ndex Futures

(1)Rolling Data for Short Hedging during the Statistical Period

The optimal rolling contract is IF2103, and the annualized rolling cost is 1.30% to 2.67%;

The optimal rolling contract is IH2103, and the annualized rolling cost is 0.62% to 1.78%;

The optimal rolling contract is IC2109, and the annualized rolling cost is 10.17% to 10.81%.

(2)Rolling Data for Long Hedging during the Statistical Period

The optimal rolling contract is IF2109, and the annualized rolling cost is 3.30% to 3.79%;

The optimal rolling contract is IH2109, and the annualized rolling cost is 2.44% to 2.91%;

The optimal rolling contract is IC2103, and the annualized rolling cost is 11.01% to 12.23%.

(3)Basis

Annualized discount rate for the current season contract of IF was 4.89% 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 1.90% 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 14.57% last Friday, which is potential gains for long position and potential losses for short positions.

(4)Market Impact Cost

The market impact cost for the current month contract of IF is 0.296 point to 0.336 point;

The market impact cost for the current month contract of IH is 0.318 point to 0.405 point;

The market impact cost for the current month contract of IC is 0.402 point to 0.469 point.

(5)Tick Level Volume Distribution

The volume distribution for the current month contract of IF last Friday: volume of 1 lot accounted for 22.18%; volume above 2 lots accounted for 42.47%;

The volume distribution for the current month contract of IH last Friday: volume of 1 lot accounted for 25.67%; volume above 2 lots accounted for 16.46%;

The volume distribution for the current month contract of IC last Friday: volume of 1 lot accounted for 24.49%; volume above 2 lots accounted for 33.66%.