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Instrument risk report produced on 23/12/2025 21:31
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Risk calculation for different instruments, columns as follows:
A- daily_price_stdev: Standard deviation, price points, per day
B- annual_price_stdev: Standard deviation, price points, per year =A*16
C- price: Price
D- daily_perc_stdev: Standard deviation, percentage (1=1%), per day =A/C
E- annual_perc_stdev: Standard deviation, percentage (1=1%), per year = B/C = D*16
F- point_size_base: Futures multiplier in base (account) currency
G- contract_exposure: Notional value of one contract = F*C
H- annual_risk_per_contract: Standard deviation, base currency, per year = B * F = E * G
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Risk of all instruments with data - sorted by annualised % standard deviation
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daily_price_stdev annual_price_stdev price daily_perc_stdev annual_perc_stdev point_size_base contract_exposure annual_risk_per_contract
EURIBOR-ICE 0.0359 0.574 97.5900 0.037 0.6 2.943212e+03 287228.0 1690.0
SOFR 0.0422 0.675 96.5550 0.044 0.7 2.500000e+03 241388.0 1688.0
SHATZ 0.0516 0.826 106.7350 0.048 0.8 1.177285e+03 125658.0 972.0
US2 0.0739 1.182 104.2930 0.071 1.1 2.000000e+03 208586.0 2364.0
BOBL 0.1708 2.733 116.0300 0.147 2.4 1.177285e+03 136600.0 3218.0
US5 0.1856 2.969 109.1562 0.170 2.7 1.000000e+03 109156.0 2969.0
JGB-SGX-mini 0.2322 3.715 132.8700 0.175 2.8 6.406170e+02 85119.0 2380.0
US10 0.2686 4.297 112.3125 0.239 3.8 1.000000e+03 112312.0 4297.0
BUND 0.3302 5.284 127.4400 0.259 4.1 1.177285e+03 150033.0 6221.0
OAT 0.3409 5.454 120.4900 0.283 4.5 1.177285e+03 141851.0 6421.0
BTP 0.3482 5.571 120.0400 0.290 4.6 1.177285e+03 141321.0 6558.0
CAD 0.0022 0.035 0.7330 0.295 4.7 1.000000e+05 73300.0 3460.0
EUR 0.0035 0.056 1.1836 0.297 4.7 1.250000e+05 147950.0 7021.0
US10U 0.3438 5.501 114.8281 0.299 4.8 1.000000e+03 114828.0 5501.0
DX 0.3305 5.288 97.6300 0.339 5.4 1.000000e+03 97630.0 5288.0
GBP 0.0050 0.079 1.3495 0.367 5.9 6.250000e+04 84344.0 4951.0
CHF 0.0050 0.079 1.2803 0.388 6.2 1.250000e+05 160038.0 9935.0
MXP 0.0002 0.004 0.0554 0.419 6.7 5.000000e+05 27690.0 1855.0
AUD 0.0029 0.046 0.6700 0.429 6.9 1.000000e+05 66995.0 4600.0
US20 0.5439 8.702 115.2812 0.472 7.5 1.000000e+03 115281.0 8702.0
NZD 0.0028 0.044 0.5856 0.475 7.6 1.000000e+05 58560.0 4447.0
JPY 0.0000 0.001 0.0064 0.576 9.2 1.250000e+07 80612.0 7425.0
SMI 77.0163 1232.260 13150.0000 0.586 9.4 1.265300e+01 166384.0 15591.0
