银河期货股指期货数据日报-20260320

1. Report Information - Report Title: Stock Index Futures Data Daily Report [1] - Report Date: March 20, 2026 [2] 2. IM Futures 2.1 Daily Quotes - The CSI 1000 index closed at 7,783.43, down 1.59%. The total trading volume of the four IM contracts was 290,587 lots, an increase of 8,391 lots from the previous day. The total open interest was 386,516 lots, a decrease of 8,321 lots from the previous day. The main contract (IM2606) closed at 7,560, down 1.26% [4][5]. - The main contract was at a discount of 223.43 points to the spot index, an increase of 4.8 points from the previous day. The annualized basis rate was -11.36% [5]. 2.2 Basis and Spread - The basis and spread data of the four IM contracts showed different trends, with the annualized roll - over costs and dividend impacts varying across contracts [9][12]. 2.3 Major Seats - The trading volume, long positions, and short positions of major seats in different contracts (IM2604, IM2606, IM2609) changed compared with the previous day, with some seats increasing and some decreasing their positions [16][18][20]. 3. IF Futures 3.1 Daily Quotes - The CSI 300 index closed at 4,567.02, down 0.35%. The total trading volume of the four IF contracts was 140,529 lots, a decrease of 12,841 lots from the previous day. The total open interest was 261,102 lots, a decrease of 21,044 lots from the previous day. The main contract (IF2606) closed at 4,486.4, down 0.28% [21][22]. - The main contract was at a discount of 80.62 points to the spot index, an increase of 0.43 points from the previous day. The annualized basis rate was -6.9% [22]. 3.2 Basis and Spread - Similar to IM futures, the basis and spread of IF contracts also showed different characteristics, with the annualized roll - over costs and dividend impacts varying by contract [27][30][32]. 3.3 Major Seats - The positions of major seats in IF contracts (IF2604, IF2606, IF2609) changed, with some seats adjusting their long and short positions [36][38][39]. 4. IC Futures 4.1 Daily Quotes - The CSI 500 index closed at 7,760.04, down 1.49%. The total trading volume of the four IC contracts was 200,135 lots, a decrease of 8,295 lots from the previous day. The total open interest was 286,787 lots, a decrease of 19,285 lots from the previous day. The main contract (IC2606) closed at 7,559.4, down 1.16% [41][42]. - The main contract was at a discount of 200.64 points to the spot index, an increase of 5.45 points from the previous day. The annualized basis rate was -10.2% [42]. 4.2 Basis and Spread - The basis and spread of IC contracts had their own characteristics, with different annualized roll - over costs and dividend impacts for each contract [46][48][51]. 4.3 Major Seats - The trading volume and positions of major seats in IC contracts (IC2604, IC2606, IC2609) changed compared with the previous day [56][57][59]. 5. IH Futures 5.1 Daily Quotes - The SSE 50 index closed at 2,883.86, down 1.11%. The total trading volume of the four IH contracts was 68,764 lots, a decrease of 117 lots from the previous day. The total open interest was 99,575 lots, a decrease of 10,992 lots from the previous day. The main contract (IH2606) closed at 2,865.8, down 0.95% [61][62]. - The main contract was at a discount of 18.06 points to the spot index, an increase of 4.37 points from the previous day. The annualized basis rate was -2.42% [62]. 5.2 Basis and Spread - The basis and spread of IH contracts showed different trends, with the annualized roll - over costs and dividend impacts varying across contracts [66][67][68]. 5.3 Major Seats - The positions of major seats in IH contracts (IH2604, IH2606, IH2609) changed, and different seats had different adjustments in their long and short positions [72][74][76].