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 2.08% to 2.90%;
The optimal rolling contract is IH2103, and the annualized rolling cost is 1.89% to 2.34%;
The optimal rolling contract is IC2109, and the annualized rolling cost is 11.04% to 11.39%.
Rolling Data for Long Hedging during the Statistical Period
The optimal rolling contract is IF2109, and the annualized rolling cost is 3.91% to 4.58%;
The optimal rolling contract is IH2109, and the annualized rolling cost is 3.13% to 3.62%;
The optimal rolling contract is IC2103, and the annualized rolling cost is 11.51% to 12.45%.
Basis
Annualized discount rate for the current season contract of IF was 4.57% 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 1.85% last Friday, which is potential gains for long position and potential losses for short positions;
Annualized discount rate for the current season contract of IC was 13.04% 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 0.305 point to 0.322 point;
The market impact cost for the current month contract of IH is 0.323 point to 0.337 point;
The market impact cost for the current month contract of IC is 0.422 point to 0.455 point.
Tick Level Volume Distribution
The volume distribution for the current month contract of IF last Friday: volume of 1 lot accounted for 19.97%; volume above 2 lots accounted for 47.36%;
The volume distribution for the current month contract of IH last Friday: volume of 1 lot accounted for 27.02%; volume above 2 lots accounted for 19.99%;
The volume distribution for the current month contract of IC last Friday: volume of 1 lot accounted for 23.04%; volume above 2 lots accounted for 36.38%.
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 |
0.0514 |
0.2100 |
0.5360 |
1.8692 |
1.87% |
-0.01% |
|
T2106 |
0.5131 |
0.0800 |
0.5360 |
1.6650 |
1.67% |
0.08% |
|
T2109 |
0.2483 |
|
0.5360 |
1.3202 |
1.32% |
-0.10% |
|
TF2103 |
-0.0631 |
0.0700 |
0.4915 |
1.4815 |
1.48% |
-0.09% |
|
TF2106 |
0.5357 |
0.0650 |
0.4915 |
1.5837 |
1.58% |
0.04% |
|
TF2109 |
0.5513 |
|
0.4915 |
1.5344 |
1.53% |
-0.06% |
|
TS2103 |
0.0854 |
0.1650 |
0.1775 |
0.7831 |
0.78% |
-0.07% |
|
TS2106 |
-0.0953 |
0.6400 |
0.1775 |
0.8997 |
0.90% |
0.18% |
|
TS2109 |
0.5513 |
|
0.1775 |
0.9064 |
0.91% |
-0.06% |
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