|
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_20240112 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2312 |
-0.006113 |
0.0 |
-0.006113 |
0.068101 |
inf |
inf |
- |
5956.2 |
5956.2 |
- |
5576.441 |
20231215 |
0 |
39 |
| CFFEX.IM2401 |
-0.006113 |
-0.0079 |
0.001786 |
-0.004562 |
-0.00076 |
-0.18401 |
-0.006641 |
5551.0 |
5595.2 |
6039.525 |
5576.441 |
20240119 |
6 |
39 |
| CFFEX.IM2402 |
-0.006113 |
-0.008055 |
0.001941 |
-0.010623 |
-0.000506 |
-0.122423 |
-0.008197 |
5517.2 |
5562.0 |
5992.6 |
5576.441 |
20240216 |
21 |
39 |
| CFFEX.IM2403 |
-0.006113 |
-0.009104 |
0.002991 |
-0.016326 |
-0.000398 |
-0.096363 |
- |
5485.4 |
5535.8 |
- |
5576.441 |
20240315 |
41 |
39 |
| CFFEX.IM2406 |
-0.006113 |
-0.010795 |
0.004682 |
-0.033792 |
-0.000824 |
-0.199457 |
- |
5388.0 |
5446.8 |
- |
5576.441 |
20240621 |
105 |
39 |
| CFFEX.IC2312 |
-0.003188 |
0.0 |
-0.003188 |
0.047723 |
inf |
inf |
- |
5456.0 |
5456.0 |
- |
5207.481 |
20231215 |
0 |
39 |
| CFFEX.IC2401 |
-0.003188 |
-0.004031 |
0.000843 |
-0.003626 |
-0.000604 |
-0.146238 |
- |
5188.6 |
5209.6 |
- |
5207.481 |
20240119 |
6 |
39 |
| CFFEX.IC2402 |
-0.003188 |
-0.003972 |
0.000783 |
-0.007966 |
-0.000379 |
-0.091795 |
- |
5166.0 |
5186.6 |
- |
5207.481 |
20240216 |
21 |
39 |
| CFFEX.IC2403 |
-0.003188 |
-0.003753 |
0.000565 |
-0.011115 |
-0.000271 |
-0.065605 |
- |
5149.6 |
5169.0 |
- |
5207.481 |
20240315 |
41 |
39 |
| CFFEX.IC2406 |
-0.003188 |
-0.003851 |
0.000662 |
-0.026285 |
-0.000641 |
-0.155148 |
- |
5070.6 |
5090.2 |
- |
5207.481 |
20240621 |
105 |
39 |
| CFFEX.IF2312 |
-0.003521 |
0.0 |
-0.003521 |
0.018657 |
inf |
inf |
- |
3346.2 |
3346.2 |
- |
3284.913 |
20231215 |
0 |
39 |
| CFFEX.IF2401 |
-0.003521 |
-0.003396 |
-0.000124 |
0.000453 |
0.000075 |
0.018258 |
- |
3286.4 |
3297.6 |
- |
3284.913 |
20240119 |
6 |
39 |
| CFFEX.IF2402 |
-0.003521 |
-0.003938 |
0.000417 |
0.001001 |
0.000048 |
0.011531 |
- |
3288.2 |
3301.2 |
- |
3284.913 |
20240216 |
21 |
39 |
| CFFEX.IF2403 |
-0.003521 |
-0.003992 |
0.000472 |
0.002523 |
0.000062 |
0.01489 |
- |
3293.2 |
3306.4 |
- |
3284.913 |
20240315 |
41 |
39 |
| CFFEX.IF2406 |
-0.003521 |
-0.002914 |
-0.000607 |
-0.000034 |
-0.000001 |
-0.000203 |
- |
3284.8 |
3294.4 |
- |
3284.913 |
20240621 |
105 |
39 |
| CFFEX.IH2312 |
-0.001355 |
- |
- |
- |
- |
- |
- |
- |
2249.4 |
- |
2237.873 |
20231215 |
0 |
39 |
| CFFEX.IH2401 |
-0.001355 |
-0.001694 |
0.000339 |
0.000593 |
0.000099 |
0.023917 |
- |
2239.2 |
2243.0 |
- |
2237.873 |
20240119 |
6 |
39 |
| CFFEX.IH2402 |
-0.001355 |
-0.00098 |
-0.000375 |
0.002559 |
0.000122 |
0.029491 |
- |
2243.6 |
2245.8 |
- |
2237.873 |
20240216 |
21 |
39 |
| CFFEX.IH2403 |
-0.001355 |
-0.002487 |
0.001132 |
0.003632 |
0.000089 |
0.021435 |
- |
2246.0 |
2251.6 |
- |
2237.873 |
20240315 |
41 |
39 |
| CFFEX.IH2406 |
-0.001355 |
-0.002221 |
0.000866 |
0.003632 |
0.000089 |
0.021435 |
- |
2246.0 |
2251.0 |
- |
2237.873 |
20240621 |
105 |
39 |