|
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_20240409 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2404 |
0.012374 |
0.015556 |
-0.003182 |
-0.006427 |
-0.000714 |
-0.172807 |
- |
5431.6 |
5348.4 |
- |
5466.733 |
20240419 |
9 |
93 |
| CFFEX.IM2405 |
0.012374 |
0.015114 |
-0.00274 |
-0.014695 |
-0.000565 |
-0.136775 |
0.002662 |
5386.4 |
5306.2 |
6039.525 |
5466.733 |
20240517 |
26 |
93 |
| CFFEX.IM2406 |
0.012374 |
0.015376 |
-0.003002 |
-0.026402 |
-0.000528 |
-0.127786 |
0.006358 |
5322.4 |
5241.8 |
5992.6 |
5466.733 |
20240621 |
50 |
93 |
| CFFEX.IM2409 |
0.012374 |
0.01628 |
-0.003906 |
-0.04539 |
-0.000402 |
-0.097206 |
- |
5218.6 |
5135.0 |
- |
5466.733 |
20240920 |
113 |
93 |
| CFFEX.IM2412 |
0.012374 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5466.733 |
20241220 |
173 |
93 |
| CFFEX.IC2404 |
0.008153 |
0.00908 |
-0.000927 |
-0.001421 |
-0.000158 |
-0.038216 |
- |
5334.2 |
5286.2 |
- |
5341.792 |
20240419 |
9 |
93 |
| CFFEX.IC2405 |
0.008153 |
0.008731 |
-0.000578 |
-0.00509 |
-0.000196 |
-0.04738 |
- |
5314.6 |
5268.6 |
- |
5341.792 |
20240517 |
26 |
93 |
| CFFEX.IC2406 |
0.008153 |
0.009569 |
-0.001416 |
-0.012504 |
-0.00025 |
-0.060518 |
- |
5275.0 |
5225.0 |
- |
5341.792 |
20240621 |
50 |
93 |
| CFFEX.IC2409 |
0.008153 |
0.008481 |
-0.000328 |
-0.025046 |
-0.000222 |
-0.053639 |
- |
5208.0 |
5164.2 |
- |
5341.792 |
20240920 |
113 |
93 |
| CFFEX.IC2412 |
0.008153 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5341.792 |
20241220 |
173 |
93 |
| CFFEX.IF2404 |
-0.000422 |
-0.001525 |
0.001102 |
0.00042 |
0.000047 |
0.011303 |
- |
3536.4 |
3541.8 |
- |
3534.914 |
20240419 |
9 |
93 |
| CFFEX.IF2405 |
-0.000422 |
-0.000736 |
0.000313 |
-0.000711 |
-0.000027 |
-0.00662 |
- |
3532.4 |
3535.0 |
- |
3534.914 |
20240517 |
26 |
93 |
| CFFEX.IF2406 |
-0.000422 |
-0.000512 |
0.000089 |
-0.005181 |
-0.000104 |
-0.025076 |
- |
3516.6 |
3518.4 |
- |
3534.914 |
20240621 |
50 |
93 |
| CFFEX.IF2409 |
-0.000422 |
-0.000173 |
-0.00025 |
-0.017685 |
-0.000157 |
-0.037873 |
- |
3472.4 |
3473.0 |
- |
3534.914 |
20240920 |
113 |
93 |
| CFFEX.IF2412 |
-0.000422 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
3534.914 |
20241220 |
173 |
93 |
| CFFEX.IH2404 |
-0.003301 |
-0.005045 |
0.001744 |
-0.000051 |
-0.000006 |
-0.001375 |
- |
2406.0 |
2418.2 |
- |
2406.123 |
20240419 |
9 |
93 |
| CFFEX.IH2405 |
-0.003301 |
-0.00521 |
0.001909 |
-0.000051 |
-0.000002 |
-0.000476 |
- |
2406.0 |
2418.6 |
- |
2406.123 |
20240517 |
26 |
93 |
| CFFEX.IH2406 |
-0.003301 |
-0.00499 |
0.001689 |
-0.005537 |
-0.000111 |
-0.0268 |
- |
2392.8 |
2404.8 |
- |
2406.123 |
20240621 |
50 |
93 |
| CFFEX.IH2409 |
-0.003301 |
-0.004134 |
0.000834 |
-0.01892 |
-0.000167 |
-0.040518 |
- |
2360.6 |
2370.4 |
- |
2406.123 |
20240920 |
113 |
93 |
| CFFEX.IH2412 |
-0.003301 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
2406.123 |
20241220 |
173 |
93 |