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Instrument risk report produced on 01/01/2026 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 0.0340 0.544 97.6250 0.035 0.6 2.934412e+03 286472.0 1595.0
SOFR 0.0417 0.667 96.5450 0.043 0.7 2.500000e+03 241362.0 1668.0
SHATZ 0.0504 0.806 106.7900 0.047 0.8 1.173765e+03 125346.0 947.0
US2 0.0701 1.122 104.3945 0.067 1.1 2.000000e+03 208789.0 2243.0
BOBL 0.1676 2.681 116.1600 0.144 2.3 1.173765e+03 136345.0 3147.0
US5 0.1766 2.826 109.3047 0.162 2.6 1.000000e+03 109305.0 2826.0
JGB-SGX-mini 0.2274 3.639 132.2500 0.172 2.8 6.385530e+02 84449.0 2324.0
US10 0.2701 4.322 112.2969 0.241 3.8 1.000000e+03 112297.0 4322.0
BUND 0.3274 5.239 127.5700 0.257 4.1 1.173765e+03 149737.0 6149.0
OAT 0.3397 5.434 120.5900 0.282 4.5 1.173765e+03 141544.0 6379.0
CAD 0.0021 0.033 0.7310 0.285 4.6 1.000000e+05 73095.0 3328.0
EUR 0.0034 0.054 1.1786 0.288 4.6 1.250000e+05 147319.0 6799.0
US10U 0.3330 5.328 115.0156 0.290 4.6 1.000000e+03 115016.0 5328.0
BTP 0.3499 5.599 120.1800 0.291 4.7 1.173765e+03 141063.0 6572.0
DX 0.3165 5.063 98.0450 0.323 5.2 1.000000e+03 98045.0 5063.0
GBP 0.0048 0.077 1.3473 0.357 5.7 6.250000e+04 84206.0 4807.0
CHF 0.0048 0.077 1.2714 0.377 6.0 1.250000e+05 158931.0 9575.0
MXP 0.0002 0.004 0.0552 0.414 6.6 5.000000e+05 27575.0 1828.0
AUD 0.0028 0.045 0.6674 0.421 6.7 1.000000e+05 66740.0 4498.0
US20 0.5234 8.374 115.5938 0.453 7.2 1.000000e+03 115594.0 8374.0
NZD 0.0028 0.045 0.5772 0.484 7.8 1.000000e+05 57725.0 4474.0
JPY 0.0000 0.001 0.0064 0.541 8.6 1.250000e+07 80288.0 6944.0
US30 0.6765 10.824 118.0000 0.573 9.2 1.000000e+03 118000.0 10824.0
SMI 76.9221 1230.753 13207.0000 0.582 9.3 1.261200e+01 166567.0 15522.0
CAC 51.7503 828.005 8154.0000 0.635 10.2 1.173800e+01 95709.0 9719.0
BUXL 0.7047 11.275 110.1200 0.640 10.2 1.173765e+03 129255.0 13234.0
CORN 3.0097 48.154 460.2500 0.654 10.5 5.000000e+01 23012.0 2408.0
SOYBEAN 7.2321 115.713 1064.2500 0.680 10.9 5.000000e+01 53212.0 5786.0
DOW 328.8144 5261.031 48336.0000 0.680 10.9 5.000000e-01 24168.0 2631.0
DAX 174.3332 2789.332 24690.0000 0.706 11.3 1.174000e+00 28980.0 3274.0
SP500_micro 48.9451 783.122 6892.5000 0.710 11.4 5.000000e+00 34462.0 3916.0
COTTON2 0.4618 7.389 64.2700 0.719 11.5 5.000000e+02 32135.0 3695.0
EUROSTX 42.5198 680.317 5841.0000 0.728 11.6 1.173800e+01 68560.0 7985.0
SP400 30.8530 493.648 3325.2000 0.928 14.8 1.000000e+02 332520.0 49365.0
NASDAQ_micro 249.9834 3999.734 25456.7500 0.982 15.7 2.000000e+00 50914.0 7999.0
LIVECOW 2.3139 37.023 232.1250 0.997 15.9 4.000000e+02 92850.0 14809.0
WHEAT 5.6916 91.066 564.0000 1.009 16.1 5.000000e+01 28200.0 4553.0
FEEDCOW 3.6207 57.931 344.1750 1.052 16.8 5.000000e+02 172088.0 28965.0
SOYMEAL 3.2813 52.501 304.0000 1.079 17.3 1.000000e+02 30400.0 5250.0
RUSSELL 27.7061 443.298 2498.0000 1.109 17.7 5.000000e+00 12490.0 2216.0
