股指期货日度数据跟踪-20251015

Report Summary 1. Index Trends - On October 14th, the Shanghai Composite Index fell by 0.62% to close at 3865.23 points, with a trading volume of 1209.984 billion yuan; the Shenzhen Component Index dropped by 2.54% to 12895.11 points, with a trading volume of 1366.25 billion yuan [1]. - The CSI 1000 Index declined by 1.95% with a trading volume of 506.69 billion yuan; the CSI 500 Index decreased by 2.46% with a trading volume of 505.839 billion yuan; the SSE 50 Index decreased by 0.21% with a trading volume of 219.194 billion yuan; the CSI 300 Index decreased by 1.2% with a trading volume of 808.959 billion yuan [1]. 2. Impact of Sector Movements on Indexes - For the CSI 1000 Index, sectors such as power equipment, computer, and electronics significantly pulled the index down [2]. - For the CSI 500 Index, power equipment and electronics sectors significantly pulled the index down [2]. - For the CSI 300 Index, banks and food and beverage sectors pulled the index up, while non - ferrous metals, communication, and electronics sectors pulled it down [2]. - For the SSE 50 Index, banks, food and beverage, and non - bank finance sectors pulled the index up, while pharmaceutical biology, non - ferrous metals, and electronics sectors pulled it down [2]. 3. Stock Index Futures Basis and Annualized Opening Costs - IM00 had an average daily basis of - 44.75, IM01 of - 145.04, IM02 of - 231.03, and IM03 of - 452.67 [13]. - IC00 had an average daily basis of - 38.77, IC01 of - 120.78, IC02 of - 173.92, and IC03 of - 336.26 [13]. - IF00 had an average daily basis of - 9.29, IF01 of - 24.15, IF02 of - 38.68, and IF03 of - 60.55 [13]. - IH00 had an average daily basis of - 1.61, IH01 of - 6.62, IH02 of - 7.19, and IH03 of - 5.78 [13]. 4. Stock Index Futures Rollover Point Differences and Annualized Costs - For IM, specific data on rollover point differences and their annualized costs are presented in the report, such as IM00 - 01 having values like - 73.02267 at 09:45 [22]. - For IC, detailed rollover point differences and annualized costs are provided, e.g., IC00 - 01 was - 68.64222 at 09:45 [24]. - For IF, specific values of rollover point differences and annualized costs are given, for example, IF00 - 01 was - 12.31678 at 09:45 [26]. - For IH, the rollover point differences and annualized costs are also detailed, like IH00 - 01 being 0.707 at 09:45 [27].