|
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_20240111 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2312 |
0.017250 |
- |
- |
- |
- |
- |
- |
- |
5956.2 |
- |
5610.742 |
20231215 |
0 |
38 |
| CFFEX.IM2401 |
0.017250 |
0.019655 |
-0.002405 |
-0.003269 |
-0.000467 |
-0.113017 |
-0.007883 |
5592.4 |
5484.6 |
6039.525 |
5610.742 |
20240119 |
7 |
38 |
| CFFEX.IM2402 |
0.017250 |
0.021708 |
-0.004458 |
-0.008473 |
-0.000385 |
-0.093207 |
-0.010261 |
5563.2 |
5445.0 |
5992.6 |
5610.742 |
20240216 |
22 |
38 |
| CFFEX.IM2403 |
0.017250 |
0.022915 |
-0.005665 |
-0.013428 |
-0.00032 |
-0.077372 |
- |
5535.4 |
5411.4 |
- |
5610.742 |
20240315 |
42 |
38 |
| CFFEX.IM2406 |
0.017250 |
0.02442 |
-0.00717 |
-0.029504 |
-0.000702 |
-0.170002 |
- |
5445.2 |
5315.4 |
- |
5610.742 |
20240621 |
106 |
38 |
| CFFEX.IC2312 |
0.012048 |
- |
- |
- |
- |
- |
- |
- |
5456.0 |
- |
5224.138 |
20231215 |
0 |
38 |
| CFFEX.IC2401 |
0.012048 |
0.013311 |
-0.001263 |
-0.003242 |
-0.000463 |
-0.112089 |
- |
5207.2 |
5138.8 |
- |
5224.138 |
20240119 |
7 |
38 |
| CFFEX.IC2402 |
0.012048 |
0.014595 |
-0.002547 |
-0.0073 |
-0.000332 |
-0.080304 |
- |
5186.0 |
5111.4 |
- |
5224.138 |
20240216 |
22 |
38 |
| CFFEX.IC2403 |
0.012048 |
0.015359 |
-0.003311 |
-0.010401 |
-0.000248 |
-0.059931 |
- |
5169.8 |
5091.6 |
- |
5224.138 |
20240315 |
42 |
38 |
| CFFEX.IC2406 |
0.012048 |
0.014546 |
-0.002499 |
-0.025409 |
-0.000605 |
-0.146402 |
- |
5091.4 |
5018.4 |
- |
5224.138 |
20240621 |
106 |
38 |
| CFFEX.IF2312 |
0.005042 |
0.0 |
0.005042 |
0.015071 |
inf |
inf |
- |
3346.2 |
3346.2 |
- |
3296.519 |
20231215 |
0 |
38 |
| CFFEX.IF2401 |
0.005042 |
0.005796 |
-0.000754 |
0.000207 |
0.00003 |
0.007142 |
- |
3297.2 |
3278.2 |
- |
3296.519 |
20240119 |
7 |
38 |
| CFFEX.IF2402 |
0.005042 |
0.006526 |
-0.001483 |
0.001299 |
0.000059 |
0.014285 |
- |
3300.8 |
3279.4 |
- |
3296.519 |
20240216 |
22 |
38 |
| CFFEX.IF2403 |
0.005042 |
0.00756 |
-0.002518 |
0.002633 |
0.000063 |
0.015173 |
- |
3305.2 |
3280.4 |
- |
3296.519 |
20240315 |
42 |
38 |
| CFFEX.IF2406 |
0.005042 |
0.008325 |
-0.003283 |
-0.000582 |
-0.000014 |
-0.003354 |
- |
3294.6 |
3267.4 |
- |
3296.519 |
20240621 |
106 |
38 |
| CFFEX.IH2312 |
0.001815 |
0.0 |
0.001815 |
0.003789 |
inf |
inf |
- |
2249.4 |
2249.4 |
- |
2240.909 |
20231215 |
0 |
38 |
| CFFEX.IH2401 |
0.001815 |
0.003489 |
-0.001675 |
0.001022 |
0.000146 |
0.035344 |
- |
2243.2 |
2235.4 |
- |
2240.909 |
20240119 |
7 |
38 |
| CFFEX.IH2402 |
0.001815 |
0.004022 |
-0.002207 |
0.002629 |
0.000119 |
0.028917 |
- |
2246.8 |
2237.8 |
- |
2240.909 |
20240216 |
22 |
38 |
| CFFEX.IH2403 |
0.001815 |
0.005359 |
-0.003544 |
0.004592 |
0.000109 |
0.026461 |
- |
2251.2 |
2239.2 |
- |
2240.909 |
20240315 |
42 |
38 |
| CFFEX.IH2406 |
0.001815 |
0.005002 |
-0.003188 |
0.004146 |
0.000099 |
0.023889 |
- |
2250.2 |
2239.0 |
- |
2240.909 |
20240621 |
106 |
38 |