LEANHOG 1.0003 16.005 89.8750 1.113 17.8 4.000000e+02 35950.0 6402.0
NIKKEI 567.7185 9083.495 50400.0000 1.126 18.0 6.390000e-01 32183.0 5800.0
LUMBER-new 6.6477 106.364 576.0000 1.154 18.5 2.750000e+01 15840.0 2925.0
SOYOIL 0.6105 9.768 49.0800 1.244 19.9 6.000000e+02 29448.0 5861.0
CRUDE_W 0.7177 11.484 56.9800 1.260 20.2 1.000000e+03 56980.0 11484.0
REDWHEAT 6.6931 107.090 528.0000 1.268 20.3 5.000000e+01 26400.0 5355.0
GASOLINE 0.0255 0.408 1.9613 1.301 20.8 4.200000e+04 82375.0 17142.0
GOLD_micro 56.4440 903.105 4332.7000 1.303 20.8 1.000000e+01 43327.0 9031.0
CANOLA 8.1550 130.480 602.4000 1.354 21.7 1.459700e+01 8793.0 1905.0
SUGAR11 0.2222 3.555 14.6600 1.516 24.3 1.120000e+03 16419.0 3982.0
RICE 0.1525 2.439 9.9450 1.533 24.5 2.000000e+03 19890.0 4879.0
OATIES 5.3031 84.850 310.0000 1.711 27.4 5.000000e+01 15500.0 4242.0
COPPER 0.0974 1.559 5.6940 1.711 27.4 2.500000e+04 142350.0 38972.0
GASOIL 10.6910 171.057 615.7500 1.736 27.8 1.000000e+02 61575.0 17106.0
HEATOIL 0.0374 0.598 2.0700 1.806 28.9 4.200000e+04 86940.0 25121.0
COFFEE 6.3257 101.210 333.3500 1.898 30.4 3.750000e+02 125006.0 37954.0
VIX 0.3803 6.084 19.6500 1.935 31.0 1.000000e+03 19650.0 6084.0
ROBUSTA 89.4051 1430.481 3949.0000 2.264 36.2 1.000000e+01 39490.0 14305.0
BITCOIN 2325.1535 37202.455 88085.0000 2.640 42.2 1.000000e-01 8808.0 3720.0
SILVER-mini 2.3324 37.319 71.3750 3.268 52.3 2.500000e+03 178438.0 93297.0
COCOA 200.0925 3201.480 6102.0000 3.279 52.5 1.000000e+01 61020.0 32015.0
OJ 8.2072 131.315 201.2000 4.079 65.3 1.500000e+02 30180.0 19697.0
PLAT 89.8700 1437.919 2070.0000 4.342 69.5 5.000000e+01 103500.0 71896.0
GAS_US_mini 0.1417 2.268 3.1550 4.493 71.9 2.500000e+03 7887.0 5670.0
PALLAD 80.1269 1282.030 1661.0000 4.824 77.2 1.000000e+02 166100.0 128203.0
==================================================================================================================================================================
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 0.0504 0.806 106.7900 0.047 0.8 1.173765e+03 125346.0 947.0
EURIBOR-ICE 0.0340 0.544 97.6250 0.035 0.6 2.934412e+03 286472.0 1595.0
SOFR 0.0417 0.667 96.5450 0.043 0.7 2.500000e+03 241362.0 1668.0
MXP 0.0002 0.004 0.0552 0.414 6.6 5.000000e+05 27575.0 1828.0
CANOLA 8.1550 130.480 602.4000 1.354 21.7 1.459700e+01 8793.0 1905.0
RUSSELL 27.7061 443.298 2498.0000 1.109 17.7 5.000000e+00 12490.0 2216.0
US2 0.0701 1.122 104.3945 0.067 1.1 2.000000e+03 208789.0 2243.0
JGB-SGX-mini 0.2274 3.639 132.2500 0.172 2.8 6.385530e+02 84449.0 2324.0
CORN 3.0097 48.154 460.2500 0.654 10.5 5.000000e+01 23012.0 2408.0
DOW 328.8144 5261.031 48336.0000 0.680 10.9 5.000000e-01 24168.0 2631.0
US5 0.1766 2.826 109.3047 0.162 2.6 1.000000e+03 109305.0 2826.0
LUMBER-new 6.6477 106.364 576.0000 1.154 18.5 2.750000e+01 15840.0 2925.0
BOBL 0.1676 2.681 116.1600 0.144 2.3 1.173765e+03 136345.0 3147.0
