(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.
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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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(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.
-------------------------...
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.
---------------------------...
On the 25th, at the 2020 International Monetary Forum, Xiao Gang, a member of the National Committee of the Chinese People’s Political Consultative Conference and former chairman of the China Securiti...
(1) Index Futures
Rolling Data for Short Hedging during the Statistical Period
The optimal rolling contract is IF2103, and the annualized rolling cost is 2.83% to 3.31%;
The optimal rolli...
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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Index Futures
(1) Rolling Data for Short Hedging during the Statistical Period:
The optimal rolling contract is IF2012, and the annualized rolling cost is 0.27...
Basis & IRR
The basis for T2009 last Thursday was 0.6038 yuan, the IRR was 0.0219%;
The basis for TF2009 last Thursday was 0.2429 yuan, the IRR was 1.1305%;
The basis...
Index Futures
(1) Rolling Data for Short Hedging during the Statistical Period:
The optimal rolling contract is IF2012, and the annualized rolling cost is 4.06% to 5...
Index Futures
(1) Rolling Data for Short Hedging during the Statistical Period:
The optimal rolling contract is IF2012, and the annualized rolling cost is 6.66% to 7...
The European Securities and Markets Authority (ESMA) recently published an updated opinion on post-trade transparency under MiFID II and MiFIR and its annexed list covering the post-trade transparency...
Index Futures
(1) Rolling Data for Short Hedging during the Statistical Period:
The optimal rolling contract is IF2012, and the annualized rolling cost is 6.66% to 7...
Index Futures
(1) Rolling Data for Short Hedging during the Statistical Period:
The optimal rolling contract is IF2012, and the annualized rolling cost is 5.90% to 6...
Market Summary:
Last week, there was generally decrease over the market. Shanghai SE Composite Index (000001.SH) changed -1.06 % to 2808.53. Specifically, small cap shares perform better than la...
Market Summary:
Last week, there was generally decrease over the market. Shanghai SE Composite Index (000001.SH) changed 1.50 % to 2838.49. Specifically, large cap shares perform better than sma...
On the morning of April 10, China Financial Futures Exchange (CFFEX) held the launch event for commercial banks’ participation in the China government bond (CGB) futures market. This marks a new stage...
Market Summary:
Last week, there was generally decrease over the market. Shanghai SE Composite Index (000001.SH) changed -0.30 % to 2763.99. Specifically, large cap shares perform better than sm...
Market Summary:
Last week, there was generally increase over the market. Shanghai SE Composite Index (000001.SH) changed 0.97 % to 2772.20. Specifically, large cap shares perform better than sma...
24 March 2020 -- Under the guidance of the PBC and other regulators, China Central Depository & Clearing Co., Ltd. (CCDC) launches two service optimization initiatives to enrich and...
Market Summary:
Last week, there was generally decrease over the market. Shanghai SE Composite Index (000001.SH) changed -4.91 % to 2745.62. Specifically, small cap shares perform better than la...
Market Summary:
Last week, there was generally increase over the market. Shanghai SE Composite Index (000001.SH) changed 5.35 % to 3034.51. Specifically, small cap shares perform better than lar...
0224
After the outbreak of the epidemic, the market is full of toughness, and the technology growth sector has rapidly rising. The core lies in the weakening of the "herd effect" of private investors...
I. Moderate：
A. Epidemic and Prevention Measures：
The epidemic situation in China is basically under control. The whole country (except Hubei) will reach full production at the end of March. Hubei...
Since March, affected by multiple factors, overseas markets have fallen sharply, the net value of QDII funds has declined in an all-round way, and investors are willing to catch the bottom, which dire...