|
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_20240118 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2312 |
-0.003595 |
0.0 |
-0.003595 |
0.108237 |
inf |
inf |
- |
5956.2 |
5956.2 |
- |
5374.481 |
20231215 |
0 |
43 |
| CFFEX.IM2401 |
-0.003595 |
0.001085 |
-0.00468 |
-0.004146 |
-0.002073 |
-0.50163 |
-0.006771 |
5352.2 |
5346.4 |
6039.525 |
5374.481 |
20240119 |
2 |
43 |
| CFFEX.IM2402 |
-0.003595 |
0.003309 |
-0.006904 |
-0.018324 |
-0.001078 |
-0.260845 |
-0.000994 |
5276.0 |
5258.6 |
5992.6 |
5374.481 |
20240216 |
17 |
43 |
| CFFEX.IM2403 |
-0.003595 |
0.005651 |
-0.009246 |
-0.026511 |
-0.000717 |
-0.173394 |
- |
5232.0 |
5202.6 |
- |
5374.481 |
20240315 |
37 |
43 |
| CFFEX.IM2406 |
-0.003595 |
-0.000156 |
-0.003439 |
-0.046717 |
-0.001263 |
-0.305556 |
- |
5123.4 |
5124.2 |
- |
5374.481 |
20240621 |
101 |
43 |
| CFFEX.IC2312 |
0.000628 |
- |
- |
- |
- |
- |
- |
- |
5456.0 |
- |
5068.547 |
20231215 |
0 |
43 |
| CFFEX.IC2401 |
0.000628 |
0.006098 |
-0.00547 |
-0.003975 |
-0.001987 |
-0.480964 |
- |
5048.4 |
5017.8 |
- |
5068.547 |
20240119 |
2 |
43 |
| CFFEX.IC2402 |
0.000628 |
0.002973 |
-0.002345 |
-0.014945 |
-0.000879 |
-0.21274 |
- |
4992.8 |
4978.0 |
- |
5068.547 |
20240216 |
17 |
43 |
| CFFEX.IC2403 |
0.000628 |
0.003889 |
-0.003261 |
-0.022047 |
-0.000596 |
-0.1442 |
- |
4956.8 |
4937.6 |
- |
5068.547 |
20240315 |
37 |
43 |
| CFFEX.IC2406 |
0.000628 |
0.006524 |
-0.005897 |
-0.038186 |
-0.001032 |
-0.249756 |
- |
4875.0 |
4843.4 |
- |
5068.547 |
20240621 |
101 |
43 |
| CFFEX.IF2312 |
0.013123 |
- |
- |
- |
- |
- |
- |
- |
3346.2 |
- |
3274.595 |
20231215 |
0 |
43 |
| CFFEX.IF2401 |
0.013123 |
0.009806 |
0.003317 |
-0.006289 |
-0.003145 |
-0.761009 |
- |
3254.0 |
3222.4 |
- |
3274.595 |
20240119 |
2 |
43 |
| CFFEX.IF2402 |
0.013123 |
0.006275 |
0.006848 |
-0.010809 |
-0.000636 |
-0.153869 |
- |
3239.2 |
3219.0 |
- |
3274.595 |
20240216 |
17 |
43 |
| CFFEX.IF2403 |
0.013123 |
0.006463 |
0.00666 |
-0.01087 |
-0.000294 |
-0.071096 |
- |
3239.0 |
3218.2 |
- |
3274.595 |
20240315 |
37 |
43 |
| CFFEX.IF2406 |
0.013123 |
0.003117 |
0.010006 |
-0.017283 |
-0.000467 |
-0.113041 |
- |
3218.0 |
3208.0 |
- |
3274.595 |
20240621 |
101 |
43 |
| CFFEX.IH2312 |
0.016600 |
0.0 |
0.0166 |
0.004649 |
inf |
inf |
- |
2249.4 |
2249.4 |
- |
2238.991 |
20231215 |
0 |
43 |
| CFFEX.IH2401 |
0.016600 |
0.011181 |
0.005419 |
-0.006338 |
-0.003169 |
-0.766913 |
- |
2224.8 |
2200.2 |
- |
2238.991 |
20240119 |
2 |
43 |
| CFFEX.IH2402 |
0.016600 |
0.010556 |
0.006044 |
-0.008035 |
-0.000473 |
-0.114385 |
- |
2221.0 |
2197.8 |
- |
2238.991 |
20240216 |
17 |
43 |
| CFFEX.IH2403 |
0.016600 |
0.010019 |
0.006581 |
-0.009465 |
-0.000256 |
-0.061903 |
- |
2217.8 |
2195.8 |
- |
2238.991 |
20240315 |
37 |
43 |
| CFFEX.IH2406 |
0.016600 |
0.008643 |
0.007956 |
-0.009733 |
-0.000263 |
-0.063656 |
- |
2217.2 |
2198.2 |
- |
2238.991 |
20240621 |
101 |
43 |