forked from robcarver17/reports
-
Notifications
You must be signed in to change notification settings - Fork 0
/
Copy pathRoll_report
228 lines (219 loc) · 28.6 KB
/
Roll_report
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
********************************************************************************
Roll report report produced on 2022-11-14 21:10:45.023293
********************************************************************************
=======================================================================================================================================
Status and time to roll in days
=======================================================================================================================================
status roll_expiry price_expiry carry_expiry contract_priced contract_fwd position_priced volume_priced volume_fwd
CORN Close -31 29 -62 20221200 20231200 0 1.000 0.068
EURIBOR No_Roll -29 671 580 20240900 20241200 0 NaN NaN
KOSPI_mini Close -6 -5 23 20221100 20221200 0 1.000 0.940
CRUDE_W_mini Passive -6 34 3 20230100 20230200 1 1.000 0.052
VNKI No_Roll -4 56 28 20230100 20230200 0 1.000 0.000
AEX_mini No_Roll -2 3 31 20221100 20221200 0 1.000 0.152
COTTON No_Roll 2 7 106 20221200 20230300 0 0.000 0.000
SGX No_Roll 4 14 44 20221100 20221200 0 1.000 0.000
FTSEVIET No_Roll 4 14 44 20221100 20221200 0 1.000 0.000
BITCOIN Close 6 10 45 20221100 20221200 0 1.000 0.064
GAS_US_mini Passive 7 42 10 20230100 20230200 -1 1.000 0.060
GAS-PEN No_Roll 7 42 10 20230100 20230200 0 1.000 NaN
JGB-SGX-mini No_Roll 7 27 115 20221200 20230300 0 1.000 0.016
JGB No_Roll 8 28 118 20221200 20230300 0 1.000 0.001
FTSECHINAH No_Roll 9 14 44 20221100 20221200 0 1.000 0.001
MSCISING Passive 9 14 44 20221100 20221200 0 1.000 0.003
BRE Passive 10 15 45 20221200 20230100 1 1.000 0.006
US10U No_Roll 10 35 127 20221200 20230300 0 1.000 0.000
US20 No_Roll 10 35 127 20221200 20230300 -1 1.000 0.002
US30 No_Roll 10 35 127 20221200 20230300 0 1.000 0.000
CLP No_Roll 10 15 47 20221200 20230100 0 0.000 0.000
GOLD_micro Passive 13 43 101 20221200 20230200 0 1.000 0.028
GASOILINE_micro No_Roll 14 44 76 20230100 20230200 0 NaN NaN
USIRS10 No_Roll 14 34 118 20221200 20230300 0 1.000 0.000
USIRS5 No_Roll 14 34 118 20221200 20230300 0 1.000 0.000
RUBBER No_Roll 15 45 77 20230100 20230200 0 0.958 1.000
ETHANOL No_Roll 15 20 51 20221200 20230100 0 0.000 0.000
MILKWET No_Roll 15 105 77 20230200 20230300 0 1.000 0.849
GASOILINE No_Roll 17 77 45 20230200 20230300 0 1.000 0.560
IRON No_Roll 17 77 45 20230100 20230200 0 1.000 0.169
MILKDRY No_Roll 17 197 168 20230500 20230600 0 1.000 0.315
FED No_Roll 17 197 164 20230500 20230600 0 1.000 0.718
HEATOIL No_Roll 17 77 45 20230200 20230300 0 1.000 0.487
MILK No_Roll 17 77 50 20230100 20230200 0 1.000 0.193
OAT No_Roll 18 23 113 20221200 20230300 0 1.000 NaN
JP-REALESTATE No_Roll 18 23 114 20221200 20230300 0 1.000 0.000
MUMMY No_Roll 18 23 114 20221200 20230300 0 1.000 0.025
BOBL No_Roll 18 23 113 20221200 20230300 1 1.000 0.000
NIKKEI400 No_Roll 18 23 114 20221200 20230300 0 1.000 0.000
CH10 No_Roll 18 23 113 20221200 20230300 0 1.000 0.000
BUXL No_Roll 18 23 113 20221200 20230300 0 1.000 0.001
BUND No_Roll 18 23 113 20221200 20230300 0 1.000 0.000
BTP3 No_Roll 18 23 113 20221200 20230300 0 1.000 0.000
BTP No_Roll 18 23 113 20221200 20230300 0 1.000 0.000
