Group 1 - The market is likely to face a correction after five consecutive days of gains, but the adjustment may not be significant due to some short sellers exiting their positions [1] - Investors holding stocks are advised to consider high sell-low buy strategies, while those without positions should look to enter around the 20-day moving average during the correction [1] - The commercial aerospace sector is experiencing divergence due to the failure of the Long March 12 rocket recovery, with some stocks hitting the limit down, but the overall market sentiment remains cautious about the sector's future performance [1] Group 2 - The chip and liquid cooling sectors showed good performance, with expectations of a rebound following a previous correlation with the index, but there is a need to monitor which stocks can unify after initial divergence [2] - Consumer stocks were expected to perform well during the market pullback, but key stocks experienced a high-to-low reversal, raising concerns if they do not recover soon [2] - Other sectors like lithium batteries, chemicals, and resource stocks were influenced by news but did not exhibit strong sector effects, indicating a lack of significant momentum [2]

1. Report Industry Investment Rating - No information provided in the report 2. Core View of the Report - The report presents the daily data of stock index futures including IM, IF, IC, and IH, covering aspects such as closing prices, trading volumes, open interests, basis, and positions of major seats. It shows the performance and changes of different contracts in these futures on December 23, 2025. [1] 3. Summary According to Relevant Catalogs IM Futures - **Daily Quotes**: The underlying index CSI 1000 closed at 7392.42, down 0.22%. The main contract IM2603 fell 0.17% to 7197.4 points. The total trading volume of the four contracts was 144,993 lots, down 1,632 lots from the previous day, and the total open interest was 351,928 lots, up 2,022 lots from the previous day. [4][5] - **Basis and Other Data**: The main contract was at a discount of 195.02 points, up 9.73 points from the previous day, with an annualized basis rate of -11.24%. The dividend impacts of the four contracts were 0.57 points, 0.57 points, 0.57 points, and 43.71 points respectively. [5] - **Positions of Major Seats**: The report details the trading volumes, long positions, and short positions of the top 20 seats in different contracts (IM2601, IM2603, IM2606), and their changes from the previous day. [19][21][23] IF Futures - **Daily Quotes**: The underlying index CSI 300 closed at 4620.73, up 0.20%. The main contract IF2603 rose 0.1% to 4571.4 points. The total trading volume of the four contracts was 92,029 lots, down 789 lots from the previous day, and the total open interest was 270,424 lots, up 7,033 lots from the previous day. [24][25] - **Basis and Other Data**: The main contract was at a discount of 49.33 points, down 2.51 points from the previous day, with an annualized basis rate of -4.48%. The dividend impacts of the four contracts were 4.21 points, 4.66 points, 4.66 points, and 36.05 points respectively. [25] - **Positions of Major Seats**: The report details the trading volumes, long positions, and short positions of the top 20 seats in different contracts (IF2601, IF2603, IF2606), and their changes from the previous day. [37][39][40] IC Futures - **Daily Quotes**: The underlying index CSI 500 closed at 7256.79, up 0.02%. The main contract IC2603 rose 0.04% to 7133.2 points. The total trading volume of the four contracts was 96,094 lots, down 7,094 lots from the previous day, and the total open interest was 255,760 lots, down 1,024 lots from the previous day. [42][43] - **Basis and Other Data**: The main contract was at a discount of 123.59 points, up 8.87 points from the previous day, with an annualized basis rate of -7.19%. The dividend impacts of the four contracts were 0.62 points, 0.62 points, 0.62 points, and 66.33 points respectively. [43] - **Positions of Major Seats**: The report details the trading volumes, long positions, and short positions of the top 20 seats in different contracts (IC2601, IC2603, IC2606), and their changes from the previous day. [54][56][58] IH Futures - **Daily Quotes**: The underlying index SSE 50 closed at 3027.52, up 0.24%. The main contract IH2603 rose 0.22% to 3025.6 points. The total trading volume of the four contracts was 37,812 lots, up 817 lots from the previous day, and the total open interest was 82,828 lots, down 761 lots from the previous day. [61] - **Basis and Other Data**: The main contract was at a discount of 1.92 points, down 0.09 points from the previous day, with an annualized basis rate of -0.26%. The dividend impacts of the four contracts were 5.43 points, 5.43 points, 5.43 points, and 23.97 points respectively. [62] - **Positions of Major Seats**: The report details the trading volumes, long positions, and short positions of the top 20 seats in different contracts (IH2601, IH2603, IH2606), and their changes from the previous day. [72][74][76]

Group 1: Global Asset Market Performance - The latest yields of 10 - year treasury bonds in major economies: US 4.165%, UK 4.535%, France 3.611%, Germany 2.897%, Italy 3.598%, Spain 3.332%, Switzerland 0.307%, Greece 3.482%, Japan 2.077%, Brazil 6.184%, China 1.835%, Australia 4.794%, New Zealand 4.475% [3] - The latest yields of 2 - year treasury bonds in major economies: US 3.508%, UK 3.736%, Germany 2.147%, Japan 1.113%, Italy 2.262%, China (1Y yield) 1.356%, Australia 4.075% [3] - The latest exchange rates of the US dollar against major emerging - economy currencies: Brazil 5.592, South Africa zar 16.711, South Korean won 1480.700, Thai baht 31.180, Malaysian ringgit 4.078. The latest on - shore RMB is 7.037, offshore RMB is 7.031, RMB central parity is 7.057, and RMB 12 - month NDF is 6.902 [3] - The latest values of major economies' stock indices: S&P 500 6878.490, Dow Jones Industrial Average 48362.680, Nasdaq 23428.830, Mexican stock index 64778.180, UK stock index 9865.970, French CAC 8121.070, German DAX 24283.970, Spanish stock index 17158.000, Russian stock index (not available), Nikkei 50402.390, Hang Seng Index 25801.770, Shanghai Composite Index 3917.364, Taiwan stock index 28149.640, South Korean stock index 4105.930, Indian stock index 8645.844, Thai stock index 1269.680, Malaysian stock index 1671.290, Australian stock index 9000.726, emerging - economy stock index 1383.830 [3] - The latest values of credit - bond indices: Eurozone investment - grade credit - bond index 264.992, Eurozone high - yield credit - bond index 409.720 [3] Group 2: Stock Index Futures Trading Data - Index performance: A - share closing price is 3917.36 with a 0.69% increase, CSI 300 closing price is 4611.62 with a 0.95% increase, SSE 50 closing price is 3020.23 with a 0.53% increase, ChiNext closing price is 3191.98 with a 2.23% increase, and CSI 500 closing price is 7255.66 with a 1.20% increase [4] - Valuation: PE(TTM) of CSI 300 is 14.05 with a 0.08环比 change, SSE 50 is 11.76 with a 0.06环比 change, CSI 500 is 32.95 with a 0.37环比 change, S&P 500 is 27.48 with a 0.18环比 change, and German DAX is 18.79 with a - 0.01环比 change [4] - Risk premium: 1/PE - 10 - year interest rate of S&P 500 is - 0.53 with a - 0.04环比 change, German DAX is 2.42 with a - 0.01环比 change [4] - Fund flow: The latest value of A - share fund flow is 58.51, main - board is - 112.17, ChiNext is 108.59, and CSI 300 is 222.28. The 5 - day average values are - 66.43 for A - shares, - 50.91 for the main board, - 1.48 for ChiNext, and 131.41 for CSI 300 [4] Group 3: Other Trading Data - Transaction amount: The latest transaction amount of the Shanghai and Shenzhen stock markets is 18619.40 with a 1360.25环比 change, CSI 300 is 4482.41 with a 766.64环比 change, SSE 50 is 1067.35 with a 117.95环比 change, small - and - medium - sized board is 3801.25 with a 289.02环比 change, and ChiNext is 4826.42 with a 443.70环比 change [5] - Main contract basis and spread: IF basis is - 46.82 with a - 1.02% spread, IH basis is - 1.83 with a - 0.06% spread, IC basis is - 132.46 with a - 1.83% spread [5] - Treasury futures: T2303 closing price is 107.98 with a - 0.16% change, TF2303 closing price is 105.86 with a - 0.10% change, T2306 closing price is 108.01 with a - 0.16% change, TF2306 closing price is 105.86 with a - 0.10% change [5] - Fund rates: R001 is 1.3547% with a - 16.00 BP daily change, R007 is 1.5063% with a 0.00 BP daily change, SHIBOR - 3M is 1.6010% with a 0.00 BP daily change [5]

