|
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_20241219_151402 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CFFEX.IM2411 |
0.001745 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
6206.678 |
20241115 |
0 |
264 |
| CFFEX.IM2412 |
0.001745 |
0.004556 |
-0.002811 |
0.001824 |
0.000912 |
0.220724 |
-0.013954 |
6218.0 |
6189.8 |
6039.525 |
6206.678 |
20241220 |
2 |
264 |
| CFFEX.IM2501 |
0.001745 |
0.004812 |
-0.003067 |
-0.004202 |
-0.0002 |
-0.048418 |
-0.015775 |
6180.6 |
6151.0 |
5992.6 |
6206.678 |
20250117 |
21 |
264 |
| CFFEX.IM2503 |
0.001745 |
0.004978 |
-0.003233 |
-0.017703 |
-0.000295 |
-0.071403 |
- |
6096.8 |
6066.6 |
- |
6206.678 |
20250321 |
60 |
264 |
| CFFEX.IM2506 |
0.001745 |
0.005395 |
-0.003651 |
-0.039261 |
-0.000654 |
-0.158351 |
- |
5963.0 |
5931.0 |
- |
6206.678 |
20250620 |
120 |
264 |
| CFFEX.IC2411 |
0.002134 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
5901.183 |
20241115 |
0 |
264 |
| CFFEX.IC2412 |
0.002134 |
0.003906 |
-0.001772 |
0.001765 |
0.000883 |
0.213594 |
- |
5911.6 |
5888.6 |
- |
5901.183 |
20241220 |
2 |
264 |
| CFFEX.IC2501 |
0.002134 |
0.00389 |
-0.001756 |
-0.002912 |
-0.000139 |
-0.033555 |
- |
5884.0 |
5861.2 |
- |
5901.183 |
20250117 |
21 |
264 |
| CFFEX.IC2503 |
0.002134 |
0.004025 |
-0.001891 |
-0.010842 |
-0.000181 |
-0.043731 |
- |
5837.2 |
5813.8 |
- |
5901.183 |
20250321 |
60 |
264 |
| CFFEX.IC2506 |
0.002134 |
0.0041 |
-0.001966 |
-0.02894 |
-0.000482 |
-0.116727 |
- |
5730.4 |
5707.0 |
- |
5901.183 |
20250620 |
120 |
264 |
| CFFEX.IF2411 |
0.001231 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
3946.742 |
20241115 |
0 |
264 |
| CFFEX.IF2412 |
0.001231 |
0.001167 |
0.000063 |
-0.000492 |
-0.000246 |
-0.059538 |
- |
3944.8 |
3940.2 |
- |
3946.742 |
20241220 |
2 |
264 |
| CFFEX.IF2501 |
0.001231 |
0.001727 |
-0.000496 |
-0.000593 |
-0.000028 |
-0.006838 |
- |
3944.4 |
3937.6 |
- |
3946.742 |
20250117 |
21 |
264 |
| CFFEX.IF2503 |
0.001231 |
0.001473 |
-0.000242 |
-0.000593 |
-0.00001 |
-0.002393 |
- |
3944.4 |
3938.6 |
- |
3946.742 |
20250321 |
60 |
264 |
| CFFEX.IF2506 |
0.001231 |
0.000663 |
0.000567 |
-0.006421 |
-0.000107 |
-0.025898 |
- |
3921.4 |
3918.8 |
- |
3946.742 |
20250620 |
120 |
264 |
| CFFEX.IH2411 |
-0.002811 |
- |
- |
- |
- |
- |
- |
- |
- |
- |
2663.836 |
20241115 |
0 |
264 |
| CFFEX.IH2412 |
-0.002811 |
-0.003596 |
0.000785 |
-0.00144 |
-0.00072 |
-0.174243 |
- |
2660.0 |
2669.6 |
- |
2663.836 |
20241220 |
2 |
264 |
| CFFEX.IH2501 |
-0.002811 |
-0.002101 |
-0.000711 |
-0.00129 |
-0.000061 |
-0.014864 |
- |
2660.4 |
2666.0 |
- |
2663.836 |
20250117 |
21 |
264 |
| CFFEX.IH2503 |
-0.002811 |
-0.001498 |
-0.001314 |
0.001188 |
0.00002 |
0.004791 |
- |
2667.0 |
2671.0 |
- |
2663.836 |
20250321 |
60 |
264 |
| CFFEX.IH2506 |
-0.002811 |
-0.001497 |
-0.001314 |
0.001563 |
0.000026 |
0.006305 |
- |
2668.0 |
2672.0 |
- |
2663.836 |
20250620 |
120 |
264 |