Global Asset Market Performance - 10-year Treasury yields: US at 4.129, Japan at 2.034, Brazil at 6.191, China at 1.833, South Korea at 3.371 [1] - 2-year Treasury yields: US at 3.480, Japan at 1.102, China (1Y yield) at 1.293, South Korea at 2.797 [1] - USD exchange rates against major emerging economies: Brazil at 5.544, South Africa (zar) at 16.661, South Korea (won) at 1442.300, Thailand (baht) at 31.068, Malaysia (ringgit) at 4.049 [1] - RMB exchange rates: Onshore at 7.005, offshore at 7.005, mid - price at 7.036, 12 - month NDF at 6.886 [1] - Major stock indices: S&P 500 at 6929.940, Dow Jones Industrial Average at 48710.970, NASDAQ at 23593.100, Nikkei at 50750.390, Shanghai Composite Index at 3963.679 [1] - Credit bond indices: US investment - grade at 3546.540, Eurozone investment - grade at 265.380, emerging economies investment - grade at 290.230, US high - yield at 2908.630, Eurozone high - yield at 409.840, emerging economies high - yield at 1822.849 [1] Stock Index Futures Trading Data - Index closing prices: A - shares at 3963.68, CSI 300 at 4657.24, SSE 50 at 3045.40, ChiNext at 3243.88, CSI 500 at 7458.84 [2] - Index price changes (%): A - shares at 0.10, CSI 300 at 0.32, SSE 50 at 0.41, ChiNext at 0.14, CSI 500 at 0.65 [2] - Index valuations (PE(TTM)): CSI 300 at 14.13, SSE 50 at 11.78, CSI 500 at 33.61, S&P 500 at 27.68, Germany DAX at 18.84 [2] - Index valuation环比 changes: CSI 300 at 0.00, SSE 50 at 0.00, CSI 500 at 0.00, S&P 500 at - 0.01, Germany DAX at 0.00 [2] - Index risk premiums (1/PE - 10 - year interest rate): S&P 500 at - 0.52 [2] - Index risk premium环比 changes: S&P 500 at 0.00 [2] Transaction Amount and Basis Data - Transaction amounts: Shanghai and Shenzhen stock markets at 21601.91, CSI 300 at 4604.27, SSE 50 at 1009.17, SME board at 4672.38, ChiNext at 5713.14 [3] - Transaction amount环比 changes: Shanghai and Shenzhen stock markets at 2356.68, CSI 300 at 750.71, SSE 50 at 188.41, SME board at 520.91, ChiNext at 450.21 [3] - Futures basis: IF at - 18.84, IH at 6.00, IC at - 70.84 [3] - Futures basis amplitude (%): IF at - 0.40, IH at 0.20, IC at - 0.95 [3] Treasury Futures Trading Data - Treasury futures closing prices: T2303 at 108.30, TF2303 at 106.05, T2306 at 108.32, TF2306 at 106.03 [3] - Treasury futures price changes (%): T2303 at 0.10, TF2303 at 0.06, T2306 at 0.10, TF2306 at 0.04 [3] Money Market Data - Money market interest rates: R001 at 1.3450%, R007 at 1.5264%, SHIBOR - 3M at 1.6000% [3] - Money market interest rate daily changes (BP): R001 at - 17.00, R007 at 1.00, SHIBOR - 3M at 0.00 [3]

投资咨询业务资格:证监证可【2012】31号 | | 国贸期货研究院 宏观金融研究中心 郑雨婷 | | 期货执业证号:F3074875; 投资咨询证号: Z0017779 | | | 2025/12/26 | | --- | --- | --- | --- | --- | --- | --- | | | 品种 | 收盘价 | 较前值变动(bp) | 品种 | 收盘价 | 较前值变动 (bp) | | | DRO01 | 1.26 | -0.24 | DR007 | 1.48 | 10.14 | | | GC001 | 1.35 | -41.50 | GC007 | 1.87 | -1.00 | | S | SHBOR 3M | 1.60 | 0.00 | LPR 5年 | 3.50 | 0.00 | | 1 | 1年期国债 | 1.28 | -0.70 | 5年期国债 | 1.58 | -0.20 | | 1 | 10年期国债 | 1.81 | -3.90 | 10年期美债 | 4.13 | 0.00 | | 2 | | | | | | | 回顾: 央行昨日开展了1771亿元7天期逆回购操作,操作利率1.40 ...

