股指期货日度数据跟踪2025-06-20-20250620

Report Summary 1. Index Performance - On June 19th, the Shanghai Composite Index dropped by 0.79% to close at 3362.11 points, with a trading volume of 473.259 billion yuan; the Shenzhen Component Index fell 1.21% to 10051.97 points, trading 777.365 billion yuan [1]. - The CSI 1000 Index decreased by 1.42%, with a trading volume of 270.827 billion yuan, opening at 6127.94 and closing at 6048.22 [1]. - The CSI 500 Index declined by 1.2%, trading 162.658 billion yuan, opening at 5733.81 and closing at 5676.83 [1]. - The SSE 50 Index fell 0.54%, with a trading volume of 64.021 billion yuan, opening at 2678.36 and closing at 2665.52 [1]. 2. Sector Impact on Index - The CSI 1000 dropped 87.17 points, with the Computer and Pharmaceutical Biology sectors significantly dragging it down [2]. - The CSI 500 fell 69.04 points, affected by the Computer, Pharmaceutical Biology, and Non - Banking Finance sectors [2]. - The SSE 300 declined 31.88 points, pulled down by the Power Equipment and Non - Banking Finance sectors [2]. - The SSE 50 dropped 14.4 points, influenced by the Non - Banking Finance and Non - Ferrous Metals sectors [2]. 3. Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 7.72, IM01 of - 95.26, IM02 of - 258.62, and IM03 of - 437.34 [11]. - For IC contracts, IC00 had an average daily basis of - 6.6, IC01 of - 72.5, IC02 of - 184.11, and IC03 of - 308.25 [11]. - For IF contracts, IF00 had an average daily basis of - 5.07, IF01 of - 47.41, IF02 of - 77.64, and IF03 of - 107.61 [11]. - For IH contracts, IH00 had an average daily basis of - 6.22, IH01 of - 43.57, IH02 of - 45.65, and IH03 of - 47.67 [11]. 4. Futures Roll - over Point Differences and Annualized Costs - For IM contracts, various roll - over point differences and their corresponding annualized costs were presented, such as IM00 - 01 having different values at different times [21]. - For IC contracts, similar roll - over point differences and annualized costs were provided, like IC00 - 01 with values changing over time [23]. - For IF contracts, roll - over point differences and annualized costs were detailed, e.g., IF00 - 01 at different time points [23]. - For IH contracts, roll - over point differences and annualized costs were given, such as IH00 - 01 at various times [25]. Core View The report presents the performance of major stock indices on June 19th, including their price changes, trading volumes, and the impact of different sectors on these indices. It also provides data on the basis and roll - over costs of various stock index futures contracts, offering a comprehensive view of the market situation on that day.