|
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_20240208 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2401 |
0.040710 |
0.0 |
0.04071 |
0.066017 |
inf |
inf |
- |
5322.8 |
5322.8 |
- |
4993.165 |
20240119 |
0 |
58 |
| CFFEX.IM2402 |
0.040710 |
0.036767 |
0.003943 |
0.00185 |
0.000925 |
0.223793 |
-0.011247 |
5002.4 |
4825.0 |
6039.525 |
4993.165 |
20240216 |
2 |
58 |
| CFFEX.IM2403 |
0.040710 |
0.039099 |
0.001611 |
-0.002556 |
-0.000116 |
-0.028121 |
-0.014062 |
4980.4 |
4793.0 |
5992.6 |
4993.165 |
20240315 |
22 |
58 |
| CFFEX.IM2406 |
0.040710 |
0.036479 |
0.00423 |
-0.021262 |
-0.000247 |
-0.05983 |
- |
4887.0 |
4715.0 |
- |
4993.165 |
20240621 |
86 |
58 |
| CFFEX.IM2409 |
0.040710 |
0.037353 |
0.003356 |
-0.036683 |
-0.000427 |
-0.103225 |
- |
4810.0 |
4636.8 |
- |
4993.165 |
20240920 |
149 |
58 |
| CFFEX.IC2401 |
0.008936 |
- |
- |
- |
- |
- |
- |
- |
5030.2 |
- |
5155.229 |
20240119 |
0 |
58 |
| CFFEX.IC2402 |
0.008936 |
0.002763 |
0.006174 |
-0.000161 |
-0.00008 |
-0.019458 |
- |
5154.4 |
5140.2 |
- |
5155.229 |
20240216 |
2 |
58 |
| CFFEX.IC2403 |
0.008936 |
-0.00351 |
0.012446 |
-0.008657 |
-0.000394 |
-0.095227 |
- |
5110.6 |
5128.6 |
- |
5155.229 |
20240315 |
22 |
58 |
| CFFEX.IC2406 |
0.008936 |
-0.006243 |
0.015179 |
-0.024214 |
-0.000282 |
-0.068137 |
- |
5030.4 |
5062.0 |
- |
5155.229 |
20240621 |
86 |
58 |
| CFFEX.IC2409 |
0.008936 |
-0.010164 |
0.0191 |
-0.040353 |
-0.000469 |
-0.113551 |
- |
4947.2 |
4998.0 |
- |
5155.229 |
20240920 |
149 |
58 |
| CFFEX.IF2401 |
0.006632 |
0.0 |
0.006632 |
-0.029415 |
-inf |
-inf |
- |
3266.8 |
3266.8 |
- |
3365.805 |
20240119 |
0 |
58 |
| CFFEX.IF2402 |
0.006632 |
0.00749 |
-0.000858 |
-0.000893 |
-0.000446 |
-0.108029 |
- |
3362.8 |
3337.8 |
- |
3365.805 |
20240216 |
2 |
58 |
| CFFEX.IF2403 |
0.006632 |
0.011156 |
-0.004524 |
-0.003626 |
-0.000165 |
-0.039888 |
- |
3353.6 |
3316.6 |
- |
3365.805 |
20240315 |
22 |
58 |
| CFFEX.IF2406 |
0.006632 |
0.010258 |
-0.003626 |
-0.010994 |
-0.000128 |
-0.030938 |
- |
3328.8 |
3295.0 |
- |
3365.805 |
20240621 |
86 |
58 |
| CFFEX.IF2409 |
0.006632 |
0.012873 |
-0.006241 |
-0.022819 |
-0.000265 |
-0.064212 |
- |
3289.0 |
3247.2 |
- |
3365.805 |
20240920 |
149 |
58 |
| CFFEX.IH2401 |
0.003865 |
- |
- |
- |
- |
- |
- |
- |
2238.6 |
- |
2353.212 |
20240119 |
0 |
58 |
| CFFEX.IH2402 |
0.003865 |
-0.00196 |
0.005826 |
-0.004765 |
-0.002382 |
-0.576511 |
- |
2342.0 |
2346.6 |
- |
2353.212 |
20240216 |
2 |
58 |
| CFFEX.IH2403 |
0.003865 |
0.003006 |
0.00086 |
-0.007314 |
-0.000332 |
-0.080457 |
- |
2336.0 |
2329.0 |
- |
2353.212 |
20240315 |
22 |
58 |
| CFFEX.IH2406 |
0.003865 |
0.001464 |
0.002402 |
-0.011564 |
-0.000134 |
-0.03254 |
- |
2326.0 |
2322.6 |
- |
2353.212 |
20240621 |
86 |
58 |
| CFFEX.IH2409 |
0.003865 |
0.003929 |
-0.000064 |
-0.022867 |
-0.000266 |
-0.064348 |
- |
2299.4 |
2290.4 |
- |
2353.212 |
20240920 |
149 |
58 |