US30 0.7001 11.202 118.0000 0.593 9.5 1.000000e+03 118000.0 11202.0
CORN 2.9713 47.540 464.2500 0.640 10.2 5.000000e+01 23212.0 2377.0
BUXL 0.7065 11.303 109.8200 0.643 10.3 1.177285e+03 129289.0 13307.0
CAC 53.0659 849.054 8106.0000 0.655 10.5 1.177300e+01 95431.0 9996.0
SOYBEAN 7.0695 113.112 1073.0000 0.659 10.5 5.000000e+01 53650.0 5656.0
DOW 338.6519 5418.430 48762.0000 0.694 11.1 5.000000e-01 24381.0 2709.0
DAX 175.4100 2806.559 24492.0000 0.716 11.5 1.177000e+00 28834.0 3304.0
EUROSTX 41.3856 662.169 5767.0000 0.718 11.5 1.177300e+01 67894.0 7796.0
SP500_micro 51.1712 818.739 6961.2500 0.735 11.8 5.000000e+00 34806.0 4094.0
COTTON2 0.4894 7.830 64.0200 0.764 12.2 5.000000e+02 32010.0 3915.0
GOLD_micro 41.3648 661.838 4518.9000 0.915 14.6 1.000000e+01 45189.0 6618.0
SP400 31.7414 507.863 3392.1000 0.936 15.0 1.000000e+02 339210.0 50786.0
WHEAT 5.7864 92.582 570.2500 1.015 16.2 5.000000e+01 28512.0 4629.0
NASDAQ_micro 265.9552 4255.284 25800.0000 1.031 16.5 2.000000e+00 51600.0 8511.0
LIVECOW 2.5105 40.167 229.8000 1.092 17.5 4.000000e+02 91920.0 16067.0
SOYMEAL 3.3773 54.036 307.6000 1.098 17.6 1.000000e+02 30760.0 5404.0
RUSSELL 29.2497 467.995 2560.4000 1.142 18.3 5.000000e+00 12802.0 2340.0
LUMBER-new 6.7401 107.842 580.0000 1.162 18.6 2.750000e+01 15950.0 2966.0
FEEDCOW 3.9490 63.184 337.3750 1.171 18.7 5.000000e+02 168688.0 31592.0
LEANHOG 1.0636 17.018 90.3250 1.178 18.8 4.000000e+02 36130.0 6807.0
SOYOIL 0.6014 9.623 49.2500 1.221 19.5 6.000000e+02 29550.0 5774.0
NIKKEI 618.2720 9892.353 50535.0000 1.223 19.6 6.410000e-01 32374.0 6337.0
REDWHEAT 6.6670 106.672 540.2500 1.234 19.7 5.000000e+01 27012.0 5334.0
CRUDE_W 0.7550 12.080 57.7600 1.307 20.9 1.000000e+03 57760.0 12080.0
COPPER 0.0743 1.189 5.5730 1.334 21.3 2.500000e+04 139325.0 29732.0
GASOLINE 0.0270 0.432 1.9931 1.354 21.7 4.200000e+04 83710.0 18142.0
CANOLA 8.1727 130.763 602.7000 1.356 21.7 1.455700e+01 8774.0 1904.0
SUGAR11 0.2195 3.512 14.7900 1.484 23.7 1.120000e+03 16565.0 3933.0
RICE 0.1548 2.477 10.1600 1.524 24.4 2.000000e+03 20320.0 4954.0
SILVER-mini 1.1912 19.059 71.4500 1.667 26.7 2.500000e+03 178625.0 47647.0
OATIES 5.2950 84.720 301.7500 1.755 28.1 5.000000e+01 15088.0 4236.0
PLAT 41.8193 669.109 2323.9000 1.800 28.8 5.000000e+01 116195.0 33455.0
GASOIL 11.3187 181.099 624.0000 1.814 29.0 1.000000e+02 62400.0 18110.0
HEATOIL 0.0395 0.631 2.1248 1.857 29.7 4.200000e+04 89242.0 26521.0
PALLAD 38.3163 613.062 1963.0000 1.952 31.2 1.000000e+02 196300.0 61306.0
COFFEE 6.8585 109.735 332.0500 2.065 33.0 3.750000e+02 124519.0 41151.0