SHATZ No_Roll 18 23 113 20221200 20230300 0 1.000 0.000
BONO No_Roll 18 23 113 20221200 20230300 0 1.000 0.000
TOPIX No_Roll 18 23 114 20221200 20230300 0 1.000 0.003
NIKKEI No_Roll 18 23 58 20221200 20230300 0 1.000 0.052
US5 No_Roll 20 45 136 20221200 20230300 0 1.000 0.004
US2 No_Roll 20 45 136 20221200 20230300 0 1.000 0.003
GICS No_Roll 20 30 64 20221200 20230100 0 1.000 0.000
US3 No_Roll 20 45 136 20221200 20230300 0 1.000 0.001
EU-INSURE No_Roll 21 31 122 20221200 20230300 0 1.000 0.000
DJSTX-SMALL No_Roll 21 31 122 20221200 20230300 0 1.000 0.000
EU-CHEM No_Roll 21 31 122 20221200 20230300 0 1.000 0.000
EU-BANKS No_Roll 21 31 122 20221200 20230300 0 1.000 NaN
R1000 No_Roll 21 31 122 20221200 20230300 0 1.000 0.000
OMX No_Roll 21 31 122 20221200 20230300 0 1.000 0.000
EU-CONSTRUCTION No_Roll 21 31 122 20221200 20230300 0 1.000 0.000
KOSDAQ No_Roll 22 23 114 20221200 20230300 -2 1.000 0.000
KOSPI No_Roll 22 23 114 20221200 20230300 0 1.000 0.008
IRS No_Roll 24 34 118 20221200 20230300 0 1.000 0.000
BOVESPA No_Roll 24 29 92 20221200 20230200 0 1.000 0.000
CNH No_Roll 24 34 62 20221200 20230100 0 1.000 0.031
NZD No_Roll 24 34 118 20221200 20230300 0 1.000 0.001
KRWUSD_mini No_Roll 24 34 62 20221200 20230100 0 1.000 0.004
KRWUSD No_Roll 24 34 62 20221200 20230100 0 1.000 0.000
SGD_mini No_Roll 24 34 62 20221200 20230100 0 1.000 0.338
SGD No_Roll 24 34 62 20221200 20230100 0 1.000 NaN
PLN No_Roll 24 34 118 20221200 20230300 0 1.000 0.000
CRUDE_W_micro No_Roll 25 65 34 20230200 20230300 0 1.000 0.251
RUR No_Roll 25 30 120 20221200 20230300 0 NaN NaN
SMI-MID No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
SMI No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
AEX No_Roll 26 31 66 20221200 20230100 0 1.000 0.008
RUSSELL No_Roll 26 31 122 20221200 20230300 0 1.000 0.002
SP400 No_Roll 26 31 122 20221200 20230300 0 1.000 NaN
MSCIASIA No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
MSCIWORLD No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
RUSSELL_mini No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
SP500 No_Roll 26 31 122 20221200 20230300 0 1.000 0.001
EU-RETAIL No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
EUROSTX-SMALL No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
EU-DIV30 No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
EU-BASIC No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
EU-AUTO No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
US-DISCRETE No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
EPRA-EUROPE No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
EDOLLAR No_Roll 26 1126 1035 20251200 20260300 0 1.000 0.260
DOW_mini No_Roll 26 31 122 20221200 20230300 0 1.000 0.001
DOW No_Roll 26 31 122 20221200 20230300 0 1.000 0.004
DAX No_Roll 26 31 122 20221200 20230300 0 1.000 0.002
US-ENERGY No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
US-FINANCE No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
US-HEALTH No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
US-INDUSTRY No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
US-MATERIAL No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
US-PROPERTY No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
US-STAPLES No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
US-TECH No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
