股指期货日度数据跟踪-20251023

Report Industry Investment Rating No information provided in the given content. 2. Core Viewpoints of the Report No clear core viewpoints are presented in the provided text. The report mainly presents data on index trends, the impact of sector movements on indices, and data related to stock index futures basis and roll - over point differentials. 3. Summary by Relevant Catalogs Index Trends - On October 22, the Shanghai Composite Index had a change of -0.07%, closing at 3913.76 points with a trading volume of 7415.25 billion yuan; the Shenzhen Component Index had a change of -0.62%, closing at 12996.61 points with a trading volume of 9263.32 billion yuan [1]. - The CSI 1000 Index had a change of -0.43%, with a trading volume of 3321.81 billion yuan, an opening price of 7304.96, a closing price of 7312.21, a high of 7349.8, and a low of 7278.71 [1]. - The CSI 500 Index had a change of -0.8%, with a trading volume of 2862.0 billion yuan, an opening price of 7135.21, a closing price of 7128.48, a high of 7166.56, and a low of 7101.83 [1]. - The SSE 50 Index had a change of 0.09%, with a trading volume of 1238.41 billion yuan, an opening price of 2987.35, a closing price of 3010.1, a high of 3015.17, and a low of 2987.35 [1]. - The SSE 300 Index had a change of -0.33%, with a trading volume of 4409.35 billion yuan, an opening price of 4576.03, a closing price of 4592.57, a high of 4603.49, and a low of 4567.24 [1]. Impact of Sector Movements on Indices - The CSI 1000 Index decreased by 31.84 points compared to the previous closing price. Sectors such as computer, non - ferrous metals, and electronics significantly pulled the index down [3]. - The CSI 500 Index decreased by 57.14 points compared to the previous closing price. Sectors such as non - ferrous metals, electronics, and power equipment significantly pulled the index down [3]. - The SSE 300 Index decreased by 15.3 points compared to the previous closing price. Sectors such as banks and household appliances pulled the index up, while non - ferrous metals, electronics, and power equipment pulled the index down [3]. - The SSE 50 Index increased by 2.84 points compared to the previous closing price. Sectors such as banks, electronics, and petroleum and petrochemicals pulled the index up, while national defense and military industry, pharmaceutical biology, and non - ferrous metals pulled the index down [3]. Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of -76.36, IM01 had -152.24, IM02 had -368.67, and IM03 had -578.19 [14]. - For IC contracts, IC00 had an average daily basis of -62.99, IC01 had -117.82, IC02 had -282.45, and IC03 had -459.31 [14]. - For IF contracts, IF00 had an average daily basis of -14.85, IF01 had -26.63, IF02 had -52.83, and IF03 had -89.76 [14]. - For IH contracts, IH00 had an average daily basis of -3.45, IH01 had -3.28, IH02 had -2.81, and IH03 had -4.66 [14]. Stock Index Futures Roll - over Point Differentials and Annualized Costs - For IM contracts, data on roll - over point differentials and their annualized costs at different times (e.g., 09:45, 10:00, etc.) are provided, such as at 09:45, IM00 - 01 was -73.02267, IM00 - 02 was -259.4522, etc. [26]. - For IC contracts, data on roll - over point differentials and their annualized costs at different times are provided, such as at 09:45, IC00 - 01 was -68.64222, IC00 - 02 was -225.568, etc. [23]. - For IF contracts, data on roll - over point differentials and their annualized costs at different times are provided, such as at 09:45, IF00 - 01 was -12.31678, IF00 - 02 was -41.14122, etc. [27]. - For IH contracts, data on roll - over point differentials and their annualized costs at different times are provided, such as at 09:45, IH00 - 01 was 1.4593333, IH00 - 02 was 1.3637778, etc. [25].