|
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_20240227 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2402 |
0.025708 |
0.0 |
0.025708 |
-0.075151 |
-inf |
-inf |
- |
4985.4 |
4985.4 |
- |
5390.504 |
20240216 |
0 |
65 |
| CFFEX.IM2403 |
0.025708 |
0.03279 |
-0.007082 |
-0.000836 |
-0.00006 |
-0.014443 |
-0.009745 |
5386.0 |
5215.0 |
6039.525 |
5390.504 |
20240315 |
14 |
65 |
| CFFEX.IM2404 |
0.025708 |
0.034258 |
-0.008549 |
-0.006438 |
-0.000174 |
-0.042108 |
-0.011689 |
5355.8 |
5178.4 |
5992.6 |
5390.504 |
20240419 |
37 |
65 |
| CFFEX.IM2406 |
0.025708 |
0.033003 |
-0.007294 |
-0.022169 |
-0.000284 |
-0.068782 |
- |
5271.0 |
5102.6 |
- |
5390.504 |
20240621 |
78 |
65 |
| CFFEX.IM2409 |
0.025708 |
0.034938 |
-0.009229 |
-0.039422 |
-0.000505 |
-0.122309 |
- |
5178.0 |
5003.2 |
- |
5390.504 |
20240920 |
141 |
65 |
| CFFEX.IC2402 |
0.021105 |
0.0 |
0.021105 |
-0.037608 |
-inf |
-inf |
- |
5105.6 |
5105.6 |
- |
5305.116 |
20240216 |
0 |
65 |
| CFFEX.IC2403 |
0.021105 |
0.027011 |
-0.005906 |
0.000506 |
0.000036 |
0.008745 |
- |
5307.8 |
5168.2 |
- |
5305.116 |
20240315 |
14 |
65 |
| CFFEX.IC2404 |
0.021105 |
0.026722 |
-0.005616 |
-0.003415 |
-0.000092 |
-0.022335 |
- |
5287.0 |
5149.4 |
- |
5305.116 |
20240419 |
37 |
65 |
| CFFEX.IC2406 |
0.021105 |
0.02815 |
-0.007045 |
-0.014121 |
-0.000181 |
-0.043813 |
- |
5230.2 |
5087.0 |
- |
5305.116 |
20240621 |
78 |
65 |
| CFFEX.IC2409 |
0.021105 |
0.028238 |
-0.007133 |
-0.026713 |
-0.000342 |
-0.082879 |
- |
5163.4 |
5021.6 |
- |
5305.116 |
20240920 |
141 |
65 |
| CFFEX.IF2402 |
0.011705 |
- |
- |
- |
- |
- |
- |
- |
3388.0 |
- |
3493.779 |
20240216 |
0 |
65 |
| CFFEX.IF2403 |
0.011705 |
0.015093 |
-0.003388 |
0.001036 |
0.000074 |
0.017915 |
- |
3497.4 |
3445.4 |
- |
3493.779 |
20240315 |
14 |
65 |
| CFFEX.IF2404 |
0.011705 |
0.014699 |
-0.002994 |
-0.000223 |
-0.000006 |
-0.001458 |
- |
3493.0 |
3442.4 |
- |
3493.779 |
20240419 |
37 |
65 |
| CFFEX.IF2406 |
0.011705 |
0.015348 |
-0.003643 |
-0.004001 |
-0.000051 |
-0.012414 |
- |
3479.8 |
3427.2 |
- |
3493.779 |
20240621 |
78 |
65 |
| CFFEX.IF2409 |
0.011705 |
0.015087 |
-0.003383 |
-0.014019 |
-0.00018 |
-0.043495 |
- |
3444.8 |
3393.6 |
- |
3493.779 |
20240920 |
141 |
65 |
| CFFEX.IH2402 |
0.004595 |
0.0 |
0.004595 |
-0.017278 |
-inf |
-inf |
- |
2363.0 |
2363.0 |
- |
2404.546 |
20240216 |
0 |
65 |
| CFFEX.IH2403 |
0.004595 |
0.006442 |
-0.001848 |
0.000522 |
0.000037 |
0.009015 |
- |
2405.8 |
2390.4 |
- |
2404.546 |
20240315 |
14 |
65 |
| CFFEX.IH2404 |
0.004595 |
0.006279 |
-0.001685 |
-0.00031 |
-0.000008 |
-0.002029 |
- |
2403.8 |
2388.8 |
- |
2404.546 |
20240419 |
37 |
65 |
| CFFEX.IH2406 |
0.004595 |
0.007071 |
-0.002476 |
-0.004885 |
-0.000063 |
-0.015156 |
- |
2392.8 |
2376.0 |
- |
2404.546 |
20240621 |
78 |
65 |
| CFFEX.IH2409 |
0.004595 |
0.00758 |
-0.002986 |
-0.01603 |
-0.000206 |
-0.049736 |
- |
2366.0 |
2348.2 |
- |
2404.546 |
20240920 |
141 |
65 |