|
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_20240122 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2312 |
-0.057656 |
- |
- |
- |
- |
- |
- |
- |
5956.2 |
- |
5004.421 |
20231215 |
0 |
45 |
| CFFEX.IM2401 |
-0.057656 |
- |
- |
- |
- |
- |
- |
- |
5322.8 |
6039.525 |
5004.421 |
20240119 |
0 |
45 |
| CFFEX.IM2402 |
-0.057656 |
-0.074175 |
0.016519 |
-0.034773 |
-0.002318 |
-0.561012 |
0.012811 |
4830.4 |
5217.4 |
5992.6 |
5004.421 |
20240216 |
15 |
45 |
| CFFEX.IM2403 |
-0.057656 |
-0.086832 |
0.029176 |
-0.054356 |
-0.001553 |
-0.375834 |
- |
4732.4 |
5182.4 |
- |
5004.421 |
20240315 |
35 |
45 |
| CFFEX.IM2406 |
-0.057656 |
-0.090483 |
0.032827 |
-0.076856 |
-0.002196 |
-0.531406 |
- |
4619.8 |
5079.4 |
- |
5004.421 |
20240621 |
99 |
45 |
| CFFEX.IC2312 |
-0.047300 |
- |
- |
- |
- |
- |
- |
- |
5456.0 |
- |
4783.221 |
20231215 |
0 |
45 |
| CFFEX.IC2401 |
-0.047300 |
0.0 |
-0.0473 |
0.051634 |
inf |
inf |
- |
5030.2 |
5030.2 |
- |
4783.221 |
20240119 |
0 |
45 |
| CFFEX.IC2402 |
-0.047300 |
-0.061647 |
0.014346 |
-0.028772 |
-0.001918 |
-0.464182 |
- |
4645.6 |
4950.8 |
- |
4783.221 |
20240216 |
15 |
45 |
| CFFEX.IC2403 |
-0.047300 |
-0.070993 |
0.023693 |
-0.04466 |
-0.001276 |
-0.308795 |
- |
4569.6 |
4918.8 |
- |
4783.221 |
20240315 |
35 |
45 |
| CFFEX.IC2406 |
-0.047300 |
-0.07585 |
0.02855 |
-0.066194 |
-0.001891 |
-0.457685 |
- |
4466.6 |
4833.2 |
- |
4783.221 |
20240621 |
99 |
45 |
| CFFEX.IF2312 |
-0.016277 |
- |
- |
- |
- |
- |
- |
- |
3346.2 |
- |
3218.389 |
20231215 |
0 |
45 |
| CFFEX.IF2401 |
-0.016277 |
0.0 |
-0.016277 |
0.015042 |
inf |
inf |
- |
3266.8 |
3266.8 |
- |
3218.389 |
20240119 |
0 |
45 |
| CFFEX.IF2402 |
-0.016277 |
-0.019432 |
0.003156 |
-0.012239 |
-0.000816 |
-0.197452 |
- |
3179.0 |
3242.0 |
- |
3218.389 |
20240216 |
15 |
45 |
| CFFEX.IF2403 |
-0.016277 |
-0.023945 |
0.007668 |
-0.017148 |
-0.00049 |
-0.118566 |
- |
3163.2 |
3240.8 |
- |
3218.389 |
20240315 |
35 |
45 |
| CFFEX.IF2406 |
-0.016277 |
-0.026158 |
0.009881 |
-0.023673 |
-0.000676 |
-0.163682 |
- |
3142.2 |
3226.6 |
- |
3218.389 |
20240621 |
99 |
45 |
| CFFEX.IH2312 |
-0.008483 |
- |
- |
- |
- |
- |
- |
- |
2249.4 |
- |
2225.158 |
20231215 |
0 |
45 |
| CFFEX.IH2401 |
-0.008483 |
0.0 |
-0.008483 |
0.006041 |
inf |
inf |
- |
2238.6 |
2238.6 |
- |
2225.158 |
20240119 |
0 |
45 |
| CFFEX.IH2402 |
-0.008483 |
-0.014687 |
0.006205 |
-0.011126 |
-0.000742 |
-0.179506 |
- |
2200.4 |
2233.2 |
- |
2225.158 |
20240216 |
15 |
45 |
| CFFEX.IH2403 |
-0.008483 |
-0.017726 |
0.009243 |
-0.013823 |
-0.000395 |
-0.095575 |
- |
2194.4 |
2234.0 |
- |
2225.158 |
20240315 |
35 |
45 |
| CFFEX.IH2406 |
-0.008483 |
-0.017764 |
0.009281 |
-0.01598 |
-0.000457 |
-0.11049 |
- |
2189.6 |
2229.2 |
- |
2225.158 |
20240621 |
99 |
45 |