___ GARCH model results review ___
2021年 5月 3日 月曜日 23時02分57秒 JST
VolPerSigma : Volatility : Filename : Products
-0.29 : 0.384 : result3.txt : ./Crude Oil WTI Futures Historical Data (2).csv
-0.73 : 0.135 : result1.txt : ./Gold Futures Historical Data (8).csv
-0.82 : 0.128 : result0.txt : ./US 500 Futures Historical Data (10).csv
-0.83 : 0.024 : result4.txt : ./US 10 Year T-Note Futures Historical Data (2).csv
-1.70 : 0.058 : result6.txt : ./EUR_USD Historical Data (6).csv
1.16 : 0.232 : result5.txt : ./US Soybeans Futures Historical Data (2).csv
6.26 : 0.611 : result2.txt : ./US Corn Futures Historical Data (2).csv
---
https:/
EUR/USD surrenders further gains, back near 1.2150
EUR/USD faltered once again around 1.2180.
German, EMU Economic Sentiment surprised to the upside.
Investors’ attention now shifts to US CPI coming in on Wednesday.
* Euro
現在日付 2021/5/11
1st future price 1.2176 month= 6
2nd future price 1.22005 month= 9
Monthly change sigma 1.3
Next month's average sigma 0.6
HV: 0.061
HV/σ 0.0
Daily expected return 0.0013
Daily STDEV 0.0046
Monthly STDEV 0.0209
Earned premium -0.0016
Net Δ -0.16
Net Γ -11.3
Net Λ 0.2
VaR/Balance (V/B) [%] -0.1%
___ Expected Utility ___
Player : Strategy : risk_neutral : risk_loving : risk_averse
risk_neutral_max_str: [[['Call-NakedShort-OTM' 0.0051 1.1824 1.0427]]]
risk_loving_max_str: [[['Call-NakedShort-OTM' 0.0051 1.1824 1.0427]]]
risk_averse_max_str: [[['Call-NakedShort-OTM' 0.0051 1.1824 1.0427]]]
___ Max Mini ___
Mini: [['Put-LongRatioSpread-OTM' -0.0002]]
σ Version Tactics Code C1/P-1 Strike Sell1/Buy-1 Premium(>0) Time IV price date qty
-0.6 2.0 Mini: [['Put-LongRatioSpread-OTM' -0.0002]] N -1 1.200 1 0.0046 0.16 0.062 1.2201 2021/5/11 2
-0.9 2.0 Mini: [['Put-LongRatioSpread-OTM' -0.0002]] N -1 1.190 -1 0.0027 0.16 0.064 1.2201 2021/5/11 4
---
https:/
PRECIOUS-Gold hits over 3-month high on lower U.S. bond yields
May 17 (Reuters) - Gold prices hit a 3-1/2 month high on Monday as a dip in U.S. Treasury yields and persistent inflation worries in the bullion market burnished its appeal.
* Gold
現在日付 2021/5/17
1st Price 1855.4 month: 8
2nd Price 1855.4 month: 8
Monthly change sigma 1.5
Next month's average sigma 0.3
HV 0.105
HV/σh -2.0
Daily expected return 2.3
Daily STDEV 18.1
Monthly STDEV 56.8
Premium total: 2.00
Net Δ 0.0
Net Γ 0.0
Net Λ -137
VaR/Balance (V/B) [%] -3.1%
σ Version Tactics Contract C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
-1.5 2.0 LongButterfly:ShortRatioSprd:Mini: [['Call-NakedLong-OTM' -1.2769]] M 1 1,810 -1 11.80 0.02 0.143 1740.0 2021/4/7 1
-0.2 2.1 LongButterfly:ShortRatioSprd: M 1 1,850 1 3.60 0.02 0.136 1768.0 2021/4/28 2
-2.6 2.1 NakedShort N -1 1,690 1 10.30 0.10 0.139 1771.2 2021/4/28 1
1.2 2.2 LongButterfly: M 1 1,890 -1 3.70 0.02 0.136 1855.4 2021/5/17 1
---
https:/
Dow Futures Up 180 Pts; Biden to Unveil Budget
Investing.com - U.S. stocks are seen opening higher Friday, amid growing optimism over the economic recovery with President Biden set to unveil a fiscally-expansive budget.
