|
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_20240226 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2402 |
0.005903 |
0.000000 |
0.005903 |
-0.051577 |
-inf |
-inf |
- |
4985.4 |
4985.4 |
- |
5256.517 |
20240216 |
0 |
64 |
| CFFEX.IM2403 |
0.005903 |
-0.000383 |
0.006286 |
-0.007898 |
-0.000527 |
-0.127424 |
-0.003356 |
5215.0 |
5217.0 |
6039.525 |
5256.517 |
20240315 |
15 |
64 |
| CFFEX.IM2404 |
0.005903 |
-0.001080 |
0.006983 |
-0.014861 |
-0.000391 |
-0.094641 |
-0.00401 |
5178.4 |
5184.0 |
5992.6 |
5256.517 |
20240419 |
38 |
64 |
| CFFEX.IM2406 |
0.005903 |
0.000078 |
0.005825 |
-0.029281 |
-0.000371 |
-0.089697 |
- |
5102.6 |
5102.2 |
- |
5256.517 |
20240621 |
79 |
64 |
| CFFEX.IM2409 |
0.005903 |
-0.002273 |
0.008176 |
-0.048191 |
-0.000610 |
-0.147623 |
- |
5003.2 |
5014.6 |
- |
5256.517 |
20240920 |
142 |
64 |
| CFFEX.IC2402 |
0.000160 |
0.000000 |
0.000160 |
-0.017879 |
-inf |
-inf |
- |
5105.6 |
5105.6 |
- |
5198.545 |
20240216 |
0 |
64 |
| CFFEX.IC2403 |
0.000160 |
-0.003432 |
0.003593 |
-0.005837 |
-0.000389 |
-0.094174 |
- |
5168.2 |
5186.0 |
- |
5198.545 |
20240315 |
15 |
64 |
| CFFEX.IC2404 |
0.000160 |
-0.003522 |
0.003682 |
-0.009454 |
-0.000249 |
-0.060205 |
- |
5149.4 |
5167.6 |
- |
5198.545 |
20240419 |
38 |
64 |
| CFFEX.IC2406 |
0.000160 |
-0.003916 |
0.004077 |
-0.021457 |
-0.000272 |
-0.065729 |
- |
5087.0 |
5107.0 |
- |
5198.545 |
20240621 |
79 |
64 |
| CFFEX.IC2409 |
0.000160 |
-0.004244 |
0.004404 |
-0.034037 |
-0.000431 |
-0.104266 |
- |
5021.6 |
5043.0 |
- |
5198.545 |
20240920 |
142 |
64 |
| CFFEX.IF2402 |
-0.010410 |
0.000000 |
-0.010410 |
-0.018942 |
-inf |
-inf |
- |
3388.0 |
3388.0 |
- |
3453.414 |
20240216 |
0 |
64 |
| CFFEX.IF2403 |
-0.010410 |
-0.011930 |
0.001520 |
-0.002321 |
-0.000155 |
-0.037439 |
- |
3445.4 |
3487.0 |
- |
3453.414 |
20240315 |
15 |
64 |
| CFFEX.IF2404 |
-0.010410 |
-0.011600 |
0.001190 |
-0.003189 |
-0.000084 |
-0.020311 |
- |
3442.4 |
3482.8 |
- |
3453.414 |
20240419 |
38 |
64 |
| CFFEX.IF2406 |
-0.010410 |
-0.012391 |
0.001981 |
-0.007591 |
-0.000096 |
-0.023253 |
- |
3427.2 |
3470.2 |
- |
3453.414 |
20240621 |
79 |
64 |
| CFFEX.IF2409 |
-0.010410 |
-0.012340 |
0.001930 |
-0.017320 |
-0.000219 |
-0.053057 |
- |
3393.6 |
3436.0 |
- |
3453.414 |
20240920 |
142 |
64 |
| CFFEX.IH2402 |
-0.016443 |
0.000000 |
-0.016443 |
-0.012699 |
-inf |
-inf |
- |
2363.0 |
2363.0 |
- |
2393.394 |
20240216 |
0 |
64 |
| CFFEX.IH2403 |
-0.016443 |
-0.017348 |
0.000904 |
-0.001251 |
-0.000083 |
-0.020182 |
- |
2390.4 |
2432.6 |
- |
2393.394 |
20240315 |
15 |
64 |
| CFFEX.IH2404 |
-0.016443 |
-0.018248 |
0.001804 |
-0.001919 |
-0.000051 |
-0.012224 |
- |
2388.8 |
2433.2 |
- |
2393.394 |
20240419 |
38 |
64 |
| CFFEX.IH2406 |
-0.016443 |
-0.017776 |
0.001333 |
-0.007268 |
-0.000092 |
-0.022262 |
- |
2376.0 |
2419.0 |
- |
2393.394 |
20240621 |
79 |
64 |
| CFFEX.IH2409 |
-0.016443 |
-0.017818 |
0.001375 |
-0.018883 |
-0.000239 |
-0.057844 |
- |
2348.2 |
2390.8 |
- |
2393.394 |
20240920 |
142 |
64 |