股指期货日度数据跟踪2025-08-27-20250827

Index Trends - On August 26th, the Shanghai Composite Index decreased by 0.39% to close at 3868.38 points, with a trading volume of 1114.188 billion yuan; the Shenzhen Component Index increased by 0.26% to close at 12473.17 points, with a trading volume of 1564.832 billion yuan [1]. - The CSI 1000 Index decreased by 0.02%, with a trading volume of 573.343 billion yuan, an opening price of 7457.77, a closing price of 7476.47, a daily high of 7526.17, and a daily low of 7435.3 [1]. - The CSI 500 Index increased by 0.18%, with a trading volume of 490.812 billion yuan, an opening price of 6928.29, a closing price of 6964.07, a daily high of 7008.96, and a daily low of 6910.41 [1]. - The SSE 50 Index decreased by 0.67%, with a trading volume of 149.73 billion yuan, an opening price of 2975.7, a closing price of 2969.78, a daily high of 2985.54, and a daily low of 2964.21 [1]. - The SSE 50 Index decreased by 0.67%, with a trading volume of 149.73 billion yuan, an opening price of 2975.7, a closing price of 2969.78, a daily high of 2985.54, and a daily low of 2964.21 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 Index decreased by 1.26 points compared to the previous closing price. Sectors such as basic chemicals, communications, and real estate had a significant positive impact on the index, while sectors such as computers, power equipment, and pharmaceuticals had a significant negative impact [2]. - The CSI 500 Index increased by 12.17 points compared to the previous closing price. Sectors such as computers, basic chemicals, and power equipment had a significant positive impact on the index, while sectors such as pharmaceuticals, national defense and military industry, and electronics had a significant negative impact [2]. - The SSE 300 Index decreased by 16.63 points compared to the previous closing price. Sectors such as agriculture, forestry, animal husbandry, and fishery, and basic chemicals had a significant positive impact on the index, while sectors such as communications, banks, and non - bank finance had a significant negative impact [2]. - The SSE 50 Index decreased by 20.07 points compared to the previous closing price. Some sectors (not fully specified) had a positive impact, while sectors such as pharmaceuticals, non - bank finance, and electronics had a significant negative impact [2]. 3. Futures Basis and Annualized Opening Costs - For IM futures, the average daily basis for IM00 was - 48.54, IM01 was - 98.52, IM02 was - 206.23, and IM03 was - 363.42 [12]. - For IC futures, the average daily basis for IC00 was - 33.99, IC01 was - 71.78, IC02 was - 158.87, and IC03 was - 285.59 [12]. - For IF futures, the average daily basis for IF00 was 1.26, IF01 was - 4.05, IF02 was - 15.8, and IF03 was - 33.52 [12]. - For IH futures, the average daily basis for IH00 was 2.42, IH01 was 2.85, IH02 was 4.69, and IH03 was 8.6 [12]. 4. Futures Roll - over Point Differences and Annualized Costs - The report provides 15 - minute mean data and annualized cost data for the roll - over point differences of IM, IC, IF, and IH futures from 09:45 to 15:00 [20][21][22][24]