|
index_ret |
future_ret |
alpha_gain_from_index_future_hedge |
premium+_discount- |
premium_perleftday |
premium_yearly |
alpha_from_future_shorts |
future_last |
future_last_ytd |
future_cost |
index_price |
contract_deal_last_day |
deal_days_left_total |
hold_days |
| hedge_20240104 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2312 |
-0.006911 |
- |
- |
- |
- |
- |
- |
- |
5956.2 |
- |
5783.732 |
20231215 |
0 |
33 |
| CFFEX.IM2401 |
-0.006911 |
- |
- |
-0.00272 |
-0.000227 |
-0.054854 |
-0.008652 |
5768.0 |
- |
6039.525 |
5783.732 |
20240119 |
12 |
33 |
| CFFEX.IM2402 |
-0.006911 |
-0.00747 |
0.000559 |
-0.007596 |
-0.000281 |
-0.068081 |
-0.011424 |
5739.8 |
5783.0 |
5992.6 |
5783.732 |
20240216 |
27 |
33 |
| CFFEX.IM2403 |
-0.006911 |
-0.008224 |
0.001313 |
-0.011711 |
-0.000249 |
-0.060298 |
- |
5716.0 |
5763.4 |
- |
5783.732 |
20240315 |
47 |
33 |
| CFFEX.IM2406 |
-0.006911 |
- |
- |
-0.027064 |
-0.000576 |
-0.139352 |
- |
5627.2 |
- |
- |
5783.732 |
20240621 |
111 |
33 |
| CFFEX.IC2312 |
-0.008446 |
0.0 |
-0.008446 |
0.018435 |
inf |
inf |
- |
5456.0 |
5456.0 |
- |
5357.241 |
20231215 |
0 |
33 |
| CFFEX.IC2401 |
-0.008446 |
-0.00746 |
-0.000986 |
-0.00165 |
-0.000138 |
-0.033281 |
- |
5348.4 |
5388.6 |
- |
5357.241 |
20240119 |
12 |
33 |
| CFFEX.IC2402 |
-0.008446 |
-0.005371 |
-0.003075 |
-0.004525 |
-0.000168 |
-0.040557 |
- |
5333.0 |
5361.8 |
- |
5357.241 |
20240216 |
27 |
33 |
| CFFEX.IC2403 |
-0.008446 |
-0.0085 |
0.000054 |
-0.007101 |
-0.000151 |
-0.036562 |
- |
5319.2 |
5364.8 |
- |
5357.241 |
20240315 |
47 |
33 |
| CFFEX.IC2406 |
-0.008446 |
- |
- |
-0.018861 |
-0.000401 |
-0.097112 |
- |
5256.2 |
- |
- |
5357.241 |
20240621 |
111 |
33 |
| CFFEX.IF2312 |
-0.008718 |
0.0 |
-0.008718 |
-0.00089 |
-inf |
-inf |
- |
3346.2 |
3346.2 |
- |
3349.182 |
20231215 |
0 |
33 |
| CFFEX.IF2401 |
-0.008718 |
-0.005518 |
-0.0032 |
0.000901 |
0.000075 |
0.018172 |
- |
3352.2 |
3370.8 |
- |
3349.182 |
20240119 |
12 |
33 |
| CFFEX.IF2402 |
-0.008718 |
-0.010436 |
0.001718 |
0.002215 |
0.000082 |
0.019852 |
- |
3356.6 |
3392.0 |
- |
3349.182 |
20240216 |
27 |
33 |
| CFFEX.IF2403 |
-0.008718 |
-0.01013 |
0.001411 |
0.003708 |
0.000079 |
0.019091 |
- |
3361.6 |
3396.0 |
- |
3349.182 |
20240315 |
47 |
33 |
| CFFEX.IF2406 |
-0.008718 |
-0.008521 |
-0.000198 |
0.000603 |
0.000013 |
0.003102 |
- |
3351.2 |
3380.0 |
- |
3349.182 |
20240621 |
111 |
33 |
| CFFEX.IH2312 |
-0.006425 |
0.0 |
-0.006425 |
-0.013635 |
-inf |
-inf |
- |
2249.4 |
2249.4 |
- |
2280.494 |
20231215 |
0 |
33 |
| CFFEX.IH2401 |
-0.006425 |
- |
- |
0.000836 |
0.00007 |
0.016855 |
- |
2282.4 |
- |
- |
2280.494 |
20240119 |
12 |
33 |
| CFFEX.IH2402 |
-0.006425 |
-0.004355 |
-0.00207 |
0.002414 |
0.000089 |
0.02164 |
- |
2286.0 |
2296.0 |
- |
2280.494 |
20240216 |
27 |
33 |
| CFFEX.IH2403 |
-0.006425 |
-0.008141 |
0.001715 |
0.004431 |
0.000094 |
0.022817 |
- |
2290.6 |
2309.4 |
- |
2280.494 |
20240315 |
47 |
33 |
| CFFEX.IH2406 |
-0.006425 |
-0.008488 |
0.002062 |
0.003993 |
0.000085 |
0.02056 |
- |
2289.6 |
2309.2 |
- |
2280.494 |
20240621 |
111 |
33 |