|
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_20240313 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2402 |
0.004506 |
- |
- |
- |
- |
- |
- |
- |
4985.4 |
- |
5521.124 |
20240216 |
0 |
76 |
| CFFEX.IM2403 |
0.004506 |
0.005321 |
-0.000814 |
-0.000675 |
-0.000225 |
-0.05441 |
-0.010129 |
5517.4 |
5488.2 |
6039.525 |
5521.124 |
20240315 |
3 |
76 |
| CFFEX.IM2404 |
0.004506 |
- |
- |
-0.008716 |
-0.000335 |
-0.081129 |
-0.009873 |
5473.0 |
- |
5992.6 |
5521.124 |
20240419 |
26 |
76 |
| CFFEX.IM2406 |
0.004506 |
0.005232 |
-0.000725 |
-0.025561 |
-0.000382 |
-0.092324 |
- |
5380.0 |
5352.0 |
- |
5521.124 |
20240621 |
67 |
76 |
| CFFEX.IM2409 |
0.004506 |
0.005521 |
-0.001015 |
-0.043456 |
-0.000649 |
-0.156959 |
- |
5281.2 |
5252.2 |
- |
5521.124 |
20240920 |
130 |
76 |
| CFFEX.IC2402 |
-0.001499 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5415.586 |
20240216 |
0 |
76 |
| CFFEX.IC2403 |
-0.001499 |
-0.001953 |
0.000454 |
0.000261 |
0.000087 |
0.021062 |
- |
5417.0 |
5427.6 |
- |
5415.586 |
20240315 |
3 |
76 |
| CFFEX.IC2404 |
-0.001499 |
- |
- |
-0.003543 |
-0.000136 |
-0.032975 |
- |
5396.4 |
- |
- |
5415.586 |
20240419 |
26 |
76 |
| CFFEX.IC2406 |
-0.001499 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5415.586 |
20240621 |
67 |
76 |
| CFFEX.IC2409 |
-0.001499 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5415.586 |
20240920 |
130 |
76 |
| CFFEX.IF2402 |
-0.006602 |
0.0 |
-0.006602 |
-0.051974 |
-inf |
-inf |
- |
3388.0 |
3388.0 |
- |
3573.743 |
20240216 |
0 |
76 |
| CFFEX.IF2403 |
-0.006602 |
-0.005725 |
-0.000877 |
0.001135 |
0.000378 |
0.091575 |
- |
3577.8 |
3598.4 |
- |
3573.743 |
20240315 |
3 |
76 |
| CFFEX.IF2404 |
-0.006602 |
- |
- |
- |
- |
- |
- |
- |
3592.0 |
- |
3573.743 |
20240419 |
26 |
76 |
| CFFEX.IF2406 |
-0.006602 |
- |
- |
- |
- |
- |
- |
- |
3568.4 |
- |
3573.743 |
20240621 |
67 |
76 |
| CFFEX.IF2409 |
-0.006602 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
3573.743 |
20240920 |
130 |
76 |
| CFFEX.IH2402 |
-0.008625 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
2429.333 |
20240216 |
0 |
76 |
| CFFEX.IH2403 |
-0.008625 |
-0.007261 |
-0.001365 |
0.001839 |
0.000613 |
0.148328 |
- |
2433.8 |
2451.6 |
- |
2429.333 |
20240315 |
3 |
76 |
| CFFEX.IH2404 |
-0.008625 |
- |
- |
-0.000466 |
-0.000018 |
-0.004341 |
- |
2428.2 |
- |
- |
2429.333 |
20240419 |
26 |
76 |
| CFFEX.IH2406 |
-0.008625 |
-0.008131 |
-0.000494 |
-0.005818 |
-0.000087 |
-0.021013 |
- |
2415.2 |
2435.0 |
- |
2429.333 |
20240621 |
67 |
76 |
| CFFEX.IH2409 |
-0.008625 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
2429.333 |
20240920 |
130 |
76 |