股指期货日度数据跟踪2025-05-28-20250528

1. Index Trends - On May 27th, the Shanghai Composite Index dropped by -0.18% to close at 3340.69 points with a trading volume of 394.409 billion yuan; the Shenzhen Component Index fell by -0.61% to close at 10029.11 points with a trading volume of 604.517 billion yuan [1]. - The CSI 1000 Index decreased by -0.34% with a trading volume of 193.606 billion yuan, opening at 6019.54, closing at 6008.46, reaching a high of 6023.14 and a low of 5971.35 [1]. - The CSI 500 Index declined by -0.31% with a trading volume of 125.276 billion yuan, opening at 5666.3, closing at 5652.15, reaching a high of 5667.87 and a low of 5629.13 [1]. - The SSE 50 Index went down by -0.52% with a trading volume of 49.856 billion yuan, opening at 2699.69, closing at 2685.28, reaching a high of 2709.29 and a low of 2684.71 [1]. - The CSI 300 Index decreased by -0.54% with a trading volume of 178.467 billion yuan, opening at 3857.63, closing at 3839.4, reaching a high of 3865.43 and a low of 3834.85 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 dropped 20.33 points from the previous close. Sectors such as Medicine and Biology, and Basic Chemicals had a significant positive impact, while sectors like Computer, Machinery, and Electronics had a negative impact [2]. - The CSI 500 dropped 17.31 points from the previous close. The Medicine and Biology sector had a positive impact, while Machinery, Non - ferrous Metals, and Electronics had a negative impact [2]. - The CSI 300 dropped 20.71 points from the previous close. The Banking sector had a positive impact, while Automobile, Non - ferrous Metals, and Electronics had a negative impact [2]. - The SSE 50 dropped 14.14 points from the previous close. The Banking sector had a positive impact, while Food and Beverage, Electronics, and Non - ferrous Metals had a negative impact [2]. 3. Futures Basis and Annualized Opening Costs - For IM contracts, the daily average basis was -98.04 for IM00, -190.8 for IM01, -349.56 for IM02, and -527.69 for IM03 [12]. - For IC contracts, the daily average basis was -76.59 for IC00, -151.74 for IC01, -269.32 for IC02, and -399.41 for IC03 [12]. - For IF contracts, the daily average basis was -29.87 for IF00, -68.48 for IF01, -100.62 for IF02, and -139.97 for IF03 [12]. - For IH contracts, the daily average basis was -17.04 for IH00, -48.29 for IH01, -54.82 for IH02, and -57.71 for IH03 [12]. 4. Futures Roll - over Point Differences and Annualized Costs - For IM contracts, data on roll - over point differences and their annualized costs at different time points (e.g., 09:45, 10:00, etc.) are provided, including values for IM00 - 01, IM00 - 02, etc. [21]. - For IC contracts, data on roll - over point differences and their annualized costs at different time points are provided, including values for IC00 - 01, IC00 - 02, etc. [23]. - For IF contracts, data on roll - over point differences and their annualized costs at different time points are provided, including values for IF00 - 01, IF00 - 02, etc. [23]. - For IH contracts, data on roll - over point differences and their annualized costs at different time points are provided, including values for IH00 - 01, IH00 - 02, etc. [25].