|
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_20240219 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2401 |
0.007510 |
0.0 |
0.00751 |
0.058084 |
inf |
inf |
- |
5322.8 |
5322.8 |
- |
5030.602 |
20240119 |
0 |
59 |
| CFFEX.IM2402 |
0.007510 |
-0.003398 |
0.010908 |
-0.008985 |
-inf |
-inf |
-0.002306 |
4985.4 |
5002.4 |
6039.525 |
5030.602 |
20240216 |
0 |
59 |
| CFFEX.IM2403 |
0.007510 |
-0.00518 |
0.01269 |
-0.015108 |
-0.000755 |
-0.182806 |
-0.00363 |
4954.6 |
4980.4 |
5992.6 |
5030.602 |
20240315 |
20 |
59 |
| CFFEX.IM2406 |
0.007510 |
-0.009044 |
0.016554 |
-0.037332 |
-0.000444 |
-0.107551 |
- |
4842.8 |
4887.0 |
- |
5030.602 |
20240621 |
84 |
59 |
| CFFEX.IM2409 |
0.007510 |
-0.011684 |
0.019194 |
-0.055024 |
-0.000655 |
-0.15852 |
- |
4753.8 |
4810.0 |
- |
5030.602 |
20240920 |
147 |
59 |
| CFFEX.IC2401 |
-0.001265 |
0.0 |
-0.001265 |
-0.022068 |
-inf |
-inf |
- |
5030.2 |
5030.2 |
- |
5143.714 |
20240119 |
0 |
59 |
| CFFEX.IC2402 |
-0.001265 |
-0.009468 |
0.008203 |
-0.00741 |
-inf |
-inf |
- |
5105.6 |
5154.4 |
- |
5143.714 |
20240216 |
0 |
59 |
| CFFEX.IC2403 |
-0.001265 |
-0.005322 |
0.004057 |
-0.011726 |
-0.000586 |
-0.141882 |
- |
5083.4 |
5110.6 |
- |
5143.714 |
20240315 |
20 |
59 |
| CFFEX.IC2406 |
-0.001265 |
-0.006282 |
0.005017 |
-0.028173 |
-0.000335 |
-0.081165 |
- |
4998.8 |
5030.4 |
- |
5143.714 |
20240621 |
84 |
59 |
| CFFEX.IC2409 |
-0.001265 |
-0.002587 |
0.001322 |
-0.040693 |
-0.000484 |
-0.117235 |
- |
4934.4 |
4947.2 |
- |
5143.714 |
20240920 |
147 |
59 |
| CFFEX.IF2401 |
0.011312 |
- |
- |
- |
- |
- |
- |
- |
3266.8 |
- |
3402.994 |
20240119 |
0 |
59 |
| CFFEX.IF2402 |
0.011312 |
0.007494 |
0.003818 |
-0.004406 |
-inf |
-inf |
- |
3388.0 |
3362.8 |
- |
3402.994 |
20240216 |
0 |
59 |
| CFFEX.IF2403 |
0.011312 |
0.005785 |
0.005527 |
-0.008814 |
-0.000441 |
-0.106649 |
- |
3373.0 |
3353.6 |
- |
3402.994 |
20240315 |
20 |
59 |
| CFFEX.IF2406 |
0.011312 |
0.00709 |
0.004222 |
-0.014867 |
-0.000177 |
-0.042833 |
- |
3352.4 |
3328.8 |
- |
3402.994 |
20240621 |
84 |
59 |
| CFFEX.IF2409 |
0.011312 |
0.00827 |
0.003042 |
-0.025505 |
-0.000304 |
-0.073479 |
- |
3316.2 |
3289.0 |
- |
3402.994 |
20240920 |
147 |
59 |
| CFFEX.IH2401 |
0.007865 |
0.0 |
0.007865 |
-0.055874 |
-inf |
-inf |
- |
2238.6 |
2238.6 |
- |
2371.081 |
20240119 |
0 |
59 |
| CFFEX.IH2402 |
0.007865 |
0.008967 |
-0.001101 |
-0.003408 |
-inf |
-inf |
- |
2363.0 |
2342.0 |
- |
2371.081 |
20240216 |
0 |
59 |
| CFFEX.IH2403 |
0.007865 |
0.00488 |
0.002985 |
-0.009987 |
-0.000499 |
-0.120848 |
- |
2347.4 |
2336.0 |
- |
2371.081 |
20240315 |
20 |
59 |
| CFFEX.IH2406 |
0.007865 |
0.003955 |
0.00391 |
-0.015133 |
-0.00018 |
-0.043597 |
- |
2335.2 |
2326.0 |
- |
2371.081 |
20240621 |
84 |
59 |
| CFFEX.IH2409 |
0.007865 |
0.001653 |
0.006213 |
-0.028629 |
-0.000341 |
-0.082478 |
- |
2303.2 |
2299.4 |
- |
2371.081 |
20240920 |
147 |
59 |