|
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_20240123 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2312 |
0.014924 |
0.0 |
0.014924 |
0.172686 |
inf |
inf |
- |
5956.2 |
5956.2 |
- |
5079.107 |
20231215 |
0 |
46 |
| CFFEX.IM2401 |
0.014924 |
- |
- |
- |
- |
- |
- |
- |
5322.8 |
6039.525 |
5079.107 |
20240119 |
0 |
46 |
| CFFEX.IM2402 |
0.014924 |
0.034697 |
-0.019773 |
-0.015969 |
-0.001141 |
-0.276031 |
-0.002936 |
4998.0 |
4830.4 |
5992.6 |
5079.107 |
20240216 |
14 |
46 |
| CFFEX.IM2403 |
0.014924 |
0.044924 |
-0.03 |
-0.026404 |
-0.000777 |
-0.187932 |
- |
4945.0 |
4732.4 |
- |
5079.107 |
20240315 |
34 |
46 |
| CFFEX.IM2406 |
0.014924 |
0.045543 |
-0.030619 |
-0.049006 |
-0.001441 |
-0.348808 |
- |
4830.2 |
4619.8 |
- |
5079.107 |
20240621 |
98 |
46 |
| CFFEX.IC2312 |
0.017262 |
0.0 |
0.017262 |
0.121298 |
inf |
inf |
- |
5456.0 |
5456.0 |
- |
4865.789 |
20231215 |
0 |
46 |
| CFFEX.IC2401 |
0.017262 |
0.0 |
0.017262 |
0.033789 |
inf |
inf |
- |
5030.2 |
5030.2 |
- |
4865.789 |
20240119 |
0 |
46 |
| CFFEX.IC2402 |
0.017262 |
0.033322 |
-0.01606 |
-0.013439 |
-0.00096 |
-0.232294 |
- |
4800.4 |
4645.6 |
- |
4865.789 |
20240216 |
14 |
46 |
| CFFEX.IC2403 |
0.017262 |
0.04136 |
-0.024098 |
-0.022029 |
-0.000648 |
-0.156795 |
- |
4758.6 |
4569.6 |
- |
4865.789 |
20240315 |
34 |
46 |
| CFFEX.IC2406 |
0.017262 |
0.045045 |
-0.027783 |
-0.04069 |
-0.001197 |
-0.289617 |
- |
4667.8 |
4466.6 |
- |
4865.789 |
20240621 |
98 |
46 |
| CFFEX.IF2312 |
0.004790 |
0.0 |
0.00479 |
0.034757 |
inf |
inf |
- |
3346.2 |
3346.2 |
- |
3233.804 |
20231215 |
0 |
46 |
| CFFEX.IF2401 |
0.004790 |
- |
- |
- |
- |
- |
- |
- |
3266.8 |
- |
3233.804 |
20240119 |
0 |
46 |
| CFFEX.IF2402 |
0.004790 |
0.010444 |
-0.005654 |
-0.006681 |
-0.000477 |
-0.11548 |
- |
3212.2 |
3179.0 |
- |
3233.804 |
20240216 |
14 |
46 |
| CFFEX.IF2403 |
0.004790 |
0.015111 |
-0.010322 |
-0.007052 |
-0.000207 |
-0.050192 |
- |
3211.0 |
3163.2 |
- |
3233.804 |
20240315 |
34 |
46 |
| CFFEX.IF2406 |
0.004790 |
0.01413 |
-0.009341 |
-0.014597 |
-0.000429 |
-0.103897 |
- |
3186.6 |
3142.2 |
- |
3233.804 |
20240621 |
98 |
46 |
| CFFEX.IH2312 |
0.001539 |
- |
- |
- |
- |
- |
- |
- |
2249.4 |
- |
2228.582 |
20231215 |
0 |
46 |
| CFFEX.IH2401 |
0.001539 |
- |
- |
- |
- |
- |
- |
- |
2238.6 |
- |
2228.582 |
20240119 |
0 |
46 |
| CFFEX.IH2402 |
0.001539 |
0.008453 |
-0.006914 |
-0.0043 |
-0.000307 |
-0.074322 |
- |
2219.0 |
2200.4 |
- |
2228.582 |
20240216 |
14 |
46 |
| CFFEX.IH2403 |
0.001539 |
0.010572 |
-0.009034 |
-0.004928 |
-0.000145 |
-0.035074 |
- |
2217.6 |
2194.4 |
- |
2228.582 |
20240315 |
34 |
46 |
| CFFEX.IH2406 |
0.001539 |
0.011874 |
-0.010336 |
-0.005825 |
-0.000171 |
-0.041462 |
- |
2215.6 |
2189.6 |
- |
2228.582 |
20240621 |
98 |
46 |