|
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_20240207 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2401 |
0.044436 |
- |
- |
- |
- |
- |
- |
- |
5322.8 |
- |
4796.514 |
20240119 |
0 |
57 |
| CFFEX.IM2402 |
0.044436 |
0.046865 |
-0.002429 |
0.005939 |
0.00198 |
0.479071 |
-0.014052 |
4825.0 |
4609.0 |
6039.525 |
4796.514 |
20240216 |
3 |
57 |
| CFFEX.IM2403 |
0.044436 |
0.049164 |
-0.004728 |
-0.000733 |
-0.000032 |
-0.007708 |
-0.014968 |
4793.0 |
4568.4 |
5992.6 |
4796.514 |
20240315 |
23 |
57 |
| CFFEX.IM2406 |
0.044436 |
0.058599 |
-0.014163 |
-0.016994 |
-0.000195 |
-0.047272 |
- |
4715.0 |
4454.0 |
- |
4796.514 |
20240621 |
87 |
57 |
| CFFEX.IM2409 |
0.044436 |
0.059743 |
-0.015307 |
-0.033298 |
-0.000383 |
-0.092622 |
- |
4636.8 |
4375.4 |
- |
4796.514 |
20240920 |
150 |
57 |
| CFFEX.IC2401 |
0.062727 |
- |
- |
- |
- |
- |
- |
- |
5030.2 |
- |
5107.362 |
20240119 |
0 |
57 |
| CFFEX.IC2402 |
0.062727 |
0.065857 |
-0.003129 |
0.00643 |
0.002143 |
0.51865 |
- |
5140.2 |
4822.6 |
- |
5107.362 |
20240216 |
3 |
57 |
| CFFEX.IC2403 |
0.062727 |
0.066281 |
-0.003554 |
0.004158 |
0.000181 |
0.043753 |
- |
5128.6 |
4809.8 |
- |
5107.362 |
20240315 |
23 |
57 |
| CFFEX.IC2406 |
0.062727 |
0.079824 |
-0.017097 |
-0.008882 |
-0.000102 |
-0.024705 |
- |
5062.0 |
4687.8 |
- |
5107.362 |
20240621 |
87 |
57 |
| CFFEX.IC2409 |
0.062727 |
- |
- |
-0.021413 |
-0.000246 |
-0.059562 |
- |
4998.0 |
- |
- |
5107.362 |
20240920 |
150 |
57 |
| CFFEX.IF2401 |
0.009043 |
0.0 |
0.009043 |
-0.022396 |
-inf |
-inf |
- |
3266.8 |
3266.8 |
- |
3341.639 |
20240119 |
0 |
57 |
| CFFEX.IF2402 |
0.009043 |
0.010536 |
-0.001493 |
-0.001149 |
-0.000383 |
-0.092673 |
- |
3337.8 |
3303.0 |
- |
3341.639 |
20240216 |
3 |
57 |
| CFFEX.IF2403 |
0.009043 |
0.01159 |
-0.002548 |
-0.007493 |
-0.000326 |
-0.07884 |
- |
3316.6 |
3278.6 |
- |
3341.639 |
20240315 |
23 |
57 |
| CFFEX.IF2406 |
0.009043 |
0.009498 |
-0.000455 |
-0.013957 |
-0.00016 |
-0.038823 |
- |
3295.0 |
3264.0 |
- |
3341.639 |
20240621 |
87 |
57 |
| CFFEX.IF2409 |
0.009043 |
0.006572 |
0.002471 |
-0.028261 |
-0.000325 |
-0.078612 |
- |
3247.2 |
3226.0 |
- |
3341.639 |
20240920 |
150 |
57 |
| CFFEX.IH2401 |
0.010584 |
0.0 |
0.010584 |
-0.044715 |
-inf |
-inf |
- |
2238.6 |
2238.6 |
- |
2343.384 |
20240119 |
0 |
57 |
| CFFEX.IH2402 |
0.010584 |
0.016284 |
-0.0057 |
0.001372 |
0.000457 |
0.110705 |
- |
2346.6 |
2309.0 |
- |
2343.384 |
20240216 |
3 |
57 |
| CFFEX.IH2403 |
0.010584 |
0.015877 |
-0.005293 |
-0.006138 |
-0.000267 |
-0.064584 |
- |
2329.0 |
2292.6 |
- |
2343.384 |
20240315 |
23 |
57 |
| CFFEX.IH2406 |
0.010584 |
0.012467 |
-0.001883 |
-0.008869 |
-0.000102 |
-0.024671 |
- |
2322.6 |
2294.0 |
- |
2343.384 |
20240621 |
87 |
57 |
| CFFEX.IH2409 |
0.010584 |
0.012913 |
-0.00233 |
-0.02261 |
-0.00026 |
-0.062892 |
- |
2290.4 |
2261.2 |
- |
2343.384 |
20240920 |
150 |
57 |