最適ヘッジ比率

リスク管理のための最適ヘッジ比率を計算します。

Spot Volatility (σS)

Futures Volatility (σF)

Correlation (ρ)

Optional: Number of Contracts

Spot Position (QA)

Contract Size (QF)

Effectiveness (ρ²)86.12%

Contracts (N*)1,680

h* = ρ × (σS / σF)
N* = h* × (QA / QF)

Optimal Hedge Ratio (h*)

0.7798

PNG · ブラウザー内で作成、アップロードなし

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