股指期货数据日报 2025年11月17日 IM每日行情 IM行情概要 IM成交持仓 单位：点、手、亿元 单位：手 | | 收盘价 | +/- | 成交量 | +/- | | 成交额 | +/- | | 持仓量 | +/- | 持仓保证金 | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 中证1000 | 7523.08 | 0.27% | 26,116 | | -4% | | 3,913 | -4% | | | | | | IM2511 | 7495.40 | -0.15% | 34,485 | | 0 % | | 517 | 0 % | 48,139 | -5,818 | | 8 7 | | IM2512 | 7394.40 | -0.26% | 130,158 | | 4 % | | 1,925 | 4 % | 185,984 | 3,608 | | 330 | | IM2603 | 7162.00 | -0.26% | 23,077 | | 0 % | | 331 | -1% | 8 ...

Report Title - The Weekly Report on Stock Index Futures by Caida Futures [1][2] Report Date - November 17, 2025 [2] Researcher - Name: Li Jinwen; Qualification Number: F0244287; Investment Consulting Number: Z0012495 [3] Report Core View - The stock index futures showed a pattern of rising and then falling last week and still need consolidation. The market may continue to fluctuate in the short - term to digest pressure and accumulate momentum [3][4][6] Market Review Stock Index Futures - Last week, the four stock index futures showed a pattern of rising and then falling, with relatively large adjustments in CSI 300 and CSI 500. The basis of all four futures varieties changed little, and all the main contracts remained in the futures discount mode. The futures - spot basis of the main contracts were: IH at - 8.03, IF at - 27.74, IC at - 98.06, and IM at - 130.76 [4] A - share Market - The A - share market last week featured "index range - bound fluctuations, accelerated structural rotation, and cautious capital preference". The stable economic operation provided bottom support, but the fluctuations of some data restricted the upward space of the index. By the end of Friday, the main stock indices generally declined slightly, and trading volume continued to shrink slightly. There was still a differentiation in the sector structure, and capital quickly switched between policy - beneficiary sectors and low - valuation sectors. After the impact of the third - quarter reports faded, the market pricing logic gradually shifted to next year's performance expectations and policy - beneficiary directions. Overall, capital risk preference converged, and more attention was paid to the safety margin and sustainability of prosperity in structural selection [4] Comprehensive Analysis Macroeconomic Situation - The release of October's macro - economic data was the main focus of the market. On November 14, it was announced that the national economy continued to develop steadily: industrial production and the service industry remained stable; market sales continued to expand; and the employment situation was generally stable. In October, the year - on - year CPI changed from a 0.3% decline last month to a 0.2% increase, and the year - on - year decline of PPI narrowed for the third consecutive month to 2.1%, indicating the initial signs of domestic demand recovery. Meanwhile, the interpretation of the "15th Five - Year Plan" continued, and the market continuously discussed the future industrial policies and measures to expand domestic demand [5][6] Market Outlook - The October economic data further confirmed the resilience of China's economic recovery, especially the marginal improvement in prices helped stabilize market expectations. However, the full recovery of effective demand still requires more time and policy support. In this context, the market may continue to fluctuate in the short - term to digest pressure and accumulate momentum [6]

投资咨询业务资格：证监许可【2011】1778 号 期货研究报告 宝城期货股指期货早报（2025 年 11 月 17 日） 品种观点参考—金融期货股指板块 时间周期说明：短期为一周以内、中期为两周至一月 | 品种 | 短期 | 中期 | 日内 | 观点参考 | 核心逻辑概要 | | --- | --- | --- | --- | --- | --- | | IH2512 | 震荡 | 强势 | 偏强 | 区间震荡 | 资金止盈意愿与政策利好预期相 互博弈 | 备注： 1.有夜盘的品种以夜盘收盘价为起始价格，无夜盘的品种以昨日收盘价为起始价格，当日日盘收盘 价为终点价格，计算涨跌幅度。 2.跌幅大于 1%为弱势，跌幅 0~1%为偏弱，涨幅 0~1%为偏强，涨幅大于 1%为强势。 品种：IF、IH、IC、IM 日内观点：偏强 中期观点：强势 参考观点：区间震荡 核心逻辑：上周各股指均呈现震荡整理的走势，上周五股指高位回落大幅收跌。随着昨日股指反弹至 前期高点附近，叠加最新公布的国内投资消费数据走弱以及海外 AI 科技股票降温，部分投资者止 盈意愿上升，股指技术性回调。目前政策利好预期与资金净流入股市趋势共同构成股 ...