* E-mini S&P500
現在日付 2021/5/28
1st price 4,204.00 month= 9
2nd price 4,204.00 month= 9
Daily extected return 9.15
Daily Stdev 35.16
Monthly expected return 60.34
Monthly Stdev 140.75
Monthly change sigma 0.2
Next month's average sigma 0.5
HV 0.14
HV/σ -0.2
Earned premium 30.50
Net Δ -
Net Γ -
Net Λ -
VaR/Balance (V/B) [%] #VALUE!
σ Version Tactics Code C1/P-1 権利行使価格 Sell1/Buy-1 プレミアム(>0) 残存期間 IV Price エントリ日 qty Initial qty
1.4 MISS:CLOSE2: U 1 4,190 -1 9.50 0.00 4199.50 2021/5/28 0 1
1.5 CLOSE4: M 1 4,204 -1 104.00 0.00 4,204 2021/5/28 1
-0.2 1.0 CLOSE:Mini: [['Call-NakedLong-OTM' -3.0723]] J 1 4,090 -1 30.00 1.00 0.157 3,886.25 2021/3/2 0 1
-0.2 1.1 CLOSE: J 1 4,090 1 16.50 1.00 0.129 3,963.25 2021/3/31 0 1
-0.5 1.1 CLOSE3:LongButterfly:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 1150.3854 5474832.2803 48.3643]]] K 1 3,960 -1 101.75 1.00 0.155 3,967.75 2021/3/31 0 1
-0.2 1.1 CLOSE2:LongButterfly:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 1150.3854 5474832.2803 48.3643]]] K 1 4,100 1 34.50 1.00 0.133 3,965.00 2021/3/31 0 2
0.1 1.2 EXPIRE:LongButterfly: K 1 4,240 -1 28.75 1.00 0.126 4,116.25 2021/4/12 0 1
-0.5 1.3 EXPIRE:NakedShort K -1 3,980 1 39.50 1.00 0.177 4,138.75 2021/4/14 0 2
-0.2 1.4 CLOSE3: K 1 4,100 1 140.00 1.00 - 4199.50 2021/5/28 0 1
---
2021年 5月 3日 月曜日 23時02分57秒 JST
VolPerSigma : Volatility : Filename : Products
-0.29 : 0.384 : result3.txt : ./Crude Oil WTI Futures Historical Data (2).csv
-0.73 : 0.135 : result1.txt : ./Gold Futures Historical Data (8).csv
-0.82 : 0.128 : result0.txt : ./US 500 Futures Historical Data (10).csv
-0.83 : 0.024 : result4.txt : ./US 10 Year T-Note Futures Historical Data (2).csv
-1.70 : 0.058 : result6.txt : ./EUR_USD Historical Data (6).csv
1.16 : 0.232 : result5.txt : ./US Soybeans Futures Historical Data (2).csv
6.26 : 0.611 : result2.txt : ./US Corn Futures Historical Data (2).csv
---
https:/
EUR/USD surrenders further gains, back near 1.2150
EUR/USD faltered once again around 1.2180.
German, EMU Economic Sentiment surprised to the upside.
Investors’ attention now shifts to US CPI coming in on Wednesday.
* Euro
現在日付 2021/5/11
1st future price 1.2176 month= 6
2nd future price 1.22005 month= 9
Monthly change sigma 1.3
Next month's average sigma 0.6
HV: 0.061
HV/σ 0.0
Daily expected return 0.0013
Daily STDEV 0.0046
Monthly STDEV 0.0209
Earned premium -0.0016
Net Δ -0.16
Net Γ -11.3
Net Λ 0.2
VaR/Balance (V/B) [%] -0.1%
___ Expected Utility ___
Player : Strategy : risk_neutral : risk_loving : risk_averse
risk_neutral_max_str: [[['Call-NakedShort-OTM' 0.0051 1.1824 1.0427]]]
risk_loving_max_str: [[['Call-NakedShort-OTM' 0.0051 1.1824 1.0427]]]
risk_averse_max_str: [[['Call-NakedShort-OTM' 0.0051 1.1824 1.0427]]]
___ Max Mini ___
Mini: [['Put-LongRatioSpread-OTM' -0.0002]]
σ Version Tactics Code C1/P-1 Strike Sell1/Buy-1 Premium(>0) Time IV price date qty
-0.6 2.0 Mini: [['Put-LongRatioSpread-OTM' -0.0002]] N -1 1.200 1 0.0046 0.16 0.062 1.2201 2021/5/11 2
-0.9 2.0 Mini: [['Put-LongRatioSpread-OTM' -0.0002]] N -1 1.190 -1 0.0027 0.16 0.064 1.2201 2021/5/11 4
---
https:/
PRECIOUS-Gold hits over 3-month high on lower U.S. bond yields
May 17 (Reuters) - Gold prices hit a 3-1/2 month high on Monday as a dip in U.S. Treasury yields and persistent inflation worries in the bullion market burnished its appeal.
