|
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_20240125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2401 |
0.034085 |
- |
- |
0.001358 |
inf |
inf |
- |
5322.8 |
- |
- |
5315.581 |
20240119 |
0 |
48 |
| CFFEX.IM2402 |
0.034085 |
0.04239 |
-0.008306 |
-0.00169 |
-0.000141 |
-0.034073 |
-0.008858 |
5306.6 |
5090.8 |
6039.525 |
5315.581 |
20240216 |
12 |
48 |
| CFFEX.IM2403 |
0.034085 |
0.044606 |
-0.010522 |
-0.00786 |
-0.000246 |
-0.059442 |
-0.010265 |
5273.8 |
5048.6 |
5992.6 |
5315.581 |
20240315 |
32 |
48 |
| CFFEX.IM2406 |
0.034085 |
0.046974 |
-0.012889 |
-0.028893 |
-0.000301 |
-0.072833 |
- |
5162.0 |
4930.4 |
- |
5315.581 |
20240621 |
96 |
48 |
| CFFEX.IM2409 |
0.034085 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5315.581 |
20240920 |
159 |
48 |
| CFFEX.IC2401 |
0.028079 |
- |
- |
-0.008244 |
-inf |
-inf |
- |
5030.2 |
- |
- |
5072.015 |
20240119 |
0 |
48 |
| CFFEX.IC2402 |
0.028079 |
0.034723 |
-0.006643 |
-0.002369 |
-0.000197 |
-0.047772 |
- |
5060.0 |
4890.2 |
- |
5072.015 |
20240216 |
12 |
48 |
| CFFEX.IC2403 |
0.028079 |
0.038652 |
-0.010573 |
-0.008205 |
-0.000256 |
-0.062049 |
- |
5030.4 |
4843.2 |
- |
5072.015 |
20240315 |
32 |
48 |
| CFFEX.IC2406 |
0.028079 |
0.040781 |
-0.012702 |
-0.024845 |
-0.000259 |
-0.06263 |
- |
4946.0 |
4752.2 |
- |
5072.015 |
20240621 |
96 |
48 |
| CFFEX.IC2409 |
0.028079 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5072.015 |
20240920 |
159 |
48 |
| CFFEX.IF2401 |
0.018884 |
- |
- |
-0.021772 |
-inf |
-inf |
- |
3266.8 |
- |
- |
3339.509 |
20240119 |
0 |
48 |
| CFFEX.IF2402 |
0.018884 |
0.021507 |
-0.002624 |
-0.00159 |
-0.000132 |
-0.03206 |
- |
3334.2 |
3264.0 |
- |
3339.509 |
20240216 |
12 |
48 |
| CFFEX.IF2403 |
0.018884 |
0.021563 |
-0.00268 |
-0.00129 |
-0.00004 |
-0.009758 |
- |
3335.2 |
3264.8 |
- |
3339.509 |
20240315 |
32 |
48 |
| CFFEX.IF2406 |
0.018884 |
0.023188 |
-0.004305 |
-0.006381 |
-0.000066 |
-0.016085 |
- |
3318.2 |
3243.0 |
- |
3339.509 |
20240621 |
96 |
48 |
| CFFEX.IF2409 |
0.018884 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
3339.509 |
20240920 |
159 |
48 |
| CFFEX.IH2401 |
0.021950 |
0.0 |
0.02195 |
-0.030977 |
-inf |
-inf |
- |
2238.6 |
2238.6 |
- |
2310.163 |
20240119 |
0 |
48 |
| CFFEX.IH2402 |
0.021950 |
0.025246 |
-0.003296 |
0.002007 |
0.000167 |
0.040479 |
- |
2314.8 |
2257.8 |
- |
2310.163 |
20240216 |
12 |
48 |
| CFFEX.IH2403 |
0.021950 |
0.024668 |
-0.002719 |
0.003306 |
0.000103 |
0.025 |
- |
2317.8 |
2262.0 |
- |
2310.163 |
20240315 |
32 |
48 |
| CFFEX.IH2406 |
0.021950 |
0.025421 |
-0.003471 |
0.002267 |
0.000024 |
0.005715 |
- |
2315.4 |
2258.0 |
- |
2310.163 |
20240621 |
96 |
48 |
| CFFEX.IH2409 |
0.021950 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
2310.163 |
20240920 |
159 |
48 |