|
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_20240223 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2402 |
0.014089 |
0.0 |
0.014089 |
-0.045695 |
-inf |
-inf |
- |
4985.4 |
4985.4 |
- |
5224.115 |
20240216 |
0 |
63 |
| CFFEX.IM2403 |
0.014089 |
0.018468 |
-0.004379 |
-0.001362 |
-0.000085 |
-0.0206 |
-0.008989 |
5217.0 |
5122.4 |
6039.525 |
5224.115 |
20240315 |
16 |
63 |
| CFFEX.IM2404 |
0.014089 |
0.018668 |
-0.004579 |
-0.007679 |
-0.000197 |
-0.047648 |
-0.010247 |
5184.0 |
5089.0 |
5992.6 |
5224.115 |
20240419 |
39 |
63 |
| CFFEX.IM2406 |
0.014089 |
0.018241 |
-0.004151 |
-0.023337 |
-0.000292 |
-0.070594 |
- |
5102.2 |
5010.8 |
- |
5224.115 |
20240621 |
80 |
63 |
| CFFEX.IM2409 |
0.014089 |
0.019269 |
-0.00518 |
-0.040105 |
-0.000501 |
-0.121319 |
- |
5014.6 |
4919.8 |
- |
5224.115 |
20240920 |
143 |
63 |
| CFFEX.IC2402 |
0.003929 |
- |
- |
- |
- |
- |
- |
- |
5105.6 |
- |
5196.682 |
20240216 |
0 |
63 |
| CFFEX.IC2403 |
0.003929 |
0.005195 |
-0.001265 |
-0.002056 |
-0.000128 |
-0.03109 |
- |
5186.0 |
5159.2 |
- |
5196.682 |
20240315 |
16 |
63 |
| CFFEX.IC2404 |
0.003929 |
0.005448 |
-0.001519 |
-0.005596 |
-0.000143 |
-0.034726 |
- |
5167.6 |
5139.6 |
- |
5196.682 |
20240419 |
39 |
63 |
| CFFEX.IC2406 |
0.003929 |
0.004959 |
-0.00103 |
-0.017258 |
-0.000216 |
-0.052204 |
- |
5107.0 |
5081.8 |
- |
5196.682 |
20240621 |
80 |
63 |
| CFFEX.IC2409 |
0.003929 |
0.005383 |
-0.001454 |
-0.029573 |
-0.00037 |
-0.089459 |
- |
5043.0 |
5016.0 |
- |
5196.682 |
20240920 |
143 |
63 |
| CFFEX.IF2402 |
0.000535 |
- |
- |
- |
- |
- |
- |
- |
3388.0 |
- |
3488.540 |
20240216 |
0 |
63 |
| CFFEX.IF2403 |
0.000535 |
0.000861 |
-0.000326 |
-0.000441 |
-0.000028 |
-0.006677 |
- |
3487.0 |
3484.0 |
- |
3488.540 |
20240315 |
16 |
63 |
| CFFEX.IF2404 |
0.000535 |
0.000805 |
-0.00027 |
-0.001645 |
-0.000042 |
-0.01021 |
- |
3482.8 |
3480.0 |
- |
3488.540 |
20240419 |
39 |
63 |
| CFFEX.IF2406 |
0.000535 |
0.001327 |
-0.000792 |
-0.005257 |
-0.000066 |
-0.015903 |
- |
3470.2 |
3465.6 |
- |
3488.540 |
20240621 |
80 |
63 |
| CFFEX.IF2409 |
0.000535 |
0.002392 |
-0.001857 |
-0.015061 |
-0.000188 |
-0.045559 |
- |
3436.0 |
3427.8 |
- |
3488.540 |
20240920 |
143 |
63 |
| CFFEX.IH2402 |
-0.000582 |
- |
- |
- |
- |
- |
- |
- |
2363.0 |
- |
2431.667 |
20240216 |
0 |
63 |
| CFFEX.IH2403 |
-0.000582 |
-0.000247 |
-0.000335 |
0.000384 |
0.000024 |
0.005803 |
- |
2432.6 |
2433.2 |
- |
2431.667 |
20240315 |
16 |
63 |
| CFFEX.IH2404 |
-0.000582 |
0.00107 |
-0.001651 |
0.00063 |
0.000016 |
0.003912 |
- |
2433.2 |
2430.6 |
- |
2431.667 |
20240419 |
39 |
63 |
| CFFEX.IH2406 |
-0.000582 |
0.000248 |
-0.00083 |
-0.005209 |
-0.000065 |
-0.015758 |
- |
2419.0 |
2418.4 |
- |
2431.667 |
20240621 |
80 |
63 |
| CFFEX.IH2409 |
-0.000582 |
0.001256 |
-0.001838 |
-0.016806 |
-0.00021 |
-0.050839 |
- |
2390.8 |
2387.8 |
- |
2431.667 |
20240920 |
143 |
63 |