Report Overview - Report Title: Stock Index Futures Data Daily Report [1] - Report Date: December 22, 2025 [2] IM Futures Daily Quotes - The closing price of CSI 1000 was 7,408.35, up 1.07%. The total trading volume of the four IM contracts was 146,625 lots, a decrease of 34,234 lots from the previous day. The total open interest was 349,926 lots, a decrease of 9,760 lots from the previous day [4][5]. - The main contract of IM rose 0% to close at 7,203.6 points. The main contract was at a discount of 204.75 points, a decrease of 16.74 points from the previous day, and the annualized basis rate was -11.66% [4][5]. Basis and Cost - The dividend impacts of the four IM contracts were 0.56 points, 0.56 points, 0.56 points, and 43.43 points respectively [5]. Main Seats - In the IM2601 contract, the top five seats in terms of trading volume were CITIC Futures (on behalf of clients), Guotai Junan (on behalf of clients), Haitong Futures (on behalf of clients), Dongzheng Futures (on behalf of clients), and Zhongtai Futures (on behalf of clients) [19]. IF Futures Daily Quotes - The closing price of CSI 300 was 4,611.62, up 0.95%. The total trading volume of the four IF contracts was 92,818 lots, a decrease of 20,870 lots from the previous day. The total open interest was 263,391 lots, a decrease of 6,175 lots from the previous day [24][25]. - The main contract of IF rose 0% to close at 4,564.8 points. The main contract was at a discount of 46.82 points, a decrease of 5.64 points from the previous day, and the annualized basis rate was -4.21% [24][25]. Basis and Cost - The dividend impacts of the four IF contracts were 4.31 points, 4.76 points, 4.76 points, and 35.95 points respectively [25]. Main Seats - In the IF2601 contract, the top five seats in terms of trading volume were Guotai Junan (on behalf of clients), CITIC Futures (on behalf of clients), Dongzheng Futures (on behalf of clients), Haitong Futures (on behalf of clients), and CITIC Construction Investment (on behalf of clients) [37]. IC Futures Daily Quotes - The closing price of CSI 500 was 7,255.66, up 1.20%. The total trading volume of the four IC contracts was 103,188 lots, a decrease of 20,574 lots from the previous day. The total open interest was 256,784 lots, an increase of 449 lots from the previous day [42][43]. - The main contract of IC rose 0% to close at 7,123.2 points. The main contract was at a discount of 132.46 points, a decrease of 18.31 points from the previous day, and the annualized basis rate was -7.63% [42][43]. Basis and Cost - The dividend impacts of the four IC contracts were 0.6 points, 0.6 points, 0.6 points, and 65.87 points respectively [43]. Main Seats - In the IC2601 contract, the top five seats in terms of trading volume were CITIC Futures (on behalf of clients), Guotai Junan (on behalf of clients), Haitong Futures (on behalf of clients), Dongzheng Futures (on behalf of clients), and Guoxin Futures (on behalf of clients) [55]. IH Futures Daily Quotes - The closing price of SSE 50 was 3,020.23, up 0.53%. The total trading volume of the four IH contracts was 36,995 lots, a decrease of 12,536 lots from the previous day. The total open interest was 83,589 lots, a decrease of 1,987 lots from the previous day [61][62]. - The main contract of IH rose 0% to close at 3,018.4 points. The main contract was at a discount of 1.83 points, a decrease of 3.89 points from the previous day, and the annualized basis rate was -0.25% [61][62]. Basis and Cost - The dividend impacts of the four IH contracts were 5.39 points, 5.39 points, 5.39 points, and 23.87 points respectively [62]. Main Seats - In the IH2601 contract, the top five seats in terms of trading volume were CITIC Futures (on behalf of clients), Guotai Junan (on behalf of clients), Haitong Futures (on behalf of clients), Dongzheng Futures (on behalf of clients), and Guoxin Futures (on behalf of clients) [76].

