|
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_20240109 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2312 |
0.001041 |
0.0 |
0.001041 |
0.072982 |
inf |
inf |
- |
5956.2 |
5956.2 |
- |
5551.070 |
20231215 |
0 |
36 |
| CFFEX.IM2401 |
0.001041 |
0.005657 |
-0.004616 |
-0.007182 |
-0.000798 |
-0.193127 |
-0.004202 |
5511.2 |
5480.2 |
6039.525 |
5551.070 |
20240119 |
9 |
36 |
| CFFEX.IM2402 |
0.001041 |
0.005735 |
-0.004694 |
-0.014388 |
-0.0006 |
-0.145081 |
-0.004673 |
5471.2 |
5440.0 |
5992.6 |
5551.070 |
20240216 |
24 |
36 |
| CFFEX.IM2403 |
0.001041 |
0.005549 |
-0.004508 |
-0.020693 |
-0.00047 |
-0.113813 |
- |
5436.2 |
5406.2 |
- |
5551.070 |
20240315 |
44 |
36 |
| CFFEX.IM2406 |
0.001041 |
0.00474 |
-0.003699 |
-0.037627 |
-0.000855 |
-0.206948 |
- |
5342.2 |
5317.0 |
- |
5551.070 |
20240621 |
108 |
36 |
| CFFEX.IC2312 |
0.001984 |
- |
- |
- |
- |
- |
- |
- |
5456.0 |
- |
5180.135 |
20231215 |
0 |
36 |
| CFFEX.IC2401 |
0.001984 |
0.004522 |
-0.002538 |
-0.005084 |
-0.000565 |
-0.136699 |
- |
5153.8 |
5130.6 |
- |
5180.135 |
20240119 |
9 |
36 |
| CFFEX.IC2402 |
0.001984 |
0.004742 |
-0.002759 |
-0.010219 |
-0.000426 |
-0.10304 |
- |
5127.2 |
5103.0 |
- |
5180.135 |
20240216 |
24 |
36 |
| CFFEX.IC2403 |
0.001984 |
0.005119 |
-0.003136 |
-0.014504 |
-0.00033 |
-0.079774 |
- |
5105.0 |
5079.0 |
- |
5180.135 |
20240315 |
44 |
36 |
| CFFEX.IC2406 |
0.001984 |
0.003872 |
-0.001888 |
-0.02906 |
-0.00066 |
-0.15983 |
- |
5029.6 |
5010.2 |
- |
5180.135 |
20240621 |
108 |
36 |
| CFFEX.IF2312 |
0.001759 |
0.0 |
0.001759 |
0.015948 |
inf |
inf |
- |
3346.2 |
3346.2 |
- |
3293.673 |
20231215 |
0 |
36 |
| CFFEX.IF2401 |
0.001759 |
0.003476 |
-0.001717 |
-0.000812 |
-0.00009 |
-0.021822 |
- |
3291.0 |
3279.6 |
- |
3293.673 |
20240119 |
9 |
36 |
| CFFEX.IF2402 |
0.001759 |
0.004025 |
-0.002266 |
-0.000265 |
-0.000011 |
-0.002673 |
- |
3292.8 |
3279.6 |
- |
3293.673 |
20240216 |
24 |
36 |
| CFFEX.IF2403 |
0.001759 |
0.004453 |
-0.002694 |
-0.000204 |
-0.000005 |
-0.001124 |
- |
3293.0 |
3278.4 |
- |
3293.673 |
20240315 |
44 |
36 |
| CFFEX.IF2406 |
0.001759 |
0.003361 |
-0.001602 |
-0.003119 |
-0.000071 |
-0.017155 |
- |
3283.4 |
3272.4 |
- |
3293.673 |
20240621 |
108 |
36 |
| CFFEX.IH2312 |
0.000641 |
- |
- |
- |
- |
- |
- |
- |
2249.4 |
- |
2246.296 |
20231215 |
0 |
36 |
| CFFEX.IH2401 |
0.000641 |
0.002231 |
-0.001591 |
-0.000221 |
-0.000025 |
-0.005937 |
- |
2245.8 |
2240.8 |
- |
2246.296 |
20240119 |
9 |
36 |
| CFFEX.IH2402 |
0.000641 |
0.002138 |
-0.001498 |
0.00156 |
0.000065 |
0.015729 |
- |
2249.8 |
2245.0 |
- |
2246.296 |
20240216 |
24 |
36 |
| CFFEX.IH2403 |
0.000641 |
0.002226 |
-0.001586 |
0.002094 |
0.000048 |
0.011518 |
- |
2251.0 |
2246.0 |
- |
2246.296 |
20240315 |
44 |
36 |
| CFFEX.IH2406 |
0.000641 |
0.002673 |
-0.002032 |
0.002094 |
0.000048 |
0.011518 |
- |
2251.0 |
2245.0 |
- |
2246.296 |
20240621 |
108 |
36 |