VIX 0.4016 6.426 19.3500 2.076 33.2 1.000000e+03 19350.0 6426.0
ROBUSTA 92.9397 1487.035 3822.0000 2.432 38.9 1.000000e+01 38220.0 14870.0
BITCOIN 2514.0247 40224.395 88200.0000 2.850 45.6 1.000000e-01 8820.0 4022.0
COCOA 197.1510 3154.415 5970.0000 3.302 52.8 1.000000e+01 59700.0 31544.0
GAS_US_mini 0.1497 2.395 3.8850 3.853 61.7 2.500000e+03 9712.0 5988.0
OJ 8.7271 139.634 205.9500 4.238 67.8 1.500000e+02 30892.0 20945.0
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Risk of all instruments with data - sorted by annualised currency risk per contract
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daily_price_stdev annual_price_stdev price daily_perc_stdev annual_perc_stdev point_size_base contract_exposure annual_risk_per_contract
SHATZ 0.0516 0.826 106.7350 0.048 0.8 1.177285e+03 125658.0 972.0
SOFR 0.0422 0.675 96.5550 0.044 0.7 2.500000e+03 241388.0 1688.0
EURIBOR-ICE 0.0359 0.574 97.5900 0.037 0.6 2.943212e+03 287228.0 1690.0
MXP 0.0002 0.004 0.0554 0.419 6.7 5.000000e+05 27690.0 1855.0
CANOLA 8.1727 130.763 602.7000 1.356 21.7 1.455700e+01 8774.0 1904.0
RUSSELL 29.2497 467.995 2560.4000 1.142 18.3 5.000000e+00 12802.0 2340.0
US2 0.0739 1.182 104.2930 0.071 1.1 2.000000e+03 208586.0 2364.0
CORN 2.9713 47.540 464.2500 0.640 10.2 5.000000e+01 23212.0 2377.0
JGB-SGX-mini 0.2322 3.715 132.8700 0.175 2.8 6.406170e+02 85119.0 2380.0
DOW 338.6519 5418.430 48762.0000 0.694 11.1 5.000000e-01 24381.0 2709.0
LUMBER-new 6.7401 107.842 580.0000 1.162 18.6 2.750000e+01 15950.0 2966.0
US5 0.1856 2.969 109.1562 0.170 2.7 1.000000e+03 109156.0 2969.0
BOBL 0.1708 2.733 116.0300 0.147 2.4 1.177285e+03 136600.0 3218.0
DAX 175.4100 2806.559 24492.0000 0.716 11.5 1.177000e+00 28834.0 3304.0
CAD 0.0022 0.035 0.7330 0.295 4.7 1.000000e+05 73300.0 3460.0
COTTON2 0.4894 7.830 64.0200 0.764 12.2 5.000000e+02 32010.0 3915.0
SUGAR11 0.2195 3.512 14.7900 1.484 23.7 1.120000e+03 16565.0 3933.0
BITCOIN 2514.0247 40224.395 88200.0000 2.850 45.6 1.000000e-01 8820.0 4022.0
SP500_micro 51.1712 818.739 6961.2500 0.735 11.8 5.000000e+00 34806.0 4094.0
OATIES 5.2950 84.720 301.7500 1.755 28.1 5.000000e+01 15088.0 4236.0
US10 0.2686 4.297 112.3125 0.239 3.8 1.000000e+03 112312.0 4297.0
NZD 0.0028 0.044 0.5856 0.475 7.6 1.000000e+05 58560.0 4447.0
AUD 0.0029 0.046 0.6700 0.429 6.9 1.000000e+05 66995.0 4600.0
WHEAT 5.7864 92.582 570.2500 1.015 16.2 5.000000e+01 28512.0 4629.0
GBP 0.0050 0.079 1.3495 0.367 5.9 6.250000e+04 84344.0 4951.0
RICE 0.1548 2.477 10.1600 1.524 24.4 2.000000e+03 20320.0 4954.0
