./US 10 Year T-Note Futures Historical Data.csv
-0.60 : 0.161 : result0.txt : ./Gold Futures Historical Data (2).csv
-0.71 : 0.119 : result5.txt : ./US 500 Futures Historical Data.csv
0.05 : 0.165 : result3.txt : ./US Soybeans Futures Historical Data.csv
0.73 : 0.248 : result4.txt : ./US Corn Futures Historical Data.csv
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