FangQuant › Financial Futures
(1) Index Futures
Rolling Data for Short Hedging during the Statistical Period
The optimal rolling contract is IF2101, and the annualized rolling cost is 0.24% to 1.67%;
The optimal rolling contract is IH2103, and the annualized rolling cost is -1.11% to 0.86%;
The optimal rolling contract is IC2106, and the annualized rolling cost is 9.04% to 9.89%.
Rolling Data for Long Hedging during the Statistical Period
The optimal rolling contract is IF2106, and the annualized rolling cost is 1.77% to 2.08%;
The optimal rolling contract is IH2106, and the annualized rolling cost is 1.00% to 2.11%;
The optimal rolling contract is IC2103, and the annualized rolling cost is 10.25% to 11.67%.
Basis
Annualized discount rate for the current season contract of IF was 1.85% 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 0.64% 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 11.22% 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 0.234 point to 0252 point;
The market impact cost for the current month contract of IH is 0.244 point to 0.252 point;
The market impact cost for the current month contract of IC is 0.322 point to 0.345 point.
Tick Level Volume Distribution
The volume distribution for the current month contract of IF last Friday: volume of 1 lot accounted for 24.21%; volume above 2 lots accounted for 36.41%;
The volume distribution for the current month contract of IH last Friday: volume of 1 lot accounted for 28.48%; volume above 2 lots accounted for 15.74%;
The volume distribution for the current month contract of IC last Friday: volume of 1 lot accounted for 22.40%; volume above 2 lots accounted for 36.74%.
(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 |
|
T2103 |
0.0627 |
01400 |
0.5360 |
1.4334 |
1.43% |
-0.10% |
|
T2106 |
0.1817 |
|
0.5360 |
1.4124 |
1.41% |
-0.10% |
|
T2109 |
|
|
|
|
|
|
|
TF2103 |
-0.1902 |
0.0850 |
0.4915 |
1.0731 |
1.07% |
0.04% |
|
TF2106 |
0.1959 |
|
0.4915 |
1.3742 |
1.37% |
-0.02% |
|
TF2109 |
|
|
|
|
|
|
|
TS2103 |
0.5362 |
0.9100 |
0.1775 |
2.0179 |
2.02% |
0.56% |
|
TS2106 |
0.1959 |
|
0.1775 |
0.7677 |
0.77% |
-0.02% |
|
TS2109 |
|
|
|
|
|
|
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