Index Futures

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

The optimal rolling contract is IF2012, and the annualized rolling cost is 4.06% to 5.57%;

The optimal rolling contract is IH2012, and the annualized rolling cost is 2.57% to 4.93%;

The optimal rolling contract is IC2012, and the annualized rolling cost is 10.49% to 12.64%.

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

The optimal rolling contract is IF2007, and the annualized rolling return is 7.53% to 11.19%;

The optimal rolling contract is IH2007, and the annualized rolling return is 5.29% to 10.29%;

The optimal rolling contract is IC2007, and the annualized rolling return is 11.09% to 15.42%.

(3) Basis:

Annualized discount rate for the current quarter contract of IF was 7.51% last Thursday, which is potential gains for long position and potential losses for short positions;

Annualized discount rate for the current quarter contract of IH was 5.88% last Thursday, which is potential gains for long position and potential losses for short positions;

Annualized discount rate for the current quarter contract of IC was 13.08% last Thursday, 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 0.193 point to 0.233 point;

The market impact cost for the current month contract of IH is 0.197 point to 0.239 point;

The market impact cost for the current month contract of IC is 0.262 point to 0.318 point.

(5) Tick Level Volume Distribution:

The volume distribution for the current month contract of IF last Thursday: volume of 1 lot accounted for 19.02%; volume above 2 lots accounted for 52.50%;

The volume distribution for the current month contract of IH last Thursday: volume of 1 lot accounted for 28.70%; volume above 2 lots accounted for 22.17%;

The volume distribution for the current month contract of IC last Thursday: volume of 1 lot accounted for 20.66%; volume above 2 lots accounted for 47.90%.