US-UTILS No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
CAC No_Roll 26 31 66 20221200 20230100 0 1.000 0.000
EUROSTX200-LARGE No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
EU-DJ-TECH No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
EU-DJ-OIL No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
EU-DJ-UTIL No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
EUROSTX-LARGE No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
EUROSTX No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
EURO600 No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
SP500_micro No_Roll 26 31 122 20221200 20230300 0 1.000 0.002
SWISSLEAD No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
EU-UTILS No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
EU-DJ-TELECOM No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
EU-TECH No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
NASDAQ_micro No_Roll 26 31 122 20221200 20230300 0 1.000 0.002
EU-REALESTATE No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
EU-TRAVEL No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
EU-MID No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
EU-OIL No_Roll 26 31 122 20221200 20230300 0 1.000 0.001
EU-HEALTH No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
EU-HOUSE No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
EU-FOOD No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
EU-MEDIA No_Roll 26 31 122 20221200 20230300 0 1.000 0.000
NASDAQ No_Roll 26 31 122 20221200 20230300 0 1.000 0.001
BB3M No_Roll 28 118 34 20230300 20230600 0 0.245 1.000
ALUMINIUM No_Roll 28 73 101 20230100 20230200 0 1.000 0.048
TWD No_Roll 29 34 62 20221200 20230100 0 1.000 0.000
TWD-mini No_Roll 29 34 62 20221200 20230100 0 1.000 0.000
NOK No_Roll 29 34 118 20221200 20230300 0 1.000 0.000
OATIES No_Roll 29 119 29 20230300 20230500 0 1.000 0.032
SEK No_Roll 29 34 118 20221200 20230300 0 1.000 NaN
US-REALESTATE No_Roll 29 31 122 20221200 20230300 0 1.000 0.000
REDWHEAT No_Roll 29 119 29 20230300 20230500 0 1.000 0.281
SOYMEAL No_Roll 29 119 59 20230300 20230500 1 1.000 0.451
SOYOIL No_Roll 29 119 59 20230300 20230500 1 1.000 0.499
RICE No_Roll 29 119 59 20230300 20230500 0 1.000 0.031
YENEUR No_Roll 29 34 118 20221200 20230300 0 1.000 0.000
CNH-onshore No_Roll 29 34 62 20221200 20230100 0 1.000 0.000
EUR_micro No_Roll 29 34 118 20221200 20230300 0 1.000 0.053
EURCHF No_Roll 29 34 118 20221200 20230300 0 1.000 0.051
MXP No_Roll 29 34 118 20221200 20230300 0 1.000 0.000
EURCAD No_Roll 29 34 118 20221200 20230300 0 1.000 0.000
CHF_micro No_Roll 29 34 118 20221200 20230300 0 1.000 0.360
GBP No_Roll 29 34 118 20221200 20230300 0 1.000 0.002
GBPCHF No_Roll 29 34 118 20221200 20230300 0 1.000 0.000
GBPEUR No_Roll 29 34 118 20221200 20230300 0 1.000 0.019
GBPJPY No_Roll 29 34 118 20221200 20230300 0 1.000 0.000
GBP_micro No_Roll 29 34 118 20221200 20230300 0 1.000 0.056
EURAUD No_Roll 29 34 118 20221200 20230300 0 1.000 0.000
EUR_mini No_Roll 29 34 118 20221200 20230300 0 1.000 0.004
EUR No_Roll 29 34 118 20221200 20230300 0 1.000 0.003
AUD_micro No_Roll 29 34 118 20221200 20230300 0 1.000 0.014
JPY No_Roll 29 34 118 20221200 20230300 0 1.000 0.002
AUDJPY No_Roll 29 34 118 20221200 20230300 0 1.000 0.000
JPY_mini No_Roll 29 34 118 20221200 20230300 0 1.000 0.039
CZK No_Roll 29 34 118 20221200 20230300 0 1.000 0.000
