|
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_20240410 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2404 |
-0.018912 |
-0.018705 |
-0.000207 |
-0.006613 |
-0.000827 |
-0.200038 |
- |
5330.0 |
5431.6 |
- |
5365.481 |
20240419 |
8 |
94 |
| CFFEX.IM2405 |
-0.018912 |
-0.019642 |
0.00073 |
-0.01582 |
-0.000633 |
-0.153136 |
0.003612 |
5280.6 |
5386.4 |
6039.525 |
5365.481 |
20240517 |
25 |
94 |
| CFFEX.IM2406 |
-0.018912 |
-0.019615 |
0.000703 |
-0.027487 |
-0.000561 |
-0.135752 |
0.007211 |
5218.0 |
5322.4 |
5992.6 |
5365.481 |
20240621 |
49 |
94 |
| CFFEX.IM2409 |
-0.018912 |
-0.02058 |
0.001668 |
-0.047392 |
-0.000423 |
-0.102401 |
- |
5111.2 |
5218.6 |
- |
5365.481 |
20240920 |
112 |
94 |
| CFFEX.IM2412 |
-0.018912 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5365.481 |
20241220 |
172 |
94 |
| CFFEX.IC2404 |
-0.013042 |
-0.012223 |
-0.000819 |
-0.000799 |
-0.0001 |
-0.02418 |
- |
5269.0 |
5334.2 |
- |
5273.215 |
20240419 |
8 |
94 |
| CFFEX.IC2405 |
-0.013042 |
-0.012908 |
-0.000134 |
-0.005161 |
-0.000206 |
-0.049958 |
- |
5246.0 |
5314.6 |
- |
5273.215 |
20240517 |
25 |
94 |
| CFFEX.IC2406 |
-0.013042 |
-0.012967 |
-0.000075 |
-0.012633 |
-0.000258 |
-0.06239 |
- |
5206.6 |
5275.0 |
- |
5273.215 |
20240621 |
49 |
94 |
| CFFEX.IC2409 |
-0.013042 |
-0.011674 |
-0.001368 |
-0.023897 |
-0.000213 |
-0.051635 |
- |
5147.2 |
5208.0 |
- |
5273.215 |
20240920 |
112 |
94 |
| CFFEX.IC2412 |
-0.013042 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5273.215 |
20241220 |
172 |
94 |
| CFFEX.IF2404 |
-0.008581 |
-0.007861 |
-0.000719 |
0.001551 |
0.000194 |
0.046906 |
- |
3508.6 |
3536.4 |
- |
3503.168 |
20240419 |
8 |
94 |
| CFFEX.IF2405 |
-0.008581 |
-0.00804 |
-0.000541 |
0.000237 |
0.000009 |
0.002299 |
- |
3504.0 |
3532.4 |
- |
3503.168 |
20240517 |
25 |
94 |
| CFFEX.IF2406 |
-0.008581 |
-0.007678 |
-0.000903 |
-0.003873 |
-0.000079 |
-0.019128 |
- |
3489.6 |
3516.6 |
- |
3503.168 |
20240621 |
49 |
94 |
| CFFEX.IF2409 |
-0.008581 |
-0.007776 |
-0.000805 |
-0.01649 |
-0.000147 |
-0.035631 |
- |
3445.4 |
3472.4 |
- |
3503.168 |
20240920 |
112 |
94 |
| CFFEX.IF2412 |
-0.008581 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
3503.168 |
20241220 |
172 |
94 |
| CFFEX.IH2404 |
-0.003574 |
-0.002909 |
-0.000664 |
0.001245 |
0.000156 |
0.037673 |
- |
2399.0 |
2406.0 |
- |
2396.016 |
20240419 |
8 |
94 |
| CFFEX.IH2405 |
-0.003574 |
-0.002826 |
-0.000747 |
0.001329 |
0.000053 |
0.012863 |
- |
2399.2 |
2406.0 |
- |
2396.016 |
20240517 |
25 |
94 |
| CFFEX.IH2406 |
-0.003574 |
-0.002591 |
-0.000982 |
-0.00393 |
-0.00008 |
-0.019409 |
- |
2386.6 |
2392.8 |
- |
2396.016 |
20240621 |
49 |
94 |
| CFFEX.IH2409 |
-0.003574 |
-0.003389 |
-0.000185 |
-0.01812 |
-0.000162 |
-0.039152 |
- |
2352.6 |
2360.6 |
- |
2396.016 |
20240920 |
112 |
94 |
| CFFEX.IH2412 |
-0.003574 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
2396.016 |
20241220 |
172 |
94 |