|
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_20240304 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2402 |
0.004901 |
0.0 |
0.004901 |
-0.08161 |
-inf |
-inf |
- |
4985.4 |
4985.4 |
- |
5428.412 |
20240216 |
0 |
69 |
| CFFEX.IM2403 |
0.004901 |
-0.001595 |
0.006496 |
-0.008292 |
-0.000829 |
-0.200665 |
-0.003112 |
5383.4 |
5392.0 |
6039.525 |
5428.412 |
20240315 |
10 |
69 |
| CFFEX.IM2404 |
0.004901 |
-0.003134 |
0.008034 |
-0.015476 |
-0.000469 |
-0.113493 |
-0.003584 |
5344.4 |
5361.2 |
5992.6 |
5428.412 |
20240419 |
33 |
69 |
| CFFEX.IM2406 |
0.004901 |
-0.003108 |
0.008008 |
-0.030914 |
-0.000418 |
-0.101096 |
- |
5260.6 |
5277.0 |
- |
5428.412 |
20240621 |
74 |
69 |
| CFFEX.IM2409 |
0.004901 |
-0.004086 |
0.008986 |
-0.048009 |
-0.000649 |
-0.157002 |
- |
5167.8 |
5189.0 |
- |
5428.412 |
20240920 |
137 |
69 |
| CFFEX.IC2402 |
0.002037 |
- |
- |
- |
- |
- |
- |
- |
5105.6 |
- |
5390.006 |
20240216 |
0 |
69 |
| CFFEX.IC2403 |
0.002037 |
-0.00104 |
0.003078 |
-0.002413 |
-0.000241 |
-0.058394 |
- |
5377.0 |
5382.6 |
- |
5390.006 |
20240315 |
10 |
69 |
| CFFEX.IC2404 |
0.002037 |
-0.003605 |
0.005643 |
-0.005307 |
-0.000161 |
-0.03892 |
- |
5361.4 |
5380.8 |
- |
5390.006 |
20240419 |
33 |
69 |
| CFFEX.IC2406 |
0.002037 |
-0.002782 |
0.004819 |
-0.015882 |
-0.000215 |
-0.05194 |
- |
5304.4 |
5319.2 |
- |
5390.006 |
20240621 |
74 |
69 |
| CFFEX.IC2409 |
0.002037 |
-0.0027 |
0.004737 |
-0.026829 |
-0.000363 |
-0.087737 |
- |
5245.4 |
5259.6 |
- |
5390.006 |
20240920 |
137 |
69 |
| CFFEX.IF2402 |
0.000689 |
- |
- |
- |
- |
- |
- |
- |
3388.0 |
- |
3540.243 |
20240216 |
0 |
69 |
| CFFEX.IF2403 |
0.000689 |
0.00438 |
-0.003691 |
-0.002611 |
-0.000261 |
-0.063182 |
- |
3531.0 |
3515.6 |
- |
3540.243 |
20240315 |
10 |
69 |
| CFFEX.IF2404 |
0.000689 |
-0.002206 |
0.002895 |
-0.003289 |
-0.0001 |
-0.024118 |
- |
3528.6 |
3536.4 |
- |
3540.243 |
20240419 |
33 |
69 |
| CFFEX.IF2406 |
0.000689 |
-0.003746 |
0.004436 |
-0.00843 |
-0.000114 |
-0.027567 |
- |
3510.4 |
3523.6 |
- |
3540.243 |
20240621 |
74 |
69 |
| CFFEX.IF2409 |
0.000689 |
0.001269 |
-0.000579 |
-0.019163 |
-0.000259 |
-0.062669 |
- |
3472.4 |
3468.0 |
- |
3540.243 |
20240920 |
137 |
69 |
| CFFEX.IH2402 |
0.001549 |
0.0 |
0.001549 |
-0.022982 |
-inf |
-inf |
- |
2363.0 |
2363.0 |
- |
2418.584 |
20240216 |
0 |
69 |
| CFFEX.IH2403 |
0.001549 |
0.0 |
0.001549 |
-0.00049 |
-0.000049 |
-0.011847 |
- |
2417.4 |
2417.4 |
- |
2418.584 |
20240315 |
10 |
69 |
| CFFEX.IH2404 |
0.001549 |
-0.000083 |
0.001632 |
-0.000903 |
-0.000027 |
-0.006622 |
- |
2416.4 |
2416.6 |
- |
2418.584 |
20240419 |
33 |
69 |
| CFFEX.IH2406 |
0.001549 |
-0.000333 |
0.001882 |
-0.006278 |
-0.000085 |
-0.020531 |
- |
2403.4 |
2404.2 |
- |
2418.584 |
20240621 |
74 |
69 |
| CFFEX.IH2409 |
0.001549 |
-0.000756 |
0.002305 |
-0.016863 |
-0.000228 |
-0.055146 |
- |
2377.8 |
2379.6 |
- |
2418.584 |
20240920 |
137 |
69 |