|
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_20240103 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2312 |
-0.005303 |
0.0 |
-0.005303 |
0.022702 |
inf |
inf |
- |
5956.2 |
- |
5823.982 |
20231215 |
0 |
32 |
| CFFEX.IM2401 |
-0.005303 |
- |
- |
- |
- |
- |
- |
- |
6039.525 |
5823.982 |
20240119 |
13 |
32 |
| CFFEX.IM2402 |
-0.005303 |
-0.00475 |
-0.000553 |
-0.007037 |
-0.000251 |
-0.060818 |
-0.012047 |
5783.0 |
5992.6 |
5823.982 |
20240216 |
28 |
32 |
| CFFEX.IM2403 |
-0.005303 |
-0.009214 |
0.003911 |
-0.010402 |
-0.000217 |
-0.052444 |
- |
5763.4 |
- |
5823.982 |
20240315 |
48 |
32 |
| CFFEX.IM2406 |
-0.005303 |
- |
- |
- |
- |
- |
- |
- |
- |
5823.982 |
20240621 |
112 |
32 |
| CFFEX.IC2312 |
-0.001644 |
0.0 |
-0.001644 |
0.009833 |
inf |
inf |
- |
5456.0 |
- |
5402.874 |
20231215 |
0 |
32 |
| CFFEX.IC2401 |
-0.001644 |
-0.001038 |
-0.000606 |
-0.002642 |
-0.000203 |
-0.04918 |
- |
5388.6 |
- |
5402.874 |
20240119 |
13 |
32 |
| CFFEX.IC2402 |
-0.001644 |
-0.00416 |
0.002516 |
-0.007602 |
-0.000272 |
-0.065705 |
- |
5361.8 |
- |
5402.874 |
20240216 |
28 |
32 |
| CFFEX.IC2403 |
-0.001644 |
-0.002232 |
0.000588 |
-0.007047 |
-0.000147 |
-0.035529 |
- |
5364.8 |
- |
5402.874 |
20240315 |
48 |
32 |
| CFFEX.IC2406 |
-0.001644 |
- |
- |
- |
- |
- |
- |
- |
- |
5402.874 |
20240621 |
112 |
32 |
| CFFEX.IF2312 |
-0.002691 |
0.0 |
-0.002691 |
-0.009601 |
-inf |
-inf |
- |
3346.2 |
- |
3378.638 |
20231215 |
0 |
32 |
| CFFEX.IF2401 |
-0.002691 |
-0.005135 |
0.002445 |
-0.00232 |
-0.000178 |
-0.043185 |
- |
3370.8 |
- |
3378.638 |
20240119 |
13 |
32 |
| CFFEX.IF2402 |
-0.002691 |
-0.001295 |
-0.001395 |
0.003955 |
0.000141 |
0.034181 |
- |
3392.0 |
- |
3378.638 |
20240216 |
28 |
32 |
| CFFEX.IF2403 |
-0.002691 |
-0.001764 |
-0.000927 |
0.005139 |
0.000107 |
0.025908 |
- |
3396.0 |
- |
3378.638 |
20240315 |
48 |
32 |
| CFFEX.IF2406 |
-0.002691 |
-0.005004 |
0.002314 |
0.000403 |
0.000008 |
0.002032 |
- |
3380.0 |
- |
3378.638 |
20240621 |
112 |
32 |
| CFFEX.IH2312 |
0.000672 |
0.0 |
0.000672 |
-0.019973 |
-inf |
-inf |
- |
2249.4 |
- |
2295.242 |
20231215 |
0 |
32 |
| CFFEX.IH2401 |
0.000672 |
- |
- |
- |
- |
- |
- |
- |
- |
2295.242 |
20240119 |
13 |
32 |
| CFFEX.IH2402 |
0.000672 |
-0.000783 |
0.001455 |
0.00033 |
0.000012 |
0.002854 |
- |
2296.0 |
- |
2295.242 |
20240216 |
28 |
32 |
| CFFEX.IH2403 |
0.000672 |
-0.001556 |
0.002228 |
0.006168 |
0.000129 |
0.031099 |
- |
2309.4 |
- |
2295.242 |
20240315 |
48 |
32 |
| CFFEX.IH2406 |
0.000672 |
0.001127 |
-0.000455 |
0.006081 |
0.000127 |
0.03066 |
- |
2309.2 |
- |
2295.242 |
20240621 |
112 |
32 |