|
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_20240116 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2312 |
-0.003762 |
- |
- |
- |
- |
- |
- |
- |
5956.2 |
- |
5537.833 |
20231215 |
0 |
41 |
| CFFEX.IM2401 |
-0.003762 |
-0.002966 |
-0.000797 |
-0.00434 |
-0.001085 |
-0.262557 |
-0.006799 |
5513.8 |
5530.2 |
6039.525 |
5537.833 |
20240119 |
4 |
41 |
| CFFEX.IM2402 |
-0.003762 |
-0.004736 |
0.000974 |
-0.013296 |
-0.0007 |
-0.169354 |
-0.005671 |
5464.2 |
5490.2 |
5992.6 |
5537.833 |
20240216 |
19 |
41 |
| CFFEX.IM2403 |
-0.003762 |
-0.005386 |
0.001623 |
-0.019544 |
-0.000501 |
-0.121275 |
- |
5429.6 |
5459.0 |
- |
5537.833 |
20240315 |
39 |
41 |
| CFFEX.IM2406 |
-0.003762 |
-0.005522 |
0.00176 |
-0.037421 |
-0.00096 |
-0.232204 |
- |
5330.6 |
5360.2 |
- |
5537.833 |
20240621 |
103 |
41 |
| CFFEX.IC2312 |
-0.001293 |
- |
- |
- |
- |
- |
- |
- |
5456.0 |
- |
5188.709 |
20231215 |
0 |
41 |
| CFFEX.IC2401 |
-0.001293 |
-0.000657 |
-0.000636 |
-0.002681 |
-0.00067 |
-0.162178 |
- |
5174.8 |
5178.2 |
- |
5188.709 |
20240119 |
4 |
41 |
| CFFEX.IC2402 |
-0.001293 |
-0.000388 |
-0.000905 |
-0.007499 |
-0.000395 |
-0.095511 |
- |
5149.8 |
5151.8 |
- |
5188.709 |
20240216 |
19 |
41 |
| CFFEX.IC2403 |
-0.001293 |
-0.001675 |
0.000382 |
-0.01224 |
-0.000314 |
-0.07595 |
- |
5125.2 |
5133.8 |
- |
5188.709 |
20240315 |
39 |
41 |
| CFFEX.IC2406 |
-0.001293 |
-0.001702 |
0.000409 |
-0.027696 |
-0.00071 |
-0.17186 |
- |
5045.0 |
5053.6 |
- |
5188.709 |
20240621 |
103 |
41 |
| CFFEX.IF2312 |
0.005718 |
0.0 |
0.005718 |
0.014035 |
inf |
inf |
- |
3346.2 |
3346.2 |
- |
3299.886 |
20231215 |
0 |
41 |
| CFFEX.IF2401 |
0.005718 |
0.005975 |
-0.000258 |
-0.000026 |
-0.000007 |
-0.001577 |
- |
3299.8 |
3280.2 |
- |
3299.886 |
20240119 |
4 |
41 |
| CFFEX.IF2402 |
0.005718 |
0.005914 |
-0.000196 |
0.000035 |
0.000002 |
0.00044 |
- |
3300.0 |
3280.6 |
- |
3299.886 |
20240216 |
19 |
41 |
| CFFEX.IF2403 |
0.005718 |
0.004809 |
0.000908 |
0.000398 |
0.00001 |
0.002471 |
- |
3301.2 |
3285.4 |
- |
3299.886 |
20240315 |
39 |
41 |
| CFFEX.IF2406 |
0.005718 |
0.005067 |
0.00065 |
-0.002208 |
-0.000057 |
-0.013701 |
- |
3292.6 |
3276.0 |
- |
3299.886 |
20240621 |
103 |
41 |