DX 0.3305 5.288 97.6300 0.339 5.4 1.000000e+03 97630.0 5288.0
REDWHEAT 6.6670 106.672 540.2500 1.234 19.7 5.000000e+01 27012.0 5334.0
SOYMEAL 3.3773 54.036 307.6000 1.098 17.6 1.000000e+02 30760.0 5404.0
US10U 0.3438 5.501 114.8281 0.299 4.8 1.000000e+03 114828.0 5501.0
SOYBEAN 7.0695 113.112 1073.0000 0.659 10.5 5.000000e+01 53650.0 5656.0
SOYOIL 0.6014 9.623 49.2500 1.221 19.5 6.000000e+02 29550.0 5774.0
GAS_US_mini 0.1497 2.395 3.8850 3.853 61.7 2.500000e+03 9712.0 5988.0
BUND 0.3302 5.284 127.4400 0.259 4.1 1.177285e+03 150033.0 6221.0
NIKKEI 618.2720 9892.353 50535.0000 1.223 19.6 6.410000e-01 32374.0 6337.0
OAT 0.3409 5.454 120.4900 0.283 4.5 1.177285e+03 141851.0 6421.0
VIX 0.4016 6.426 19.3500 2.076 33.2 1.000000e+03 19350.0 6426.0
BTP 0.3482 5.571 120.0400 0.290 4.6 1.177285e+03 141321.0 6558.0
GOLD_micro 41.3648 661.838 4518.9000 0.915 14.6 1.000000e+01 45189.0 6618.0
LEANHOG 1.0636 17.018 90.3250 1.178 18.8 4.000000e+02 36130.0 6807.0
EUR 0.0035 0.056 1.1836 0.297 4.7 1.250000e+05 147950.0 7021.0
JPY 0.0000 0.001 0.0064 0.576 9.2 1.250000e+07 80612.0 7425.0
EUROSTX 41.3856 662.169 5767.0000 0.718 11.5 1.177300e+01 67894.0 7796.0
NASDAQ_micro 265.9552 4255.284 25800.0000 1.031 16.5 2.000000e+00 51600.0 8511.0
US20 0.5439 8.702 115.2812 0.472 7.5 1.000000e+03 115281.0 8702.0
CHF 0.0050 0.079 1.2803 0.388 6.2 1.250000e+05 160038.0 9935.0
CAC 53.0659 849.054 8106.0000 0.655 10.5 1.177300e+01 95431.0 9996.0
US30 0.7001 11.202 118.0000 0.593 9.5 1.000000e+03 118000.0 11202.0
CRUDE_W 0.7550 12.080 57.7600 1.307 20.9 1.000000e+03 57760.0 12080.0
BUXL 0.7065 11.303 109.8200 0.643 10.3 1.177285e+03 129289.0 13307.0
ROBUSTA 92.9397 1487.035 3822.0000 2.432 38.9 1.000000e+01 38220.0 14870.0
SMI 77.0163 1232.260 13150.0000 0.586 9.4 1.265300e+01 166384.0 15591.0
LIVECOW 2.5105 40.167 229.8000 1.092 17.5 4.000000e+02 91920.0 16067.0
GASOIL 11.3187 181.099 624.0000 1.814 29.0 1.000000e+02 62400.0 18110.0
GASOLINE 0.0270 0.432 1.9931 1.354 21.7 4.200000e+04 83710.0 18142.0
OJ 8.7271 139.634 205.9500 4.238 67.8 1.500000e+02 30892.0 20945.0
HEATOIL 0.0395 0.631 2.1248 1.857 29.7 4.200000e+04 89242.0 26521.0
COPPER 0.0743 1.189 5.5730 1.334 21.3 2.500000e+04 139325.0 29732.0
COCOA 197.1510 3154.415 5970.0000 3.302 52.8 1.000000e+01 59700.0 31544.0
FEEDCOW 3.9490 63.184 337.3750 1.171 18.7 5.000000e+02 168688.0 31592.0
PLAT 41.8193 669.109 2323.9000 1.800 28.8 5.000000e+01 116195.0 33455.0
COFFEE 6.8585 109.735 332.0500 2.065 33.0 3.750000e+02 124519.0 41151.0
SILVER-mini 1.1912 19.059 71.4500 1.667 26.7 2.500000e+03 178625.0 47647.0
