股指期货日度数据跟踪2025-06-13-20250613

Report Summary 1. Report Industry Investment Rating No information provided in the report. 2. Core View The report presents a daily data tracking of stock index futures on June 12, 2025, including index trends, the impact of sector movements on indices, basis and annualized opening costs of stock index futures, and points differences in contract roll - over and their annualized costs. 3. Summary by Sections Index Trends - On June 12, the Shanghai Composite Index rose 0.01% to 3402.66 points with a trading volume of 5016.25 billion yuan; the Shenzhen Component Index fell 0.11% to 10234.33 points with a trading volume of 7701.44 billion yuan [1]. - The CSI 1000 Index rose 0.09% with a trading volume of 2508.24 billion yuan, opening at 6171.56, closing at 6192.22, with a high of 6202.73 and a low of 6151.04 [1]. - The CSI 500 Index rose 0.12% with a trading volume of 1653.94 billion yuan, opening at 5780.97, closing at 5799.93, with a high of 5808.8 and a low of 5766.52 [1]. - The SSE 50 Index fell 0.03% with a trading volume of 700.97 billion yuan, opening at 2689.68, closing at 2691.28, with a high of 2696.78 and a low of 2674.31 [1]. - The SSE 300 Index fell 0.06% with a trading volume of 2602.4 billion yuan, opening at 3885.52, closing at 3892.2, with a high of 3900.04 and a low of 3870.38 [1]. Impact of Sector Movements on Indices - The CSI 1000 rose 5.71 points compared to the previous close. Sectors such as pharmaceuticals, non - ferrous metals, and media had a positive impact, while machinery, defense, and electronics had a negative impact [3]. - The CSI 500 rose 6.98 points compared to the previous close. Pharmaceuticals, media, and automobiles had a positive impact, while computer, defense, and electronics had a negative impact [3]. - The SSE 300 fell 2.43 points compared to the previous close. Non - ferrous metals, pharmaceuticals, and banks had a positive impact, while coal, automobiles, and food and beverage had a negative impact [3]. - The SSE 50 fell 0.86 points compared to the previous close. Non - ferrous metals, pharmaceuticals, and non - bank finance had a positive impact, while coal, communication, and food and beverage had a negative impact [3]. Basis and Annualized Opening Costs of Stock Index Futures - For IM contracts, IM00 had an average daily basis of - 36.81, IM01 of - 133.6, IM02 of - 299.01, and IM03 of - 475.67 [13]. - For IC contracts, IC00 had an average daily basis of - 24.33, IC01 of - 101.69, IC02 of - 211.25, and IC03 of - 337.24 [13]. - For IF contracts, IF00 had an average daily basis of - 12.04, IF01 of - 54.27, IF02 of - 81.3, and IF03 of - 110.93 [13]. - For IH contracts, IH00 had an average daily basis of - 10.7, IH01 of - 44.84, IH02 of - 49.74, and IH03 of - 50.17 [13]. Points Differences in Contract Roll - over and Their Annualized Costs - For IM contracts, data on points differences and annualized costs for various contract roll - over combinations (e.g., IM00 - 01, IM00 - 02) at different times (09:45, 10:00, etc.) are provided [22]. - Similar data for IC, IF, and IH contracts are also presented, showing points differences and annualized costs for different contract roll - over scenarios at multiple time points [25][27]