|
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_20240115 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2312 |
-0.003173 |
0.0 |
-0.003173 |
0.071501 |
inf |
inf |
- |
5956.2 |
5956.2 |
- |
5558.746 |
20231215 |
0 |
40 |
| CFFEX.IM2401 |
-0.003173 |
-0.003747 |
0.000574 |
-0.005135 |
-0.001027 |
-0.24855 |
-0.006092 |
5530.2 |
5551.0 |
6039.525 |
5558.746 |
20240119 |
5 |
40 |
| CFFEX.IM2402 |
-0.003173 |
-0.004894 |
0.001721 |
-0.012331 |
-0.000617 |
-0.149208 |
-0.006587 |
5490.2 |
5517.2 |
5992.6 |
5558.746 |
20240216 |
20 |
40 |
| CFFEX.IM2403 |
-0.003173 |
-0.004813 |
0.00164 |
-0.017944 |
-0.000449 |
-0.108561 |
- |
5459.0 |
5485.4 |
- |
5558.746 |
20240315 |
40 |
40 |
| CFFEX.IM2406 |
-0.003173 |
-0.00516 |
0.001986 |
-0.035718 |
-0.000893 |
-0.216092 |
- |
5360.2 |
5388.0 |
- |
5558.746 |
20240621 |
104 |
40 |
| CFFEX.IC2312 |
-0.002315 |
0.0 |
-0.002315 |
0.050154 |
inf |
inf |
- |
5456.0 |
5456.0 |
- |
5195.427 |
20231215 |
0 |
40 |
| CFFEX.IC2401 |
-0.002315 |
-0.002004 |
-0.00031 |
-0.003316 |
-0.000663 |
-0.160485 |
- |
5178.2 |
5188.6 |
- |
5195.427 |
20240119 |
5 |
40 |
| CFFEX.IC2402 |
-0.002315 |
-0.002749 |
0.000434 |
-0.008397 |
-0.00042 |
-0.101606 |
- |
5151.8 |
5166.0 |
- |
5195.427 |
20240216 |
20 |
40 |
| CFFEX.IC2403 |
-0.002315 |
-0.003068 |
0.000753 |
-0.011862 |
-0.000297 |
-0.071764 |
- |
5133.8 |
5149.6 |
- |
5195.427 |
20240315 |
40 |
40 |
| CFFEX.IC2406 |
-0.002315 |
-0.003353 |
0.001038 |
-0.027298 |
-0.000682 |
-0.165156 |
- |
5053.6 |
5070.6 |
- |
5195.427 |
20240621 |
104 |
40 |
| CFFEX.IF2312 |
-0.001153 |
0.0 |
-0.001153 |
0.019833 |
inf |
inf |
- |
3346.2 |
3346.2 |
- |
3281.126 |
20231215 |
0 |
40 |
| CFFEX.IF2401 |
-0.001153 |
-0.001887 |
0.000734 |
-0.000282 |
-0.000056 |
-0.013659 |
- |
3280.2 |
3286.4 |
- |
3281.126 |
20240119 |
5 |
40 |
| CFFEX.IF2402 |
-0.001153 |
-0.002311 |
0.001158 |
-0.00016 |
-0.000008 |
-0.00194 |
- |
3280.6 |
3288.2 |
- |
3281.126 |
20240216 |
20 |
40 |
| CFFEX.IF2403 |
-0.001153 |
-0.002369 |
0.001216 |
0.001303 |
0.000033 |
0.007881 |
- |
3285.4 |
3293.2 |
- |
3281.126 |
20240315 |
40 |
40 |
| CFFEX.IF2406 |
-0.001153 |
-0.002679 |
0.001526 |
-0.001562 |
-0.000039 |
-0.009452 |
- |
3276.0 |
3284.8 |
- |
3281.126 |
20240621 |
104 |
40 |
| CFFEX.IH2312 |
0.000329 |
- |
- |
- |
- |
- |
- |
- |
2249.4 |
- |
2238.610 |
20231215 |
0 |
40 |
| CFFEX.IH2401 |
0.000329 |
0.0 |
0.000329 |
0.000264 |
0.000053 |
0.012756 |
- |
2239.2 |
2239.2 |
- |
2238.610 |
20240119 |
5 |
40 |
| CFFEX.IH2402 |
0.000329 |
-0.001248 |
0.001577 |
0.000978 |
0.000049 |
0.011837 |
- |
2240.8 |
2243.6 |
- |
2238.610 |
20240216 |
20 |
40 |
| CFFEX.IH2403 |
0.000329 |
-0.001425 |
0.001754 |
0.001872 |
0.000047 |
0.011324 |
- |
2242.8 |
2246.0 |
- |
2238.610 |
20240315 |
40 |
40 |
| CFFEX.IH2406 |
0.000329 |
-0.001603 |
0.001932 |
0.001693 |
0.000042 |
0.010243 |
- |
2242.4 |
2246.0 |
- |
2238.610 |
20240621 |
104 |
40 |