|
index_ret |
future_ret |
alpha_gain_from_index_future_hedge |
premium+_discount- |
premium_perleftday |
premium_yearly |
alpha_from_future_shorts |
future_last |
future_cost |
index_price |
contract_deal_last_day |
deal_days_left_total |
hold_days |
| hedge_20240102 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2312 |
-0.005452 |
0.000000 |
-0.005452 |
0.017279 |
inf |
inf |
- |
5956.2 |
- |
5855.031 |
20231215 |
0 |
31 |
| CFFEX.IM2401 |
-0.005452 |
-0.010382 |
0.004930 |
-0.003660 |
-0.000261 |
-0.063270 |
-0.007847 |
5833.6 |
6039.525 |
5855.031 |
20240119 |
14 |
31 |
| CFFEX.IM2402 |
-0.005452 |
-0.010181 |
0.004730 |
-0.007076 |
-0.000244 |
-0.059049 |
-0.012073 |
5813.6 |
5992.6 |
5855.031 |
20240216 |
29 |
31 |
| CFFEX.IM2403 |
-0.005452 |
-0.006490 |
0.001039 |
-0.006495 |
-0.000133 |
-0.032080 |
- |
5817.0 |
- |
5855.031 |
20240315 |
49 |
31 |
| CFFEX.IM2406 |
-0.005452 |
-0.010548 |
0.005096 |
-0.025898 |
-0.000529 |
-0.127902 |
- |
5703.4 |
- |
5855.031 |
20240621 |
113 |
31 |
| CFFEX.IC2312 |
-0.003467 |
0.000000 |
-0.003467 |
0.008173 |
inf |
inf |
- |
5456.0 |
- |
5411.770 |
20231215 |
0 |
31 |
| CFFEX.IC2401 |
-0.003467 |
-0.006370 |
0.002903 |
-0.002692 |
-0.000192 |
-0.046538 |
- |
5397.2 |
- |
5411.770 |
20240119 |
14 |
31 |
| CFFEX.IC2402 |
-0.003467 |
-0.006127 |
0.002659 |
-0.004799 |
-0.000165 |
-0.040045 |
- |
5385.8 |
- |
5411.770 |
20240216 |
29 |
31 |
| CFFEX.IC2403 |
-0.003467 |
-0.006212 |
0.002744 |
-0.006721 |
-0.000137 |
-0.033191 |
- |
5375.4 |
- |
5411.770 |
20240315 |
49 |
31 |
| CFFEX.IC2406 |
-0.003467 |
-0.006057 |
0.002589 |
-0.017475 |
-0.000357 |
-0.086304 |
- |
5317.2 |
- |
5411.770 |
20240621 |
113 |
31 |
| CFFEX.IF2312 |
-0.011529 |
0.000000 |
-0.011529 |
-0.012266 |
-inf |
-inf |
- |
3346.2 |
- |
3387.754 |
20231215 |
0 |
31 |
| CFFEX.IF2401 |
-0.011529 |
-0.014537 |
0.003008 |
0.000486 |
0.000035 |
0.008399 |
- |
3389.4 |
- |
3387.754 |
20240119 |
14 |
31 |
| CFFEX.IF2402 |
-0.011529 |
-0.014564 |
0.003035 |
0.002611 |
0.000090 |
0.021790 |
- |
3396.6 |
- |
3387.754 |
20240216 |
29 |
31 |
| CFFEX.IF2403 |
-0.011529 |
-0.015450 |
0.003921 |
0.004500 |
0.000092 |
0.022226 |
- |
3403.0 |
- |
3387.754 |
20240315 |
49 |
31 |
| CFFEX.IF2406 |
-0.011529 |
-0.016104 |
0.004575 |
0.002729 |
0.000056 |
0.013479 |
- |
3397.0 |
- |
3387.754 |
20240621 |
113 |
31 |
| CFFEX.IH2312 |
-0.010948 |
0.000000 |
-0.010948 |
-0.019314 |
-inf |
-inf |
- |
2249.4 |
- |
2293.701 |
20231215 |
0 |
31 |
| CFFEX.IH2401 |
-0.010948 |
-0.010659 |
-0.000289 |
0.003531 |
0.000252 |
0.061035 |
- |
2301.8 |
- |
2293.701 |
20240119 |
14 |
31 |
| CFFEX.IH2402 |
-0.010948 |
-0.013293 |
0.002345 |
0.003182 |
0.000110 |
0.026555 |
- |
2301.0 |
- |
2293.701 |
20240216 |
29 |
31 |
| CFFEX.IH2403 |
-0.010948 |
-0.009931 |
-0.001018 |
0.008414 |
0.000172 |
0.041554 |
- |
2313.0 |
- |
2293.701 |
20240315 |
49 |
31 |
| CFFEX.IH2406 |
-0.010948 |
-0.012923 |
0.001974 |
0.005711 |
0.000117 |
0.028205 |
- |
2306.8 |
- |
2293.701 |
20240621 |
113 |
31 |