|
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_20240201 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2401 |
-0.006597 |
0.0 |
-0.006597 |
0.119773 |
inf |
inf |
- |
5322.8 |
5322.8 |
- |
4753.465 |
20240119 |
0 |
53 |
| CFFEX.IM2402 |
-0.006597 |
-0.005923 |
-0.000674 |
-0.011416 |
-0.001631 |
-0.394663 |
-0.000266 |
4699.2 |
4727.2 |
6039.525 |
4753.465 |
20240216 |
7 |
53 |
| CFFEX.IM2403 |
-0.006597 |
-0.005272 |
-0.001325 |
-0.023533 |
-0.000872 |
-0.210929 |
0.003253 |
4641.6 |
4666.2 |
5992.6 |
4753.465 |
20240315 |
27 |
53 |
| CFFEX.IM2406 |
-0.006597 |
-0.004974 |
-0.001623 |
-0.04882 |
-0.000536 |
-0.129829 |
- |
4521.4 |
4544.0 |
- |
4753.465 |
20240621 |
91 |
53 |
| CFFEX.IM2409 |
-0.006597 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
4753.465 |
20240920 |
154 |
53 |
| CFFEX.IC2401 |
-0.002137 |
- |
- |
- |
- |
- |
- |
- |
5030.2 |
- |
4686.943 |
20240119 |
0 |
53 |
| CFFEX.IC2402 |
-0.002137 |
-0.001847 |
-0.00029 |
-0.008138 |
-0.001163 |
-0.281347 |
- |
4648.8 |
4657.4 |
- |
4686.943 |
20240216 |
7 |
53 |
| CFFEX.IC2403 |
-0.002137 |
-0.002821 |
0.000684 |
-0.019403 |
-0.000719 |
-0.173913 |
- |
4596.0 |
4609.0 |
- |
4686.943 |
20240315 |
27 |
53 |
| CFFEX.IC2406 |
-0.002137 |
-0.002445 |
0.000308 |
-0.042446 |
-0.000466 |
-0.112879 |
- |
4488.0 |
4499.0 |
- |
4686.943 |
20240621 |
91 |
53 |
| CFFEX.IC2409 |
-0.002137 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
4686.943 |
20240920 |
154 |
53 |
| CFFEX.IF2401 |
0.001938 |
0.0 |
0.001938 |
0.014036 |
inf |
inf |
- |
3266.8 |
3266.8 |
- |
3221.582 |
20240119 |
0 |
53 |
| CFFEX.IF2402 |
0.001938 |
0.000498 |
0.00144 |
-0.002478 |
-0.000354 |
-0.085656 |
- |
3213.6 |
3212.0 |
- |
3221.582 |
20240216 |
7 |
53 |
| CFFEX.IF2403 |
0.001938 |
0.000561 |
0.001376 |
-0.004092 |
-0.000152 |
-0.036674 |
- |
3208.4 |
3206.6 |
- |
3221.582 |
20240315 |
27 |
53 |
| CFFEX.IF2406 |
0.001938 |
-0.000251 |
0.002189 |
-0.012597 |
-0.000138 |
-0.033499 |
- |
3181.0 |
3181.8 |
- |
3221.582 |
20240621 |
91 |
53 |
| CFFEX.IF2409 |
0.001938 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
3221.582 |
20240920 |
154 |
53 |
| CFFEX.IH2401 |
-0.001536 |
- |
- |
- |
- |
- |
- |
- |
2238.6 |
- |
2250.837 |
20240119 |
0 |
53 |
| CFFEX.IH2402 |
-0.001536 |
-0.004345 |
0.002809 |
-0.002238 |
-0.00032 |
-0.077365 |
- |
2245.8 |
2255.6 |
- |
2250.837 |
20240216 |
7 |
53 |
| CFFEX.IH2403 |
-0.001536 |
-0.005678 |
0.004142 |
-0.004193 |
-0.000155 |
-0.037579 |
- |
2241.4 |
2254.2 |
- |
2250.837 |
20240315 |
27 |
53 |
| CFFEX.IH2406 |
-0.001536 |
-0.006042 |
0.004506 |
-0.006059 |
-0.000067 |
-0.016112 |
- |
2237.2 |
2250.8 |
- |
2250.837 |
20240621 |
91 |
53 |
| CFFEX.IH2409 |
-0.001536 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
2250.837 |
20240920 |
154 |
53 |