股指期货日度数据跟踪2025-09-19-20250919

Report Summary 1. Report Industry Investment Rating No information about the report industry investment rating is provided in the content. 2. Core Viewpoint The report presents a daily data tracking of stock index futures on September 18, 2025, including the performance of major stock indices, the impact of sector movements on these indices, the basis and annualized opening costs of stock index futures, and the points difference and annualized costs during futures contract roll - overs. 3. Summary by Directory Index Trends - On September 18, the Shanghai Composite Index dropped 1.15% to close at 3831.66 points, with a trading volume of 1365.962 billion yuan; the Shenzhen Component Index fell 1.06% to 13075.66 points, with a trading volume of 1769.195 billion yuan [1]. - The CSI 1000 Index declined 1.04%, with a trading volume of 654.023 billion yuan; the CSI 500 Index fell 0.83%, with a trading volume of 604.239 billion yuan; the SSE 50 Index dropped 1.35%, with a trading volume of 225.774 billion yuan; the SSE 300 Index decreased 1.16%, with a trading volume of 839.987 billion yuan [1]. Impact of Sector Movements on Indices - The CSI 1000 Index dropped 78.41 points from the previous close, with the computer and non - ferrous metals sectors having a significant downward pull [2]. - The CSI 500 Index fell 60.16 points, with the communication sector having an upward pull and the computer, non - bank finance, and non - ferrous metals sectors having a downward pull [2]. - The SSE 300 Index declined 52.91 points, with the electronics sector having an upward pull and the power equipment, bank, and non - bank finance sectors having a downward pull [2]. - The SSE 50 Index dropped 39.95 points, with the electronics sector having an upward pull and the food and beverage, non - bank finance, and bank sectors having a downward pull [2]. Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 10.97, IM01 of - 77.58, IM02 of - 228.34, and IM03 of - 431.8 [12]. - For IC contracts, IC00 had an average daily basis of - 12.09, IC01 of - 71.04, IC02 of - 190.65, and IC03 of - 354.99 [12]. - For IF contracts, IF00 had an average daily basis of - 4.86, IF01 of - 15.27, IF02 of - 41.07, and IF03 of - 67.9 [12]. - For IH contracts, IH00 had an average daily basis of - 0.7, IH01 of - 1.84, IH02 of - 2.08, and IH03 of 0.78 [12]. Stock Index Futures Contract Roll - over Points Difference and Annualized Costs - Detailed data on the points difference and annualized costs during the roll - over of IM, IC, IF, and IH contracts at different time intervals (15 - minute averages) are provided, including values such as IM00 - 01, IM00 - 02, etc., and their corresponding annualized costs [19][20][23][24].