股指期货日度数据跟踪2025-09-24-20250924

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - The report presents a daily data tracking of stock index futures on September 23, 2025, including index trends, the impact of sector fluctuations on indices, basis and annualized opening costs of stock index futures, and points differences in contract roll - over and their annualized costs [1] 3. Summary by Relevant Catalogs 3.1 Index Trends - On September 23, the Shanghai Composite Index fell 0.18% to 3821.83 points with a trading volume of 1071.698 billion yuan; the Shenzhen Component Index fell 0.29% to 13119.82 points with a trading volume of 1422.684 billion yuan [1] - The CSI 1000 Index fell 1.09% with a trading volume of 503.96 billion yuan, opening at 7500.62, closing at 7408.07, with a high of 7504.23 and a low of 7261.67 [1] - The CSI 500 Index fell 0.61% with a trading volume of 495.069 billion yuan, opening at 7240.85, closing at 7180.71, with a high of 7250.82 and a low of 7045.56 [1] - The SSE 50 Index fell 0.09% with a trading volume of 168.987 billion yuan, opening at 2917.99, closing at 2919.51, with a high of 2938.12 and a low of 2891.78 [1] - The CSI 300 Index fell 0.06% with a trading volume of 680.514 billion yuan, opening at 4536.76, closing at 4519.78, with a high of 4560.73 and a low of 4459.73 [1] 3.2 Impact of Sector Fluctuations on Indices - The CSI 1000 Index dropped 81.41 points compared to the previous close, with sectors such as Computer and Medicine & Biology significantly pulling the index down [2] - The CSI 500 Index dropped 44.42 points compared to the previous close. The Power Equipment sector significantly pulled the index up, while sectors like Medicine & Biology, Non - Banking Finance, and Computer pulled it down [2] - The CSI 300 Index dropped 2.83 points compared to the previous close. Sectors such as Bank, Communication, and Electronics pulled the index up, while Computer, Medicine & Biology, and Non - Banking Finance pulled it down [2] - The SSE 50 Index dropped 2.67 points compared to the previous close. Sectors such as Bank, Non - Ferrous Metals, and Public Utilities pulled the index up, while Non - Banking Finance, Electronics, and Medicine & Biology pulled it down [2] 3.3 Basis and Annualized Opening Costs of Stock Index Futures - IM00 had an average daily basis of - 107.49, IM01 of - 195.71, IM02 of - 281.02, and IM03 of - 488.76 [12] - IC00 had an average daily basis of - 112.22, IC01 of - 186.93, IC02 of - 254.9, and IC03 of - 426.14 [12] - IF00 had an average daily basis of - 23.49, IF01 of - 36.88, IF02 of - 51.72, and IF03 of - 78.0 [12] - IH00 had an average daily basis of - 0.65, IH01 of - 1.94, IH02 of - 0.77, and IH03 of 0.52 [12] 3.4 Points Differences in Contract Roll - over and Their Annualized Costs - For IF, from 09:45 to 15:00, the points differences in contract roll - over and their annualized costs fluctuated. For example, at 09:45, IF00 - 01 was - 12.31678 [24][26] - For IH, from 09:45 to 15:00, the points differences in contract roll - over and their annualized costs also fluctuated. For example, at 09:45, IH00 - 01 was 0.707 [29] - For IM, from 09:45 to 15:00, the points differences in contract roll - over and their annualized costs changed. For example, at 09:45, IM00 - 01 was - 73.02267 [31] - For IC, from 09:45 to 15:00, the points differences in contract roll - over and their annualized costs varied. For example, at 09:45, IC00 - 01 was - 68.64222 [32]