股指期货日度数据跟踪2025-11-21-20251121
Guang Da Qi Huo·2025-11-21 03:11

Index Trends - On November 20th, the Shanghai Composite Index decreased by 0.4%, closing at 3931.05 points with a trading volume of 711.341 billion yuan; the Shenzhen Component Index decreased by 0.76%, closing at 12980.82 points with a trading volume of 996.847 billion yuan [1]. - The CSI 1000 Index decreased by 0.63% with a trading volume of 356.712 billion yuan, opening at 7429.7, closing at 7340.41, with a daily high of 7439.04 and a low of 7332.32 [1]. - The CSI 500 Index decreased by 0.85% with a trading volume of 254.158 billion yuan, opening at 7174.1, closing at 7061.95, with a daily high of 7180.73 and a low of 7056.9 [1]. - The SSE 50 Index decreased by 0.4% with a trading volume of 100.982 billion yuan, opening at 3030.04, closing at 3008.29, with a daily high of 3038.91 and a low of 3004.24 [1]. Impact of Sector Movements on Indexes - The CSI 1000 dropped 46.8 points from the previous close, with sectors such as Computers, Household Appliances, and Power Equipment significantly dragging down the index [2]. - The CSI 500 dropped 60.8 points from the previous close, with sectors such as Basic Chemicals, Power Equipment, and Electronics significantly dragging down the index [2]. - The SSE 50 dropped 12.06 points from the previous close, with the Banking sector pulling the index up, while sectors such as Non - ferrous Metals, Power Equipment, and Electronics dragging it down [2]. Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of 1.97, IM01 - 86.62, IM02 - 315.74, and IM03 - 544.44 [13]. - For IC contracts, IC00 had an average daily basis of - 2.82, IC01 - 70.24, IC02 - 248.19, and IC03 - 455.12 [13]. - For IF contracts, IF00 had an average daily basis of - 5.63, IF01 - 25.08, IF02 - 57.87, and IF03 - 104.7 [13]. - For IH contracts, IH00 had an average daily basis of - 1.53, IH01 - 7.99, IH02 - 14.79, and IH03 - 24.75 [13]. Futures Roll - over Point Differences and Annualized Costs - The report presents data on the roll - over point differences and their annualized costs for IM, IC, IF, and IH contracts at different time intervals from 09:45 to 15:00 [23][24][25]