|
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_20240326 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2404 |
-0.003428 |
- |
- |
- |
- |
- |
- |
- |
5435.4 |
- |
5447.323 |
20240419 |
17 |
85 |
| CFFEX.IM2405 |
-0.003428 |
- |
- |
- |
- |
- |
- |
- |
5393.8 |
6039.525 |
5447.323 |
20240517 |
34 |
85 |
| CFFEX.IM2406 |
-0.003428 |
-0.006146 |
0.002718 |
-0.026274 |
-0.000453 |
-0.109626 |
0.006219 |
5304.2 |
5337.0 |
5992.6 |
5447.323 |
20240621 |
58 |
85 |
| CFFEX.IM2409 |
-0.003428 |
- |
- |
- |
- |
- |
- |
- |
5241.6 |
- |
5447.323 |
20240920 |
121 |
85 |
| CFFEX.IM2412 |
-0.003428 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5447.323 |
20241220 |
181 |
85 |
| CFFEX.IC2404 |
-0.001969 |
- |
- |
- |
- |
- |
- |
- |
5293.8 |
- |
5284.319 |
20240419 |
17 |
85 |
| CFFEX.IC2405 |
-0.001969 |
-0.005383 |
0.003413 |
-0.006911 |
-0.000203 |
-0.049189 |
- |
5247.8 |
5276.2 |
- |
5284.319 |
20240517 |
34 |
85 |
| CFFEX.IC2406 |
-0.001969 |
- |
- |
- |
- |
- |
- |
- |
5234.0 |
- |
5284.319 |
20240621 |
58 |
85 |
| CFFEX.IC2409 |
-0.001969 |
-0.006338 |
0.004369 |
-0.026894 |
-0.000222 |
-0.053789 |
- |
5142.2 |
5175.0 |
- |
5284.319 |
20240920 |
121 |
85 |
| CFFEX.IC2412 |
-0.001969 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5284.319 |
20241220 |
181 |
85 |
| CFFEX.IF2404 |
0.005313 |
- |
- |
- |
- |
- |
- |
- |
3532.0 |
- |
3544.495 |
20240419 |
17 |
85 |
| CFFEX.IF2405 |
0.005313 |
- |
- |
- |
- |
- |
- |
- |
3528.0 |
- |
3544.495 |
20240517 |
34 |
85 |
| CFFEX.IF2406 |
0.005313 |
- |
- |
- |
- |
- |
- |
- |
3505.4 |
- |
3544.495 |
20240621 |
58 |
85 |
| CFFEX.IF2409 |
0.005313 |
- |
- |
- |
- |
- |
- |
- |
3457.6 |
- |
3544.495 |
20240920 |
121 |
85 |
| CFFEX.IF2412 |
0.005313 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
3544.495 |
20241220 |
181 |
85 |
| CFFEX.IH2404 |
0.005298 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
2413.932 |
20240419 |
17 |
85 |
| CFFEX.IH2405 |
0.005298 |
- |
- |
- |
- |
- |
- |
- |
2404.6 |
- |
2413.932 |
20240517 |
34 |
85 |
| CFFEX.IH2406 |
0.005298 |
0.005944 |
-0.000647 |
-0.004529 |
-0.000078 |
-0.018896 |
- |
2403.0 |
2388.8 |
- |
2413.932 |
20240621 |
58 |
85 |
| CFFEX.IH2409 |
0.005298 |
- |
- |
- |
- |
- |
- |
- |
2356.0 |
- |
2413.932 |
20240920 |
121 |
85 |
| CFFEX.IH2412 |
0.005298 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
2413.932 |
20241220 |
181 |
85 |