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Weekly Data on Index Futures 20200824

Fang submitted 2020-08-24 23:16:51

Rolling Data for Short Hedging during the Statistical Period

The optimal rolling contract is IF2103, and the annualized rolling cost is 4.04% to 5.01%;

The optimal rolling contract is IH2009, and the annualized rolling cost is 0.94% to 2.46%;

The optimal rolling contract is IC2103, and the annualized rolling cost is 11.19% to 12.89%.

Rolling Data for Long Hedging during the Statistical Period

The optimal rolling contract is IF2009, and the annualized rolling cost is 4.99% to 6.99%;

The optimal rolling contract is IH2012, and the annualized rolling cost is 1.48% to 3.43%;

The optimal rolling contract is IC2009, and the annualized rolling cost is 14.10% to 19.59%.

Basis

Annualized discount rate for the current season contract of IF was 5.40% 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 2.16% 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 14.44% 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 0.286 point to 0.367 point;

The market impact cost for the current month contract of IH is 0.281 point to 0.354 point;

The market impact cost for the current month contract of IC is 0.440 point to 0.533 point.

Tick Level Volume Distribution

The volume distribution for the current month contract of IF last Thursday: volume of 1 lot accounted for 26.26%; volume above 2 lots accounted for 25.20%;

The volume distribution for the current month contract of IH last Thursday: volume of 1 lot accounted for 25.52%; volume above 2 lots accounted for 11.14%;

The volume distribution for the current month contract of IC last Thursday: volume of 1 lot accounted for 26.85%; volume above 2 lots accounted for 25.17%.

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