SP400 31.7414 507.863 3392.1000 0.936 15.0 1.000000e+02 339210.0 50786.0
PALLAD 38.3163 613.062 1963.0000 1.952 31.2 1.000000e+02 196300.0 61306.0
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Risk of all instruments with data - sorted by notional exposure per contract
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daily_price_stdev annual_price_stdev price daily_perc_stdev annual_perc_stdev point_size_base contract_exposure annual_risk_per_contract
CANOLA 8.1727 130.763 602.7000 1.356 21.7 1.455700e+01 8774.0 1904.0
BITCOIN 2514.0247 40224.395 88200.0000 2.850 45.6 1.000000e-01 8820.0 4022.0
GAS_US_mini 0.1497 2.395 3.8850 3.853 61.7 2.500000e+03 9712.0 5988.0
RUSSELL 29.2497 467.995 2560.4000 1.142 18.3 5.000000e+00 12802.0 2340.0
OATIES 5.2950 84.720 301.7500 1.755 28.1 5.000000e+01 15088.0 4236.0
LUMBER-new 6.7401 107.842 580.0000 1.162 18.6 2.750000e+01 15950.0 2966.0
SUGAR11 0.2195 3.512 14.7900 1.484 23.7 1.120000e+03 16565.0 3933.0
VIX 0.4016 6.426 19.3500 2.076 33.2 1.000000e+03 19350.0 6426.0
RICE 0.1548 2.477 10.1600 1.524 24.4 2.000000e+03 20320.0 4954.0
CORN 2.9713 47.540 464.2500 0.640 10.2 5.000000e+01 23212.0 2377.0
DOW 338.6519 5418.430 48762.0000 0.694 11.1 5.000000e-01 24381.0 2709.0
REDWHEAT 6.6670 106.672 540.2500 1.234 19.7 5.000000e+01 27012.0 5334.0
MXP 0.0002 0.004 0.0554 0.419 6.7 5.000000e+05 27690.0 1855.0
WHEAT 5.7864 92.582 570.2500 1.015 16.2 5.000000e+01 28512.0 4629.0
DAX 175.4100 2806.559 24492.0000 0.716 11.5 1.177000e+00 28834.0 3304.0
SOYOIL 0.6014 9.623 49.2500 1.221 19.5 6.000000e+02 29550.0 5774.0
SOYMEAL 3.3773 54.036 307.6000 1.098 17.6 1.000000e+02 30760.0 5404.0
OJ 8.7271 139.634 205.9500 4.238 67.8 1.500000e+02 30892.0 20945.0
COTTON2 0.4894 7.830 64.0200 0.764 12.2 5.000000e+02 32010.0 3915.0
NIKKEI 618.2720 9892.353 50535.0000 1.223 19.6 6.410000e-01 32374.0 6337.0
SP500_micro 51.1712 818.739 6961.2500 0.735 11.8 5.000000e+00 34806.0 4094.0
LEANHOG 1.0636 17.018 90.3250 1.178 18.8 4.000000e+02 36130.0 6807.0
ROBUSTA 92.9397 1487.035 3822.0000 2.432 38.9 1.000000e+01 38220.0 14870.0
GOLD_micro 41.3648 661.838 4518.9000 0.915 14.6 1.000000e+01 45189.0 6618.0
NASDAQ_micro 265.9552 4255.284 25800.0000 1.031 16.5 2.000000e+00 51600.0 8511.0
SOYBEAN 7.0695 113.112 1073.0000 0.659 10.5 5.000000e+01 53650.0 5656.0
CRUDE_W 0.7550 12.080 57.7600 1.307 20.9 1.000000e+03 57760.0 12080.0
NZD 0.0028 0.044 0.5856 0.475 7.6 1.000000e+05 58560.0 4447.0
COCOA 197.1510 3154.415 5970.0000 3.302 52.8 1.000000e+01 59700.0 31544.0
