|
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_20240418_151416 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2404 |
0.000067 |
0.000189 |
-0.000122 |
0.000452 |
0.000226 |
0.054644 |
- |
5290.2 |
5289.2 |
- |
5287.812 |
20240419 |
2 |
100 |
| CFFEX.IM2405 |
0.000067 |
0.000382 |
-0.000315 |
-0.010177 |
-0.000536 |
-0.129618 |
-0.001381 |
5234.0 |
5232.0 |
6039.525 |
5287.812 |
20240517 |
19 |
100 |
| CFFEX.IM2406 |
0.000067 |
0.00159 |
-0.001523 |
-0.023112 |
-0.000537 |
-0.130072 |
0.003247 |
5165.6 |
5157.4 |
5992.6 |
5287.812 |
20240621 |
43 |
100 |
| CFFEX.IM2409 |
0.000067 |
0.001702 |
-0.001634 |
-0.042591 |
-0.000402 |
-0.097236 |
- |
5062.6 |
5054.0 |
- |
5287.812 |
20240920 |
106 |
100 |
| CFFEX.IM2412 |
0.000067 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5287.812 |
20241220 |
166 |
100 |
| CFFEX.IC2404 |
0.002157 |
0.002172 |
-0.000015 |
0.0004 |
0.0002 |
0.048343 |
- |
5353.4 |
5341.8 |
- |
5351.262 |
20240419 |
2 |
100 |
| CFFEX.IC2405 |
0.002157 |
0.002254 |
-0.000097 |
-0.002703 |
-0.000142 |
-0.034422 |
- |
5336.8 |
5324.8 |
- |
5351.262 |
20240517 |
19 |
100 |
| CFFEX.IC2406 |
0.002157 |
0.002573 |
-0.000416 |
-0.009579 |
-0.000223 |
-0.053912 |
- |
5300.0 |
5286.4 |
- |
5351.262 |
20240621 |
43 |
100 |
| CFFEX.IC2409 |
0.002157 |
0.0044 |
-0.002244 |
-0.018923 |
-0.000179 |
-0.043202 |
- |
5250.0 |
5227.0 |
- |
5351.262 |
20240920 |
106 |
100 |
| CFFEX.IC2412 |
0.002157 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5351.262 |
20241220 |
166 |
100 |
| CFFEX.IF2404 |
0.001307 |
0.001572 |
-0.000265 |
-0.000298 |
-0.000149 |
-0.036028 |
- |
3569.0 |
3563.4 |
- |
3570.063 |
20240419 |
2 |
100 |
| CFFEX.IF2405 |
0.001307 |
0.001796 |
-0.000489 |
-0.000186 |
-0.00001 |
-0.002365 |
- |
3569.4 |
3563.0 |
- |
3570.063 |
20240517 |
19 |
100 |
| CFFEX.IF2406 |
0.001307 |
0.002709 |
-0.001402 |
-0.004835 |
-0.000112 |
-0.027214 |
- |
3552.8 |
3543.2 |
- |
3570.063 |
20240621 |
43 |
100 |
| CFFEX.IF2409 |
0.001307 |
0.003485 |
-0.002178 |
-0.015872 |
-0.00015 |
-0.036235 |
- |
3513.4 |
3501.2 |
- |
3570.063 |
20240920 |
106 |
100 |
| CFFEX.IF2412 |
0.001307 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
3570.063 |
20241220 |
166 |
100 |
| CFFEX.IH2404 |
0.002032 |
0.002374 |
-0.000342 |
0.001549 |
0.000774 |
0.187379 |
- |
2448.6 |
2442.8 |
- |
2444.814 |
20240419 |
2 |
100 |
| CFFEX.IH2405 |
0.002032 |
0.00352 |
-0.001488 |
0.002776 |
0.000146 |
0.035353 |
- |
2451.6 |
2443.0 |
- |
2444.814 |
20240517 |
19 |
100 |
| CFFEX.IH2406 |
0.002032 |
0.003622 |
-0.00159 |
-0.002624 |
-0.000061 |
-0.014765 |
- |
2438.4 |
2429.6 |
- |
2444.814 |
20240621 |
43 |
100 |
| CFFEX.IH2409 |
0.002032 |
0.004592 |
-0.00256 |
-0.015712 |
-0.000148 |
-0.035872 |
- |
2406.4 |
2395.4 |
- |
2444.814 |
20240920 |
106 |
100 |
| CFFEX.IH2412 |
0.002032 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
2444.814 |
20241220 |
166 |
100 |