|
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_20240329 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2404 |
0.010771 |
0.011664 |
-0.000893 |
-0.005185 |
-0.00037 |
-0.089634 |
- |
5412.0 |
5349.6 |
- |
5440.210 |
20240419 |
14 |
88 |
| CFFEX.IM2405 |
0.010771 |
- |
- |
-0.011987 |
-0.000387 |
-0.093573 |
0.000209 |
5375.0 |
- |
6039.525 |
5440.210 |
20240517 |
31 |
88 |
| CFFEX.IM2406 |
0.010771 |
- |
- |
- |
- |
- |
- |
- |
5249.0 |
5992.6 |
5440.210 |
20240621 |
55 |
88 |
| CFFEX.IM2409 |
0.010771 |
-0.004393 |
0.015164 |
-0.058419 |
-0.000495 |
-0.119808 |
- |
5122.4 |
5145.0 |
- |
5440.210 |
20240920 |
118 |
88 |
| CFFEX.IM2412 |
0.010771 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5440.210 |
20241220 |
178 |
88 |
| CFFEX.IC2404 |
0.012066 |
- |
- |
- |
- |
- |
- |
- |
5216.8 |
- |
5286.835 |
20240419 |
14 |
88 |
| CFFEX.IC2405 |
0.012066 |
- |
- |
-0.003638 |
-0.000117 |
-0.028402 |
- |
5267.6 |
- |
- |
5286.835 |
20240517 |
31 |
88 |
| CFFEX.IC2406 |
0.012066 |
- |
- |
- |
- |
- |
- |
- |
5149.8 |
- |
5286.835 |
20240621 |
55 |
88 |
| CFFEX.IC2409 |
0.012066 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5286.835 |
20240920 |
118 |
88 |
| CFFEX.IC2412 |
0.012066 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5286.835 |
20241220 |
178 |
88 |
| CFFEX.IF2404 |
0.004725 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
3537.601 |
20240419 |
14 |
88 |
| CFFEX.IF2405 |
0.004725 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
3537.601 |
20240517 |
31 |
88 |
| CFFEX.IF2406 |
0.004725 |
- |
- |
-0.011477 |
-0.000209 |
-0.050499 |
- |
3497.0 |
- |
- |
3537.601 |
20240621 |
55 |
88 |
| CFFEX.IF2409 |
0.004725 |
- |
- |
-0.019788 |
-0.000168 |
-0.040582 |
- |
3467.6 |
- |
- |
3537.601 |
20240920 |
118 |
88 |
| CFFEX.IF2412 |
0.004725 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
3537.601 |
20241220 |
178 |
88 |
| CFFEX.IH2404 |
0.005431 |
0.005072 |
0.000359 |
0.001063 |
0.000076 |
0.018381 |
- |
2417.6 |
2405.4 |
- |
2415.032 |
20240419 |
14 |
88 |
| CFFEX.IH2405 |
0.005431 |
0.00885 |
-0.003419 |
0.000732 |
0.000024 |
0.005715 |
- |
2416.8 |
2395.6 |
- |
2415.032 |
20240517 |
31 |
88 |
| CFFEX.IH2406 |
0.005431 |
0.002258 |
0.003173 |
-0.007467 |
-0.000136 |
-0.032853 |
- |
2397.0 |
2391.6 |
- |
2415.032 |
20240621 |
55 |
88 |
| CFFEX.IH2409 |
0.005431 |
- |
- |
-0.018729 |
-0.000159 |
-0.038411 |
- |
2369.8 |
- |
- |
2415.032 |
20240920 |
118 |
88 |
| CFFEX.IH2412 |
0.005431 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
2415.032 |
20241220 |
178 |
88 |