DAX 174.3332 2789.332 24690.0000 0.706 11.3 1.174000e+00 28980.0 3274.0
CAD 0.0021 0.033 0.7310 0.285 4.6 1.000000e+05 73095.0 3328.0
COTTON2 0.4618 7.389 64.2700 0.719 11.5 5.000000e+02 32135.0 3695.0
BITCOIN 2325.1535 37202.455 88085.0000 2.640 42.2 1.000000e-01 8808.0 3720.0
SP500_micro 48.9451 783.122 6892.5000 0.710 11.4 5.000000e+00 34462.0 3916.0
SUGAR11 0.2222 3.555 14.6600 1.516 24.3 1.120000e+03 16419.0 3982.0
OATIES 5.3031 84.850 310.0000 1.711 27.4 5.000000e+01 15500.0 4242.0
US10 0.2701 4.322 112.2969 0.241 3.8 1.000000e+03 112297.0 4322.0
NZD 0.0028 0.045 0.5772 0.484 7.8 1.000000e+05 57725.0 4474.0
AUD 0.0028 0.045 0.6674 0.421 6.7 1.000000e+05 66740.0 4498.0
WHEAT 5.6916 91.066 564.0000 1.009 16.1 5.000000e+01 28200.0 4553.0
GBP 0.0048 0.077 1.3473 0.357 5.7 6.250000e+04 84206.0 4807.0
RICE 0.1525 2.439 9.9450 1.533 24.5 2.000000e+03 19890.0 4879.0
DX 0.3165 5.063 98.0450 0.323 5.2 1.000000e+03 98045.0 5063.0
SOYMEAL 3.2813 52.501 304.0000 1.079 17.3 1.000000e+02 30400.0 5250.0
US10U 0.3330 5.328 115.0156 0.290 4.6 1.000000e+03 115016.0 5328.0
REDWHEAT 6.6931 107.090 528.0000 1.268 20.3 5.000000e+01 26400.0 5355.0
GAS_US_mini 0.1417 2.268 3.1550 4.493 71.9 2.500000e+03 7887.0 5670.0
SOYBEAN 7.2321 115.713 1064.2500 0.680 10.9 5.000000e+01 53212.0 5786.0
NIKKEI 567.7185 9083.495 50400.0000 1.126 18.0 6.390000e-01 32183.0 5800.0
SOYOIL 0.6105 9.768 49.0800 1.244 19.9 6.000000e+02 29448.0 5861.0
VIX 0.3803 6.084 19.6500 1.935 31.0 1.000000e+03 19650.0 6084.0
BUND 0.3274 5.239 127.5700 0.257 4.1 1.173765e+03 149737.0 6149.0
OAT 0.3397 5.434 120.5900 0.282 4.5 1.173765e+03 141544.0 6379.0
LEANHOG 1.0003 16.005 89.8750 1.113 17.8 4.000000e+02 35950.0 6402.0
BTP 0.3499 5.599 120.1800 0.291 4.7 1.173765e+03 141063.0 6572.0
EUR 0.0034 0.054 1.1786 0.288 4.6 1.250000e+05 147319.0 6799.0
JPY 0.0000 0.001 0.0064 0.541 8.6 1.250000e+07 80288.0 6944.0
EUROSTX 42.5198 680.317 5841.0000 0.728 11.6 1.173800e+01 68560.0 7985.0
NASDAQ_micro 249.9834 3999.734 25456.7500 0.982 15.7 2.000000e+00 50914.0 7999.0
US20 0.5234 8.374 115.5938 0.453 7.2 1.000000e+03 115594.0 8374.0
GOLD_micro 56.4440 903.105 4332.7000 1.303 20.8 1.000000e+01 43327.0 9031.0
CHF 0.0048 0.077 1.2714 0.377 6.0 1.250000e+05 158931.0 9575.0
CAC 51.7503 828.005 8154.0000 0.635 10.2 1.173800e+01 95709.0 9719.0
US30 0.6765 10.824 118.0000 0.573 9.2 1.000000e+03 118000.0 10824.0
CRUDE_W 0.7177 11.484 56.9800 1.260 20.2 1.000000e+03 56980.0 11484.0
BUXL 0.7047 11.275 110.1200 0.640 10.2 1.173765e+03 129255.0 13234.0
ROBUSTA 89.4051 1430.481 3949.0000 2.264 36.2 1.000000e+01 39490.0 14305.0
LIVECOW 2.3139 37.023 232.1250 0.997 15.9 4.000000e+02 92850.0 14809.0
SMI 76.9221 1230.753 13207.0000 0.582 9.3 1.261200e+01 166567.0 15522.0
GASOIL 10.6910 171.057 615.7500 1.736 27.8 1.000000e+02 61575.0 17106.0
GASOLINE 0.0255 0.408 1.9613 1.301 20.8 4.200000e+04 82375.0 17142.0
