|
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_20240327 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2404 |
-0.032943 |
- |
- |
-0.009772 |
-0.000611 |
-0.147805 |
- |
5216.8 |
- |
- |
5268.283 |
20240419 |
16 |
86 |
| CFFEX.IM2405 |
-0.032943 |
- |
- |
- |
- |
- |
- |
- |
- |
6039.525 |
5268.283 |
20240517 |
33 |
86 |
| CFFEX.IM2406 |
-0.032943 |
-0.034463 |
0.00152 |
-0.027881 |
-0.000489 |
-0.11837 |
0.007427 |
5121.4 |
5304.2 |
5992.6 |
5268.283 |
20240621 |
57 |
86 |
| CFFEX.IM2409 |
-0.032943 |
- |
- |
-0.047621 |
-0.000397 |
-0.096036 |
- |
5017.4 |
- |
- |
5268.283 |
20240920 |
120 |
86 |
| CFFEX.IM2412 |
-0.032943 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5268.283 |
20241220 |
180 |
86 |
| CFFEX.IC2404 |
-0.023675 |
- |
- |
-0.001688 |
-0.000106 |
-0.025537 |
- |
5150.6 |
- |
- |
5159.311 |
20240419 |
16 |
86 |
| CFFEX.IC2405 |
-0.023675 |
- |
- |
- |
- |
- |
- |
- |
5247.8 |
- |
5159.311 |
20240517 |
33 |
86 |
| CFFEX.IC2406 |
-0.023675 |
- |
- |
-0.013434 |
-0.000236 |
-0.057036 |
- |
5090.0 |
- |
- |
5159.311 |
20240621 |
57 |
86 |
| CFFEX.IC2409 |
-0.023675 |
- |
- |
- |
- |
- |
- |
- |
5142.2 |
- |
5159.311 |
20240920 |
120 |
86 |
| CFFEX.IC2412 |
-0.023675 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5159.311 |
20241220 |
180 |
86 |
| CFFEX.IF2404 |
-0.010970 |
- |
- |
0.006713 |
0.00042 |
0.101533 |
- |
3528.4 |
- |
- |
3504.872 |
20240419 |
16 |
86 |
| CFFEX.IF2405 |
-0.010970 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
3504.872 |
20240517 |
33 |
86 |
| CFFEX.IF2406 |
-0.010970 |
- |
- |
-0.001847 |
-0.000032 |
-0.00784 |
- |
3498.4 |
- |
- |
3504.872 |
20240621 |
57 |
86 |
| CFFEX.IF2409 |
-0.010970 |
- |
- |
-0.014629 |
-0.000122 |
-0.029501 |
- |
3453.6 |
- |
- |
3504.872 |
20240920 |
120 |
86 |
| CFFEX.IF2412 |
-0.010970 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
3504.872 |
20241220 |
180 |
86 |
| CFFEX.IH2404 |
-0.005656 |
- |
- |
0.004713 |
0.000295 |
0.07128 |
- |
2411.4 |
- |
- |
2400.089 |
20240419 |
16 |
86 |
| CFFEX.IH2405 |
-0.005656 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
2400.089 |
20240517 |
33 |
86 |
| CFFEX.IH2406 |
-0.005656 |
- |
- |
- |
- |
- |
- |
- |
2403.0 |
- |
2400.089 |
20240621 |
57 |
86 |
| CFFEX.IH2409 |
-0.005656 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
2400.089 |
20240920 |
120 |
86 |
| CFFEX.IH2412 |
-0.005656 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
2400.089 |
20241220 |
180 |
86 |