FangQuant › Financial Futures
(1) Index Futures
Rolling Data for Short Hedging during the Statistical Period
The optimal rolling contract is IF2102, and the annualized rolling cost is -0.19% to 1.24%;
The optimal rolling contract is IH2103, and the annualized rolling cost is -0.54% to 1.24%;
The optimal rolling contract is IC2103, and the annualized rolling cost is 7.84% to 8.90%.
Rolling Data for Long Hedging during the Statistical Period
The optimal rolling contract is IF2106, and the annualized rolling cost is 2.16% to 2.82%;
The optimal rolling contract is IH2106, and the annualized rolling cost is 1.24% to 2.39%;
The optimal rolling contract is IC2106, and the annualized rolling cost is 8.58% to 9.07%.
Basis
Annualized discount rate for the current season contract of IF was 1.62% last Thursday, which is potential losses for long position and potential gains for short positions;
Annualized discount rate for the current season contract of IH was 0.19% last Thursday, which is potential losses for long position and potential gains for short positions;
Annualized discount rate for the current season contract of IC was 10.77% last Thursday, 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 0.246 point to 0.286 point;
The market impact cost for the current month contract of IH is 0.238 point to 0.297 point;
The market impact cost for the current month contract of IC is 0.346 point to 0.417 point.
Tick Level Volume Distribution
The volume distribution for the current month contract of IF last Thursday: volume of 1 lot accounted for 21.98%; volume above 2 lots accounted for 42.13%;
The volume distribution for the current month contract of IH last Thursday: volume of 1 lot accounted for 27.23%; volume above 2 lots accounted for 19.73%;
The volume distribution for the current month contract of IC last Thursday: volume of 1 lot accounted for 24.52%; volume above 2 lots accounted for 34.07%.
(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 |
0.0307 |
0.1850 |
0.5360 |
1.8236 |
1.82% |
-0.03% |
|
T2106 |
0.1941 |
0.1350 |
0.5360 |
1.4010 |
1.40% |
-0.07% |
|
T2109 |
0.2983 |
|
0.5360 |
1.3702 |
1.37% |
-0.07% |
|
TF2103 |
0.1342 |
0.0350 |
0.4915 |
1.6437 |
1.64% |
0.15% |
|
TF2106 |
0.4973 |
0.1200 |
0.4915 |
1.6003 |
1.60% |
0.07% |
|
TF2109 |
0.6371 |
|
0.4915 |
1.6201 |
1.62% |
0.14% |
|
TS2103 |
0.1543 |
0.0700 |
0.1775 |
0.7569 |
0.76% |
0.08% |
|
TS2106 |
-0.2016 |
0.6550 |
0.1775 |
0.8085 |
0.81% |
-0.11% |
|
TS2109 |
0.6371 |
|
0.1775 |
0.9922 |
0.99% |
0.14% |
|
|
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