|
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_20240108 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2312 |
-0.022994 |
0.0 |
-0.022994 |
0.074099 |
inf |
inf |
- |
5956.2 |
5956.2 |
- |
5545.298 |
20231215 |
0 |
35 |
| CFFEX.IM2401 |
-0.022994 |
-0.031705 |
0.00871 |
-0.010838 |
-0.001084 |
-0.262271 |
-0.000842 |
5485.2 |
5664.8 |
6039.525 |
5545.298 |
20240119 |
10 |
35 |
| CFFEX.IM2402 |
-0.022994 |
-0.034139 |
0.011145 |
-0.018376 |
-0.000735 |
-0.177875 |
-0.000978 |
5443.4 |
5635.8 |
5992.6 |
5545.298 |
20240216 |
25 |
35 |
| CFFEX.IM2403 |
-0.022994 |
-0.035352 |
0.012358 |
-0.024723 |
-0.000549 |
-0.132956 |
- |
5408.2 |
5606.4 |
- |
5545.298 |
20240315 |
45 |
35 |
| CFFEX.IM2406 |
-0.022994 |
-0.036818 |
0.013824 |
-0.041386 |
-0.00092 |
-0.222565 |
- |
5315.8 |
5519.0 |
- |
5545.298 |
20240621 |
109 |
35 |
| CFFEX.IC2312 |
-0.021203 |
0.0 |
-0.021203 |
0.055344 |
inf |
inf |
- |
5456.0 |
5456.0 |
- |
5169.88 |
20231215 |
0 |
35 |
| CFFEX.IC2401 |
-0.021203 |
-0.027716 |
0.006513 |
-0.006592 |
-0.000659 |
-0.159527 |
- |
5135.8 |
5282.2 |
- |
5169.88 |
20240119 |
10 |
35 |
| CFFEX.IC2402 |
-0.021203 |
-0.03197 |
0.010767 |
-0.01371 |
-0.000548 |
-0.132715 |
- |
5099.0 |
5267.4 |
- |
5169.88 |
20240216 |
25 |
35 |
| CFFEX.IC2403 |
-0.021203 |
-0.033063 |
0.01186 |
-0.017966 |
-0.000399 |
-0.096615 |
- |
5077.0 |
5250.6 |
- |
5169.88 |
20240315 |
45 |
35 |
| CFFEX.IC2406 |
-0.021203 |
-0.034508 |
0.013305 |
-0.031273 |
-0.000695 |
-0.168182 |
- |
5008.2 |
5187.2 |
- |
5169.88 |
20240621 |
109 |
35 |
| CFFEX.IF2312 |
-0.012382 |
- |
- |
- |
- |
- |
- |
- |
3346.2 |
- |
3287.889 |
20231215 |
0 |
35 |
| CFFEX.IF2401 |
-0.012382 |
-0.015716 |
0.003334 |
-0.001852 |
-0.000185 |
-0.044817 |
- |
3281.8 |
3334.2 |
- |
3287.889 |
20240119 |
10 |
35 |
| CFFEX.IF2402 |
-0.012382 |
-0.016244 |
0.003862 |
-0.001669 |
-0.000067 |
-0.01616 |
- |
3282.4 |
3336.6 |
- |
3287.889 |
20240216 |
25 |
35 |
| CFFEX.IF2403 |
-0.012382 |
-0.017549 |
0.005167 |
-0.002217 |
-0.000049 |
-0.011922 |
- |
3280.6 |
3339.2 |
- |
3287.889 |
20240315 |
45 |
35 |
| CFFEX.IF2406 |
-0.012382 |
-0.017947 |
0.005565 |
-0.004772 |
-0.000106 |
-0.025661 |
- |
3272.2 |
3332.0 |
- |
3287.889 |
20240621 |
109 |
35 |
| CFFEX.IH2312 |
- |
0.0 |
- |
- |
- |
- |
- |
2249.4 |
2249.4 |
- |
- |
20231215 |
0 |
35 |
| CFFEX.IH2401 |
- |
-0.012333 |
- |
- |
- |
- |
- |
2242.4 |
2270.4 |
- |
- |
20240119 |
10 |
35 |
| CFFEX.IH2402 |
- |
-0.012667 |
- |
- |
- |
- |
- |
2244.8 |
2273.6 |
- |
- |
20240216 |
25 |
35 |
| CFFEX.IH2403 |
- |
-0.013521 |
- |
- |
- |
- |
- |
2247.2 |
2278.0 |
- |
- |
20240315 |
45 |
35 |
| CFFEX.IH2406 |
- |
-0.013263 |
- |
- |
- |
- |
- |
2246.8 |
2277.0 |
- |
- |
20240621 |
109 |
35 |