|
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_20240124 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2401 |
0.012062 |
- |
- |
- |
- |
- |
- |
- |
5322.8 |
- |
5140.373 |
20240119 |
0 |
47 |
| CFFEX.IM2402 |
0.012062 |
0.018567 |
-0.006505 |
-0.009644 |
-0.000742 |
-0.179524 |
-0.001796 |
5090.8 |
4998.0 |
6039.525 |
5140.373 |
20240216 |
13 |
47 |
| CFFEX.IM2403 |
0.012062 |
0.02095 |
-0.008888 |
-0.017853 |
-0.000541 |
-0.130925 |
-0.001355 |
5048.6 |
4945.0 |
5992.6 |
5140.373 |
20240315 |
33 |
47 |
| CFFEX.IM2406 |
0.012062 |
0.020744 |
-0.008682 |
-0.040848 |
-0.000421 |
-0.101909 |
- |
4930.4 |
4830.2 |
- |
5140.373 |
20240621 |
97 |
47 |
| CFFEX.IM2409 |
0.012062 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5140.373 |
20240920 |
160 |
47 |
| CFFEX.IC2401 |
0.013913 |
- |
- |
- |
- |
- |
- |
- |
5030.2 |
- |
4933.487 |
20240119 |
0 |
47 |
| CFFEX.IC2402 |
0.013913 |
0.018707 |
-0.004794 |
-0.008774 |
-0.000675 |
-0.163334 |
- |
4890.2 |
4800.4 |
- |
4933.487 |
20240216 |
13 |
47 |
| CFFEX.IC2403 |
0.013913 |
0.017778 |
-0.003865 |
-0.018301 |
-0.000555 |
-0.134206 |
- |
4843.2 |
4758.6 |
- |
4933.487 |
20240315 |
33 |
47 |
| CFFEX.IC2406 |
0.013913 |
0.018081 |
-0.004168 |
-0.036746 |
-0.000379 |
-0.091676 |
- |
4752.2 |
4667.8 |
- |
4933.487 |
20240621 |
97 |
47 |
| CFFEX.IC2409 |
0.013913 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
4933.487 |
20240920 |
160 |
47 |
| CFFEX.IF2401 |
0.013548 |
- |
- |
- |
- |
- |
- |
- |
3266.8 |
- |
3277.616 |
20240119 |
0 |
47 |
| CFFEX.IF2402 |
0.013548 |
0.016126 |
-0.002578 |
-0.004154 |
-0.00032 |
-0.077333 |
- |
3264.0 |
3212.2 |
- |
3277.616 |
20240216 |
13 |
47 |
| CFFEX.IF2403 |
0.013548 |
0.016755 |
-0.003207 |
-0.00391 |
-0.000118 |
-0.028675 |
- |
3264.8 |
3211.0 |
- |
3277.616 |
20240315 |
33 |
47 |
| CFFEX.IF2406 |
0.013548 |
0.017699 |
-0.004151 |
-0.010561 |
-0.000109 |
-0.026349 |
- |
3243.0 |
3186.6 |
- |
3277.616 |
20240621 |
97 |
47 |
| CFFEX.IF2409 |
0.013548 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
3277.616 |
20240920 |
160 |
47 |
| CFFEX.IH2401 |
0.014342 |
0.0 |
0.014342 |
-0.009708 |
-inf |
-inf |
- |
2238.6 |
2238.6 |
- |
2260.545 |
20240119 |
0 |
47 |
| CFFEX.IH2402 |
0.014342 |
0.017485 |
-0.003143 |
-0.001214 |
-0.000093 |
-0.022605 |
- |
2257.8 |
2219.0 |
- |
2260.545 |
20240216 |
13 |
47 |
| CFFEX.IH2403 |
0.014342 |
0.020022 |
-0.005679 |
0.000644 |
0.00002 |
0.00472 |
- |
2262.0 |
2217.6 |
- |
2260.545 |
20240315 |
33 |
47 |
| CFFEX.IH2406 |
0.014342 |
0.019137 |
-0.004795 |
-0.001126 |
-0.000012 |
-0.002809 |
- |
2258.0 |
2215.6 |
- |
2260.545 |
20240621 |
97 |
47 |
| CFFEX.IH2409 |
0.014342 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
2260.545 |
20240920 |
160 |
47 |