* Gold
現在日付 2021/5/17
1st Price 1855.4 month: 8
2nd Price 1855.4 month: 8
Monthly change sigma 1.5
Next month's average sigma 0.3
HV 0.105
HV/σh -2.0
Daily expected return 2.3
Daily STDEV 18.1
Monthly STDEV 56.8
Premium total: 2.00
Net Δ 0.0
Net Γ 0.0
Net Λ -137
VaR/Balance (V/B) [%] -3.1%
σ Version Tactics Contract C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
-1.5 2.0 LongButterfly:ShortRatioSprd:Mini: [['Call-NakedLong-OTM' -1.2769]] M 1 1,810 -1 11.80 0.02 0.143 1740.0 2021/4/7 1
-0.2 2.1 LongButterfly:ShortRatioSprd: M 1 1,850 1 3.60 0.02 0.136 1768.0 2021/4/28 2
-2.6 2.1 NakedShort N -1 1,690 1 10.30 0.10 0.139 1771.2 2021/4/28 1
1.2 2.2 LongButterfly: M 1 1,890 -1 3.70 0.02 0.136 1855.4 2021/5/17 1
---
https:/
Dow Futures Up 180 Pts; Biden to Unveil Budget
Investing.com - U.S. stocks are seen opening higher Friday, amid growing optimism over the economic recovery with President Biden set to unveil a fiscally-expansive budget.
* E-mini S&P500
現在日付 2021/5/28
1st price 4,204.00 month= 9
2nd price 4,204.00 month= 9
Daily extected return 9.15
Daily Stdev 35.16
Monthly expected return 60.34
Monthly Stdev 140.75
Monthly change sigma 0.2
Next month's average sigma 0.5
HV 0.14
HV/σ -0.2
Earned premium 30.50
Net Δ -
Net Γ -
Net Λ -
VaR/Balance (V/B) [%] #VALUE!
σ Version Tactics Code C1/P-1 権利行使価格 Sell1/Buy-1 プレミアム(>0) 残存期間 IV Price エントリ日 qty Initial qty
1.4 MISS:CLOSE2: U 1 4,190 -1 9.50 0.00 4199.50 2021/5/28 0 1
1.5 CLOSE4: M 1 4,204 -1 104.00 0.00 4,204 2021/5/28 1
-0.2 1.0 CLOSE:Mini: [['Call-NakedLong-OTM' -3.0723]] J 1 4,090 -1 30.00 1.00 0.157 3,886.25 2021/3/2 0 1
-0.2 1.1 CLOSE: J 1 4,090 1 16.50 1.00 0.129 3,963.25 2021/3/31 0 1
-0.5 1.1 CLOSE3:LongButterfly:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 1150.3854 5474832.2803 48.3643]]] K 1 3,960 -1 101.75 1.00 0.155 3,967.75 2021/3/31 0 1
-0.2 1.1 CLOSE2:LongButterfly:risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 1150.3854 5474832.2803 48.3643]]] K 1 4,100 1 34.50 1.00 0.133 3,965.00 2021/3/31 0 2
0.1 1.2 EXPIRE:LongButterfly: K 1 4,240 -1 28.75 1.00 0.126 4,116.25 2021/4/12 0 1
-0.5 1.3 EXPIRE:NakedShort K -1 3,980 1 39.50 1.00 0.177 4,138.75 2021/4/14 0 2
-0.2 1.4 CLOSE3: K 1 4,100 1 140.00 1.00 - 4199.50 2021/5/28 0 1
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