报告类型 股指日评 日期 2025 年 11 月 14 日 研究员：聂嘉怡(股指) 021-60635735 niejiayi@ccb.ccbfutures.com 期货从业资格号：F03124070 研究员：何卓乔(宏观贵金属) 18665641296 hezhuoqiao@ccb.ccbfutures.com 期货从业资格号：F3008762 研究员：黄雯昕(宏观国债集运) 021-60635739 11 月 13 日，万得全 A 放量上涨，开盘震荡上行，午后小幅回落后再度走高， 收涨 1.33%；沪深 300、上证 50、中证 500、中证 1000 收盘分别上涨 1.21%、0.96%、 1.55%、1.39%，中小盘股表现更优。期货方面，IF、IH 主力合约分别收涨 1.06%、 0.85%，表现弱于现货，IC、IM 主力合约分别收涨 1.59%、1.47%，表现强于现货 （按收盘价计算）。 | 表1:股指期货、现货行情数据 | | --- | 资料来源：Wind，建信期货研究发展部 huangwenxin@ccb.ccbfutures.com 期货从业资格号：F3051589 宏观金融团队 请阅读 ...

1. Index Movements - On November 13th, the Shanghai Composite Index rose 0.73% to close at 4029.5 points with a trading volume of 876.401 billion yuan; the Shenzhen Component Index rose 1.78% to close at 13476.52 points with a trading volume of 1165.561 billion yuan [1]. - The CSI 1000 Index rose 1.39% with a trading volume of 420.596 billion yuan, opening at 7483.66, closing at 7590.58, with a daily high of 7604.89 and a low of 7475.51 [1]. - The CSI 500 Index rose 1.55% with a trading volume of 339.596 billion yuan, opening at 7243.64, closing at 7355.29, with a daily high of 7366.41 and a low of 7243.64 [1]. - The SSE 50 Index rose 0.96% with a trading volume of 132.481 billion yuan, opening at 3044.92, closing at 3073.67, with a daily high of 3075.21 and a low of 3044.92 [1]. - The SSE 300 Index rose 1.21% with a trading volume of 510.061 billion yuan, opening at 4643.79, closing at 4702.07, with a daily high of 4703.49 and a low of 4643.79 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 104.2 points from the previous close, with sectors such as power equipment, basic chemicals, and non - ferrous metals significantly pulling the index up [2]. - The CSI 500 rose 112.04 points from the previous close, with power equipment, electronics, and non - ferrous metals significantly pulling the index up [2]. - The SSE 300 rose 56.16 points from the previous close, with power equipment and non - ferrous metals significantly pulling the index up [2]. - The SSE 50 rose 29.37 points from the previous close, with non - ferrous metals, electronics, and pharmaceutical biology significantly pulling the index up [2]. 3. Stock Index Futures Basis and Annualized Opening Costs - IM00 had an average daily basis of - 31.09, IM01 of - 119.2, IM02 of - 348.14, and IM03 of - 575.97 [13]. - IC00 had an average daily basis of - 22.36, IC01 of - 91.63, IC02 of - 270.21, and IC03 of - 468.58 [13]. - IF00 had an average daily basis of - 5.51, IF01 of - 21.1, IF02 of - 52.38, and IF03 of - 96.16 [13]. - IH00 had an average daily basis of 0.93, IH01 of - 1.76, IH02 of - 6.62, and IH03 of - 14.39 [13]. 4. Stock Index Futures Roll - over Point Differences and Annualized Costs - Data on the roll - over point differences and annualized costs of IM, IC, IF, and IH at different time points are provided, including specific values for different contract combinations (e.g., IM00 - 01, IM00 - 02, etc.) [26][27][28][29]

（文章来源：每日经济新闻） 每经AI快讯，周四（11月13日）纽约尾盘，标普500股指期货最终跌1.62%，道指期货跌1.57%，纳斯达 克100股指期货跌2.07%。罗素2000股指期货跌2.75%。 ...

