中证500展期基差变化情况

当月-下月,展期基差逐步缩减

output_4_1

基差波动率逐步缩减,逐步向中心靠拢

output_5_1

output_7_1

下限持仓在稳定增长,说明配置需求在提高

output_8_1

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19年以来的数据

output_9_1

output_12_1output_13_1output_15_0

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