|
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_20240328 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2404 |
0.021800 |
0.025456 |
-0.003656 |
-0.005842 |
-0.000389 |
-0.094254 |
- |
5349.6 |
5216.8 |
- |
5381.037 |
20240419 |
15 |
87 |
| CFFEX.IM2405 |
0.021800 |
- |
- |
- |
- |
- |
- |
- |
- |
6039.525 |
5381.037 |
20240517 |
32 |
87 |
| CFFEX.IM2406 |
0.021800 |
0.024915 |
-0.003115 |
-0.024537 |
-0.000438 |
-0.106037 |
0.004584 |
5249.0 |
5121.4 |
5992.6 |
5381.037 |
20240621 |
56 |
87 |
| CFFEX.IM2409 |
0.021800 |
0.025431 |
-0.003631 |
-0.043865 |
-0.000369 |
-0.089204 |
- |
5145.0 |
5017.4 |
- |
5381.037 |
20240920 |
119 |
87 |
| CFFEX.IM2412 |
0.021800 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5381.037 |
20241220 |
179 |
87 |
| CFFEX.IC2404 |
0.013033 |
0.012853 |
0.000181 |
-0.001358 |
-0.000091 |
-0.021906 |
- |
5216.8 |
5150.6 |
- |
5223.893 |
20240419 |
15 |
87 |
| CFFEX.IC2405 |
0.013033 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5223.893 |
20240517 |
32 |
87 |
| CFFEX.IC2406 |
0.013033 |
0.011749 |
0.001285 |
-0.014183 |
-0.000253 |
-0.061293 |
- |
5149.8 |
5090.0 |
- |
5223.893 |
20240621 |
56 |
87 |
| CFFEX.IC2409 |
0.013033 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5223.893 |
20240920 |
119 |
87 |
| CFFEX.IC2412 |
0.013033 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5223.893 |
20241220 |
179 |
87 |
| CFFEX.IF2404 |
0.006026 |
- |
- |
- |
- |
- |
- |
- |
3528.4 |
- |
3523.893 |
20240419 |
15 |
87 |
| CFFEX.IF2405 |
0.006026 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
3523.893 |
20240517 |
32 |
87 |
| CFFEX.IF2406 |
0.006026 |
- |
- |
- |
- |
- |
- |
- |
3498.4 |
- |
3523.893 |
20240621 |
56 |
87 |
| CFFEX.IF2409 |
0.006026 |
- |
- |
- |
- |
- |
- |
- |
3453.6 |
- |
3523.893 |
20240920 |
119 |
87 |
| CFFEX.IF2412 |
0.006026 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
3523.893 |
20241220 |
179 |
87 |
| CFFEX.IH2404 |
0.003068 |
-0.002488 |
0.005557 |
-0.000373 |
-0.000025 |
-0.006021 |
- |
2405.4 |
2411.4 |
- |
2406.298 |
20240419 |
15 |
87 |
| CFFEX.IH2405 |
0.003068 |
- |
- |
-0.004446 |
-0.000139 |
-0.033622 |
- |
2395.6 |
- |
- |
2406.298 |
20240517 |
32 |
87 |
| CFFEX.IH2406 |
0.003068 |
- |
- |
-0.006108 |
-0.000109 |
-0.026396 |
- |
2391.6 |
- |
- |
2406.298 |
20240621 |
56 |
87 |
| CFFEX.IH2409 |
0.003068 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
2406.298 |
20240920 |
119 |
87 |
| CFFEX.IH2412 |
0.003068 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
2406.298 |
20241220 |
179 |
87 |