股指期货日度数据跟踪-20250909

1. Index Movements - On September 8th, the Shanghai Composite Index rose by 0.38% to close at 3826.84 points with a trading volume of 1.025884 trillion yuan; the Shenzhen Component Index rose by 0.61% to close at 12666.84 points with a trading volume of 1.392846 trillion yuan [1]. - The CSI 1000 Index rose by 0.9% with a trading volume of 495.541 billion yuan, opening at 7257.33, closing at 7311.03, with a daily high of 7321.16 and a low of 7220.59 [1]. - The CSI 500 Index rose by 1.13% with a trading volume of 455.361 billion yuan, opening at 6927.41, closing at 6992.12, with a daily high of 6995.72 and a low of 6896.66 [1]. - The SSE 50 Index fell by 0.08% with a trading volume of 153.726 billion yuan, opening at 2940.98, closing at 2939.88, with a daily high of 2953.91 and a low of 2926.39 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 65.36 points from the previous close, with sectors such as Machinery, Automobiles, and Pharmaceuticals significantly pulling the index up [3]. - The CSI 500 rose 78.17 points from the previous close, with sectors such as Power Equipment, Basic Chemicals, and Pharmaceuticals significantly pulling the index up [3]. - The SSE 300 rose 7.25 points from the previous close, with sectors such as Pharmaceuticals, Food and Beverage, and Machinery pulling the index up, while Banking, Non - Banking Finance, and Telecommunications pulling it down [3]. - The SSE 50 fell 2.34 points from the previous close, with sectors such as Food and Beverage, Basic Chemicals, and Pharmaceuticals pulling the index up, while Non - Banking Finance, Non - Ferrous Metals, and Banking pulling it down [3]. 3. Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of -55.59, IM01 -113.04, IM02 -250.1, and IM03 -424.17 [13]. - For IC contracts, IC00 had an average daily basis of -51.81, IC01 -103.9, IC02 -212.74, and IC03 -353.45 [13]. - For IF contracts, IF00 had an average daily basis of -10.92, IF01 -17.37, IF02 -35.6, and IF03 -52.86 [13]. - For IH contracts, IH00 had an average daily basis of -3.99, IH01 -4.24, IH02 -3.28, and IH03 0.11 [13]. 4. Futures Roll - over Point Differences and Annualized Costs - For IC contracts, data shows point differences and annualized costs at different times, e.g., at 09:45, IC00 - 01 was -68.64222, IC00 - 02 was -225.568, etc. [25]. - For IF contracts, at 09:45, IF00 - 01 was -12.31678, IF00 - 02 was -41.14122, etc. [25]. - For IH contracts, at 09:45, IH00 - 01 was 0.707, IH00 - 02 was 1.4593333, etc. [27]. - For IM contracts, at 09:45, IM00 - 01 was -73.02267, IM00 - 02 was -259.4522, etc. [28]