https:/
EUR/USD Weekly Forecast: Delta and Fed-driven dollar strength set to sink the pair
EUR/USD has succumbed to Fed-led dollar strength.
The Fed's meeting minutes, eurozone business surveys stand out.
Early July's daily chart is showing bulls are in the lead.
The FX Poll is pointing to a fall under 1.18 before a robust recovery.
* Euro
現在日付 2021/7/3
1st future price 1.1861 month= 9
2nd future price 1.1861 month= 9
Monthly change sigma -1.2
Next month's average sigma 0.1
HV: 0.056
HV/σ -0.8
Daily expected return 0.0012
Daily STDEV 0.0047
Monthly STDEV 0.0211
Earned premium 0.0096
Net Δ 1.87
Net Γ -6.7
Net Λ -0.8
VaR/Balance (V/B) [%] -34.5%
σ Version Tactics Code C1/P-1 Strike Sell1/Buy-1 Premium(>0) Time IV price date qty
1.5 2.0 VirtSprd:Mini: [['Put-LongRatioSpread-OTM' -0.0002]] N -1 1.200 1 0.0046 0.02 0.062 1.2201 2021/5/11 2
0.4 2.0 VirtSprd:CLOSE:Mini: [['Put-LongRatioSpread-OTM' -0.0002]] N -1 1.190 -1 0.0027 0.02 0.064 1.2201 2021/5/11 2
0.4 2.1 CLOSE: N -1 1.190 1 0.0007 0.02 0.059 1.2204 2021/6/7 -
1.5 2.1 risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 0.0866 1.4005 1.0878]]] Q 1 1.220 -1 0.0109 0.09 0.054 1.2202 2021/6/7 2
2.4 2.1 risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 0.0866 1.4005 1.0878]]] Q 1 1.240 1 0.0039 0.09 0.056 1.2201 2021/6/7 4
-1.0 3.0 NakedShort U -1 1.155 1 0.0020 0.17 0.059 1.1861 2021/7/3 8
--
https:/
EURUSD Price: Further Increase of Buyers’ Pressure May Send Price to $1.19 Level
EURUSD Price Analysis – July 12
Should the resistance level of $1.18 is broken upside, the price may likely test the resistance level of $1.19 which may extend to $1.20 level. Inability to break up the resistance level at $1.18 may result to a bearish movement towards the $1.17, $1.16 and $1.15 levels.
* Euro
現在日付 2021/7/12
1st future price 1.18685 month= 9
2nd future price 1.18685 month= 9
Monthly change sigma -1.2
Next month's average sigma 0.1
HV: 0.058
HV/σ -0.4
Daily expected return 0.0012
Daily STDEV 0.0046
Monthly STDEV 0.0211
Earned premium -0.0009
Net Δ 0.12
Net Γ 88.9
Net Λ -1.0
VaR/Balance (V/B) [%] -15.6%
σ Version Tactics Code C1/P-1 Strike Sell1/Buy-1 Premium(>0) Time IV price date qty
3.1 CLOSE2 N 1.190 -1 0.0100
0.2 2.0 CLOSE2:VirtSprd:Mini: [['Put-LongRatioSpread-OTM' -0.0002]] N -1 1.200 1 0.0046 1.00 0.062 1.2201 2021/5/11 -
0.0 2.0 CLOSE2:VirtSprd:CLOSE:Mini: [['Put-LongRatioSpread-OTM' -0.0002]] N -1 1.190 -1 0.0027 1.00 0.064 1.2201 2021/5/11 -
0.0 2.1 CLOSE: N -1 1.190 1 0.0007 1.00 0.059 1.2204 2021/6/7 -
1.7 2.1 risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 0.0866 1.4005 1.0878]]] Q 1 1.220 -1 0.0109 0.07 0.054 1.2202 2021/6/7 2