OJ 8.2072 131.315 201.2000 4.079 65.3 1.500000e+02 30180.0 19697.0
HEATOIL 0.0374 0.598 2.0700 1.806 28.9 4.200000e+04 86940.0 25121.0
FEEDCOW 3.6207 57.931 344.1750 1.052 16.8 5.000000e+02 172088.0 28965.0
COCOA 200.0925 3201.480 6102.0000 3.279 52.5 1.000000e+01 61020.0 32015.0
COFFEE 6.3257 101.210 333.3500 1.898 30.4 3.750000e+02 125006.0 37954.0
COPPER 0.0974 1.559 5.6940 1.711 27.4 2.500000e+04 142350.0 38972.0
SP400 30.8530 493.648 3325.2000 0.928 14.8 1.000000e+02 332520.0 49365.0
PLAT 89.8700 1437.919 2070.0000 4.342 69.5 5.000000e+01 103500.0 71896.0
SILVER-mini 2.3324 37.319 71.3750 3.268 52.3 2.500000e+03 178438.0 93297.0
PALLAD 80.1269 1282.030 1661.0000 4.824 77.2 1.000000e+02 166100.0 128203.0
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Risk of all instruments with data - sorted by notional exposure per contract
==================================================================================================================================================================
daily_price_stdev annual_price_stdev price daily_perc_stdev annual_perc_stdev point_size_base contract_exposure annual_risk_per_contract
GAS_US_mini 0.1417 2.268 3.1550 4.493 71.9 2.500000e+03 7887.0 5670.0
CANOLA 8.1550 130.480 602.4000 1.354 21.7 1.459700e+01 8793.0 1905.0
BITCOIN 2325.1535 37202.455 88085.0000 2.640 42.2 1.000000e-01 8808.0 3720.0
RUSSELL 27.7061 443.298 2498.0000 1.109 17.7 5.000000e+00 12490.0 2216.0
OATIES 5.3031 84.850 310.0000 1.711 27.4 5.000000e+01 15500.0 4242.0
LUMBER-new 6.6477 106.364 576.0000 1.154 18.5 2.750000e+01 15840.0 2925.0
SUGAR11 0.2222 3.555 14.6600 1.516 24.3 1.120000e+03 16419.0 3982.0
VIX 0.3803 6.084 19.6500 1.935 31.0 1.000000e+03 19650.0 6084.0
RICE 0.1525 2.439 9.9450 1.533 24.5 2.000000e+03 19890.0 4879.0
CORN 3.0097 48.154 460.2500 0.654 10.5 5.000000e+01 23012.0 2408.0
DOW 328.8144 5261.031 48336.0000 0.680 10.9 5.000000e-01 24168.0 2631.0
REDWHEAT 6.6931 107.090 528.0000 1.268 20.3 5.000000e+01 26400.0 5355.0
MXP 0.0002 0.004 0.0552 0.414 6.6 5.000000e+05 27575.0 1828.0
WHEAT 5.6916 91.066 564.0000 1.009 16.1 5.000000e+01 28200.0 4553.0
DAX 174.3332 2789.332 24690.0000 0.706 11.3 1.174000e+00 28980.0 3274.0
SOYOIL 0.6105 9.768 49.0800 1.244 19.9 6.000000e+02 29448.0 5861.0
OJ 8.2072 131.315 201.2000 4.079 65.3 1.500000e+02 30180.0 19697.0
SOYMEAL 3.2813 52.501 304.0000 1.079 17.3 1.000000e+02 30400.0 5250.0
COTTON2 0.4618 7.389 64.2700 0.719 11.5 5.000000e+02 32135.0 3695.0
NIKKEI 567.7185 9083.495 50400.0000 1.126 18.0 6.390000e-01 32183.0 5800.0
SP500_micro 48.9451 783.122 6892.5000 0.710 11.4 5.000000e+00 34462.0 3916.0
LEANHOG 1.0003 16.005 89.8750 1.113 17.8 4.000000e+02 35950.0 6402.0
ROBUSTA 89.4051 1430.481 3949.0000 2.264 36.2 1.000000e+01 39490.0 14305.0
GOLD_micro 56.4440 903.105 4332.7000 1.303 20.8 1.000000e+01 43327.0 9031.0
NASDAQ_micro 249.9834 3999.734 25456.7500 0.982 15.7 2.000000e+00 50914.0 7999.0
