|
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_20240228 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2402 |
-0.044521 |
- |
- |
- |
- |
- |
- |
- |
4985.4 |
- |
5153.887 |
20240216 |
0 |
66 |
| CFFEX.IM2403 |
-0.044521 |
-0.049833 |
0.005312 |
-0.007041 |
-0.000542 |
-0.131065 |
-0.004022 |
5117.6 |
5386.0 |
6039.525 |
5153.887 |
20240315 |
13 |
66 |
| CFFEX.IM2404 |
-0.044521 |
-0.051757 |
0.007236 |
-0.014608 |
-0.000406 |
-0.098197 |
-0.00415 |
5078.6 |
5355.8 |
5992.6 |
5153.887 |
20240419 |
36 |
66 |
| CFFEX.IM2406 |
-0.044521 |
-0.051413 |
0.006893 |
-0.029858 |
-0.000388 |
-0.093841 |
- |
5000.0 |
5271.0 |
- |
5153.887 |
20240621 |
77 |
66 |
| CFFEX.IM2409 |
-0.044521 |
-0.051603 |
0.007082 |
-0.047166 |
-0.000613 |
-0.148235 |
- |
4910.8 |
5178.0 |
- |
5153.887 |
20240920 |
140 |
66 |
| CFFEX.IC2402 |
-0.022624 |
- |
- |
- |
- |
- |
- |
- |
5105.6 |
- |
5187.721 |
20240216 |
0 |
66 |
| CFFEX.IC2403 |
-0.022624 |
-0.024982 |
0.002358 |
-0.002414 |
-0.000186 |
-0.04493 |
- |
5175.2 |
5307.8 |
- |
5187.721 |
20240315 |
13 |
66 |
| CFFEX.IC2404 |
-0.022624 |
-0.024399 |
0.001776 |
-0.005729 |
-0.000159 |
-0.038512 |
- |
5158.0 |
5287.0 |
- |
5187.721 |
20240419 |
36 |
66 |
| CFFEX.IC2406 |
-0.022624 |
-0.025162 |
0.002538 |
-0.017179 |
-0.000223 |
-0.053992 |
- |
5098.6 |
5230.2 |
- |
5187.721 |
20240621 |
77 |
66 |
| CFFEX.IC2409 |
-0.022624 |
-0.025642 |
0.003018 |
-0.03021 |
-0.000392 |
-0.094946 |
- |
5031.0 |
5163.4 |
- |
5187.721 |
20240920 |
140 |
66 |
| CFFEX.IF2402 |
-0.011644 |
0.0 |
-0.011644 |
-0.019135 |
-inf |
-inf |
- |
3388.0 |
3388.0 |
- |
3454.093 |
20240216 |
0 |
66 |
| CFFEX.IF2403 |
-0.011644 |
-0.011609 |
-0.000036 |
0.000784 |
0.00006 |
0.014589 |
- |
3456.8 |
3497.4 |
- |
3454.093 |
20240315 |
13 |
66 |
| CFFEX.IF2404 |
-0.011644 |
-0.010364 |
-0.001281 |
0.000784 |
0.000022 |
0.005268 |
- |
3456.8 |
3493.0 |
- |
3454.093 |
20240419 |
36 |
66 |
| CFFEX.IF2406 |
-0.011644 |
-0.0123 |
0.000655 |
-0.004949 |
-0.000064 |
-0.015553 |
- |
3437.0 |
3479.8 |
- |
3454.093 |
20240621 |
77 |
66 |
| CFFEX.IF2409 |
-0.011644 |
-0.012483 |
0.000838 |
-0.015139 |
-0.000197 |
-0.047581 |
- |
3401.8 |
3444.8 |
- |
3454.093 |
20240920 |
140 |
66 |
| CFFEX.IH2402 |
-0.006557 |
- |
- |
- |
- |
- |
- |
- |
2363.0 |
- |
2389.291 |
20240216 |
0 |
66 |
| CFFEX.IH2403 |
-0.006557 |
-0.0069 |
0.000343 |
-0.000038 |
-0.000003 |
-0.000709 |
- |
2389.2 |
2405.8 |
- |
2389.291 |
20240315 |
13 |
66 |
| CFFEX.IH2404 |
-0.006557 |
-0.006656 |
0.000099 |
-0.000624 |
-0.000017 |
-0.004195 |
- |
2387.8 |
2403.8 |
- |
2389.291 |
20240419 |
36 |
66 |
| CFFEX.IH2406 |
-0.006557 |
-0.00769 |
0.001133 |
-0.006232 |
-0.000081 |
-0.019588 |
- |
2374.4 |
2392.8 |
- |
2389.291 |
20240621 |
77 |
66 |
| CFFEX.IH2409 |
-0.006557 |
-0.008284 |
0.001727 |
-0.017951 |
-0.000233 |
-0.056419 |
- |
2346.4 |
2366.0 |
- |
2389.291 |
20240920 |
140 |
66 |