2.8 2.1 risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 0.0866 1.4005 1.0878]]] Q 1 1.240 1 0.0039 0.07 0.056 1.2201 2021/6/7 4
-1.1 3.0 ShortStrangle:NakedShortPut U -1 1.155 1 0.0020 0.15 0.059 1.1861 2021/7/3 8
1.0 3.1 ShortStrangle: U 1 1.215 1 0.0019 0.15 0.057 1.1869 2021/7/12 5
---
https:/
Oil Falls As Saudi Arabia And UAE Compromise On Deal
* Oil
現在日付 2021/7/14
1st Price 74.12 Sep
2nd Price 73.21 Oct
Mothly change/σ 0.5
Next month's average change/σ -0.1
Daily STDEV 1.34
Monthly STDEV 6.25
Monthly expected return 1.44
HV 0.252
HV/σ -0.66
total premium: 4.3
Net Δ 0.4
Net Γ 0.1
Net Λ -27.6
VaR/Balance (V/B) [%] -28.9%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
0.5 1.0 VirtSprd:Mini: [['Call-LongRatioSpread-OTM' -0.0221]] Sep 1 77.50 1 1.10 0.09 0.285 70.60 2021/6/14 1
1.0 1.0 VirtSprd:PARTCLOSE:Mini: [['Call-LongRatioSpread-OTM' -0.0221]] Sep 1 81.00 -1 0.62 0.09 0.294 70.60 2021/6/14 1
1.0 1.1 PARTCLOSE: Sep 1 81.00 1 0.61 0.09 0.30 74.12 2021/7/14 0
-1.1 1.1 NakedShortPut Oct -1 64.50 1 1.29 0.18 0.38 73.21 2021/7/14 3
---
___ GARCH model results review ___
2021年 7月14日 水曜日 23時24分55秒 JST
VolPerSigma : Volatility : Filename : Products
-0.48 : 0.291 : result2.txt : ./Crude Oil WTI Futures Historical Data (6).csv
-0.52 : 0.141 : result0.txt : ./Gold Futures Historical Data (4).csv
-0.86 : 0.102 : result3.txt : ./US 500 Futures Historical Data (4).csv
-1.27 : 0.059 : result1.txt : ./EUR_USD Historical Data (12).csv
0.65 : 0.042 : result5.txt : ./US 10 Year T-Note Futures Historical Data (2).csv
2.25 : 1.158 : result4.txt : ./US Corn Futures Historical Data (2).csv
2.39 : 0.431 : result6.txt : ./US Soybeans Futures Historical Data (2).csv
---
https:/
Crude Oil Lower; Rising Covid Cases Weigh on Sentiment
* Oil
現在日付 2021/7/21
1st Price 66.87 Sep
2nd Price 66.32 Oct
Mothly change/σ -1.1
Next month's average change/σ -0.1
Daily STDEV 1.45
Monthly STDEV 6.34
Monthly expected return 1.30
HV 0.376
HV/σ 0.44
total premium: -7.0
Net Δ -0.9
Net Γ -0.0
Net Λ 3.6
VaR/Balance (V/B) [%] -11.2%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
1.8 1.0 CLOSE:VirtSprd:Mini: [['Call-LongRatioSpread-OTM' -0.0221]] Sep 1 77.50 1 1.10 0.07 0.285 70.60 2021/6/14 0
2.3 1.0 VirtSprd:PARTCLOSE:Mini: [['Call-LongRatioSpread-OTM' -0.0221]] Sep 1 81.00 -1 0.62 0.07 0.294 70.60 2021/6/14 1
2.3 1.1 PARTCLOSE: Sep 1 81.00 1 0.61 0.07 0.30 74.12 2021/7/14 0
-0.3 1.1 LongRtioSprd:PARTCLOSE2:NakedShortPut Oct -1 64.50 1 1.29 0.16 0.38 73.21 2021/7/14 2
-0.3 1.2 PARTCLOSE2: Oct -1 64.50 -1 3.14 0.16 0.39 66.32 2021/7/21 0
-0.5 1.2 LongRtioSprd: Oct -1 62.50 -1 2.43 0.16 0.40 66.32 2021/7/21 4
