股指期货日度数据跟踪-20251212

Report Industry Investment Rating - Not provided in the given content Core Viewpoints - The report provides a daily data tracking of stock index futures on December 11, 2025, including index trends, the impact of sector movements on indices, basis and annualized opening costs of stock index futures, and points differences and annualized costs during contract roll - overs [1] Summary by Directory Index Trends - On December 11, the Shanghai Composite Index dropped 0.7% to close at 3873.32 points, with a trading volume of 764.35 billion yuan; the Shenzhen Component Index fell 1.27% to 13147.39 points, with a trading volume of 1092.762 billion yuan [1] - The CSI 1000 Index decreased 1.3% with a trading volume of 381.934 billion yuan; the CSI 500 Index declined 1.02% with a trading volume of 300.745 billion yuan; the SSE 50 Index dropped 0.39% with a trading volume of 96.981 billion yuan; the SSE 300 Index fell 0.86% with a trading volume of 432.431 billion yuan [1] Impact of Sector Movements on Indices - The CSI 1000 dropped 96.24 points compared to the previous closing price, with sectors such as computer and electronics significantly pulling the index down [2] - The CSI 500 dropped 73.1 points, and sectors like computer, machinery, and electronics had a significant downward - pulling effect [2] - The SSE 300 dropped 39.65 points, and non - bank finance, electronics, and communication sectors pulled the index down [2] - The SSE 50 dropped 11.61 points, with sectors like banking and food and beverage pulling the index up, while national defense and military industry, non - bank finance, and electronics pulled it down [2] Basis and Annualized Opening Costs of Stock Index Futures - For IM contracts, IM00 had an average daily basis of - 34.69, IM01 of - 116.19, IM02 of - 281.81, and IM03 of - 526.96 [12] - For IC contracts, IC00 had an average daily basis of - 30.34, IC01 of - 90.88, IC02 of - 212.04, and IC03 of - 420.09 [12] - For IF contracts, IF00 had an average daily basis of - 18.46, IF01 of - 34.7, IF02 of - 59.83, and IF03 of - 105.72 [12] - For IH contracts, IH00 had an average daily basis of - 7.28, IH01 of - 12.66, IH02 of - 16.34, and IH03 of - 30.32 [12] Points Differences and Annualized Costs during Contract Roll - Overs - For IM contracts, data on points differences and annualized costs at different 15 - minute intervals from 09:45 to 15:00 are provided, such as at 09:45, IM00 - 01 was - 75.8461, IM00 - 02 was - 236.345, etc. [20] - Similar data for IC, IF, and IH contracts at different 15 - minute intervals are also presented, including points differences and annualized costs [22][24]