银河期货股指期货数据日报-20251027

Report Information - Report Name: Stock Index Futures Data Daily Report [1] - Date: October 27, 2025 [2] IM Futures Daily Quotes - The closing price of CSI 1000 was 7,495.38 points, up 1.03%. The main contract, IM2512, rose 0.75% to close at 7,322.6 points [4]. - The total trading volume of the four IM contracts was 214,742 lots, down 9,711 lots from the previous day; the total open interest was 358,844 lots, up 9,755 lots from the previous day [5]. - The main contract was at a discount of 172.78 points to the spot, down 51.54 points from the previous day; the annualized basis rate was -15.95% [5]. Key Data of Each Contract | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 1000 | 7,495.38 | 1.03% | 26,534 | 8% | 4,582 | 15% | - | - | - | | IM2511 | 7,399.40 | 0.76% | 45,173 | 5% | 670 | 6% | 72,266 | 2,184 | 128 | | IM2512 | 7,322.60 | 0.75% | 137,585 | -7% | 2,021 | -6% | 187,588 | 4,103 | 330 | | IM2603 | 7,105.20 | 0.78% | 23,471 | -3% | 335 | -1% | 78,846 | 2,254 | 134 | | IM2606 | 6,891.60 | 0.86% | 8,513 | -9% | 118 | -7% | 20,144 | 1,214 | 33 | [4] Basis and Dividend Impact - The dividend impacts of the four IM contracts were 0.71 points, 0.74 points, 1.23 points, and 45.97 points respectively [5]. - The basis and annualized basis rates of each contract are as follows: | Contract | Closing Price | Maturity Date | Remaining Days | Dividend | Basis Points | Basis Rate | Annualized Basis Rate | | --- | --- | --- | --- | --- | --- | --- | --- | | Spot | 7,495.38 | - | - | - | - | - | - | | Current Month | 7,399.40 | 2025 - 11 - 21 | 25 | 0.71 | -95.98 | -1.3% | -18.2% | | Next Month | 7,322.60 | 2025 - 12 - 19 | 53 | 0.74 | -172.78 | -2.3% | -15.9% | | Quarter 1 | 7,105.20 | 2026 - 03 - 20 | 144 | 1.23 | -390.18 | -5.3% | -13.8% | | Quarter 2 | 6,891.60 | 2026 - 06 - 22 | 238 | 45.97 | -603.78 | -8.2% | -13.4% | [14] Main Seats' Positions - The positions of the main seats in IM2511, IM2512, and other contracts are detailed in the report, including the trading volume, long positions, and short positions of each seat and their changes from the previous day [18][20][22] IF Futures Daily Quotes - The closing price of the CSI 300 was 4,716.02 points, up 1.19%. The main contract, IF2512, rose 1.24% to close at 4,684.4 points [23]. - The total trading volume of the four IF contracts was 113,332 lots, down 2,849 lots from the previous day; the total open interest was 262,244 lots, up 6,831 lots from the previous day [27]. - The main contract was at a discount of 31.62 points to the spot, down 5.74 points from the previous day; the annualized basis rate was -4.56% [27]. Key Data of Each Contract | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 300 | 4,716.02 | 1.19% | 26,220 | 26% | 6,727 | 22% | - | - | - | | IF2511 | 4,701.00 | 1.30% | 26,252 | 8% | 370 | 9% | 41,727 | 1,286 | 71 | | IF2512 | 4,684.40 | 1.24% | 71,074 | -4% | 998 | -3% | 157,785 | 4,370 | 266 | | IF2603 | 4,656.00 | 1.26% | 12,499 | -12% | 174 | -11% | 56,157 | 314 | 94 | | IF2606 | 4,620.60 | 1.40% | 3,507 | 2% | 49 | 3% | 6,575 | 861 | 11 | [23] Basis and Dividend Impact - The dividend impacts of the four IF contracts were 1.05 points, 1.89 points, 7.02 points, and 37.42 points respectively [32]. - The basis and annualized basis rates of each contract are as follows: | Contract | Closing Price | Maturity Date | Remaining Days | Dividend | Basis Points | Basis Rate | Annualized Basis Rate | | --- | --- | --- | --- | --- | --- | --- | --- | | Spot | 4,716.02 | - | - | - | - | - | - | | Current Month | 4,701.00 | 2025 - 11 - 21 | 25 | 1.05 | -15.02 | -0.3% | -4.5% | | Next Month | 4,684.40 | 2025 - 12 - 19 | 53 | 1.89 | -31.62 | -0.7% | -4.6% | | Quarter 1 | 4,656.00 | 2026 - 03 - 20 | 144 | 7.02 | -60.02 | -1.3% | -3.2% | | Quarter 2 | 4,620.60 | 2026 - 06 - 22 | 238 | 37.42 | -95.42 | -2.0% | -3.2% | [32] Main Seats' Positions - The positions of the main seats in IF2511, IF2512, and other contracts are detailed in the report, including the trading volume, long positions, and