Group 1: Report Industry Investment Rating - No information provided Group 2: Core Viewpoint of the Report - The overall performance of A-share Q3 reports is good, providing bottom support for the market. However, the significant decline in external demand in October, which supported GDP in the first three quarters, is expected to drag down the economic fundamentals in Q4 and have a negative impact on stock market sentiment. Currently, after the disclosure of A-share Q3 reports and with no important domestic meetings scheduled this month, the market is in a policy and performance vacuum period. In an environment lacking clear trading guidance, the market is expected to move randomly, and stock indices will remain volatile. It is recommended to wait and see for now [2] Group 3: Summary by Relevant Catalogs Futures Disk - IF, IH, IC, and IM main and secondary contracts all increased, with price increases ranging from +24.6 to +122.8. Most spreads between different contracts also changed, with some increasing and some decreasing. For example, the IF-IH current-month contract spread increased by +22.8, while the IM-IC current-month contract spread decreased by -3.6. The spreads between different quarters and the current month for various contracts also changed, with some widening and some narrowing [2] Futures Position - Among the top 20 net positions, the net positions of IF and IC decreased by -1012.0 and -247.0 respectively, while the net position of IH increased by +699.0, and the net position of IM decreased by -1819.0 [2] Spot Price - The spot prices of the Shanghai and Shenzhen 300, Shanghai Stock Exchange 50, China Securities 500, and China Securities 1000 all increased, with increases of +56.2, +29.4, +112.0, and +104.2 respectively. The basis of the main contracts of IF, IH, IC, and IM also changed, with some narrowing and some widening [2] Market Sentiment - A-share trading volume increased by +1008.68 billion yuan, while margin trading balance decreased by -31.00 billion yuan. Northbound trading volume increased by +26.98 billion yuan, and reverse repurchase operation volume increased by +1900.0 billion yuan. The proportion of rising stocks increased by +40.35%, and Shibor decreased by -0.100%. The closing prices and implied volatilities of IO at-the-money call and put options also changed, with some increasing and some decreasing [2] Wind Market Strength and Weakness Analysis - The strength and weakness indicators of all A-shares in terms of technology and funds increased by +3.50 and +3.00 respectively, with technology increasing by +4.10 [2] Industry News - A-share major indices closed up collectively, with the Shanghai Composite Index hitting a new high. The trading volume of the Shanghai and Shenzhen stock markets rebounded significantly, with nearly 4000 stocks rising. Industry sectors generally rose, with the power equipment and non-ferrous metals sectors strengthening significantly. In October, domestic CPI and PPI increased both year-on-year and month-on-month compared to the previous month, while external demand weakened significantly, and the new export orders index in the previously announced manufacturing PMI dropped by 1.9 percentage points compared to September [2] Key Data to Watch - Pending Chinese October financial data; US October CPI and core CPI at 21:30 on 11/13; Chinese October industrial added value above designated size, fixed asset investment, total retail sales of consumer goods, real estate data, and unemployment rate at 10:00 on 11/14 [3]