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core View of the Report - The overall view for the financial futures stock index sector is that the short - term trend is range - bound, with a short - term and medium - term outlook of "oscillation" and an intraday view of "bullish". The long - term trend is positive due to policy support and expected capital inflows, but there may be short - term disturbances [1][5]. 3. Summary Based on Related Catalogs 3.1 Variety View Reference - Financial Futures Stock Index Sector - For IH2603, the short - term and medium - term trends are "oscillation", the intraday trend is "bullish", and the overall view is "range - bound". The core logic is the unchanged policy support expectations and capital inflow trends [1]. 3.2 Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - The varieties IF, IH, IC, and IM have an intraday view of "bullish" and a medium - term view of "oscillation", with an overall reference view of "range - bound". Yesterday, the stock indices oscillated and rose, with IM and IC leading the gains. The total stock market trading volume was 1921.8 billion yuan, an increase of 24.6 billion yuan from the previous day. In the long - term, policy support and capital inflow trends support the stock indices. However, in the short - term, there may be disturbances due to tightened capital liquidity at the end of the year, unclear policy signals, and the stock indices approaching previous highs [5].

Group 1 - The A-share market has experienced seven consecutive days of gains, but many stocks have not risen, indicating market differentiation despite a trading volume of 1.8 trillion [1] - The core reason for market differentiation is attributed to quantitative trading, which exacerbates the situation, and the actual contribution of quantitative trading to the 1.8 trillion volume is uncertain [1] - A shift in market style from trend and large-cap stocks to mid and small-cap stocks is necessary to alleviate the current differentiation [1] Group 2 - The commercial aerospace sector has emerged as a strong performer, providing a clear direction for market bullishness, while other sectors like robotics face challenges against this strong competitor [2] - The commercial aerospace sector is viewed as a mainstream hotspot, and rolling bullish strategies are recommended in the short term if divergences arise [2] - Large-cap stocks have shown a decline in activity recently, but there may be opportunities for a return if they stabilize [2]

1. Report Information - Report Title: Stock Index Futures Data Daily Report [1] - Report Date: December 25, 2025 [2] 2. IM Contract Analysis 2.1 IM Daily Quotes - The main contract of IM rose 1.02% to close at 7419 points. The closing prices of IM2601, IM2602, IM2603, and IM2606 were 7547.00, 7473.60, 7419.00, and 7183.00 respectively, with increases of 0.96%, 1.02%, 1.16%, and 1.22% [4]. - The total trading volume of the four IM contracts was 171,176 lots, a decrease of 14,596 lots from the previous day; the total open interest was 359,925 lots, a decrease of 3,977 lots from the previous day [5]. - The main contract of IM was at a discount of 160.38 points, an increase of 18.4 points from the previous day; the annualized basis rate was -9.17% [5]. 2.2 IM Daily Basis - The basis and annualized roll - over costs of different contracts were presented, with details on the relationship between the spot and futures prices of different maturities [9][12]. 2.3 IM Daily Open Interest - The trading volume, long positions, and short positions of major seats in IM2601, IM2603, and IM2606 contracts were analyzed, including the top five, top ten, and top twenty seats and their changes from the previous day [16][18][20] 3. IF Contract Analysis 3.1 IF Daily Quotes - The main contract of IF rose 0.27% to close at 4610.6 points. The closing prices of IF2601, IF2602, IF2603, and IF2606 were 4632.00, 4618.60, 4610.60, and 4561.80 respectively, with increases of 0.27%, 0.27%, 0.32%, and 0.36% [21]. - The total trading volume of the four IF contracts was 87,117 lots, a decrease of 11,854 lots from the previous day; the total open interest was 271,697 lots, a decrease of 563 lots from the previous day [22]. - The main contract of IF was at a discount of 31.94 points, an increase of 7.12 points from the previous day; the annualized basis rate was -2.94% [22]. 3.2 IF Daily Basis - Similar to IM, the basis and annualized roll - over costs of different IF contracts were provided, showing the price differences between spot and futures [26][31]. 3.3 IF Daily Open Interest - The trading volume, long positions, and short positions of major seats in IF2601, IF2602, IF2603, and IF2606 contracts were studied, including the changes of the top five, top ten, and top twenty seats from the previous day [35][37][38] 4. IC Contract Analysis 4.1 IC Daily Quotes - The main contract of IC rose 0.97% to close at 7320.6 points. The closing prices of IC2601, IC2602, IC2603, and IC2606 were 7398.00, 7356.60, 7320.60, and 7135.80 respectively, with increases of 0.87%, 0.97%, 0.97%, and 1.04% [40]. - The total trading volume of the four IC contracts was 107,990 lots, a decrease of 12,456 lots from the previous day; the total open interest was 267,371 lots, a decrease of 3,891 lots from the previous day [41]. - The main contract of IC was at a discount of 90.11 points, an increase of 21.53 points from the previous day; the annualized basis rate was -5.22% [41]. 4.2 IC Daily Basis - The basis and annualized roll - over costs of different IC contracts were presented, reflecting the price relationships between spot and futures [45][50]. 4.3 IC Daily Open Interest - The trading volume, long positions, and short positions of major seats in IC2601, IC2602, IC2603, and IC2606 contracts were analyzed, including the changes of the top five, top ten, and top twenty seats from the previous day [52][53][55] 5. IH Contract Analysis 5.1 IH Daily Quotes - The main contract of IH rose 0.3% to close at 3034 points. The closing prices of IH2601, IH2602, IH2603, and IH2606 were 3032.80, 3032.80, 3034.00, and 3028.00 respectively, with increases of 0.26%, 0.30%, 0.27%, and 0.34% [57]. - The total trading volume of the four IH contracts was 32,410 lots, a decrease of 7,004 lots from the previous day; the total open interest was 83,254 lots, an increase of 197 lots from the previous day [57]. - The main contract of IH was at a premium of 1.16 points, a decrease of 0.66 points from the previous day; the annualized basis rate was 0.16% [58]. 5.2 IH Daily Basis - The basis and annualized roll - over costs of different IH contracts were provided, showing the price differences between spot and futures [62][66]. 5.3 IH Daily Open Interest - The trading volume, long positions, and short positions of major seats in IH2601, IH2603, and IH2606 contracts were studied, including the changes of the top five, top ten, and top twenty seats from the previous day [70][72][74]