1. Report Industry Investment Rating - No relevant information found. 2. Core Viewpoints of the Report - The report presents the performance of global asset markets, including the latest yields of 10 - year and 2 - year government bonds in major economies, exchange rates of the US dollar against major emerging - economy currencies, and the latest values of major economies' stock indices and credit bond indices. It also provides stock index futures trading data such as closing prices, price changes, valuations, risk premiums, and fund flows. Additionally, it includes trading data for treasury bond futures, money market interest rates, and trading volume and price changes of the stock market [3][4][5]. 3. Summary by Related Catalogs Global Asset Market Performance - **Government Bond Yields**: The latest 10 - year government bond yields are 4.148% in the US, 4.523% in the UK, 3.611% in France, etc.; 2 - year government bond yields are 3.484% in the US, 3.746% in the UK, etc. [3] - **Exchange Rates**: The US dollar to Brazilian real exchange rate is 5.543, to South African rand is 16.776, etc. The on - shore RMB exchange rate is 7.041, the off - shore RMB is 7.034, etc. [3] - **Stock Indices**: The latest values of major stock indices are 6834.500 for the S&P 500, 48134.890 for the Dow Jones Industrial Index, etc. [3] - **Credit Bond Indices**: The latest values of credit bond indices are 3534.890 for the US investment - grade credit bond index, 265.100 for the euro - zone investment - grade credit bond index, etc. [3] Stock Index Futures Trading Data - **Index Performance**: The closing prices of A - shares, CSI 300, SSE 50, ChiNext, and CSI 500 are 3890.45, 4568.18, 3004.34, 3122.24, and 7169.55 respectively, with price changes of 0.36%, 0.34%, 0.19%, 0.49%, and 0.97% respectively. [4] - **Valuation**: The PE(TTM) of the CSI 300, SSE 50, CSI 500, S&P 500, and German DAX are 13.97, 11.70, 32.58, 27.30, and 18.80 respectively, with环比 changes of 0.01, - 0.02, 0.29, 0.24, and 0.07 respectively. [4] - **Risk Premium**: The risk premium (1/PE - 10 - year interest rate) of the S&P 500 is - 0.49 with a环比 change of - 0.06, and that of the German DAX is 2.43 with a环比 change of - 0.06. [4] - **Fund Flows**: The latest fund flow values for A - shares, the main board, small - and medium - sized enterprise board, ChiNext, and CSI 300 are 369.45, 489.44, N/A, - 38.03, and 163.95 respectively, and the 5 - day average values are - 208.57, - 96.34, N/A, - 61.15, and 54.52 respectively. [4] Other Trading Data - **Stock Market Transaction Amount**: The latest transaction amounts of the Shanghai and Shenzhen stock markets, CSI 300, SSE 50, small - and medium - sized board, and ChiNext are 17259.15, 3715.77, 949.40, 3512.23, and 4382.72 respectively, with环比 changes of 704.32, - 105.25, 122.23, 197.55, and - 61.24 respectively. [5] - **Stock Index Futures Basis**: The basis of IF, IH, and IC are - 41.18, 2.06, and - 114.15 respectively, with basis spreads of - 0.90%, 0.07%, and - 1.59% respectively. [5] - **Treasury Bond Futures Trading**: The closing prices of T2303, TF2303, T2306, and TF2306 are 108.15, 105.97, 108.18, and 105.97 respectively, with price changes of 0.13%, 0.11%, 0.12%, and 0.10% respectively. [5] - **Money Market Interest Rates**: The interest rates of R001, R007, and SHIBOR - 3M are 1.3517%, 1.5148%, and 1.6022% respectively, with daily changes of - 17.00BP, - 1.00BP, and 0.00BP respectively. [5]

1. Report Information - Report title: Stock Index Futures Data Daily Report [1] - Date: December 18, 2025 [2] 2. IM Futures 2.1 Daily Quotes - CSI 1000 closed at 7,272.40, down 0.22%; trading volume was 20,004, down 9%; turnover was 34.9 billion, down 5% [3] - IM2512 closed at 7,275.40, down 0.26%; trading volume was 78,623, down 36%; turnover was 11.48 billion, down 36%; open interest was 50,338, down 35,409 [3] - IM2601 closed at 7,213.00, down 0.16%; trading volume was 39,669, down 9%; turnover was 5.74 billion, down 8%; open interest was 84,085, up 11,570 [3] - IM2603 closed at 7,066.00, down 0.03%; trading volume was 87,621, down 10%; turnover was 12.41 billion, down 9%; open interest was 166,683, up 7,011 [8] - IM2606 closed at 6,822.20, down 0.05%; trading volume was 18,703, down 25%; turnover was 2.56 billion, down 24%; open interest was 73,498, down 1,446 [8] - Total trading volume of the four IM contracts was 224,616, down 65,504 from the previous day; total open interest was 374,604, down 18,274 