short positions of each seat and their changes from the previous day [36][38][39] IC Futures Daily Quotes - The closing price of the CSI 500 was 7,379.39 points, up 1.67%. The main contract, IC2512, rose 1.76% to close at 7,254.4 points [41]. - The total trading volume of the four IC contracts was 136,694 lots, down 1,034 lots from the previous day; the total open interest was 252,585 lots, up 8,981 lots from the previous day [42]. - The main contract was at a discount of 124.99 points to the spot, down 26.26 points from the previous day; the annualized basis rate was -11.65% [42]. Key Data of Each Contract | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 500 | 7,379.39 | 1.67% | 23,205 | 19% | 4,718 | 29% | - | - | - | | IC2511 | 7,310.40 | 1.74% | 27,275 | -2% | 398 | 0% | 49,174 | 1,344 | 86 | | IC2512 | 7,254.40 | 1.76% | 87,202 | 3% | 1,264 | 5% | 140,233 | 5,789 | 244 | | IC2603 | 7,083.00 | 1.74% | 16,929 | -12% | 240 | -10% | 51,880 | 409 | 88 | | IC2606 | 6,903.40 | 1.87% | 5,288 | -8% | 73 | -6% | 11,298 | 1,439 | 19 | [41] Basis and Dividend Impact - The dividend impacts of the four IC contracts were 1.83 points, 1.92 points, 3.7 points, and 60 points respectively [42]. - The basis and annualized basis rates of each contract are as follows: | Contract | Closing Price | Maturity Date | Remaining Days | Dividend | Basis Points | Basis Rate | Annualized Basis Rate | | --- | --- | --- | --- | --- | --- | --- | --- | | Spot | 7,379.39 | - | - | - | - | - | - | | Current Month | 7,310.40 | 2025 - 11 - 21 | 25 | 1.83 | -68.99 | -0.9% | -13.2% | | Next Month | 7,254.40 | 2025 - 12 - 19 | 53 | 1.92 | -124.99 | -1.7% | -11.6% | | Quarter 1 | 7,083.00 | 2026 - 03 - 20 | 144 | 3.70 | -296.39 | -4.0% | -10.5% | | Quarter 2 | 6,903.40 | 2026 - 06 - 22 | 238 | 60.00 | -475.99 | -6.5% | -10.5% | [51] Main Seats' Positions - The positions of the main seats in IC2511, IC2512, and other contracts are detailed in the report, including the trading volume, long positions, and short positions of each seat and their changes from the previous day [56][58][60] IH Futures Daily Quotes - The closing price of the SSE 50 was 3,069.53 points, up 0.78%. The main contract, IH2512, rose 0.74% to close at 3,066.8 points [62]. - The total trading volume of the four IH contracts was 56,298 lots, down 2,681 lots from the previous day; the total open interest was 98,162 lots, up 2,833 lots from the previous day [62]. - The main contract was at a discount of 2.73 points to the spot, down 5.51 points from the previous day; the annualized basis rate was -0.6% [63]. Key Data of Each Contract | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 3,069.53 | 0.78% | 7,041 | 28% | 1,853 | 19% | - | - | - | | IH2511 | 3,067.40 | 0.77% | 11,960 | -8% | 110 | -7% | 15,335 | 218 | 17 | | IH2512 | 3,066.80 | 0.74% | 37,476 | -5% | 345 | -4% | 65,887 | 1,268 | 73 | | IH2603 | 3,069.20 | 0.77% | 5,043 | 3% | 46 | 3% | 14,472 | 850 | 16 | | IH2606 | 3,067.40 | 0.80% | 1,819 | 13% | 17 | 14% | 2,468 | 497 | 3 | [62] Basis and Dividend Impact - The dividend impacts of the four IH contracts were 0.59 points, 1.43 points, 7.32 points, and 26.56 points respectively [63]. - The basis and annualized basis rates of each contract are as follows: | Contract | Closing Price | Maturity Date | Remaining Days | Dividend | Basis Points | Basis Rate | Annualized Basis Rate | | --- | --- | --- | --- | --- | --- | --- | --- | | Spot | 3,069.53 | - | - | - | - | - | - | | Current Month | 3,067.40 | 2025 - 11 - 21 | 25 | 0.59 | -2.13 | -0.1% | -1.0% | | Next Month | 3,066.80 | 2025 - 12 - 19 | 53 | 1.43 | -2.73 | -0.1% | -0.6% | | Quarter 1 | 3,069.20 | 2026 - 03 - 20 | 144 | 7.32 | -0.33 | 0.0% | 0.0% | | Quarter 2 | 3,067.40 | 2026 - 06 - 22 | 238 | 26.56 | -2.13 | -0.1% | -0.1% | [73] Main Seats' Positions - The positions of the main seats in IH2511, IH2512, and other contracts are detailed in the report, including the trading volume, long positions, and short positions of each seat and their changes from the previous day [77][79][