|
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_20240417_151418 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2404 |
0.043117 |
0.04633 |
-0.003213 |
0.000772 |
0.000257 |
0.062258 |
- |
5289.2 |
5055.0 |
- |
5285.121 |
20240419 |
3 |
99 |
| CFFEX.IM2405 |
0.043117 |
0.049254 |
-0.006137 |
-0.010051 |
-0.000503 |
-0.121618 |
-0.001491 |
5232.0 |
4986.4 |
6039.525 |
5285.121 |
20240517 |
20 |
99 |
| CFFEX.IM2406 |
0.043117 |
0.048849 |
-0.005732 |
-0.024166 |
-0.000549 |
-0.132914 |
0.004175 |
5157.4 |
4917.2 |
5992.6 |
5285.121 |
20240621 |
44 |
99 |
| CFFEX.IM2409 |
0.043117 |
0.049811 |
-0.006694 |
-0.043731 |
-0.000409 |
-0.098905 |
- |
5054.0 |
4814.2 |
- |
5285.121 |
20240920 |
107 |
99 |
| CFFEX.IM2412 |
0.043117 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5285.121 |
20241220 |
167 |
99 |
| CFFEX.IC2404 |
0.028106 |
0.027664 |
0.000442 |
0.000811 |
0.00027 |
0.065456 |
- |
5341.8 |
5198.0 |
- |
5337.469 |
20240419 |
3 |
99 |
| CFFEX.IC2405 |
0.028106 |
0.029663 |
-0.001557 |
-0.002374 |
-0.000119 |
-0.028721 |
- |
5324.8 |
5171.4 |
- |
5337.469 |
20240517 |
20 |
99 |
| CFFEX.IC2406 |
0.028106 |
0.030407 |
-0.002301 |
-0.009568 |
-0.000217 |
-0.052624 |
- |
5286.4 |
5130.4 |
- |
5337.469 |
20240621 |
44 |
99 |
| CFFEX.IC2409 |
0.028106 |
0.030723 |
-0.002616 |
-0.020697 |
-0.000193 |
-0.04681 |
- |
5227.0 |
5071.2 |
- |
5337.469 |
20240920 |
107 |
99 |
| CFFEX.IC2412 |
0.028106 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5337.469 |
20241220 |
167 |
99 |
| CFFEX.IF2404 |
0.015615 |
0.014058 |
0.001556 |
-0.000712 |
-0.000237 |
-0.057436 |
- |
3563.4 |
3514.0 |
- |
3565.939 |
20240419 |
3 |
99 |
| CFFEX.IF2405 |
0.015615 |
0.015736 |
-0.000122 |
-0.000824 |
-0.000041 |
-0.009973 |
- |
3563.0 |
3507.8 |
- |
3565.939 |
20240517 |
20 |
99 |
| CFFEX.IF2406 |
0.015615 |
0.016934 |
-0.001319 |
-0.006377 |
-0.000145 |
-0.035072 |
- |
3543.2 |
3484.2 |
- |
3565.939 |
20240621 |
44 |
99 |
| CFFEX.IF2409 |
0.015615 |
0.016904 |
-0.001289 |
-0.018155 |
-0.00017 |
-0.04106 |
- |
3501.2 |
3443.0 |
- |
3565.939 |
20240920 |
107 |
99 |
| CFFEX.IF2412 |
0.015615 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
3565.939 |
20241220 |
167 |
99 |
| CFFEX.IH2404 |
0.011713 |
0.010925 |
0.000788 |
0.00091 |
0.000303 |
0.073442 |
- |
2442.8 |
2416.4 |
- |
2440.578 |
20240419 |
3 |
99 |
| CFFEX.IH2405 |
0.011713 |
0.012097 |
-0.000384 |
0.000992 |
0.00005 |
0.012008 |
- |
2443.0 |
2413.8 |
- |
2440.578 |
20240517 |
20 |
99 |
| CFFEX.IH2406 |
0.011713 |
0.013009 |
-0.001295 |
-0.004498 |
-0.000102 |
-0.02474 |
- |
2429.6 |
2398.4 |
- |
2440.578 |
20240621 |
44 |
99 |
| CFFEX.IH2409 |
0.011713 |
0.012854 |
-0.001141 |
-0.018511 |
-0.000173 |
-0.041866 |
- |
2395.4 |
2365.0 |
- |
2440.578 |
20240920 |
107 |
99 |
| CFFEX.IH2412 |
0.011713 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
2440.578 |
20241220 |
167 |
99 |