|
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_20241018_151351 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2409 |
0.044372 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5749.912 |
20240920 |
0 |
220 |
| CFFEX.IM2410 |
0.044372 |
0.047541 |
-0.003169 |
0.000189 |
0.000189 |
0.045791 |
-0.011371 |
5751.0 |
5490.0 |
6039.525 |
5749.912 |
20241018 |
1 |
220 |
| CFFEX.IM2411 |
0.044372 |
0.048197 |
-0.003825 |
-0.002976 |
-0.000142 |
-0.034295 |
-0.01579 |
5732.8 |
5469.2 |
5992.6 |
5749.912 |
20241115 |
21 |
220 |
| CFFEX.IM2503 |
0.044372 |
0.056178 |
-0.011805 |
-0.019081 |
-0.000172 |
-0.041599 |
- |
5640.2 |
5340.2 |
- |
5749.912 |
20250321 |
111 |
220 |
| CFFEX.IM2506 |
0.044372 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5749.912 |
20250620 |
176 |
220 |
| CFFEX.IC2409 |
0.040739 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5639.752 |
20240920 |
0 |
220 |
| CFFEX.IC2410 |
0.040739 |
0.044202 |
-0.003463 |
0.001108 |
0.001108 |
0.2681 |
- |
5646.0 |
5407.0 |
- |
5639.752 |
20241018 |
1 |
220 |
| CFFEX.IC2411 |
0.040739 |
0.039288 |
0.001451 |
-0.004673 |
-0.000223 |
-0.053846 |
- |
5613.4 |
5401.2 |
- |
5639.752 |
20241115 |
21 |
220 |
| CFFEX.IC2503 |
0.040739 |
0.042649 |
-0.001911 |
-0.010808 |
-0.000097 |
-0.023562 |
- |
5578.8 |
5350.6 |
- |
5639.752 |
20250321 |
111 |
220 |
| CFFEX.IC2506 |
0.040739 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5639.752 |
20250620 |
176 |
220 |
| CFFEX.IF2409 |
0.036068 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
3924.854 |
20240920 |
0 |
220 |
| CFFEX.IF2410 |
0.036068 |
0.033982 |
0.002086 |
-0.00302 |
-0.00302 |
-0.730898 |
- |
3913.0 |
3784.4 |
- |
3924.854 |
20241018 |
1 |
220 |
| CFFEX.IF2411 |
0.036068 |
0.038449 |
-0.002382 |
0.000547 |
0.000026 |
0.006301 |
- |
3927.0 |
3781.6 |
- |
3924.854 |
20241115 |
21 |
220 |
| CFFEX.IF2503 |
0.036068 |
0.042384 |
-0.006316 |
0.002585 |
0.000023 |
0.005636 |
- |
3935.0 |
3775.0 |
- |
3924.854 |
20250321 |
111 |
220 |
| CFFEX.IF2506 |
0.036068 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
3924.854 |
20250620 |
176 |
220 |
| CFFEX.IH2409 |
0.026961 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
2680.848 |
20240920 |
0 |
220 |
| CFFEX.IH2410 |
0.026961 |
0.023399 |
0.003563 |
-0.004793 |
-0.004793 |
-1.159788 |
- |
2668.0 |
2607.0 |
- |
2680.848 |
20241018 |
1 |
220 |
| CFFEX.IH2411 |
0.026961 |
0.031667 |
-0.004706 |
0.003787 |
0.00018 |
0.043639 |
- |
2691.0 |
2608.4 |
- |
2680.848 |
20241115 |
21 |
220 |
| CFFEX.IH2503 |
0.026961 |
0.036357 |
-0.009396 |
0.010128 |
0.000091 |
0.022081 |
- |
2708.0 |
2613.0 |
- |
2680.848 |
20250321 |
111 |
220 |
| CFFEX.IH2506 |
0.026961 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
2680.848 |
20250620 |
176 |
220 |