from the previous day [5] 2.2 Basis and Premium/Discount - The main contract of IM was at a discount of 206.4 points, up 8.34 points from the previous day; the annualized basis rate was -11.46% [5] - The dividend impacts of the four IM contracts were 0.67 points, 0.66 points, 0.67 points, and 42.34 points respectively [5] 2.3 Main Seats - Details of trading volume, long positions, and short positions of the top 20 seats in IM2512, IM2601, IM2603, and IM2606 contracts are provided [19][21][23] 3. IF Futures 3.1 Daily Quotes - CSI 300 closed at 4,552.79, down 0.59%; trading volume was 15,168, down 15%; turnover was 38.21 billion, down 16% [24] - IF2512 closed at 4,550.40, down 0.73%; trading volume was 53,558, down 37%; turnover was 7.32 billion, down 37%; open interest was 37,690, down 24,245 [24] - IF2601 closed at 4,531.20, down 0.73%; trading volume was 30,353, up 7%; turnover was 4.13 billion, up 7%; open interest was 54,550, up 8,789 [24] - IF2603 closed at 4,505.00, down 0.68%; trading volume was 50,112, down 18%; turnover was 6.78 billion, down 18%; open interest was 150,187, up 6,425 [24] - IF2606 closed at 4,455.40, down 0.70%; trading volume was 11,980, down 20%; turnover was 1.6 billion, down 20%; open interest was 39,869, up 1,704 [24] - Total trading volume of the four IF contracts was 146,003, down 43,587 from the previous day; total open interest was 282,296, down 7,327 from the previous day [25] 3.2 Basis and Premium/Discount - The main contract of IF was at a discount of 47.79 points, up 0.09 points from the previous day; the annualized basis rate was -4.16% [25] - The dividend impacts of the four IF contracts were 2.62 points, 6.24 points, 7.43 points, and 37.78 points respectively [25] 3.3 Main Seats - Details of trading volume, long positions, and short positions of the top 20 seats in IF2512, IF2601, IF2603, and IF2606 contracts are provided [37][39][40] 4. IC Futures 4.1 Daily Quotes - CSI 500 closed at 7,100.84, down 0.52%; trading volume was 15,490, down 11%; turnover was 27.55 billion, down 9% [42] - IC2512 closed at 7,101.00, down 0.71%; trading volume was 46,235, down 39%; turnover was 6.6 billion, down 39%; open interest was 34,085, down 22,568 [42] - IC2601 closed at 7,069.80, down 0.45%; trading volume was 30,418, up 4%; turnover was 4.32 billion, up 5%; open interest was 57,737, up 7,456 [42] - IC2603 closed at 6,973.60, down 0.27%; trading volume was 57,027, down 10%; turnover was 7.97 billion, down 9%; open interest was 127,506, up 5,666 [42] - IC2606 closed at 6,776.00, down 0.26%; trading volume was 12,826, down 20%; turnover was 1.74 billion, down 19%; open interest was 44,391, up 1,189 [42] - Total trading volume of the four IC contracts was 146,506, down 38,325 from the previous day; total open interest was 263,719, down 8,257 from the previous day [43] 4.2 Basis and Premium/Discount - The main contract of IC was at a discount of 127.24 points, up 14.59 points from the previous day; the annualized basis rate was -7.16% [43] - The dividend impacts of the four IC contracts were 0.82 points, 0.37 points, 0.82 points, and 66.05 points respectively [43] 4.3 Main Seats - Details of trading volume, long positions, and short positions of the top 20 seats in IC2512, IC2601, IC2603, and IC2606 contracts are provided [53][55][57] 5. IH Futures 5.1 Daily Quotes - SSE 50 closed at 2,998.52, up 0.23%; trading volume was 3,255, down 15%; turnover was 8.27 billion, down 23% [59] - IH2512 closed at 2,995.00, down 0.02%; trading volume was 22,829, down 37%; turnover was 2.05 billion, down 37%; open interest was 16,779, down 11,717 [59] - IH2601 closed at 2,989.20, up 0.02%; trading volume was 10,970, up 14%; turnover was 0.98 billion, up 15%; open interest was 14,464, up 2,148 [59] - IH2603 closed at 2,986.00, down 0.05%; trading volume was 21,452, down 13%; turnover was 1.92 billion, down 13%; open interest was 43,414, up 1,547 [59] - IH2606 closed at 2,976.00, up 0.05%; trading volume was 3,338, down 21%; turnover was 0.3 billion, down 21%; open interest was 11,494, up 20 [59] - Total trading volume of the four IH contracts was 58,589, down 16,253 from the previous day; total open interest was 86,151, down 8,002 from the previous day [59] 4.2 Basis and Premium/Discount - The main contract of IH was at a discount of 12.52 points, down 1.44 points from the previous day; the annualized basis rate was -1.65% [60] - The dividend impacts of the four IH contracts were 9.95 points, 8.67 points, 9.95 points, and 27.98 points respectively [60] 4.3 Main Seats - Details of trading volume, long positions, and short positions of the top 20 seats in IH2512, IH2601, IH2603, and IH2606 contracts are provided [74][76][78]

