|
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_20240411 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2404 |
0.002391 |
0.004465 |
-0.002075 |
-0.004848 |
-0.000693 |
-0.167611 |
- |
5353.8 |
5330.0 |
- |
5379.883 |
20240419 |
7 |
95 |
| CFFEX.IM2405 |
0.002391 |
0.004015 |
-0.001624 |
-0.014514 |
-0.000605 |
-0.146348 |
0.002458 |
5301.8 |
5280.6 |
6039.525 |
5379.883 |
20240517 |
24 |
95 |
| CFFEX.IM2406 |
0.002391 |
0.003373 |
-0.000982 |
-0.026819 |
-0.000559 |
-0.135212 |
0.006631 |
5235.6 |
5218.0 |
5992.6 |
5379.883 |
20240621 |
48 |
95 |
| CFFEX.IM2409 |
0.002391 |
0.003404 |
-0.001014 |
-0.046708 |
-0.000421 |
-0.101832 |
- |
5128.6 |
5111.2 |
- |
5379.883 |
20240920 |
111 |
95 |
| CFFEX.IM2412 |
0.002391 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5379.883 |
20241220 |
171 |
95 |
| CFFEX.IC2404 |
0.004913 |
0.006453 |
-0.00154 |
0.000303 |
0.000043 |
0.010486 |
- |
5303.0 |
5269.0 |
- |
5301.392 |
20240419 |
7 |
95 |
| CFFEX.IC2405 |
0.004913 |
0.007015 |
-0.002102 |
-0.003507 |
-0.000146 |
-0.035362 |
- |
5282.8 |
5246.0 |
- |
5301.392 |
20240517 |
24 |
95 |
| CFFEX.IC2406 |
0.004913 |
0.00653 |
-0.001617 |
-0.011467 |
-0.000239 |
-0.057814 |
- |
5240.6 |
5206.6 |
- |
5301.392 |
20240621 |
48 |
95 |
| CFFEX.IC2409 |
0.004913 |
0.006295 |
-0.001382 |
-0.022974 |
-0.000207 |
-0.050087 |
- |
5179.6 |
5147.2 |
- |
5301.392 |
20240920 |
111 |
95 |
| CFFEX.IC2412 |
0.004913 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5301.392 |
20241220 |
171 |
95 |
| CFFEX.IF2404 |
0.000101 |
0.000057 |
0.000044 |
0.001066 |
0.000152 |
0.036849 |
- |
3508.8 |
3508.6 |
- |
3505.064 |
20240419 |
7 |
95 |
| CFFEX.IF2405 |
0.000101 |
-0.000342 |
0.000444 |
-0.000646 |
-0.000027 |
-0.006513 |
- |
3502.8 |
3504.0 |
- |
3505.064 |
20240517 |
24 |
95 |
| CFFEX.IF2406 |
0.000101 |
-0.000974 |
0.001076 |
-0.005382 |
-0.000112 |
-0.027134 |
- |
3486.2 |
3489.6 |
- |
3505.064 |
20240621 |
48 |
95 |
| CFFEX.IF2409 |
0.000101 |
-0.000464 |
0.000566 |
-0.017479 |
-0.000157 |
-0.038107 |
- |
3443.8 |
3445.4 |
- |
3505.064 |
20240920 |
111 |
95 |
| CFFEX.IF2412 |
0.000101 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
3505.064 |
20241220 |
171 |
95 |
| CFFEX.IH2404 |
-0.000406 |
-0.000083 |
-0.000323 |
0.001265 |
0.000181 |
0.043738 |
- |
2398.8 |
2399.0 |
- |
2395.769 |
20240419 |
7 |
95 |
| CFFEX.IH2405 |
-0.000406 |
-0.00025 |
-0.000156 |
0.001182 |
0.000049 |
0.011915 |
- |
2398.6 |
2399.2 |
- |
2395.769 |
20240517 |
24 |
95 |
| CFFEX.IH2406 |
-0.000406 |
0.000168 |
-0.000574 |
-0.00366 |
-0.000076 |
-0.018454 |
- |
2387.0 |
2386.6 |
- |
2395.769 |
20240621 |
48 |
95 |
| CFFEX.IH2409 |
-0.000406 |
0.000595 |
-0.001001 |
-0.017434 |
-0.000157 |
-0.03801 |
- |
2354.0 |
2352.6 |
- |
2395.769 |
20240920 |
111 |
95 |
| CFFEX.IH2412 |
-0.000406 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
2395.769 |
20241220 |
171 |
95 |