1.8 1.2 CLOSE Sep 1 77.50 1 0.16 0.07 0.34 66.87 2021/7/21 0
1.0 1.2 NakedShortCall Oct 1 76.00 1 0.69 0.16 0.33 66.32 2021/7/21 2
---
___ GARCH model results review ___
2021年 7月21日 水曜日 01時50分55秒 JST
VolPerSigma : Volatility : Filename : Products
-0.15 : 0.059 : result0.txt : ./EUR_USD Historical Data (13).csv
-0.18 : 0.157 : result1.txt : ./Gold Futures Historical Data (5).csv
0.19 : 0.157 : result2.txt : ./US 500 Futures Historical Data (5).csv
1.84 : 0.381 : result5.txt : ./US Soybeans Futures Historical Data (3).csv
1.86 : 0.047 : result6.txt : ./US 10 Year T-Note Futures Historical Data (3).csv
3.06 : 1.586 : result3.txt : ./US Corn Futures Historical Data (3).csv
3.41 : 0.586 : result4.txt : ./Crude Oil WTI Futures Historical Data (9).csv
|
Crude Oil Edges Higher; Mixed Covid News
https:/
* Oil
現在日付 2021/7/27
1st Price 71.88 Sep
2nd Price 71.35 Oct
Mothly change/σ -0.2
Next month's average change/σ -0.1
Daily STDEV 1.45
Monthly STDEV 6.26
Monthly expected return 1.40
HV 0.416
HV/σ 0.93
total premium: -3.6
Net Δ 0.3
Net Γ 0.1
Net Λ -23.1
VaR/Balance (V/B) [%] -19.0%
___ Expected Utility ___
Player : Strategy : risk_neutral : risk_loving : risk_averse
risk_neutral_max_str: [[['Put-NakedShort-OTM' 1.7821 708.3532 5.0881]]]
risk_loving_max_str: [[['Put-NakedShort-OTM' 1.7821 708.3532 5.0881]]]
risk_averse_max_str: [[['Put-NakedShort-OTM' 1.7821 708.3532 5.0881]]]
___ Max Mini ___
Mini: [['Call-LongRatioSpread-OTM' -0.0393]]
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
1.1 1.0 CLOSE:VirtSprd:Mini: [['Call-LongRatioSpread-OTM' -0.0221]] Sep 1 77.50 1 1.10 0.06 0.285 70.60 2021/6/14 0
1.7 1.0 VirtSprd:PARTCLOSE:Mini: [['Call-LongRatioSpread-OTM' -0.0221]] Sep 1 81.00 -1 0.62 0.06 0.294 70.60 2021/6/14 1
1.7 1.1 PARTCLOSE: Sep 1 81.00 1 0.61 0.06 0.30 74.12 2021/7/14 0
-0.9 1.1 LongRtioSprd:PARTCLOSE2:NakedShortPut Oct -1 64.50 1 1.29 0.14 0.38 73.21 2021/7/14 2
-0.9 1.2 PARTCLOSE2: Oct -1 64.50 -1 3.14 0.14 0.39 66.32 2021/7/21 0
-1.1 1.2 LongRtioSprd: Oct -1 62.50 -1 2.43 0.14 0.40 66.32 2021/7/21 4
1.1 1.2 CLOSE Sep 1 77.50 1 0.16 0.06 0.34 66.87 2021/7/21 0
0.5 1.2 VirtSprd: NakedShortCall Oct 1 76.00 1 0.69 0.14 0.33 66.32 2021/7/21 2
-1.0 1.3 risk_averse_max_str: [[['Put-NakedShort-OTM' 1.7821 708.3532 5.0881]]] Sep -1 64.00 1 1.16 0.14 0.37 71.35 2021/7/27 4
0.9 1.3 VirtSprd: Oct 1 79.50 -1 0.65 0.14 0.28 71.35 2021/7/27 2
---
EUR/USD Weekly Forecast: Delta and Fed-driven dollar strength set to sink the pair
EUR/USD has succumbed to Fed-led dollar strength.
The Fed's meeting minutes, eurozone business surveys stand out.
Early July's daily chart is showing bulls are in the lead.
