|
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_20240229 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2402 |
0.037029 |
0.0 |
0.037029 |
-0.066898 |
-inf |
-inf |
- |
4985.4 |
4985.4 |
- |
5342.827 |
20240216 |
0 |
67 |
| CFFEX.IM2403 |
0.037029 |
0.042246 |
-0.005217 |
-0.00169 |
-0.000141 |
-0.034073 |
-0.008904 |
5333.8 |
5117.6 |
6039.525 |
5342.827 |
20240315 |
12 |
67 |
| CFFEX.IM2404 |
0.037029 |
0.043595 |
-0.006566 |
-0.008016 |
-0.000229 |
-0.055423 |
-0.010179 |
5300.0 |
5078.6 |
5992.6 |
5342.827 |
20240419 |
35 |
67 |
| CFFEX.IM2406 |
0.037029 |
0.04304 |
-0.006011 |
-0.023888 |
-0.000314 |
-0.076063 |
- |
5215.2 |
5000.0 |
- |
5342.827 |
20240621 |
76 |
67 |
| CFFEX.IM2409 |
0.037029 |
0.044433 |
-0.007404 |
-0.040021 |
-0.000527 |
-0.127436 |
- |
5129.0 |
4910.8 |
- |
5342.827 |
20240920 |
139 |
67 |
| CFFEX.IC2402 |
0.031471 |
0.0 |
0.031471 |
-0.045182 |
-inf |
-inf |
- |
5105.6 |
5105.6 |
- |
5347.195 |
20240216 |
0 |
67 |
| CFFEX.IC2403 |
0.031471 |
0.033081 |
-0.00161 |
-0.000149 |
-0.000012 |
-0.002998 |
- |
5346.4 |
5175.2 |
- |
5347.195 |
20240315 |
12 |
67 |
| CFFEX.IC2404 |
0.031471 |
0.034199 |
-0.002728 |
-0.002393 |
-0.000068 |
-0.016545 |
- |
5334.4 |
5158.0 |
- |
5347.195 |
20240419 |
35 |
67 |
| CFFEX.IC2406 |
0.031471 |
0.035029 |
-0.003558 |
-0.01309 |
-0.000172 |
-0.041681 |
- |
5277.2 |
5098.6 |
- |
5347.195 |
20240621 |
76 |
67 |
| CFFEX.IC2409 |
0.031471 |
0.036096 |
-0.004625 |
-0.025171 |
-0.000331 |
-0.08015 |
- |
5212.6 |
5031.0 |
- |
5347.195 |
20240920 |
139 |
67 |
| CFFEX.IF2402 |
0.018759 |
- |
- |
- |
- |
- |
- |
- |
3388.0 |
- |
3514.982 |
20240216 |
0 |
67 |
| CFFEX.IF2403 |
0.018759 |
0.016952 |
0.001807 |
0.000119 |
0.00001 |
0.002398 |
- |
3515.4 |
3456.8 |
- |
3514.982 |
20240315 |
12 |
67 |
| CFFEX.IF2404 |
0.018759 |
0.015506 |
0.003253 |
-0.001304 |
-0.000037 |
-0.009013 |
- |
3510.4 |
3456.8 |
- |
3514.982 |
20240419 |
35 |
67 |
| CFFEX.IF2406 |
0.018759 |
0.017806 |
0.000952 |
-0.004774 |
-0.000063 |
-0.015203 |
- |
3498.2 |
3437.0 |
- |
3514.982 |
20240621 |
76 |
67 |
| CFFEX.IF2409 |
0.018759 |
0.019401 |
-0.000643 |
-0.013423 |
-0.000177 |
-0.042742 |
- |
3467.8 |
3401.8 |
- |
3514.982 |
20240920 |
139 |
67 |
| CFFEX.IH2402 |
0.010906 |
0.0 |
0.010906 |
-0.020164 |
-inf |
-inf |
- |
2363.0 |
2363.0 |
- |
2411.628 |
20240216 |
0 |
67 |
| CFFEX.IH2403 |
0.010906 |
0.009124 |
0.001782 |
-0.00026 |
-0.000022 |
-0.005252 |
- |
2411.0 |
2389.2 |
- |
2411.628 |
20240315 |
12 |
67 |
| CFFEX.IH2404 |
0.010906 |
0.008878 |
0.002028 |
-0.00109 |
-0.000031 |
-0.007535 |
- |
2409.0 |
2387.8 |
- |
2411.628 |
20240419 |
35 |
67 |
| CFFEX.IH2406 |
0.010906 |
0.009013 |
0.001893 |
-0.006563 |
-0.000086 |
-0.020899 |
- |
2395.8 |
2374.4 |
- |
2411.628 |
20240621 |
76 |
67 |
| CFFEX.IH2409 |
0.010906 |
0.009632 |
0.001274 |
-0.017676 |
-0.000233 |
-0.056284 |
- |
2369.0 |
2346.4 |
- |
2411.628 |
20240920 |
139 |
67 |