GASOIL 11.3187 181.099 624.0000 1.814 29.0 1.000000e+02 62400.0 18110.0
AUD 0.0029 0.046 0.6700 0.429 6.9 1.000000e+05 66995.0 4600.0
EUROSTX 41.3856 662.169 5767.0000 0.718 11.5 1.177300e+01 67894.0 7796.0
CAD 0.0022 0.035 0.7330 0.295 4.7 1.000000e+05 73300.0 3460.0
JPY 0.0000 0.001 0.0064 0.576 9.2 1.250000e+07 80612.0 7425.0
GASOLINE 0.0270 0.432 1.9931 1.354 21.7 4.200000e+04 83710.0 18142.0
GBP 0.0050 0.079 1.3495 0.367 5.9 6.250000e+04 84344.0 4951.0
JGB-SGX-mini 0.2322 3.715 132.8700 0.175 2.8 6.406170e+02 85119.0 2380.0
HEATOIL 0.0395 0.631 2.1248 1.857 29.7 4.200000e+04 89242.0 26521.0
LIVECOW 2.5105 40.167 229.8000 1.092 17.5 4.000000e+02 91920.0 16067.0
CAC 53.0659 849.054 8106.0000 0.655 10.5 1.177300e+01 95431.0 9996.0
DX 0.3305 5.288 97.6300 0.339 5.4 1.000000e+03 97630.0 5288.0
US5 0.1856 2.969 109.1562 0.170 2.7 1.000000e+03 109156.0 2969.0
US10 0.2686 4.297 112.3125 0.239 3.8 1.000000e+03 112312.0 4297.0
US10U 0.3438 5.501 114.8281 0.299 4.8 1.000000e+03 114828.0 5501.0
US20 0.5439 8.702 115.2812 0.472 7.5 1.000000e+03 115281.0 8702.0
PLAT 41.8193 669.109 2323.9000 1.800 28.8 5.000000e+01 116195.0 33455.0
US30 0.7001 11.202 118.0000 0.593 9.5 1.000000e+03 118000.0 11202.0
COFFEE 6.8585 109.735 332.0500 2.065 33.0 3.750000e+02 124519.0 41151.0
SHATZ 0.0516 0.826 106.7350 0.048 0.8 1.177285e+03 125658.0 972.0
BUXL 0.7065 11.303 109.8200 0.643 10.3 1.177285e+03 129289.0 13307.0
BOBL 0.1708 2.733 116.0300 0.147 2.4 1.177285e+03 136600.0 3218.0
COPPER 0.0743 1.189 5.5730 1.334 21.3 2.500000e+04 139325.0 29732.0
BTP 0.3482 5.571 120.0400 0.290 4.6 1.177285e+03 141321.0 6558.0
OAT 0.3409 5.454 120.4900 0.283 4.5 1.177285e+03 141851.0 6421.0
EUR 0.0035 0.056 1.1836 0.297 4.7 1.250000e+05 147950.0 7021.0
BUND 0.3302 5.284 127.4400 0.259 4.1 1.177285e+03 150033.0 6221.0
CHF 0.0050 0.079 1.2803 0.388 6.2 1.250000e+05 160038.0 9935.0
SMI 77.0163 1232.260 13150.0000 0.586 9.4 1.265300e+01 166384.0 15591.0
FEEDCOW 3.9490 63.184 337.3750 1.171 18.7 5.000000e+02 168688.0 31592.0
SILVER-mini 1.1912 19.059 71.4500 1.667 26.7 2.500000e+03 178625.0 47647.0
PALLAD 38.3163 613.062 1963.0000 1.952 31.2 1.000000e+02 196300.0 61306.0
US2 0.0739 1.182 104.2930 0.071 1.1 2.000000e+03 208586.0 2364.0
SOFR 0.0422 0.675 96.5550 0.044 0.7 2.500000e+03 241388.0 1688.0
EURIBOR-ICE 0.0359 0.574 97.5900 0.037 0.6 2.943212e+03 287228.0 1690.0
SP400 31.7414 507.863 3392.1000 0.936 15.0 1.000000e+02 339210.0 50786.0
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END OF REPORT
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