Report Information - Report Title: Stock Index Futures Data Daily Report [1] - Date: March 4, 2026 [2] IM Futures Market Summary - The main IM contract fell 0.94% to close at 8,064.2 points [4]. - The total trading volume of the four IM contracts was 245,473 lots, a decrease of 48,216 lots from the previous day; the total open interest was 394,667 lots, a decrease of 7,240 lots from the previous day [4]. - The main IM contract was at a discount of 30.32 points, a decrease of 17.27 points from the previous day; the annualized basis rate was -8.07% [4]. - The dividend impacts of the four IM contracts were 0.01 points, 0.18 points, 40.04 points, and 62.77 points respectively [4]. Contract - Specific Data | Contract | Closing Price | Change (%) | Trading Volume | Volume Change (%) | Turnover (billion yuan) | Turnover Change (%) | Open Interest | Interest Change | Margin (million yuan) | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 1000 | 8,094.52 | -0.59% | 32,069 | -18% | 5,027 | -24% | - | - | - | | IM2603 | 8,064.20 | -0.90% | 155,033 | -14% | 2,517 | -15% | 179,738 | -6,114 | 348 | | IM2604 | 8,018.40 | -0.94% | 10,557 | -31% | 170 | -32% | 16,399 | 229 | 32 | | IM2606 | 7,875.00 | -1.00% | 57,253 | -17% | 908 | -18% | 124,141 | -1,267 | 235 | | IM2609 | 7,685.60 | -1.05% | 22,630 | -24% | 350 | -25% | 74,389 | -88 | 137 | [3] Basis and Other Data | Contract | Closing Price | Maturity Date | Remaining Days | Dividend Value | Premium/Discount (points) | Premium/Discount Rate | Annualized Premium/Discount Rate | | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 1000 (Spot) | 8,094.52 | - | - | - | - | - | - | | Current Month | 8,064.20 | 2026 - 03 - 20 | 16 | 0.01 | -30.32 | -0.4% | -8.1% | | Next Month | 8,018.40 | 2026 - 04 - 17 | 44 | 0.18 | -76.12 | -0.9% | -7.7% | | First Quarter | 7,875.00 | 2026 - 06 - 22 | 110 | 40.04 | -219.52 | -2.7% | -9.2% | | Second Quarter | 7,685.60 | 2026 - 09 - 18 | 198 | 62.77 | -408.92 | -5.0% | -9.8% | [12] IF Futures Market Summary - The main IF contract fell 1.19% to close at 4,591 points [21]. - The total trading volume of the four IF contracts was 139,926 lots, a decrease of 26,703 lots from the previous day; the total open interest was 288,752 lots, an increase of 825 lots from the previous day [22]. - The main IF contract was at a discount of 11.62 points, a decrease of 7.12 points from the previous day; the annualized basis rate was -5.44% [22]. - The dividend impacts of the four IF contracts were 0 points, 0.54 points, 29.61 points, and 83.63 points respectively [22]. Contract - Specific Data | Contract | Closing Price | Change (%) | Trading Volume | Volume Change (%) | Turnover (billion yuan) | Turnover Change (%) | Open Interest | Interest Change | Margin (million yuan) | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 300 | 4,602.62 | -1.14% | 30,304 | -18% | 6,089 | -24% | - | - | - | | IF2603 | 4,591.00 | -1.16% | 88,154 | -18% | 1,216 | -19% | 140,207 | -5,696 | 232 | | IF2604 | 4,580.40 | -1.19% | 6,258 | -13% | 86 | -15% | 7,968 | 846 | 13 | | IF2606 | 4,540.00 | -1.28% | 31,815 | -15% | 434 | -16% | 97,922 | 3,036 | 160 | | IF2609 | 4,475.40 | -1.30% | 13,699 | -9% | 184 | -10% | 42,655 | 2,639 | 69 | [21] Basis and Other Data | Contract | Closing Price | Maturity Date | Remaining Days | Dividend Value | Premium/Discount (points) | Premium/Discount Rate | Annualized Premium/Discount Rate | | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 300 (Spot) | 4,602.62 | - | - | - | - | - | - | | Current Month | 4,591.00 | 2026 - 03 - 20 | 16 | 0.00 | -11.62 | -0.3% | -5.4% | | Next Month | 4,580.40 | 2026 - 04 - 17 | 44 | 0.54 | -22.22 | -0.5% | -3.9% | | First Quarter | 4,540.00 | 2026 - 06 - 22 | 110 | 29.61 | -62.62 | -1.4% | -4.5% | | Second Quarter | 4,475.40 | 2026 - 09 - 18 | 198 | 83.63 | -127.22 | -2.8% | -5.2% | [30] IC Futures Market Summary - The main IC contract fell 0.64% to close at 8,219.4 points [39]. - The total trading volume of the four IC contracts was 203,068 lots, a decrease of 58,264 lots from the previous day; the total open interest was 309,828 lots, a decrease of 22,275 lots from the previous day [40]. - The main IC contract was at a discount of 29.55 points, a decrease of 14.14 points from the previous day; the annualized basis rate was -7.72% [40]. - The dividend impacts of the four IC contracts were 0.36 points, 7.07 points, 60.74 points, and 97.82 points respectively [40]. Contract - Specific Data | Contract | Closing Price | Change (%) | Trading Volume | Volume Change (%) | Turnover (billion yuan) | Turnover Change (%) | Open Interest | Interest Change | Margin (million yuan) | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 500 | 8,248.95 | -0.39% | 27,211 | -21% | 4,715 | -26% | - | - | - | | IC2603 | 8,219.40 | -0.61% | 121,611 | -19% | 2,011 | -20% | 134,589 | -13,868 | 265 | | IC2604 | 8,192.20 | -0.64% | 9,210 | -19% | 152 | -20% | 12,206 | 961 | 24 | | IC2606 | 8,075.80 | -0.80% | 54,400 | -24% | 885 | -26% | 109,888 | -6,719 | 213 | | IC2609 | 7,921.60 | -0.90% | 17,847 | -36% | 285 | -37% | 53,145 | -2,649 | 101 | [39] Basis and Other Data | Contract | Closing Price | Maturity Date | Remaining Days | Dividend Value | Premium/Discount (points) | Premium/Discount Rate | Annualized Premium/Discount Rate | | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 500 (Spot) | 8,248.95 | - | - | - | - | - | - | | Current Month | 8,219.40 | 2026 - 03 - 20 | 16 | 0.36 | -29.55 | -0.4% | -7.7% | | Next Month | 8,192.20 | 2026 - 04 - 17 | 44 | 7.07 | -56.74 | -0.7% | -5.6% | | First Quarter | 8,075.80 | 2026 - 06 - 22 | 110 | 60.74 | -173.15 | -2.1% | -7.1% | | Second Quarter | 7,921.60 | 2026 - 09 - 18 | 198 | 97.82 | -327.34 | -4.0% | -7.6% | [50] IH Futures Market Summary - The main IH contract fell 1.4% to close at 2,972.2 points [59]. - The total trading volume of the four IH contracts was 71,090 lots, a decrease of 7,883 lots from the previous day; the total open interest was 115,104 lots, an increase of 562 lots from the previous day [59]. - The main IH contract was at a discount of 2.01 points, a decrease of 6.74 points from the previous day; the annualized basis rate was -1.45% [60]. - The dividend impacts of the four IH contracts were 0 points, 0 points, 18.35 points, and 63.93 points respectively [60]. Contract - Specific Data | Contract | Closing Price | Change (%) | Trading Volume | Volume Change (%) | Turnover (billion yuan) | Turnover Change (%) | Open Interest | Interest Change | Margin (million yuan) | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 2,974.21 | -1.33% | 8,683 | -17% | 1,745 | -21% | - | - | - | | IH2603 | 2,972.20 | -1.33% | 44,988 | -14% | 402 | -15% | 60,625 | -1,496 | 65 | | IH2604 | 2,970.20 | -1.40% | 3,587 | 7% | 32 | 5% | 4,525 | 354 | 5 | | IH2606 | 2,963.20 | -1.38% | 15,212 | -6% | 135 | -8% | 32,792 | 975 | 35 | | IH2609 | 2,927.40 | -1.34% | 7,303 | 2% | 64 | 1% | 17,162 | 729 | 18 | [59] Basis and Other Data | Contract | Closing Price | Maturity Date | Remaining Days | Dividend Value | Premium/Discount (points) | Premium/Discount Rate | Annualized Premium/Discount Rate | | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 (Spot) | 2,974.21 | - | - | - | - | - | - | | Current Month | 2,972.20 | 2026 - 03 - 20 | 16 | 0.00 | -2.01 | -0.1% | -1.5% | | Next Month | 2,970.20 | 2026 - 04 - 17 | 44 | 0.00 | -4.01 | -0.1% | -1.1% | | First Quarter | 2,963.20 | 2026 - 06 - 22 | 110 | 18.35 | -11.01 | -0.4% | -1.2% | | Second Quarter | 2,927.40 | 2026 - 09 - 18 | 198 | 63.93 | -46.81 | -1.6% | -2.9% | [68]
银河期货股指期货数据日报-20260304
Yin He Qi Huo·2026-03-04 10:17