FangQuant › Financial Futures
(1) Index Futures
Rolling Data for Short Hedging during the Statistical Period
The optimal rolling contract is IF2103, and the annualized rolling cost is 1.90% to 3.43%;
The optimal rolling contract is IH2012, and the annualized rolling cost is 1.48% to 3.42%;
The optimal rolling contract is IC2106, and the annualized rolling cost is 9.89% to 11.40%.
Rolling Data for Long Hedging during the Statistical Period
The optimal rolling contract is IF2106, and the annualized rolling cost is 3.01% to 4.06%;
The optimal rolling contract is IH2106, and the annualized rolling cost is 3.24% to 3.91%;
The optimal rolling contract is IC2012, and the annualized rolling cost is 10.64% to 14.43%.
Basis
Annualized discount rate for the current season contract of IF was 2.37% last Friday, which is potential gains for long position and potential losses for short positions;
Annualized discount rate for the current season contract of IH was 2.05% last Friday, which is potential gains for long position and potential losses for short positions;
Annualized discount rate for the current season contract of IC was 9.93% last Friday, which is potential gains for long position and potential losses for short positions.
Market Impact Cost
The market impact cost for the current month contract of IF is 0.238 point to 0294 point;
The market impact cost for the current month contract of IH is 0.245 point to 0.308 point;
The market impact cost for the current month contract of IC is 0.349 point to 0.427 point.
Tick Level Volume Distribution
The volume distribution for the current month contract of IF last Friday: volume of 1 lot accounted for 27.62%; volume above 2 lots accounted for 10.16%;
The volume distribution for the current month contract of IH last Friday: volume of 1 lot accounted for 25.65%; volume above 2 lots accounted for 5.68%;
The volume distribution for the current month contract of IC last Friday: volume of 1 lot accounted for 29.49%; volume above 2 lots accounted for 13.45%.
(2) Treasury Bond Futures
|
|
Basis (CTD) |
Roll Spread |
Average value of the roll spread during the last three rollover |
Total Cost |
Cost Rate |
5-day Change |
|
T2012 |
0.0799 |
0.1850 |
0.6153 |
2.1208 |
2.11% |
-0.01% |
|
T2103 |
0.1385 |
0.1700 |
0.6153 |
1.5391 |
1.54% |
-0.18% |
|
T2106 |
0.3823 |
|
0.6153 |
1.6130 |
1.61% |
-0.09% |
|
TF2012 |
-0.0437 |
0.0850 |
0.5891 |
1.8027 |
1.81% |
-0.08% |
|
TF2103 |
-0.1799 |
0.1350 |
0.5891 |
1.1333 |
1.13% |
-0.17% |
|
TF2106 |
0.3005 |
|
0.5891 |
1.4788 |
1.48% |
-0.24% |
|
TS2012 |
0.0297 |
-0.145 |
0.2859 |
0.7423 |
0.74% |
-0.11% |
|
TS2103 |
0.4409 |
1.050 |
0.2859 |
2.0627 |
2.06% |
-0.08% |
|
TS2106 |
0.3005 |
|
0.2859 |
0.8722 |
0.87% |
-0.24% |
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