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 | | --- | --- | --- | --- | --- | --- | | IH2603 | 震荡 | 震荡 | 偏强 | 区间震荡 | 政策利好预期与资金净流入趋势 不变 | 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。 3.偏强/偏弱只针对日内观点，短期和中期不做区分。 ◼ 主要品种价格行情驱动逻辑—金融期货股指板块 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 12 月 25 日） ◼ 品种观点参考—金融期货股指板块 品种：IF、IH、IC、IM 日内观点：偏强 中期观点：震荡 参考观点：区间震荡 核心逻辑：昨日各股指震荡分化，其中 IM 与 IC 大幅上涨，IF 与 IH 窄幅震荡。股市全市场成交额 18972 亿元，较上日成交额缩量 241 亿元 ...

Report Information - Report Title: Stock Index Futures Data Daily Report [1] - Report Date: December 24, 2025 [2] IM Futures Market Summary - IM main contract rose 1.78% to close at 7327.6 points [4] - Total trading volume of four IM contracts was 185,772 lots, an increase of 40,779 lots from the previous day; total open interest was 363,902 lots, an increase of 11,974 lots [5] - IM main contract was at a discount of 178.78 points, up 16.24 points from the previous day; annualized basis rate was -10.24% [5] Contracts Details | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 1000 | 7506.38 | 1.54% | 21,796 | -3% | 40.63 billion | 2% | - | - | - | | IM2601 | 7464.20 | 1.69% | 46,616 | 26% | 6.93 billion | 28% | 93,256 | -737 | 1.67 billion | | IM2602 | 7390.60 | 1.78% | 6,329 | 33% | 0.93 billion | 35% | 8,025 | 2,888 | 0.14 billion | | IM2603 | 7327.60 | 1.87% | 113,077 | 29% | 16.47 billion | 30% | 185,869 | 9,450 | 3.27 billion | | IM2606 | 7088.60 | 1.91% | 19,750 | 27% | 2.78 billion | 29% | 76,752 | 373 | 1.31 billion | [4] Main Seats - Details of the top five, ten, and twenty seats' trading volume, long positions, and short positions are provided for IM2601, IM2603, and IM2606 contracts [17][19][21] IF Futures Market Summary - IF main contract rose 0.5% to close at 4595 points [22] - Total trading volume of four IF contracts was 98,971 lots, an increase of 6,942 lots from the previous day; total open interest was 272,260 lots, an increase of 1,836 lots [23] - IF main contract was at a discount of 39.06 points, up 10.27 points from the previous day; annualized basis rate was -3.57% [23] Contracts Details | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 300 | 4634.06 | 0.29% | 15,371 | -9% | 40.64 billion | -6% | - | - | - | | IF2601 | 4617.60 | 0.43% | 30,073 | -1% | 4.16 billion | -1% | 63,678 | -333 | 1.06 billion | | IF2602 | 4604.40 | 0.50% | 2,016 | 25% | 0.28 billion | 26% | 2,232 | 897 | 0.04 billion | | IF2603 | 4595.00 | 0.55% | 58,846 | 12% | 8.09 billion | 12% | 164,967 | 1,307 | 2.73 billion | | IF2606 | 4545.60 | 0.61% | 8,036 | 7% | 1.09 billion | 7% | 41,383 | -35 | 0.68 billion | [22] Main Seats - Details of the top five, ten, and twenty seats' trading volume, long positions, and short positions are provided for IF2601, IF2603, and IF2606 contracts [35][37][38] IC Futures Market Summary - IC main contract rose 1.51% to close at 7240.4 points [40] - Total trading volume of four IC contracts was 120,446 lots, an increase of 24,352 lots from the previous day; total open interest was 271,262 lots, an increase of 15,502 lots [41] - IC main contract was at a discount of 111.64 points, up 11.95 points from the previous day; annualized basis rate was -6.47% [41] Contracts Details | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 500 | 7352.04 | 1.31% | 16,884 | -3% | 33.19 billion | 1% | - | - | - | | IC2601 | 7324.60 | 1.44% | 33,487 | 18% | 4.89 billion | 19% | 69,097 | 1,753 | 1.21 billion | | IC2602 | 7277.40 | 1.51% | 3,239 | 18% | 0.47 billion | 19% | 4,606 | 1,324 | 0.08 