|
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_20240416 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2404 |
-0.041750 |
-0.039485 |
-0.002265 |
-0.002321 |
-0.00058 |
-0.140397 |
- |
5055.0 |
5262.8 |
- |
5066.758 |
20240419 |
4 |
98 |
| CFFEX.IM2405 |
-0.041750 |
-0.040523 |
-0.001227 |
-0.01586 |
-0.000755 |
-0.182766 |
0.003444 |
4986.4 |
5197.0 |
6039.525 |
5066.758 |
20240517 |
21 |
98 |
| CFFEX.IM2406 |
-0.041750 |
-0.039609 |
-0.002141 |
-0.029517 |
-0.000656 |
-0.158739 |
0.008527 |
4917.2 |
5120.0 |
5992.6 |
5066.758 |
20240621 |
45 |
98 |
| CFFEX.IM2409 |
-0.041750 |
-0.049966 |
0.008216 |
-0.049846 |
-0.000462 |
-0.111692 |
- |
4814.2 |
5067.4 |
- |
5066.758 |
20240920 |
108 |
98 |
| CFFEX.IM2412 |
-0.041750 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5066.758 |
20241220 |
168 |
98 |
| CFFEX.IC2404 |
-0.027884 |
-0.027502 |
-0.000382 |
0.001381 |
0.000345 |
0.083568 |
- |
5198.0 |
5345.0 |
- |
5190.830 |
20240419 |
4 |
98 |
| CFFEX.IC2405 |
-0.027884 |
-0.028042 |
0.000158 |
-0.003743 |
-0.000178 |
-0.043135 |
- |
5171.4 |
5320.6 |
- |
5190.830 |
20240517 |
21 |
98 |
| CFFEX.IC2406 |
-0.027884 |
-0.02756 |
-0.000324 |
-0.011642 |
-0.000259 |
-0.062606 |
- |
5130.4 |
5275.8 |
- |
5190.830 |
20240621 |
45 |
98 |
| CFFEX.IC2409 |
-0.027884 |
-0.026604 |
-0.00128 |
-0.023046 |
-0.000213 |
-0.051641 |
- |
5071.2 |
5209.8 |
- |
5190.830 |
20240920 |
108 |
98 |
| CFFEX.IC2412 |
-0.027884 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5190.830 |
20241220 |
168 |
98 |
| CFFEX.IF2404 |
-0.010570 |
-0.009136 |
-0.001434 |
0.000695 |
0.000174 |
0.042021 |
- |
3514.0 |
3546.4 |
- |
3511.561 |
20240419 |
4 |
98 |
| CFFEX.IF2405 |
-0.010570 |
-0.009096 |
-0.001474 |
-0.001071 |
-0.000051 |
-0.012342 |
- |
3507.8 |
3540.0 |
- |
3511.561 |
20240517 |
21 |
98 |
| CFFEX.IF2406 |
-0.010570 |
-0.01017 |
-0.0004 |
-0.007792 |
-0.000173 |
-0.041902 |
- |
3484.2 |
3520.0 |
- |
3511.561 |
20240621 |
45 |
98 |
| CFFEX.IF2409 |
-0.010570 |
-0.010063 |
-0.000507 |
-0.019524 |
-0.000181 |
-0.043749 |
- |
3443.0 |
3478.0 |
- |
3511.561 |
20240920 |
108 |
98 |
| CFFEX.IF2412 |
-0.010570 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
3511.561 |
20241220 |
168 |
98 |
| CFFEX.IH2404 |
-0.004658 |
-0.002559 |
-0.002099 |
0.001523 |
0.000381 |
0.092127 |
- |
2416.4 |
2422.6 |
- |
2412.726 |
20240419 |
4 |
98 |
| CFFEX.IH2405 |
-0.004658 |
-0.003715 |
-0.000943 |
0.000445 |
0.000021 |
0.00513 |
- |
2413.8 |
2422.8 |
- |
2412.726 |
20240517 |
21 |
98 |
| CFFEX.IH2406 |
-0.004658 |
-0.0044 |
-0.000258 |
-0.005938 |
-0.000132 |
-0.031932 |
- |
2398.4 |
2409.0 |
- |
2412.726 |
20240621 |
45 |
98 |
| CFFEX.IH2409 |
-0.004658 |
-0.004378 |
-0.00028 |
-0.019781 |
-0.000183 |
-0.044324 |
- |
2365.0 |
2375.4 |
- |
2412.726 |
20240920 |
108 |
98 |
| CFFEX.IH2412 |
-0.004658 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
2412.726 |
20241220 |
168 |
98 |