|
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_20240129 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2401 |
-0.015181 |
0.0 |
-0.015181 |
0.025186 |
inf |
inf |
- |
5322.8 |
5322.8 |
- |
5192.031 |
20240119 |
0 |
50 |
| CFFEX.IM2402 |
-0.015181 |
-0.016754 |
0.001573 |
-0.012063 |
-0.001206 |
-0.291922 |
0.000265 |
5129.4 |
5216.8 |
6039.525 |
5192.031 |
20240216 |
10 |
50 |
| CFFEX.IM2403 |
-0.015181 |
-0.017883 |
0.002702 |
-0.020499 |
-0.000683 |
-0.165358 |
0.000924 |
5085.6 |
5178.2 |
5992.6 |
5192.031 |
20240315 |
30 |
50 |
| CFFEX.IM2406 |
-0.015181 |
-0.017708 |
0.002527 |
-0.042687 |
-0.000454 |
-0.109896 |
- |
4970.4 |
5060.0 |
- |
5192.031 |
20240621 |
94 |
50 |
| CFFEX.IM2409 |
-0.015181 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5192.031 |
20240920 |
157 |
50 |
| CFFEX.IC2401 |
-0.009224 |
- |
- |
- |
- |
- |
- |
- |
5030.2 |
- |
4983.209 |
20240119 |
0 |
50 |
| CFFEX.IC2402 |
-0.009224 |
-0.010255 |
0.001031 |
-0.00839 |
-0.000839 |
-0.203037 |
- |
4941.4 |
4992.6 |
- |
4983.209 |
20240216 |
10 |
50 |
| CFFEX.IC2403 |
-0.009224 |
-0.011252 |
0.002028 |
-0.016016 |
-0.000534 |
-0.129192 |
- |
4903.4 |
4959.2 |
- |
4983.209 |
20240315 |
30 |
50 |
| CFFEX.IC2406 |
-0.009224 |
-0.011798 |
0.002574 |
-0.03516 |
-0.000374 |
-0.090518 |
- |
4808.0 |
4865.4 |
- |
4983.209 |
20240621 |
94 |
50 |
| CFFEX.IC2409 |
-0.009224 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
4983.209 |
20240920 |
157 |
50 |
| CFFEX.IF2401 |
0.000184 |
- |
- |
- |
- |
- |
- |
- |
3266.8 |
- |
3337.722 |
20240119 |
0 |
50 |
| CFFEX.IF2402 |
0.000184 |
0.0 |
0.000184 |
-0.003033 |
-0.000303 |
-0.073389 |
- |
3327.6 |
3327.6 |
- |
3337.722 |
20240216 |
10 |
50 |
| CFFEX.IF2403 |
0.000184 |
-0.000241 |
0.000425 |
-0.003752 |
-0.000125 |
-0.030263 |
- |
3325.2 |
3326.0 |
- |
3337.722 |
20240315 |
30 |
50 |
| CFFEX.IF2406 |
0.000184 |
0.000121 |
0.000063 |
-0.006808 |
-0.000072 |
-0.017526 |
- |
3315.0 |
3314.6 |
- |
3337.722 |
20240621 |
94 |
50 |
| CFFEX.IF2409 |
0.000184 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
3337.722 |
20240920 |
157 |
50 |
| CFFEX.IH2401 |
0.003550 |
- |
- |
- |
- |
- |
- |
- |
2238.6 |
- |
2326.445 |
20240119 |
0 |
50 |
| CFFEX.IH2402 |
0.003550 |
0.004405 |
-0.000855 |
-0.000191 |
-0.000019 |
-0.004629 |
- |
2326.0 |
2315.8 |
- |
2326.445 |
20240216 |
10 |
50 |
| CFFEX.IH2403 |
0.003550 |
0.004397 |
-0.000848 |
0.001442 |
0.000048 |
0.011633 |
- |
2329.8 |
2319.6 |
- |
2326.445 |
20240315 |
30 |
50 |
| CFFEX.IH2406 |
0.003550 |
0.005006 |
-0.001457 |
0.000926 |
0.00001 |
0.002385 |
- |
2328.6 |
2317.0 |
- |
2326.445 |
20240621 |
94 |
50 |
| CFFEX.IH2409 |
0.003550 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
2326.445 |
20240920 |
157 |
50 |