CHFJPY No_Roll 29 34 118 20221200 20230300 0 1.000 0.000
AUD No_Roll 29 34 118 20221200 20230300 0 1.000 0.001
CHF No_Roll 29 34 118 20221200 20230300 0 1.000 0.002
CAD No_Roll 30 35 119 20221200 20230300 0 1.000 0.002
CAD_micro No_Roll 30 35 119 20221200 20230300 0 1.000 0.029
LEANHOG No_Roll 31 91 29 20230200 20230400 0 1.000 0.313
BBCOMM No_Roll 31 36 120 20221200 20230300 0 1.000 0.007
V2X No_Roll 32 92 64 20230200 20230300 0 1.000 0.202
VIX No_Roll 32 92 64 20230200 20230300 0 1.000 0.518
VIX_mini No_Roll 32 92 64 20230200 20230300 0 1.000 0.537
INR No_Roll 33 43 73 20221200 20230100 0 1.000 0.000
NIFTY No_Roll 34 44 71 20221200 20230100 0 1.000 0.000
FTSEINDO No_Roll 34 44 76 20221200 20230100 0 1.000 0.000
FTSETAIWAN No_Roll 34 44 76 20221200 20230100 0 1.000 0.000
KR10 No_Roll 34 35 126 20221200 20230300 0 1.000 0.000
KR3 No_Roll 34 35 126 20221200 20230300 0 1.000 0.000
FTSECHINAA No_Roll 34 44 76 20221200 20230100 0 1.000 0.001
SOFR No_Roll 36 1036 945 20250600 20250900 0 1.000 0.636
CHEESE No_Roll 37 77 50 20230100 20230200 0 1.000 0.821
BUTTER No_Roll 37 77 50 20230100 20230200 0 1.000 0.484
BRENT-LAST No_Roll 37 77 44 20230300 20230400 0 1.000 0.030
GAS-LAST No_Roll 38 73 43 20230200 20230300 0 0.995 1.000
GAS_US No_Roll 38 73 43 20230200 20230300 0 1.000 0.904
ETHEREUM No_Roll 40 45 73 20221200 20230100 0 1.000 0.067
ETHER-micro No_Roll 40 45 73 20221200 20230100 0 0.767 1.000
STEEL No_Roll 43 133 98 20230300 20230400 0 1.000 0.381
PLAT No_Roll 43 73 162 20230100 20230400 0 1.000 0.010
FEEDCOW No_Roll 45 135 72 20230300 20230400 0 1.000 0.396
LIVECOW No_Roll 45 105 45 20230200 20230400 0 1.000 0.366
GOLD-mini No_Roll 48 78 137 20230200 20230400 0 1.000 0.133
WHEY No_Roll 65 105 77 20230200 20230300 0 0.290 1.000
LUMBER-new No_Roll 70 120 181 20230300 20230500 0 0.980 1.000
LUMBER No_Roll 70 120 181 20230300 20230500 0 1.000 0.124
GOLD No_Roll 71 101 162 20230200 20230400 0 1.000 0.135
COPPER-mini No_Roll 71 101 162 20230300 20230500 0 1.000 0.000
COPPER-micro No_Roll 71 101 134 20230300 20230700 0 1.000 0.000
SOYBEAN_mini No_Roll 74 119 178 20230300 20230500 0 1.000 0.319
CORN_mini No_Roll 89 119 178 20230300 20230500 0 1.000 0.417
WHEAT_mini No_Roll 89 119 178 20230300 20230500 0 1.000 0.082
SILVER No_Roll 89 134 78 20230300 20230500 0 1.000 0.059
JGB-mini No_Roll 95 115 209 20230300 20230600 0 0.000 0.000
HOUSE-US No_Roll 99 104 192 20230200 20230500 0 1.000 0.000
US10 No_Roll 102 127 218 20230300 20230600 0 1.000 NaN
PALLAD No_Roll 104 134 225 20230300 20230600 0 1.000 0.012
COPPER No_Roll 104 134 162 20230300 20230700 0 1.000 0.037
SOYBEAN No_Roll 304 364 303 20231100 20241100 0 1.000 0.023
CRUDE_W No_Roll 330 370 339 20231200 20241200 0 1.000 0.235
WHEAT No_Roll 334 394 303 20231200 20241200 0 1.000 0.001
USIRS2ERIS No_Roll 746 766 850 20221200 20230300 0 1.000 0.000
USIRS5ERIS No_Roll 1841 1861 1946 20221200 20230300 0 1.000 0.000
Roll_exp is days until preferred roll set by roll parameters. Prc_exp is days until price contract expires, Crry_exp is days until carry contract expires
Contract suffix: p=price, f=forward, c=carry
Contract volumes over recent days, normalised so largest volume is 1.0
********************************************************************************
END OF REPORT
********************************************************************************