Report Industry Investment Rating No relevant content provided. Core Viewpoints - Overseas, the White House stated that the October non - farm and inflation data may never be released. Before the lack of economic data, the market is mainly driven by sentiment. The US House of Representatives will vote on a bill to end the government shutdown at 8:00 on the 13th, Beijing time. Overnight, the risk - aversion sentiment in the financial market rebounded slightly, with the US dollar index basically flat, the 2 - year US Treasury yield rising slightly, gold rising, the Dow Jones Industrial Average closing up, the Nasdaq closing down, the S&P 500 closing flat, the Nasdaq Golden Dragon China Index rising, and the offshore RMB exchange rate appreciating slightly. Attention should be paid to the final result of the US government's temporary appropriation bill [1]. - Domestically, on Wednesday, the broader market opened lower, fluctuated, and slightly declined by 0.07%, the Shenzhen Component Index fell by 0.36%, and the ChiNext Index dropped by 0.39%. The market showed a volatile adjustment trend. In the morning, banks and oil stocks pulled up the index, but individual stocks declined. In the afternoon, although the index rebounded, most individual stocks did not follow, showing an obvious atmosphere of following the decline but not the rise. The sectors of household appliances, textile and apparel, petroleum and petrochemicals, and medicine and biology led the gains, while power equipment, machinery and equipment, computers, military industry, and automobiles led the losses. There were 1,756 rising stocks and 3,561 falling stocks in the whole market. The rumor about the photovoltaic industry was later refuted by the China Photovoltaic Industry Association. Overall, the overnight US stock market trend indicates that market funds tend to be defensive, which has a neutral impact on A - shares. The Shanghai Composite Index is stronger at the broad - based index level, while others are weaker. The market divergence is not significant yet. The view remains unchanged, expecting the broader market to maintain a volatile tone in the range of 3,900 - 4,050, with a long - term slow - bull trend unchanged, and it may stay at this level for a long time in the short term. The strategy remains a dumbbell strategy, being long on the Shanghai 50 and CSI 500 [2]. Summary by Directory 1. Important Information - The US House of Representatives will vote on a bill to end the government shutdown at 8:00 on the 13th, Beijing time [4]. - The US Supreme Court will hold an oral debate on Trump's request to dismiss Federal Reserve Governor Cook on January 21 next year [4]. - The White House said that the October non - farm and inflation data may never be released [5]. - Atlanta Fed President Bostic unexpectedly announced his retirement in February next year and re - emphasized his hawkish stance a few hours later. The market expects a dovish successor under Trump [5]. - Four voting regional Fed presidents are not enthusiastic about another rate cut in December. Boston Fed President Collins said the Fed is likely to keep interest rates at the current level for some time. The labor market has not deteriorated, and it is necessary to ensure that inflation can sustainably return to 2% before cutting rates [5]. - Anthropic will invest $50 billion in building a data center in the US [6]. - Chinese Vice - Premier He Lifeng met with the head of the National Committee on US - China Relations, stating that China and the US should jointly maintain and implement the important consensus and outcomes of the leaders' meetings and promote the stable development of Sino - US economic and trade relations [6]. - Chinese President Xi Jinping announced that China will continue to extend the visa - free policy for Spain to facilitate personnel exchanges [7]. - The National Energy Administration issued a guiding opinion on promoting the integrated and coordinated development of new energy [8]. - The China Photovoltaic Industry Association stated that the online rumors are all false information [9]. 2. Futures Market Tracking Futures Market Performance - For the Shanghai 50 Index, different contracts (IH2511, IH2512, IH2603, IH2606) showed different closing prices, settlement prices, price changes, and price change rates. For example, IH2511 had a closing price of 3,044, a settlement price of 3,046.8, a price increase of 13.2, and a price increase rate of 0.32% [11]. - Similar data are provided for the CSI 300 Index (IF2511, IF2512, IF2603, IF2606), CSI 500 Index (IC2511, IC2512, IC2603, IC2606), and CSI 1000 Index (IM2511, IM2512, IM2603, IM2606) [11]. Futures Trading Volume and Open Interest - The trading volume, trading volume change, trading value, trading value change, open interest, open interest change, weekly position increase, net position, and changes in long and short positions of different contracts of the Shanghai 50, CSI 300, CSI 500, and CSI 1000 are presented. For example, the trading volume of the Shanghai 50 was 54,075, with a change of 3,933, and the trading value was 493 billion yuan, with a change of 37 billion yuan [12]. 3. Spot Market Tracking Spot Market Performance - Various indices such as the Wind All - A Index, Shanghai Composite Index, Shenzhen Component Index, etc., showed different current points, daily price change rates, trading values, price - to - earnings ratios, and their changes. For example, the Wind All - A Index was at 6,354, with a daily decline of 0.38%, and its trading value was 19,648 billion yuan, a decrease of 490.72 billion yuan [35]. - Different sectors also had different performance, such as the petroleum and petrochemical sector rising by 0.84%, and the power equipment sector falling by 2.10% [35]. Market Style Impact on Index Fluctuations - Different market styles (cyclical, consumption, growth, finance, stability) had different impacts on the daily, weekly, monthly, and annual fluctuations of the Shanghai 50, CSI 300, CSI 500, and CSI 1000 indices. For example, in the Shanghai 50 Index, the cyclical style had a daily contribution of - 0.12% [36]. Index Valuation - The current valuations and historical percentile rankings of important indices such as the Shanghai Composite Index, Shenzhen Component Index, etc., are shown. For example, the price - to - earnings ratio of the Shanghai Composite Index was 16.68, with a historical percentile of 94.46% [39]. - The valuations and historical percentile rankings of Shenwan sectors are also presented [42]. Other Market Indicators - Market indicators such as the Sunday average trading volume, Sunday average turnover rate, number of rising and falling stocks, and changes in index trading values are provided through graphs [44]. 4. Liquidity Tracking - The central bank's open - market operations (money injection, money withdrawal, and net money injection) and SHIBOR interest rates (overnight, 1 - week, 2 - week, 1 - month) are presented through graphs [50].

