|
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_20240222 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2402 |
0.014849 |
- |
- |
- |
- |
- |
- |
- |
4985.4 |
- |
5148.816 |
20240216 |
0 |
62 |
| CFFEX.IM2403 |
0.014849 |
0.024193 |
-0.009345 |
-0.00513 |
-0.000302 |
-0.073034 |
-0.005647 |
5122.4 |
5001.4 |
6039.525 |
5148.816 |
20240315 |
17 |
62 |
| CFFEX.IM2404 |
0.014849 |
0.025181 |
-0.010333 |
-0.011617 |
-0.00029 |
-0.070285 |
-0.006715 |
5089.0 |
4964.0 |
5992.6 |
5148.816 |
20240419 |
40 |
62 |
| CFFEX.IM2406 |
0.014849 |
0.025291 |
-0.010442 |
-0.026805 |
-0.000331 |
-0.080085 |
- |
5010.8 |
4887.2 |
- |
5148.816 |
20240621 |
81 |
62 |
| CFFEX.IM2409 |
0.014849 |
0.025685 |
-0.010836 |
-0.044479 |
-0.000549 |
-0.132889 |
- |
4919.8 |
4796.6 |
- |
5148.816 |
20240920 |
144 |
62 |
| CFFEX.IC2402 |
0.006768 |
0.0 |
0.006768 |
-0.013185 |
-inf |
-inf |
- |
5105.6 |
5105.6 |
- |
5173.818 |
20240216 |
0 |
62 |
| CFFEX.IC2403 |
0.006768 |
0.010182 |
-0.003414 |
-0.002825 |
-0.000166 |
-0.04022 |
- |
5159.2 |
5107.2 |
- |
5173.818 |
20240315 |
17 |
62 |
| CFFEX.IC2404 |
0.006768 |
0.010261 |
-0.003493 |
-0.006614 |
-0.000165 |
-0.040013 |
- |
5139.6 |
5087.4 |
- |
5173.818 |
20240419 |
40 |
62 |
| CFFEX.IC2406 |
0.006768 |
0.009696 |
-0.002928 |
-0.017785 |
-0.00022 |
-0.053136 |
- |
5081.8 |
5033.0 |
- |
5173.818 |
20240621 |
81 |
62 |
| CFFEX.IC2409 |
0.006768 |
0.009053 |
-0.002285 |
-0.030503 |
-0.000377 |
-0.091133 |
- |
5016.0 |
4971.0 |
- |
5173.818 |
20240920 |
144 |
62 |
| CFFEX.IF2402 |
0.008560 |
0.0 |
0.00856 |
-0.028241 |
-inf |
-inf |
- |
3388.0 |
3388.0 |
- |
3486.462 |
20240216 |
0 |
62 |
| CFFEX.IF2403 |
0.008560 |
0.008394 |
0.000166 |
-0.000706 |
-0.000042 |
-0.010052 |
- |
3484.0 |
3455.0 |
- |
3486.462 |
20240315 |
17 |
62 |
| CFFEX.IF2404 |
0.008560 |
0.006828 |
0.001732 |
-0.001853 |
-0.000046 |
-0.011213 |
- |
3480.0 |
3456.4 |
- |
3486.462 |
20240419 |
40 |
62 |
| CFFEX.IF2406 |
0.008560 |
0.008673 |
-0.000113 |
-0.005984 |
-0.000074 |
-0.017877 |
- |
3465.6 |
3435.8 |
- |
3486.462 |
20240621 |
81 |
62 |
| CFFEX.IF2409 |
0.008560 |
0.008651 |
-0.000091 |
-0.016826 |
-0.000208 |
-0.050269 |
- |
3427.8 |
3398.4 |
- |
3486.462 |
20240920 |
144 |
62 |
| CFFEX.IH2402 |
0.009478 |
0.0 |
0.009478 |
-0.0288 |
-inf |
-inf |
- |
2363.0 |
2363.0 |
- |
2433.072 |
20240216 |
0 |
62 |
| CFFEX.IH2403 |
0.009478 |
0.010717 |
-0.001239 |
0.000053 |
0.000003 |
0.000749 |
- |
2433.2 |
2407.4 |
- |
2433.072 |
20240315 |
17 |
62 |
| CFFEX.IH2404 |
0.009478 |
0.010224 |
-0.000746 |
-0.001016 |
-0.000025 |
-0.006147 |
- |
2430.6 |
2406.0 |
- |
2433.072 |
20240419 |
40 |
62 |
| CFFEX.IH2406 |
0.009478 |
0.010699 |
-0.001221 |
-0.00603 |
-0.000074 |
-0.018016 |
- |
2418.4 |
2392.8 |
- |
2433.072 |
20240621 |
81 |
62 |
| CFFEX.IH2409 |
0.009478 |
0.01118 |
-0.001702 |
-0.018607 |
-0.00023 |
-0.055591 |
- |
2387.8 |
2361.4 |
- |
2433.072 |
20240920 |
144 |
62 |