股指期货日度数据跟踪2025-11-28-20251128

Report Summary 1. Index Trends - On November 27th, the Shanghai Composite Index rose by 0.29% to close at 3875.26 points, with a trading volume of 698.519 billion yuan. The Shenzhen Component Index fell by 0.25% to close at 12875.19 points, with a trading volume of 1011.275 billion yuan [1]. - The CSI 1000 Index rose by 0.12% with a trading volume of 365.626 billion yuan. The CSI 500 Index fell by 0.2% with a trading volume of 253.013 billion yuan. The SSE 50 Index rose by 0.02% with a trading volume of 105.106 billion yuan. The CSI 300 Index fell by 0.05% with a trading volume of 417.79 billion yuan [1]. 2. Impact of Sector Movements on Indexes - For the CSI 1000, sectors such as electronics, power equipment, and communication pulled the index up, while pharmaceutical biology, computer, and media sectors pulled it down [3]. - For the CSI 500, basic chemicals, power equipment, and non - ferrous metals sectors pulled the index up, while media, electronics, and computer sectors pulled it down [3]. - For the CSI 300, banks, basic chemicals, and public utilities sectors pulled the index up, while computer, pharmaceutical biology, and power equipment sectors pulled it down [3]. - For the SSE 50, banks, basic chemicals, and coal sectors pulled the index up, while communication, machinery, and pharmaceutical biology sectors pulled it down [3]. 3. Futures Basis and Annualized Opening Costs - The average daily basis for IM00 was -72.04, IM01 was -143.98, IM02 was -294.56, and IM03 was -530.53. For IC00, it was -47.73; IC01, -103.75; IC02, -213.96; IC03, -420.19. For IF00, it was -16.24; IF01, -31.18; IF02, -48.51; IF03, -95.63. For IH00, it was -4.95; IH01, -9.43; IH02, -10.66; IH03, -19.69 [13]. 4. Futures Roll - over Point Differences and Annualized Costs - Data on the roll - over point differences and their annualized costs for IM, IC, IF, and IH futures at different time intervals (15 - minute means) are provided, including specific point differences and cost calculations [23][25][26].