1. Report Industry Investment Rating There is no information provided in the report regarding the industry investment rating. 2. Core Viewpoints of the Report The report presents the performance of major stock indices on November 12, including their price movements, trading volumes, and the impact of sector fluctuations on these indices. It also provides data on the basis and annualized opening costs of stock index futures, as well as the point differences in futures contract roll - overs and their corresponding annualized costs. 3. Summary by Relevant Catalogs Index Trends - On November 12, the Shanghai Composite Index dropped by 0.07% to close at 4000.14 points, with a trading volume of 840.467 billion yuan. The Shenzhen Component Index declined by 0.36% to 13240.62 points, and its trading volume was 1104.567 billion yuan [1]. - The CSI 1000 Index decreased by 0.72%, with a trading volume of 390.482 billion yuan. It opened at 7520.18, closed at 7486.38, reached a high of 7537.76, and a low of 7421.46 [1]. - The CSI 500 Index fell by 0.66%, with a trading volume of 313.84 billion yuan. It opened at 7264.79, closed at 7243.25, had a high of 7305.86, and a low of 7187.87 [1]. - The SSE 50 Index rose by 0.32%, with a trading volume of 136.89 billion yuan. It opened at 3035.03, closed at 3044.3, reached a high of 3059.95, and a low of 3035.03 [1]. - The CSI 300 Index decreased by 0.13%, with a trading volume of 492.309 billion yuan. It opened at 4643.56, closed at 4645.91, had a high of 4669.61, and a low of 4620.99 [1]. Impact of Sector Movements on Index - The CSI 1000 Index dropped 54.41 points from the previous close. The household appliances sector significantly boosted the index, while machinery, electronics, and power equipment sectors pulled it down [3]. - The CSI 500 Index fell 48.36 points from the previous close. The electronics and power equipment sectors had a significant negative impact on the index [3]. - The CSI 300 Index decreased 6.26 points from the previous close. The communication, banking, and household appliances sectors pushed the index up, while the automotive, computer, and power equipment sectors pulled it down [3]. - The SSE 50 Index rose 9.67 points from the previous close. The non - banking finance, banking, and electronics sectors boosted the index, while the power equipment sector had a negative impact [3]. Basis of Stock Index Futures and Annualized Opening Costs - For IM futures, the average daily basis for IM00 was - 39.27, IM01 was - 128.83, IM02 was - 350.34, and IM03 was - 571.66 [14]. - For IC futures, the average daily basis for IC00 was - 32.77, IC01 was - 101.56, IC02 was - 273.36, and IC03 was - 465.94 [14]. - For IF futures, the average daily basis for IF00 was - 8.79, IF01 was - 24.13, IF02 was - 51.93, and IF03 was - 94.33 [14]. - For IH futures, the average daily basis for IH00 was - 2.39, IH01 was - 6.02, IH02 was - 10.81, and IH03 was - 19.79 [14]. Point Differences in Futures Contract Roll - Overs and Annualized Costs - Data for IM futures contract roll - over point differences and annualized costs are presented at different time points from 09:45 to 15:00, along with the corresponding index values of 000852.SH [29]. - Data for IC futures contract roll - over point differences and annualized costs are shown at different time points from 09:45 to 15:00, along with the corresponding index values of 000905.SH [30]. - Data for IF futures contract roll - over point differences and annualized costs are provided at different time points from 09:45 to 15:00, along with the corresponding index values of 000300.SH [26]. - Data for IH futures contract roll - over point differences and annualized costs are given at different time points from 09:45 to 15:00, along with the corresponding index values of 000016.SH [28].

Group 1: Report Industry Investment Rating - No relevant content Group 2: Report's Core View - The short - term view of the stock index is interval oscillation, with the short - term policy benefit expectation fermentation rhythm and capital profit - taking rhythm in a game. The medium - and long - term view is strong, supported by policy benefit expectations and the trend of capital inflow into the stock market, especially considering the "15th Five - Year Plan" starting next year. However, in the short term, there is a need for technical consolidation as the profit - taking intention of funds rises with the increase in stock valuations [1][5] Group 3: Summary by Related Catalogs Variety View Reference - Financial Futures Stock Index Sector - For IH2512, the short - term view is oscillation, the medium - term view is strong, the intraday view is bullish, and the reference view is interval oscillation. The core logic is the game between the capital profit - taking intention and policy benefit expectations [1] Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - For IF, IH, IC, and IM, the intraday view is bullish, the medium - term view is strong, and the reference view is interval oscillation. Yesterday, each stock index oscillated and consolidated. The trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 1964.8 billion yuan, a decrease of 49.1 billion yuan from the previous day. In the short term, the game between policy benefit expectations and capital profit - taking leads to the oscillation of the stock index. In the medium and long term, policy benefit expectations and capital inflow support the stock index, but in the short term, there is a need for technical consolidation [5]