The FX Poll is pointing to a fall under 1.18 before a robust recovery.
* Euro
現在日付 2021/7/3
1st future price 1.1861 month= 9
2nd future price 1.1861 month= 9
Monthly change sigma -1.2
Next month's average sigma 0.1
HV: 0.056
HV/σ -0.8
Daily expected return 0.0012
Daily STDEV 0.0047
Monthly STDEV 0.0211
Earned premium 0.0096
Net Δ 1.87
Net Γ -6.7
Net Λ -0.8
VaR/Balance (V/B) [%] -34.5%
σ Version Tactics Code C1/P-1 Strike Sell1/Buy-1 Premium(>0) Time IV price date qty
1.5 2.0 VirtSprd:Mini: [['Put-LongRatioSpread-OTM' -0.0002]] N -1 1.200 1 0.0046 0.02 0.062 1.2201 2021/5/11 2
0.4 2.0 VirtSprd:CLOSE:Mini: [['Put-LongRatioSpread-OTM' -0.0002]] N -1 1.190 -1 0.0027 0.02 0.064 1.2201 2021/5/11 2
0.4 2.1 CLOSE: N -1 1.190 1 0.0007 0.02 0.059 1.2204 2021/6/7 -
1.5 2.1 risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 0.0866 1.4005 1.0878]]] Q 1 1.220 -1 0.0109 0.09 0.054 1.2202 2021/6/7 2
2.4 2.1 risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 0.0866 1.4005 1.0878]]] Q 1 1.240 1 0.0039 0.09 0.056 1.2201 2021/6/7 4
-1.0 3.0 NakedShort U -1 1.155 1 0.0020 0.17 0.059 1.1861 2021/7/3 8
--
https:/
EURUSD Price: Further Increase of Buyers’ Pressure May Send Price to $1.19 Level
EURUSD Price Analysis – July 12
Should the resistance level of $1.18 is broken upside, the price may likely test the resistance level of $1.19 which may extend to $1.20 level. Inability to break up the resistance level at $1.18 may result to a bearish movement towards the $1.17, $1.16 and $1.15 levels.
* Euro
現在日付 2021/7/12
1st future price 1.18685 month= 9
2nd future price 1.18685 month= 9
Monthly change sigma -1.2
Next month's average sigma 0.1
HV: 0.058
HV/σ -0.4
Daily expected return 0.0012
Daily STDEV 0.0046
Monthly STDEV 0.0211
Earned premium -0.0009
Net Δ 0.12
Net Γ 88.9
Net Λ -1.0
VaR/Balance (V/B) [%] -15.6%
σ Version Tactics Code C1/P-1 Strike Sell1/Buy-1 Premium(>0) Time IV price date qty
3.1 CLOSE2 N 1.190 -1 0.0100
0.2 2.0 CLOSE2:VirtSprd:Mini: [['Put-LongRatioSpread-OTM' -0.0002]] N -1 1.200 1 0.0046 1.00 0.062 1.2201 2021/5/11 -
0.0 2.0 CLOSE2:VirtSprd:CLOSE:Mini: [['Put-LongRatioSpread-OTM' -0.0002]] N -1 1.190 -1 0.0027 1.00 0.064 1.2201 2021/5/11 -
0.0 2.1 CLOSE: N -1 1.190 1 0.0007 1.00 0.059 1.2204 2021/6/7 -
1.7 2.1 risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 0.0866 1.4005 1.0878]]] Q 1 1.220 -1 0.0109 0.07 0.054 1.2202 2021/6/7 2
2.8 2.1 risk_loving_max_str: [[['Call-ShortRatioSpread-ATM' 0.0866 1.4005 1.0878]]] Q 1 1.240 1 0.0039 0.07 0.056 1.2201 2021/6/7 4
