(1) Index Futures
Rolling Data for Short Hedging during the Statistical Period
The optimal rolling contract is IF2103, and the annualized rolling cost is 4.52% to 4.99%;
The optimal rolling contract is IH2103, and the annualized rolling cost is 1.36% to 2.03%;
The optimal rolling contract is IC2103, and the annualized rolling cost is 11.39% to 12.03%.

Rolling Data for Long Hedging during the Statistical Period
The optimal rolling contract is IF2009, and the annualized rolling cost is 6.88% to 7.64%;
The optimal rolling contract is IH2009, and the annualized rolling cost is 2.26% to 4.49%;
The optimal rolling contract is IC2009, and the annualized rolling cost is 13.38% to 15.53%.

Basis
Annualized discount rate for the current season contract of IF was 7.88% last Thursday, which is potential gains for long position and potential losses for short positions;
Annualized discount rate for the current season contract of IH was 3.61% last Thursday, which is potential gains for long position and potential losses for short positions;
Annualized discount rate for the current season contract of IC was 16.63% 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 0.298 point to 0.346 point;
The market impact cost for the current month contract of IH is 0.319 point to 0.378 point;
The market impact cost for the current month contract of IC is 0.463 point to 0.572 point.

Tick Level Volume Distribution
The volume distribution for the current month contract of IF last Thursday: volume of 1 lot accounted for 21.70%; volume above 2 lots accounted for 44.16%;
The volume distribution for the current month contract of IH last Thursday: volume of 1 lot accounted for 26.68%; volume above 2 lots accounted for 17.74%;
The volume distribution for the current month contract of IC last Thursday: volume of 1 lot accounted for 20.73%; volume above 2 lots accounted for 45.17%.


(2) Treasury Bond Futures
Basis & IRR
The basis for T2009 last Thursday was 0.1015 yuan, the IRR was 0.7404%;
The basis for TF2009 last Thursday was 0.0926 yuan, the IRR was 1.8527%;
The basis for TS2009 last Thursday was 0.0582 yuan, the IRR was 2.0177%.

Expected Value of Delivery Option
The expected value of delivery option for T2009 last Thursday was -0.0017;
The expected value of delivery option for TF2009 last Thursday was 0.0264;
The expected value of delivery option for TS2009 last Thursday was 0.0310.

Curve
As of last Thursday, the Beta1 was -1.2657, and the weekly average was -1.3215.
The spread between 10-year and 5-year contracts was 11.58bp and 4.47bp lower from the previous week, the spread between 5-year and 2-year contracts was 19.42bp and 1.72bp lower from the previous week, and the spread between 10-year and 2-year contracts was 31.00bp and 6.19bp lower from the previous week.

Tick Level Volume Distribution
The volume distribution for T2009 last Thursday: volume of 1 lot accounted for 15.34%; volume above 10 lots accounted for 5.18%;
The volume distribution for TF2009 last Thursday: volume of 1 lot accounted for 10.08%; volume above 10 lots accounted for 1.40%;
The volume distribution for TS2009 last Thursday: volume of 1 lot accounted for 6.33%; volume above 10 lots accounted for 0.82%.

Sino-US Spread
The spread between 10-year and 1-year US Treasury Bonds last Thursday was 58.63bp and increased by 16.93bp from the previous week.
The Sino-US spread of 10-year Treasury Bonds was 223.12bp last Thursday and decreased by 20.86bp from the previous week.
The spread of US 5-year corporate bonds was 123.61bp last Wednesday and decreased by 5.07bp from the previous week; The spread of BB grade corporate bonds was 326.53bp and increased by 1.30bp from the previous week.