FICC日报：市场缩量运行-20251121

Report Summary 1. Report Industry Investment Rating No information about the report industry investment rating is provided in the content. 2. Core Viewpoints - Overseas, the unexpected increase in US non - farm payroll data has reduced the market's expectation of a Fed rate cut in December, leading to a decline in all three major US stock indexes [1][2][3] - The domestic market is operating with shrinking volume, with the trading volume of the two markets dropping to 1.7 trillion yuan. The willingness of funds to take over is limited, and the sustainability of sectoral market trends is weak. Attention should be paid to the support of the index at the lower edge of the box [2][3] 3. Summary by Relevant Catalogs Macro - economic Charts - The content includes charts showing the relationship between the US dollar index and A - share trends, US Treasury yields and A - share trends, RMB exchange rate and A - share trends, and US Treasury yields and A - share style trends [7][8] Spot Market Tracking Charts - Domestic Main Stock Index Daily Performance: On November 20, 2025, the Shanghai Composite Index fell 0.40% to 3931.05 points, the Shenzhen Component Index fell 0.76% to 12980.82 points, the ChiNext Index fell 1.12% to 3042.34 points, the CSI 300 Index fell 0.51% to 4564.95 points, the SSE 50 Index fell 0.40% to 3008.29 points, the CSI 500 Index fell 0.85% to 7061.95 points, and the CSI 1000 Index fell 0.63% to 7340.41 points [13] - Also includes charts of the trading volume of the Shanghai and Shenzhen stock markets and margin trading balances [14] Futures Market Tracking Charts - Trading Volume and Open Interest of Stock Index Futures: For IF, the trading volume was 128,286 (an increase of 5,673), and the open interest was 277,884 (an increase of 5,717); for IH, the trading volume was 58,076 (an increase of 4,537), and the open interest was 97,775 (an increase of 2,538); for IC, the trading volume was 137,568 (an increase of 4,976), and the open interest was 255,979 (an increase of 7,467); for IM, the trading volume was 211,533 (a decrease of 15,934), and the open interest was 361,945 (a decrease of 2,194) [16] - Stock Index Futures Basis (Futures - Spot): For IF, the basis of the current - month contract was - 6.95 (a decrease of 2.06), the next - month contract was - 25.75 (a decrease of 2.66), the current - quarter contract was - 58.75 (a decrease of 2.66), and the next - quarter contract was - 103.95 (a decrease of 4.66); for IH, the basis of the current - month contract was 0.31 (an increase of 2.66), the next - month contract was - 5.69 (an increase of 3.66), the current - quarter contract was - 12.69 (an increase of 1.26), and the next - quarter contract was - 23.09 (an increase of 1.06); for IC, the basis of the current - month contract was 1.45 (an increase of 7.60), the next - month contract was - 61.95 (an increase of 6.00), the current - quarter contract was - 240.55 (an increase of 6.80), and the next - quarter contract was - 446.95 (an increase of 11.80); for IM, the basis of the current - month contract was 7.19 (an increase of 4.00), the next - month contract was - 76.81 (an increase of 12.20), the current - quarter contract was - 305.21 (an increase of 13.20), and the next - quarter contract was - 533.41 (an increase of 15.20) [39] - Stock Index Futures Inter - delivery Spread: The inter - delivery spread data for different contracts of IF, IH, IC, and IM are provided, including the differences between the next - month and current - month, next - quarter and current - month, etc. [46][48]