-1.1 3.0 ShortStrangle:NakedShortPut U -1 1.155 1 0.0020 0.15 0.059 1.1861 2021/7/3 8
1.0 3.1 ShortStrangle: U 1 1.215 1 0.0019 0.15 0.057 1.1869 2021/7/12 5
---
https:/
Oil Falls As Saudi Arabia And UAE Compromise On Deal
* Oil
現在日付 2021/7/14
1st Price 74.12 Sep
2nd Price 73.21 Oct
Mothly change/σ 0.5
Next month's average change/σ -0.1
Daily STDEV 1.34
Monthly STDEV 6.25
Monthly expected return 1.44
HV 0.252
HV/σ -0.66
total premium: 4.3
Net Δ 0.4
Net Γ 0.1
Net Λ -27.6
VaR/Balance (V/B) [%] -28.9%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
0.5 1.0 VirtSprd:Mini: [['Call-LongRatioSpread-OTM' -0.0221]] Sep 1 77.50 1 1.10 0.09 0.285 70.60 2021/6/14 1
1.0 1.0 VirtSprd:PARTCLOSE:Mini: [['Call-LongRatioSpread-OTM' -0.0221]] Sep 1 81.00 -1 0.62 0.09 0.294 70.60 2021/6/14 1
1.0 1.1 PARTCLOSE: Sep 1 81.00 1 0.61 0.09 0.30 74.12 2021/7/14 0
-1.1 1.1 NakedShortPut Oct -1 64.50 1 1.29 0.18 0.38 73.21 2021/7/14 3
---
___ GARCH model results review ___
2021年 7月14日 水曜日 23時24分55秒 JST
VolPerSigma : Volatility : Filename : Products
-0.48 : 0.291 : result2.txt : ./Crude Oil WTI Futures Historical Data (6).csv
-0.52 : 0.141 : result0.txt : ./Gold Futures Historical Data (4).csv
-0.86 : 0.102 : result3.txt : ./US 500 Futures Historical Data (4).csv
-1.27 : 0.059 : result1.txt : ./EUR_USD Historical Data (12).csv
0.65 : 0.042 : result5.txt : ./US 10 Year T-Note Futures Historical Data (2).csv
2.25 : 1.158 : result4.txt : ./US Corn Futures Historical Data (2).csv
2.39 : 0.431 : result6.txt : ./US Soybeans Futures Historical Data (2).csv
---
https:/
Crude Oil Lower; Rising Covid Cases Weigh on Sentiment
* Oil
現在日付 2021/7/21
1st Price 66.87 Sep
2nd Price 66.32 Oct
Mothly change/σ -1.1
Next month's average change/σ -0.1
Daily STDEV 1.45
Monthly STDEV 6.34
Monthly expected return 1.30
HV 0.376
HV/σ 0.44
total premium: -7.0
Net Δ -0.9
Net Γ -0.0
Net Λ 3.6
VaR/Balance (V/B) [%] -11.2%
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
1.8 1.0 CLOSE:VirtSprd:Mini: [['Call-LongRatioSpread-OTM' -0.0221]] Sep 1 77.50 1 1.10 0.07 0.285 70.60 2021/6/14 0
2.3 1.0 VirtSprd:PARTCLOSE:Mini: [['Call-LongRatioSpread-OTM' -0.0221]] Sep 1 81.00 -1 0.62 0.07 0.294 70.60 2021/6/14 1
2.3 1.1 PARTCLOSE: Sep 1 81.00 1 0.61 0.07 0.30 74.12 2021/7/14 0
-0.3 1.1 LongRtioSprd:PARTCLOSE2:NakedShortPut Oct -1 64.50 1 1.29 0.16 0.38 73.21 2021/7/14 2
-0.3 1.2 PARTCLOSE2: Oct -1 64.50 -1 3.14 0.16 0.39 66.32 2021/7/21 0
-0.5 1.2 LongRtioSprd: Oct -1 62.50 -1 2.43 0.16 0.40 66.32 2021/7/21 4
1.8 1.2 CLOSE Sep 1 77.50 1 0.16 0.07 0.34 66.87 2021/7/21 0
