Summary: price spread for CSI300 and CSI500 spot/current month contracts show room for arbitrage. No spread for next month/current month contracts show room for arbitrage.
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(1) Roll Spread of Stock Index Futures Tracking
Calculated as the contract price of the current month minus the contract price of the following month, for the long roll, the positive calculation resu...
Summary: price spread for CSI300 and CSI500 spot/current month contracts show room for arbitrage. No spread for next month/current month contracts show room for arbitrage.
---------------------------...
(1) Roll Spread of Stock Index Futures Tracking
Calculated as the contract price of the current month minus the contract price of the following month, for the long roll, the positive calculation resu...
(1) Roll Spread of Stock Index Futures Tracking
Calculated as the contract price of the current month minus the contract price of the following month, for the long roll, the positive calculation resu...
Summary: price spread for CSI300 and CSI500 spot/current month contracts show room for arbitrage. No spread for next month/current month contracts show room for arbitrage.
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Rolling Data for Short Hedging during the Statistical Period
The optimal rolling contract is IF2103, and the annualized rolling cost is 4.04% to 5.01%;
The optimal rolling contract is IH20...
Summary: price spread for CSI300 and CSI500 spot/current month contracts show room for arbitrage. No spread for next month/current month contracts show room for arbitrage.
---------------------------...
(1) Roll Spread of Stock Index Futures Tracking
Calculated as the contract price of the current month minus the contract price of the following month, for the long roll, the positive calculation resu...
(1) Roll Spread of Stock Index Futures Tracking
Calculated as the contract price of the current month minus the contract price of the following month, for the long roll, the positive calculation resu...
Summary: price spread for CSI300 and CSI500 spot/current month contracts show room for arbitrage. No spread for next month/current month contracts show room for arbitrage.
---------------------------...
Summary: price spread for CSI300 and CSI500 spot/current month contracts show room for arbitrage. No spread for next month/current month contracts show room for arbitrage.
-------------------------...
(1) Roll Spread of Stock Index Futures Tracking
Calculated as the contract price of the current month minus the contract price of the following month, for the long roll, the positive calculation resu...
(1) Roll Spread of Stock Index Futures Tracking
Calculated as the contract price of the current month minus the contract price of the following month, for the long roll, the positive calculation resu...
Summary: price spread for CSI300 and CSI500 spot/current month contracts show room for arbitrage. No spread for next month/current month contracts show room for arbitrage.
---------------------------...
(1) Roll Spread of Stock Index Futures Tracking
Calculated as the contract price of the current month minus the contract price of the following month, for the long roll, the positive calculation resu...
Summary: price spread for CSI300 and CSI500 spot/current month contracts show room for arbitrage. No spread for next month/current month contracts show room for arbitrage.
-------------------------...
(1) Roll Spread of Stock Index Futures Tracking
Calculated as the contract price of the current month minus the contract price of the following month, for the long roll, the positive calculation resu...
(1) Index Futures
Rolling Data for Short Hedging during the Statistical Period
The optimal rolling contract is IF2103, and the annualized rolling cost is 4.52% to 4.99%;
The optimal rolling contrac...
Summary: price spread for CSI300 and CSI500 spot/current month contracts show room for arbitrage. No spread for next month/current month contracts show room for arbitrage.
---------------------------...
(1) Roll Spread of Stock Index Futures Tracking
Calculated as the contract price of the current month minus the contract price of the following month, for the long roll, the positive calculation resu...
Sheng Songcheng, a professor at China Europe International Business School, former director of the Central Bank’s Investigation and Statistics Department, and executive vice president of the CEIBS Jia...
Summary: price spread for CSI300 and CSI500 spot/current month contracts show room for arbitrage. No spread for next month/current month contracts show room for arbitrage.
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Summary: price spread for CSI300 and CSI500 spot/current month contracts show room for arbitrage. No spread for next month/current month contracts show room for arbitrage.
---------------------------...
(1) Roll Spread of Stock Index Futures Tracking
Calculated as the contract price of the current month minus the contract price of the following month, for the long roll, the positive calculation resu...
(1) Roll Spread of Stock Index Futures Tracking
Calculated as the contract price of the current month minus the contract price of the following month, for the long roll, the positive calculation resu...
(1) Roll Spread of Stock Index Futures Tracking
Calculated as the contract price of the current month minus the contract price of the following month, for the long roll, the positiv...
Summary: price spread for CSI300 and CSI500 spot/current month contracts show room for arbitrage. No spread for next month/current month contracts show room for arbitrage.
-------------------------...
Summary: price spread for CSI300 and CSI500 spot/current month contracts show room for arbitrage. No spread for next month/current month contracts show room for arbitrage.
---------------------------...
(1) Roll Spread of Stock Index Futures Tracking
Calculated as the contract price of the current month minus the contract price of the following month, for the long roll, the positive calculation resu...
At the analysis meeting on the allocation of insurance funds in the second quarter of 2020 held on July 28, insurance capital collectively looked at the market and formed a greater consensus on the eq...
2020-08-04 10:40 Source: People's Bank of China website
On August 3, the People's Bank of China held a video conference for the second half of 2020 to convey and stu...
(1) Index Futures
Rolling Data for Short Hedging during the Statistical Period
The optimal rolling contract is IF2103, and the annualized rolling cost is 3.48% to 4.04%;
The optimal ...
On July 30, the China Securities Regulatory Commission held the 2020 mid-year system work conference and warning education conference (video). The meeting summarized the work in the first half of the ...
Summary: price spread for CSI300 and CSI500 spot/current month contracts show room for arbitrage. No spread for next month/current month contracts show room for arbitrage.
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Summary: price spread for CSI300 and CSI500 spot/current month contracts show room for arbitrage. No spread for next month/current month contracts show room for arbitrage.
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