billion | | IC2603 | 7240.40 | 1.56% | 69,984 | 30% | 10.08 billion | 31% | 146,995 | 10,888 | 2.55 billion | | IC2606 | 7054.40 | 1.69% | 13,736 | 24% | 1.93 billion | 25% | 50,564 | 1,537 | 0.86 billion | [40] Main Seats - Details of the top five, ten, and twenty seats' trading volume, long positions, and short positions are provided for IC2601, IC2603, and IC2606 contracts [49][51][53] IH Futures Market Summary - IH main contract rose 0.11% to close at 3027 points [55] - Total trading volume of four IH contracts was 39,414 lots, an increase of 1,602 lots from the previous day; total open interest was 83,057 lots, an increase of 229 lots [55] - IH main contract was at a premium of 1.82 points, up 3.74 points from the previous day; annualized basis rate was 0.25% [56] Contracts Details | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 3025.18 | -0.08% | 3,180 | -11% | 9.13 billion | -17% | - | - | - | | IH2601 | 3025.20 | 0.06% | 10,709 | -2% | 0.97 billion | -2% | 18,991 | -940 | 0.21 billion | | IH2602 | 3024.60 | 0.11% | 1,256 | 69% | 0.11 billion | 68% | 1,194 | 602 | 0.01 billion | | IH2603 | 3027.00 | 0.11% | 24,242 | 6% | 2.20 billion | 6% | 50,212 | 539 | 0.55 billion | | IH2606 | 3019.80 | 0.23% | 3,207 | -4% | 0.29 billion | -4% | 12,660 | 28 | 0.14 billion | [55] Main Seats - Details of the top five, ten, and twenty seats' trading volume, long positions, and short positions are provided for IH2601, IH2603, and IH2606 contracts [67][69][71]

每经AI快讯，12月24日，中证1000股指期货（IM）主力合约日内涨幅达2.00%，现报7337.0点。 ...

Group 1: Report Industry Investment Rating - Not provided Group 2: Core Viewpoints of the Report - The short - term view of the stock index is interval oscillation, with a short - term (within a week) and medium - term (two weeks to one month) view of oscillation and an intraday view of being on the strong side. The core logic is that the positive policy expectations and the net capital inflow trend remain unchanged, but near the end of the year, the capital liquidity is tightening and the policy is in a window period, resulting in insufficient short - term upward driving force [1][5] Group 3: Summary by Related Catalogs Variety Viewpoint Reference - Financial Futures Stock Index Sector - For IH2603, the short - term view is oscillation, the medium - term view is oscillation, the intraday view is on the strong side, and the reference view is interval oscillation. The core logic is the unchanged positive policy expectations and net capital inflow trend [1] Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - For IF, IH, IC, and IM, the intraday view is on the strong side, the medium - term view is oscillation, and the reference view is interval oscillation. The previous day, each stock index oscillated and consolidated in a narrow range. The total stock market turnover was 191.53 billion yuan, an increase of 33.1 billion yuan compared with the previous day. In the long - term, the positive policy expectations and net capital inflow trend are favorable, providing strong support for the stock index. As the positive policy expectations for 2026 gradually ferment, market risk appetite is rising and the willingness of medium - and long - term funds to allocate is increasing. However, near the end of the year, the capital liquidity is tightening and the policy is in a window period, so the short - term upward driving force is insufficient [5]

每经AI快讯，周二（12月23日）纽约尾盘，标普500股指期货最终涨0.35%，道指期货涨0.08%，纳斯达 克100股指期货涨0.41%。罗素2000股指期货跌0.73%。 （文章来源：每日经济新闻） ...