SOYBEAN 7.2321 115.713 1064.2500 0.680 10.9 5.000000e+01 53212.0 5786.0
CRUDE_W 0.7177 11.484 56.9800 1.260 20.2 1.000000e+03 56980.0 11484.0
NZD 0.0028 0.045 0.5772 0.484 7.8 1.000000e+05 57725.0 4474.0
COCOA 200.0925 3201.480 6102.0000 3.279 52.5 1.000000e+01 61020.0 32015.0
GASOIL 10.6910 171.057 615.7500 1.736 27.8 1.000000e+02 61575.0 17106.0
AUD 0.0028 0.045 0.6674 0.421 6.7 1.000000e+05 66740.0 4498.0
EUROSTX 42.5198 680.317 5841.0000 0.728 11.6 1.173800e+01 68560.0 7985.0
CAD 0.0021 0.033 0.7310 0.285 4.6 1.000000e+05 73095.0 3328.0
JPY 0.0000 0.001 0.0064 0.541 8.6 1.250000e+07 80288.0 6944.0
GASOLINE 0.0255 0.408 1.9613 1.301 20.8 4.200000e+04 82375.0 17142.0
GBP 0.0048 0.077 1.3473 0.357 5.7 6.250000e+04 84206.0 4807.0
JGB-SGX-mini 0.2274 3.639 132.2500 0.172 2.8 6.385530e+02 84449.0 2324.0
HEATOIL 0.0374 0.598 2.0700 1.806 28.9 4.200000e+04 86940.0 25121.0
LIVECOW 2.3139 37.023 232.1250 0.997 15.9 4.000000e+02 92850.0 14809.0
CAC 51.7503 828.005 8154.0000 0.635 10.2 1.173800e+01 95709.0 9719.0
DX 0.3165 5.063 98.0450 0.323 5.2 1.000000e+03 98045.0 5063.0
PLAT 89.8700 1437.919 2070.0000 4.342 69.5 5.000000e+01 103500.0 71896.0
US5 0.1766 2.826 109.3047 0.162 2.6 1.000000e+03 109305.0 2826.0
US10 0.2701 4.322 112.2969 0.241 3.8 1.000000e+03 112297.0 4322.0
US10U 0.3330 5.328 115.0156 0.290 4.6 1.000000e+03 115016.0 5328.0
US20 0.5234 8.374 115.5938 0.453 7.2 1.000000e+03 115594.0 8374.0
US30 0.6765 10.824 118.0000 0.573 9.2 1.000000e+03 118000.0 10824.0
COFFEE 6.3257 101.210 333.3500 1.898 30.4 3.750000e+02 125006.0 37954.0
SHATZ 0.0504 0.806 106.7900 0.047 0.8 1.173765e+03 125346.0 947.0
BUXL 0.7047 11.275 110.1200 0.640 10.2 1.173765e+03 129255.0 13234.0
BOBL 0.1676 2.681 116.1600 0.144 2.3 1.173765e+03 136345.0 3147.0
BTP 0.3499 5.599 120.1800 0.291 4.7 1.173765e+03 141063.0 6572.0
OAT 0.3397 5.434 120.5900 0.282 4.5 1.173765e+03 141544.0 6379.0
COPPER 0.0974 1.559 5.6940 1.711 27.4 2.500000e+04 142350.0 38972.0
EUR 0.0034 0.054 1.1786 0.288 4.6 1.250000e+05 147319.0 6799.0
BUND 0.3274 5.239 127.5700 0.257 4.1 1.173765e+03 149737.0 6149.0
CHF 0.0048 0.077 1.2714 0.377 6.0 1.250000e+05 158931.0 9575.0
PALLAD 80.1269 1282.030 1661.0000 4.824 77.2 1.000000e+02 166100.0 128203.0
SMI 76.9221 1230.753 13207.0000 0.582 9.3 1.261200e+01 166567.0 15522.0
FEEDCOW 3.6207 57.931 344.1750 1.052 16.8 5.000000e+02 172088.0 28965.0
SILVER-mini 2.3324 37.319 71.3750 3.268 52.3 2.500000e+03 178438.0 93297.0
US2 0.0701 1.122 104.3945 0.067 1.1 2.000000e+03 208789.0 2243.0
SOFR 0.0417 0.667 96.5450 0.043 0.7 2.500000e+03 241362.0 1668.0
EURIBOR-ICE 0.0340 0.544 97.6250 0.035 0.6 2.934412e+03 286472.0 1595.0
SP400 30.8530 493.648 3325.2000 0.928 14.8 1.000000e+02 332520.0 49365.0
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END OF REPORT
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