Report Information - Report Title: Stock Index Futures Data Daily Report [1] - Report Date: November 17, 2025 [2] IM Futures Daily Quotes - The CSI 1000 index closed at 7,523.08, up 0.27%. The total trading volume of the four IM contracts was 197,327 lots, an increase of 4,748 lots from the previous day, and the total open interest was 355,153 lots, a decrease of 2,069 lots [4][5]. - The main contract of IM fell 0.26% to close at 7,394.4 points, with a discount of 128.68 points to the spot, an increase of 2.08 points from the previous day, and an annualized basis rate of -19.25% [4][5]. Basis and Premium Analysis - The spot price of CSI 1000 was 7,523.08. The current month contract (IM2511) had a closing price of 7,495.40, a discount of 27.68 points, a premium rate of -0.4%, and an annualized premium rate of -27.0% [4][10]. - The next month contract (IM2512) had a closing price of 7,394.40, a discount of 128.68 points, a premium rate of -1.8%, and an annualized premium rate of -19.2% [4][10]. Position Analysis - In the IM2511 contract, the top five members in terms of trading volume were CITIC Futures (on behalf of clients) with 43,025 lots, an increase of 838 lots from the previous day [15]. - The top five members in terms of long positions were CITIC Futures (on behalf of clients) with 27,938 lots, an increase of 555 lots from the previous day [15]. IF Futures Daily Quotes - The CSI 300 index closed at 4,598.05, down 0.65%. The total trading volume of the four IF contracts was 114,292 lots, an increase of 4,303 lots from the previous day, and the total open interest was 272,721 lots, an increase of 7,845 lots [20][21]. - The main contract of IF fell 0.89% to close at 4,581.4 points, with a discount of 16.65 points to the spot, an increase of 11.09 points from the previous day, and an annualized basis rate of -4.02% [20][21]. Basis and Premium Analysis - The spot price of CSI 300 was 4,598.05. The current month contract (IF2511) had a closing price of 4,595.80, a discount of 2.25 points, a premium rate of 0.0%, and an annualized premium rate of -3.6% [20][29]. - The next month contract (IF2512) had a closing price of 4,581.40, a discount of 16.65 points, a premium rate of -0.4%, and an annualized premium rate of -4.0% [20][29]. Position Analysis - In the IF2511 contract, the top five members in terms of trading volume were CITIC Futures (on behalf of clients) with 11,581 lots, an increase of 1,705 lots from the previous day [33]. - The top five members in terms of long positions were CITIC Futures (on behalf of clients) with 6,716 lots, an increase of 974 lots from the previous day [33]. IC Futures Daily Quotes - The CSI 500 index closed at 7,235.35, unchanged. The total trading volume of the four IC contracts was 116,917 lots, an increase of 305 lots from the previous day, and the total open interest was 245,834 lots, an increase of 816 lots [39][40]. - The main contract of IC fell 0.5% to close at 7,143.4 points, with a discount of 91.95 points to the spot, an increase of 6.11 points from the previous day, and an annualized basis rate of -14.24% [39][40]. Basis and Premium Analysis - The spot price of CSI 500 was 7,235.35. The current month contract (IC2511) had a closing price of 7,215.80, a discount of 19.55 points, a premium rate of -0.3%, and an annualized premium rate of -19.8% [39][47]. - The next month contract (IC2512) had a closing price of 7,143.40, a discount of 91.95 points, a premium rate of -1.3%, and an annualized premium rate of -14.2% [39][47]. Position Analysis - In the IC2511 contract, the top five members in terms of trading volume were CITIC Futures (on behalf of clients) with 27,479 lots, an increase of 1,905 lots from the previous day [53]. - The top five members in terms of long positions were CITIC Futures (on behalf of clients) with 20,098 lots, an increase of 663 lots from the previous day [53]. IH Futures Daily Quotes - The SSE 50 index closed at 3,012.07, down 0.87%. The total trading volume of the four IH contracts was 57,196 lots, an increase of 8,963 lots from the previous day, and the total open interest was 101,114 lots, an increase of 3,993 lots [59]. - The main contract of IH fell 1.12% to close at 3,009.2 points, with a discount of 2.87 points to the spot, an increase of 5.16 points from the previous day, and an annualized basis rate of -1.06% [59][60]. Basis and Premium Analysis - The spot price of SSE 50 was 3,012.07. The current month contract (IH2511) had a closing price of 3,014.00, a premium of 1.93 points, a premium rate of 0.1%, and an annualized premium rate of 4.7% [59][70]. - The next month contract (IH2512) had a closing price of 3,009.20, a discount of 2.87 points, a premium rate of -0.1%, and an annualized premium rate of -1.1% [59][70]. Position Analysis - In the IH2511 contract, the top five members in terms of trading volume were CITIC Futures (on behalf of clients) with 11,045 lots, an increase of 1,777 lots from the previous day [74]. - The top five members in terms of long positions were CITIC Futures (on behalf of clients) with 6,266 lots, an increase of 35 lots from the previous day [74].
银河期货股指期货数据日报-20251117
Yin He Qi Huo·2025-11-17 09:03