1.0 1.2 NakedShortCall Oct 1 76.00 1 0.69 0.16 0.33 66.32 2021/7/21 2
---
___ GARCH model results review ___
2021年 7月21日 水曜日 01時50分55秒 JST
VolPerSigma : Volatility : Filename : Products
-0.15 : 0.059 : result0.txt : ./EUR_USD Historical Data (13).csv
-0.18 : 0.157 : result1.txt : ./Gold Futures Historical Data (5).csv
0.19 : 0.157 : result2.txt : ./US 500 Futures Historical Data (5).csv
1.84 : 0.381 : result5.txt : ./US Soybeans Futures Historical Data (3).csv
1.86 : 0.047 : result6.txt : ./US 10 Year T-Note Futures Historical Data (3).csv
3.06 : 1.586 : result3.txt : ./US Corn Futures Historical Data (3).csv
3.41 : 0.586 : result4.txt : ./Crude Oil WTI Futures Historical Data (9).csv
|
Crude Oil Edges Higher; Mixed Covid News
https:/
* Oil
現在日付 2021/7/27
1st Price 71.88 Sep
2nd Price 71.35 Oct
Mothly change/σ -0.2
Next month's average change/σ -0.1
Daily STDEV 1.45
Monthly STDEV 6.26
Monthly expected return 1.40
HV 0.416
HV/σ 0.93
total premium: -3.6
Net Δ 0.3
Net Γ 0.1
Net Λ -23.1
VaR/Balance (V/B) [%] -19.0%
___ Expected Utility ___
Player : Strategy : risk_neutral : risk_loving : risk_averse
risk_neutral_max_str: [[['Put-NakedShort-OTM' 1.7821 708.3532 5.0881]]]
risk_loving_max_str: [[['Put-NakedShort-OTM' 1.7821 708.3532 5.0881]]]
risk_averse_max_str: [[['Put-NakedShort-OTM' 1.7821 708.3532 5.0881]]]
___ Max Mini ___
Mini: [['Call-LongRatioSpread-OTM' -0.0393]]
σ Version Tactics Month C1/P-1 Strike Sell1/Buy-1 Premium Time IV Entry price Entry date Qty
1.1 1.0 CLOSE:VirtSprd:Mini: [['Call-LongRatioSpread-OTM' -0.0221]] Sep 1 77.50 1 1.10 0.06 0.285 70.60 2021/6/14 0
1.7 1.0 VirtSprd:PARTCLOSE:Mini: [['Call-LongRatioSpread-OTM' -0.0221]] Sep 1 81.00 -1 0.62 0.06 0.294 70.60 2021/6/14 1
1.7 1.1 PARTCLOSE: Sep 1 81.00 1 0.61 0.06 0.30 74.12 2021/7/14 0
-0.9 1.1 LongRtioSprd:PARTCLOSE2:NakedShortPut Oct -1 64.50 1 1.29 0.14 0.38 73.21 2021/7/14 2
-0.9 1.2 PARTCLOSE2: Oct -1 64.50 -1 3.14 0.14 0.39 66.32 2021/7/21 0
-1.1 1.2 LongRtioSprd: Oct -1 62.50 -1 2.43 0.14 0.40 66.32 2021/7/21 4
1.1 1.2 CLOSE Sep 1 77.50 1 0.16 0.06 0.34 66.87 2021/7/21 0
0.5 1.2 VirtSprd: NakedShortCall Oct 1 76.00 1 0.69 0.14 0.33 66.32 2021/7/21 2
-1.0 1.3 risk_averse_max_str: [[['Put-NakedShort-OTM' 1.7821 708.3532 5.0881]]] Sep -1 64.00 1 1.16 0.14 0.37 71.35 2021/7/27 4
0.9 1.3 VirtSprd: Oct 1 79.50 -1 0.65 0.14 0.28 71.35 2021/7/27 2
---
|
|
|
|
|
|
|
|
オプション取引ログ 更新情報
-
最新のイベント
-
まだ何もありません
-
-
最新のアンケート
-
まだ何もありません
-
オプション取引ログのメンバーはこんなコミュニティにも参加しています
人気コミュニティランキング
- 1位
- mixi バスケ部
- 37832人
- 2位
- 酒好き
- 170655人
- 3位
- マイミク募集はここで。
- 89518人