|
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_20240206 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2401 |
0.070357 |
0.0 |
0.070357 |
0.15836 |
inf |
inf |
- |
5322.8 |
5322.8 |
- |
4595.117 |
20240119 |
0 |
56 |
| CFFEX.IM2402 |
0.070357 |
0.103529 |
-0.033172 |
0.003021 |
0.000755 |
0.182786 |
-0.011242 |
4609.0 |
4176.6 |
6039.525 |
4595.117 |
20240216 |
4 |
56 |
| CFFEX.IM2403 |
0.070357 |
0.129506 |
-0.059149 |
-0.005814 |
-0.000242 |
-0.058627 |
-0.010443 |
4568.4 |
4044.6 |
5992.6 |
4595.117 |
20240315 |
24 |
56 |
| CFFEX.IM2406 |
0.070357 |
0.135471 |
-0.065114 |
-0.03071 |
-0.000349 |
-0.084453 |
- |
4454.0 |
3922.6 |
- |
4595.117 |
20240621 |
88 |
56 |
| CFFEX.IM2409 |
0.070357 |
- |
- |
-0.047815 |
-0.000543 |
-0.131492 |
- |
4375.4 |
- |
- |
4595.117 |
20240920 |
151 |
56 |
| CFFEX.IC2401 |
0.078078 |
0.0 |
0.078078 |
0.046103 |
inf |
inf |
- |
5030.2 |
5030.2 |
- |
4808.512 |
20240119 |
0 |
56 |
| CFFEX.IC2402 |
0.078078 |
0.10105 |
-0.022972 |
0.00293 |
0.000732 |
0.177253 |
- |
4822.6 |
4380.0 |
- |
4808.512 |
20240216 |
4 |
56 |
| CFFEX.IC2403 |
0.078078 |
0.122421 |
-0.044343 |
0.000268 |
0.000011 |
0.002701 |
- |
4809.8 |
4285.2 |
- |
4808.512 |
20240315 |
24 |
56 |
| CFFEX.IC2406 |
0.078078 |
0.128503 |
-0.050425 |
-0.025104 |
-0.000285 |
-0.069035 |
- |
4687.8 |
4154.0 |
- |
4808.512 |
20240621 |
88 |
56 |
| CFFEX.IC2409 |
0.078078 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
4808.512 |
20240920 |
151 |
56 |
| CFFEX.IF2401 |
0.034923 |
0.0 |
0.034923 |
-0.013704 |
-inf |
-inf |
- |
3266.8 |
3266.8 |
- |
3312.191 |
20240119 |
0 |
56 |
| CFFEX.IF2402 |
0.034923 |
0.041562 |
-0.006638 |
-0.002775 |
-0.000694 |
-0.167881 |
- |
3303.0 |
3171.2 |
- |
3312.191 |
20240216 |
4 |
56 |
| CFFEX.IF2403 |
0.034923 |
0.047075 |
-0.012151 |
-0.010142 |
-0.000423 |
-0.102261 |
- |
3278.6 |
3131.2 |
- |
3312.191 |
20240315 |
24 |
56 |
| CFFEX.IF2406 |
0.034923 |
0.053583 |
-0.01866 |
-0.01455 |
-0.000165 |
-0.040011 |
- |
3264.0 |
3098.0 |
- |
3312.191 |
20240621 |
88 |
56 |
| CFFEX.IF2409 |
0.034923 |
- |
- |
-0.026022 |
-0.000296 |
-0.071561 |
- |
3226.0 |
- |
- |
3312.191 |
20240920 |
151 |
56 |
| CFFEX.IH2401 |
0.028049 |
0.0 |
0.028049 |
-0.034479 |
-inf |
-inf |
- |
2238.6 |
2238.6 |
- |
2318.540 |
20240119 |
0 |
56 |
| CFFEX.IH2402 |
0.028049 |
0.030804 |
-0.002754 |
-0.004115 |
-0.001029 |
-0.248937 |
- |
2309.0 |
2240.0 |
- |
2318.540 |
20240216 |
4 |
56 |
| CFFEX.IH2403 |
0.028049 |
0.031866 |
-0.003817 |
-0.011188 |
-0.000466 |
-0.112813 |
- |
2292.6 |
2221.8 |
- |
2318.540 |
20240315 |
24 |
56 |
| CFFEX.IH2406 |
0.028049 |
0.033613 |
-0.005563 |
-0.010584 |
-0.00012 |
-0.029107 |
- |
2294.0 |
2219.4 |
- |
2318.540 |
20240621 |
88 |
56 |
| CFFEX.IH2409 |
0.028049 |
- |
- |
-0.024731 |
-0.000281 |
-0.06801 |
- |
2261.2 |
- |
- |
2318.540 |
20240920 |
151 |
56 |