GuoTai Commodity(SZ160216) Net Value

Official Est date 2018-05-21, calibration(Calibration History) on 2018-05-18 19:48:35. Future Realtime Est assume CL(Calibration History) 100% related.
Symbol Official Est Official Premium Fair Est Fair Premium Realtime Est Realtime Premium
SZ160216 0.5396 1.93% 0.5396 1.93% 0.5396 1.92%

Reference data
Symbol Price Change Date Time Name
USO 14.67 1.66% 2018-05-21 16:00 United States Oil
USO 14.67 1.66% 2018-05-21 19:59 Post-Market Trading
CL 72.48 0.33% 2018-05-22 08:04 NYMEX Oil Future
DINIW 93.56 0.04% 2018-05-22 08:04 USD Index
USCNY 6.385 0.14% 2018-05-21 09:15 USD/CNY Reference Rate
SZ160216 0.55 -0.54% 2018-05-21 16:00 GuoTai Commodity

The Premium of Ask/Bid Price comparing with SZ160216 each Est net value 0.5396/0.5396/0.5396
Trading Price Num(100) Official PremiumFair PremiumRealtime Premium Arbitrage Quantity
Ask 5 0.555 3 2.86%2.86%2.85% 1038@15.08
Ask 4 0.554 30 2.67%2.67%2.66% 1040@15.05
Ask 3 0.553 775 2.49%2.49%2.48% 1042@15.02
Ask 2 0.552 2476 2.3%2.3%2.29% 1044@14.99
Ask 1 0.551 2278 2.12%2.12%2.11% 1046@14.97
Bid 1 0.55 1545 1.93%1.93%1.92% 1048@14.94
Bid 2 0.549 1143 1.75%1.75%1.73% 1050@14.91
Bid 3 0.548 134 1.56%1.56%1.55% 1052@14.89
Bid 4 0.547 301 1.38%1.38%1.36% 1054@14.86
Bid 5 0.546 90 1.19%1.19%1.18% 1055@14.83

Days of USO trading range covered the SMA in past 100 trading days starting from 2018-05-21 History
SMA Est Premium Days T+1 Est SZ160216 EstT+1 Est Arbitrage Quantity
5 Days 14.51 1.09% 9 14.53 0.53410.5347 1079/1077
10 Days 14.43 1.67% 8 14.44 0.53110.5314 1085/1084
20 Days 14.13 3.79% 3 14.16 0.52080.5216 1107/1106
Boll Up 14.87 -1.34% 6 15.04 0.54650.5525 1053/1041
Boll Down 13.4 9.47% 0 13.28 0.49520.4908 1168/1179
5 Weeks 14.13 3.86% 14.26 0.52050.5251 1108/1098
10 Weeks 13.63 7.62% 13.68 0.50320.5048 1148/1145
20 Weeks 13.1 11.96% 13.12 0.48480.4852 1195/1194
5 Months 13.06 12.33% 13.09 0.48330.4842 1199/1196
10 Months 11.86 23.73% 12.14 0.44120.4509 1320/1290
20 Months 11.23 30.69% 11.26 0.41910.4204 1395/1390

The Premium history of SZ160216 Close price comparing with Net Value Net Value History
Date Close Net Value Premium USO Change Official Est Est Time Error
2018-05-21 0.550 0.53 3.77% 14.43 -0.41% 0.5306 15:57:14 0.11%
2018-05-18 0.553 0.532 3.95% 14.49 0.21% 0.5325 16:57:20 0
2018-05-17 0.540 0.532 1.5% 14.46 0.42% 0.5311 16:55:45 -0.17%
2018-05-16 0.530 0.527 0.57% 14.4 0.14% 0.5268 21:15:50 0
2018-05-15 0.529 0.525 0.76% 14.38 0.91% 0.5243 16:44:07 -0.13%
2018-05-14 0.528 0.522 1.15% 14.25 -1.11% 0.5215 15:49:30 -0.1%
2018-05-11 0.537 0.529 1.51% 14.41 0.28% 0.5287 16:55:41 0
2018-05-10 0.538 0.527 2.09% 14.37 2.2% 0.5273 18:05:31 0
2018-05-09 0.532 0.516 3.1% 14.06 -0.28% 0.5153 16:47:13 -0.14%

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