|
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_20240117 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2312 |
-0.025996 |
- |
- |
- |
- |
- |
- |
- |
5956.2 |
- |
5393.873 |
20231215 |
0 |
42 |
| CFFEX.IM2401 |
-0.025996 |
-0.031562 |
0.005566 |
-0.010173 |
-0.003391 |
-0.820639 |
-0.001412 |
5339.0 |
5513.0 |
6039.525 |
5393.873 |
20240119 |
3 |
42 |
| CFFEX.IM2402 |
-0.025996 |
-0.038576 |
0.01258 |
-0.025969 |
-0.001443 |
-0.349138 |
0.005883 |
5253.8 |
5464.6 |
5992.6 |
5393.873 |
20240216 |
18 |
42 |
| CFFEX.IM2403 |
-0.025996 |
-0.041073 |
0.015077 |
-0.034757 |
-0.000915 |
-0.221345 |
- |
5206.4 |
5429.4 |
- |
5393.873 |
20240315 |
38 |
42 |
| CFFEX.IM2406 |
-0.025996 |
-0.043164 |
0.017168 |
-0.053927 |
-0.001419 |
-0.343427 |
- |
5103.0 |
5333.2 |
- |
5393.873 |
20240621 |
102 |
42 |
| CFFEX.IC2312 |
-0.023771 |
- |
- |
- |
- |
- |
- |
- |
5456.0 |
- |
5065.367 |
20231215 |
0 |
42 |
| CFFEX.IC2401 |
-0.023771 |
-0.031623 |
0.007852 |
-0.01097 |
-0.003657 |
-0.884912 |
- |
5009.8 |
5173.4 |
- |
5065.367 |
20240119 |
3 |
42 |
| CFFEX.IC2402 |
-0.023771 |
-0.036736 |
0.012965 |
-0.020604 |
-0.001145 |
-0.27701 |
- |
4961.0 |
5150.2 |
- |
5065.367 |
20240216 |
18 |
42 |
| CFFEX.IC2403 |
-0.023771 |
-0.039265 |
0.015493 |
-0.028106 |
-0.00074 |
-0.178991 |
- |
4923.0 |
5124.2 |
- |
5065.367 |
20240315 |
38 |
42 |
| CFFEX.IC2406 |
-0.023771 |
-0.042255 |
0.018483 |
-0.045992 |
-0.00121 |
-0.292897 |
- |
4832.4 |
5045.6 |
- |
5065.367 |
20240621 |
102 |
42 |
| CFFEX.IF2312 |
-0.020518 |
0.0 |
-0.020518 |
0.035277 |
inf |
inf |
- |
3346.2 |
3346.2 |
- |
3232.178 |
20231215 |
0 |
42 |
| CFFEX.IF2401 |
-0.020518 |
-0.02611 |
0.005592 |
-0.005253 |
-0.001751 |
-0.423726 |
- |
3215.2 |
3301.4 |
- |
3232.178 |
20240119 |
3 |
42 |
| CFFEX.IF2402 |
-0.020518 |
-0.028097 |
0.007579 |
-0.006862 |
-0.000381 |
-0.092251 |
- |
3210.0 |
3302.8 |
- |
3232.178 |
20240216 |
18 |
42 |
| CFFEX.IF2403 |
-0.020518 |
-0.028155 |
0.007636 |
-0.0068 |
-0.000179 |
-0.043304 |
- |
3210.2 |
3303.2 |
- |
3232.178 |
20240315 |
38 |
42 |
| CFFEX.IF2406 |
-0.020518 |
-0.028063 |
0.007545 |
-0.009894 |
-0.00026 |
-0.063007 |
- |
3200.2 |
3292.6 |
- |
3232.178 |
20240621 |
102 |
42 |
| CFFEX.IH2312 |
-0.020585 |
0.0 |
-0.020585 |
0.021326 |
inf |
inf |
- |
2249.4 |
2249.4 |
- |
2202.431 |
20231215 |
0 |
42 |
| CFFEX.IH2401 |
-0.020585 |
-0.02514 |
0.004555 |
-0.003465 |
-0.001155 |
-0.279494 |
- |
2194.8 |
2251.4 |
- |
2202.431 |
20240119 |
3 |
42 |
| CFFEX.IH2402 |
-0.020585 |
- |
- |
- |
- |
- |
- |
- |
2253.0 |
- |
2202.431 |
20240216 |
18 |
42 |
| CFFEX.IH2403 |
-0.020585 |
-0.026694 |
0.006109 |
-0.003374 |
-0.000089 |
-0.021487 |
- |
2195.0 |
2255.2 |
- |
2202.431 |
20240315 |
38 |
42 |
| CFFEX.IH2406 |
-0.020585 |
-0.025548 |
0.004963 |
-0.002466 |
-0.000065 |
-0.015704 |
- |
2197.0 |
2254.6 |
- |
2202.431 |
20240621 |
102 |
42 |