|
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_20240415 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2404 |
-0.009839 |
-0.008702 |
-0.001137 |
-0.004434 |
-0.000887 |
-0.214622 |
- |
5262.8 |
5309.0 |
- |
5286.241 |
20240419 |
5 |
97 |
| CFFEX.IM2405 |
-0.009839 |
-0.010661 |
0.000822 |
-0.016882 |
-0.000767 |
-0.185699 |
0.004488 |
5197.0 |
5253.0 |
6039.525 |
5286.241 |
20240517 |
22 |
97 |
| CFFEX.IM2406 |
-0.009839 |
-0.012308 |
0.002469 |
-0.031448 |
-0.000684 |
-0.165443 |
0.010599 |
5120.0 |
5183.8 |
5992.6 |
5286.241 |
20240621 |
46 |
97 |
| CFFEX.IM2409 |
-0.009839 |
-0.001694 |
-0.008145 |
-0.041398 |
-0.00038 |
-0.091912 |
- |
5067.4 |
5076.0 |
- |
5286.241 |
20240920 |
109 |
97 |
| CFFEX.IM2412 |
-0.009839 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5286.241 |
20241220 |
169 |
97 |
| CFFEX.IC2404 |
0.011595 |
0.015542 |
-0.003947 |
0.001235 |
0.000247 |
0.059766 |
- |
5345.0 |
5263.2 |
- |
5338.408 |
20240419 |
5 |
97 |
| CFFEX.IC2405 |
0.011595 |
0.014607 |
-0.003012 |
-0.003336 |
-0.000152 |
-0.036694 |
- |
5320.6 |
5244.0 |
- |
5338.408 |
20240517 |
22 |
97 |
| CFFEX.IC2406 |
0.011595 |
0.014577 |
-0.002982 |
-0.011728 |
-0.000255 |
-0.061699 |
- |
5275.8 |
5200.0 |
- |
5338.408 |
20240621 |
46 |
97 |
| CFFEX.IC2409 |
0.011595 |
0.01358 |
-0.001985 |
-0.024091 |
-0.000221 |
-0.053487 |
- |
5209.8 |
5140.0 |
- |
5338.408 |
20240920 |
109 |
97 |
| CFFEX.IC2412 |
0.011595 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5338.408 |
20241220 |
169 |
97 |
| CFFEX.IF2404 |
0.020801 |
0.021311 |
-0.00051 |
-0.000491 |
-0.000098 |
-0.023749 |
- |
3546.4 |
3472.4 |
- |
3548.141 |
20240419 |
5 |
97 |
| CFFEX.IF2405 |
0.020801 |
0.020644 |
0.000158 |
-0.002294 |
-0.000104 |
-0.025239 |
- |
3540.0 |
3468.4 |
- |
3548.141 |
20240517 |
22 |
97 |
| CFFEX.IF2406 |
0.020801 |
0.020053 |
0.000748 |
-0.007931 |
-0.000172 |
-0.041725 |
- |
3520.0 |
3450.8 |
- |
3548.141 |
20240621 |
46 |
97 |
| CFFEX.IF2409 |
0.020801 |
0.020181 |
0.000621 |
-0.019768 |
-0.000181 |
-0.043889 |
- |
3478.0 |
3409.2 |
- |
3548.141 |
20240920 |
109 |
97 |
| CFFEX.IF2412 |
0.020801 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
3548.141 |
20241220 |
169 |
97 |
| CFFEX.IH2404 |
0.020816 |
0.019441 |
0.001375 |
-0.000357 |
-0.000071 |
-0.017275 |
- |
2422.6 |
2376.4 |
- |
2423.465 |
20240419 |
5 |
97 |
| CFFEX.IH2405 |
0.020816 |
0.020126 |
0.00069 |
-0.000274 |
-0.000012 |
-0.003018 |
- |
2422.8 |
2375.0 |
- |
2423.465 |
20240517 |
22 |
97 |
| CFFEX.IH2406 |
0.020816 |
0.019467 |
0.001349 |
-0.005969 |
-0.00013 |
-0.031401 |
- |
2409.0 |
2363.0 |
- |
2423.465 |
20240621 |
46 |
97 |
| CFFEX.IH2409 |
0.020816 |
0.020186 |
0.00063 |
-0.019833 |
-0.000182 |
-0.044033 |
- |
2375.4 |
2328.4 |
- |
2423.465 |
20240920 |
109 |
97 |
| CFFEX.IH2412 |
0.020816 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
2423.465 |
20241220 |
169 |
97 |