|
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_20240516_151436 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2404 |
-0.001431 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5489.371 |
20240419 |
0 |
117 |
| CFFEX.IM2405 |
-0.001431 |
-0.002004 |
0.000573 |
-0.002035 |
-0.001018 |
-0.246238 |
-0.008834 |
5478.2 |
5489.2 |
6039.525 |
5489.371 |
20240517 |
2 |
117 |
| CFFEX.IM2406 |
-0.001431 |
-0.001659 |
0.000229 |
-0.013548 |
-0.000521 |
-0.126102 |
-0.00539 |
5415.0 |
5424.0 |
5992.6 |
5489.371 |
20240621 |
26 |
117 |
| CFFEX.IM2409 |
-0.001431 |
-0.000902 |
-0.000528 |
-0.031984 |
-0.000359 |
-0.086967 |
- |
5313.8 |
5318.6 |
- |
5489.371 |
20240920 |
89 |
117 |
| CFFEX.IM2412 |
-0.001431 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5489.371 |
20241220 |
149 |
117 |
| CFFEX.IC2404 |
-0.003872 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5425.566 |
20240419 |
0 |
117 |
| CFFEX.IC2405 |
-0.003872 |
-0.005401 |
0.001529 |
-0.002132 |
-0.001066 |
-0.257943 |
- |
5414.0 |
5443.4 |
- |
5425.566 |
20240517 |
2 |
117 |
| CFFEX.IC2406 |
-0.003872 |
-0.005069 |
0.001197 |
-0.008693 |
-0.000334 |
-0.080914 |
- |
5378.4 |
5405.8 |
- |
5425.566 |
20240621 |
26 |
117 |
| CFFEX.IC2409 |
-0.003872 |
-0.005303 |
0.001431 |
-0.018241 |
-0.000205 |
-0.049598 |
- |
5326.6 |
5355.0 |
- |
5425.566 |
20240920 |
89 |
117 |
| CFFEX.IC2412 |
-0.003872 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5425.566 |
20241220 |
149 |
117 |
| CFFEX.IF2404 |
0.004424 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
3642.099 |
20240419 |
0 |
117 |
| CFFEX.IF2405 |
0.004424 |
0.002149 |
0.002275 |
-0.00129 |
-0.000645 |
-0.156113 |
- |
3637.4 |
3629.6 |
- |
3642.099 |
20240517 |
2 |
117 |
| CFFEX.IF2406 |
0.004424 |
0.001936 |
0.002489 |
-0.005244 |
-0.000202 |
-0.048809 |
- |
3623.0 |
3616.0 |
- |
3642.099 |
20240621 |
26 |
117 |
| CFFEX.IF2409 |
0.004424 |
0.001508 |
0.002917 |
-0.015073 |
-0.000169 |
-0.040986 |
- |
3587.2 |
3581.8 |
- |
3642.099 |
20240920 |
89 |
117 |
| CFFEX.IF2412 |
0.004424 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
3642.099 |
20241220 |
149 |
117 |
| CFFEX.IH2404 |
0.005547 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
2491.131 |
20240419 |
0 |
117 |
| CFFEX.IH2405 |
0.005547 |
0.00452 |
0.001027 |
-0.000775 |
-0.000388 |
-0.093793 |
- |
2489.2 |
2478.0 |
- |
2491.131 |
20240517 |
2 |
117 |
| CFFEX.IH2406 |
0.005547 |
0.004867 |
0.00068 |
-0.005432 |
-0.000209 |
-0.050556 |
- |
2477.6 |
2465.6 |
- |
2491.131 |
20240621 |
26 |
117 |
| CFFEX.IH2409 |
0.005547 |
0.004518 |
0.001029 |
-0.018197 |
-0.000204 |
-0.049479 |
- |
2445.8 |
2434.8 |
- |
2491.131 |
20240920 |
89 |
117 |
| CFFEX.IH2412 |
0.005547 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
2491.131 |
20241220 |
149 |
117 |