|
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_20240305 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2402 |
-0.008649 |
- |
- |
- |
- |
- |
- |
- |
4985.4 |
- |
5381.385 |
20240216 |
0 |
70 |
| CFFEX.IM2403 |
-0.008649 |
-0.013374 |
0.004725 |
-0.013005 |
-0.001445 |
-0.34969 |
0.001114 |
5311.4 |
5383.4 |
6039.525 |
5381.385 |
20240315 |
9 |
70 |
| CFFEX.IM2404 |
-0.008649 |
-0.014183 |
0.005534 |
-0.020958 |
-0.000655 |
-0.158498 |
0.00137 |
5268.6 |
5344.4 |
5992.6 |
5381.385 |
20240419 |
32 |
70 |
| CFFEX.IM2406 |
-0.008649 |
-0.014599 |
0.00595 |
-0.036716 |
-0.000503 |
-0.121717 |
- |
5183.8 |
5260.6 |
- |
5381.385 |
20240621 |
73 |
70 |
| CFFEX.IM2409 |
-0.008649 |
-0.015055 |
0.006406 |
-0.054147 |
-0.000742 |
-0.1795 |
- |
5090.0 |
5167.8 |
- |
5381.385 |
20240920 |
136 |
70 |
| CFFEX.IC2402 |
-0.006067 |
0.0 |
-0.006067 |
-0.046774 |
-inf |
-inf |
- |
5105.6 |
5105.6 |
- |
5356.128 |
20240216 |
0 |
70 |
| CFFEX.IC2403 |
-0.006067 |
-0.007848 |
0.001782 |
-0.003982 |
-0.000442 |
-0.107071 |
- |
5334.8 |
5377.0 |
- |
5356.128 |
20240315 |
9 |
70 |
| CFFEX.IC2404 |
-0.006067 |
-0.009401 |
0.003334 |
-0.008425 |
-0.000263 |
-0.063718 |
- |
5311.0 |
5361.4 |
- |
5356.128 |
20240419 |
32 |
70 |
| CFFEX.IC2406 |
-0.006067 |
-0.009992 |
0.003925 |
-0.019553 |
-0.000268 |
-0.064819 |
- |
5251.4 |
5304.4 |
- |
5356.128 |
20240621 |
73 |
70 |
| CFFEX.IC2409 |
-0.006067 |
-0.010333 |
0.004266 |
-0.030792 |
-0.000422 |
-0.102079 |
- |
5191.2 |
5245.4 |
- |
5356.128 |
20240920 |
136 |
70 |
| CFFEX.IF2402 |
0.007634 |
0.0 |
0.007634 |
-0.050421 |
-inf |
-inf |
- |
3388.0 |
3388.0 |
- |
3567.898 |
20240216 |
0 |
70 |
| CFFEX.IF2403 |
0.007634 |
0.004135 |
0.003499 |
-0.00625 |
-0.000694 |
-0.168045 |
- |
3545.6 |
3531.0 |
- |
3567.898 |
20240315 |
9 |
70 |
| CFFEX.IF2404 |
0.007634 |
0.003401 |
0.004233 |
-0.007651 |
-0.000239 |
-0.057861 |
- |
3540.6 |
3528.6 |
- |
3567.898 |
20240419 |
32 |
70 |
| CFFEX.IF2406 |
0.007634 |
0.002222 |
0.005412 |
-0.013929 |
-0.000191 |
-0.046176 |
- |
3518.2 |
3510.4 |
- |
3567.898 |
20240621 |
73 |
70 |
| CFFEX.IF2409 |
0.007634 |
0.000806 |
0.006827 |
-0.025981 |
-0.000356 |
-0.086129 |
- |
3475.2 |
3472.4 |
- |
3567.898 |
20240920 |
136 |
70 |
| CFFEX.IH2402 |
0.012077 |
0.0 |
0.012077 |
-0.034641 |
-inf |
-inf |
- |
2363.0 |
2363.0 |
- |
2447.794 |
20240216 |
0 |
70 |
| CFFEX.IH2403 |
0.012077 |
0.007363 |
0.004714 |
-0.005145 |
-0.000572 |
-0.138344 |
- |
2435.2 |
2417.4 |
- |
2447.794 |
20240315 |
9 |
70 |
| CFFEX.IH2404 |
0.012077 |
0.006125 |
0.005953 |
-0.006779 |
-0.000212 |
-0.051267 |
- |
2431.2 |
2416.4 |
- |
2447.794 |
20240419 |
32 |
70 |
| CFFEX.IH2406 |
0.012077 |
0.005159 |
0.006918 |
-0.013071 |
-0.000179 |
-0.04333 |
- |
2415.8 |
2403.4 |
- |
2447.794 |
20240621 |
73 |
70 |
| CFFEX.IH2409 |
0.012077 |
0.004374 |
0.007704 |
-0.024346 |
-0.000334 |
-0.080709 |
- |
2388.2 |
2377.8 |
- |
2447.794 |
20240920 |
136 |
70 |