The optimal rolling contract is IF2103, and the annualized rolling cost is 5.92% to 7.21%;

The optimal rolling contract is IH2013, and the annualized rolling cost is 3.43% to 4.81%;

The optimal rolling contract is IC2103, and the annualized rolling cost is 13.43% to 15.35%.

Rolling Data for Long Hedging during the Statistical Period

The optimal rolling contract is IF2010, and the annualized rolling cost is 7.47% to 9.11%;

The optimal rolling contract is IH2010, and the annualized rolling cost is 4.88% to 6.98%;

The optimal rolling contract is IC2012, and the annualized rolling cost is 14.52% to 16.59%.

Basis

Annualized discount rate for the current season contract of IF was 9.13% 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 7.58% 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 15.81% 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 0.251 point to 0.285 point;

The market impact cost for the current month contract of IH is 0.250 point to 0.286 point;

The market impact cost for the current month contract of IC is 0.347 point to 0.397 point.

Tick Level Volume Distribution

The volume distribution for the current month contract of IF last Thursday: volume of 1 lot accounted for 26.66%; volume above 2 lots accounted for 30.49%;

The volume distribution for the current month contract of IH last Thursday: volume of 1 lot accounted for 29.83%; volume above 2 lots accounted for 12.78%;

The volume distribution for the current month contract of IC last Thursday: volume of 1 lot accounted for 26.44%; volume above 2 lots accounted for 32.59%.