|
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_20240308 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2402 |
0.012407 |
0.000000 |
0.012407 |
-0.071460 |
-inf |
-inf |
- |
4985.4 |
4985.4 |
- |
5369.076 |
20240216 |
0 |
73 |
| CFFEX.IM2403 |
0.012407 |
0.013455 |
-0.001047 |
-0.003925 |
-0.000654 |
-0.158326 |
-0.00696 |
5348.0 |
5277.0 |
6039.525 |
5369.076 |
20240315 |
6 |
73 |
| CFFEX.IM2404 |
0.012407 |
0.013143 |
-0.000736 |
-0.012195 |
-0.000421 |
-0.101765 |
-0.006485 |
5303.6 |
5234.8 |
5992.6 |
5369.076 |
20240419 |
29 |
73 |
| CFFEX.IM2406 |
0.012407 |
0.012973 |
-0.000566 |
-0.028511 |
-0.000407 |
-0.098565 |
- |
5216.0 |
5149.2 |
- |
5369.076 |
20240621 |
70 |
73 |
| CFFEX.IM2409 |
0.012407 |
0.012658 |
-0.000250 |
-0.046354 |
-0.000662 |
-0.160251 |
- |
5120.2 |
5056.2 |
- |
5369.076 |
20240920 |
133 |
73 |
| CFFEX.IC2402 |
0.013254 |
0.000000 |
0.013254 |
-0.045191 |
-inf |
-inf |
- |
5105.6 |
5105.6 |
- |
5347.245 |
20240216 |
0 |
73 |
| CFFEX.IC2403 |
0.013254 |
0.013997 |
-0.000743 |
-0.000195 |
-0.000033 |
-0.007882 |
- |
5346.2 |
5272.4 |
- |
5347.245 |
20240315 |
6 |
73 |
| CFFEX.IC2404 |
0.013254 |
0.013902 |
-0.000647 |
-0.004310 |
-0.000149 |
-0.035964 |
- |
5324.2 |
5251.2 |
- |
5347.245 |
20240419 |
29 |
73 |
| CFFEX.IC2406 |
0.013254 |
0.013560 |
-0.000306 |
-0.015942 |
-0.000228 |
-0.055113 |
- |
5262.0 |
5191.6 |
- |
5347.245 |
20240621 |
70 |
73 |
| CFFEX.IC2409 |
0.013254 |
0.013882 |
-0.000628 |
-0.027537 |
-0.000393 |
-0.095198 |
- |
5200.0 |
5128.8 |
- |
5347.245 |
20240920 |
133 |
73 |
| CFFEX.IF2402 |
0.004392 |
0.000000 |
0.004392 |
-0.044348 |
-inf |
-inf |
- |
3388.0 |
3388.0 |
- |
3545.223 |
20240216 |
0 |
73 |
| CFFEX.IF2403 |
0.004392 |
0.004254 |
0.000138 |
-0.001191 |
-0.000199 |
-0.048044 |
- |
3541.0 |
3526.0 |
- |
3545.223 |
20240315 |
6 |
73 |
| CFFEX.IF2404 |
0.004392 |
0.004491 |
-0.000099 |
-0.003166 |
-0.000109 |
-0.026417 |
- |
3534.0 |
3518.2 |
- |
3545.223 |
20240419 |
29 |
73 |
| CFFEX.IF2406 |
0.004392 |
0.003260 |
0.001133 |
-0.010330 |
-0.000148 |
-0.035713 |
- |
3508.6 |
3497.2 |
- |
3545.223 |
20240621 |
70 |
73 |
| CFFEX.IF2409 |
0.004392 |
0.003009 |
0.001383 |
-0.022234 |
-0.000318 |
-0.076865 |
- |
3466.4 |
3456.0 |
- |
3545.223 |
20240920 |
133 |
73 |
| CFFEX.IH2402 |
-0.000155 |
0.000000 |
-0.000155 |
-0.026209 |
-inf |
-inf |
- |
2363.0 |
2363.0 |
- |
2426.598 |
20240216 |
0 |
73 |
| CFFEX.IH2403 |
-0.000155 |
0.002149 |
-0.002304 |
-0.000659 |
-0.000110 |
-0.026561 |
- |
2425.0 |
2419.8 |
- |
2426.598 |
20240315 |
6 |
73 |
| CFFEX.IH2404 |
-0.000155 |
0.001904 |
-0.002058 |
-0.002307 |
-0.000080 |
-0.019251 |
- |
2421.0 |
2416.4 |
- |
2426.598 |
20240419 |
29 |
73 |
| CFFEX.IH2406 |
-0.000155 |
0.001913 |
-0.002068 |
-0.007417 |
-0.000106 |
-0.025642 |
- |
2408.6 |
2404.0 |
- |
2426.598 |
20240621 |
70 |
73 |
| CFFEX.IH2409 |
-0.000155 |
0.001851 |
-0.002006 |
-0.018626 |
-0.000266 |
-0.064393 |
- |
2381.4 |
2377.0 |
- |
2426.598 |
20240920 |
133 |
73 |