Group 1: Market Data - DRO01 closed at 1.27 with a -0.13bp change, DR007 at 1.44 with a -0.65bp change, GC001 at 1.62 with a -7.00bp change, GC007 at 1.55 with a -2.50bp change, SHBOR 3M at 1.60 with a 0.60bp change, LPR 5 - year at 3.50 with no change, 1 - year treasury at 1.38 with no change, 5 - year treasury at 1.62 with a -1.26bp change, 10 - year treasury at 1.84 with a -1.18bp change, and 10 - year US treasury at 4.15 with a -3.00bp change [4] - The central bank conducted 468 billion yuan of 7 - day reverse repurchase operations yesterday, with 1898 billion yuan of reverse repurchases maturing, resulting in a net withdrawal of 1430 billion yuan [4] - This week, 6685 billion yuan of reverse repurchases will mature in the central bank's open market, with 1223 billion, 1173 billion, 1898 billion, 1186 billion, and 1205 billion yuan maturing from Monday to Friday respectively. Also, on Monday, 4000 billion yuan of 182 - day outright reverse repurchases and 800 billion yuan of treasury cash time deposits will mature [5] Group 2: Stock Index Data - The CSI 300 closed at 4580 with a 1.83% increase, IF current month at 4578 with a 1.8% increase, SSE 50 at 2992 with a 1.25% increase, IH current month at 2987 with a 1.2% increase, CSI 500 at 7138 with a 1.95% increase, IC current month at 7147 with a 1.9% increase, CSI 1000 at 7289 with a 1.49% increase, and IM current month at 7295 with a 1.5% increase [5] - IF trading volume was 189590 with a 26.3% increase, IF open interest was 289623 with a -0.2% change, IH trading volume was 74842 with a 6.6% increase, IH open interest was 94153 with a -2.0% change, IC trading volume was 184831 with a 13.2% increase, IC open interest was 271976 with a 1.0% increase, IM trading volume was 290120 with a 14.1% increase, and IM open interest was 392878 with a -2.4% change [5] - The turnover of the Shanghai and Shenzhen stock markets reached 18111 billion yuan, an increase of 870 billion yuan from the previous day. Most industry sectors closed higher, with energy metals, precious metals, insurance, batteries, fertilizers, small metals, power equipment, and non - ferrous metals leading the gains, while decoration and aerospace sectors leading the losses [5] Group 3: Market Analysis and Outlook - The central economic work conference stated that a moderately loose monetary policy will continue, with promoting stable economic growth and reasonable price recovery as important considerations. Various policy tools such as reserve requirement ratio cuts and interest rate cuts will be used flexibly and efficiently to maintain sufficient liquidity and smooth the monetary policy transmission mechanism [5] - Yesterday afternoon, the stock index rose significantly, with the large - finance sector leading the gains. Policy support signals emerged, and many CSI 300 ETFs and SSE 50 ETFs showed abnormal trading volumes [6] - In the short term, the stock index is expected to continue a weak and volatile trend. However, the market adjustment since mid - November has opened up space for the stock index to rise next year, providing a layout window. Investors can consider gradually establishing long positions during the adjustment phase and use the discount structure of stock index futures to optimize long - term investment costs and win rates [6] Group 4: Futures Contract Premium and Discount - IF premium/discount for the current contract is 6.67%, the next - month contract is 6.02%, the current - quarter contract is 4.10%, and the next - quarter contract is 4.28% [7] - IH premium/discount for the current contract is 27.32%, the next - month contract is 4.34%, the current - quarter contract is 1.45%, and the next - quarter contract is 1.44% [7] - IC premium/discount for the current contract is - 22.92%, the next - month contract is 5.12%, the current - quarter contract is 7.80%, and the next - quarter contract is 9.39% [7] - IM premium/discount for the current contract is - 15.68%, the next - month contract is 10.14%, the current - quarter contract is 11.56%, and the next - quarter contract is 12.48% [7]

1. Report Information - Report title: Stock Index Futures Data Daily Report [1] - Date: December 17, 2025 [2] 2. IM Futures 2.1 Daily Quotes - The CSI 1000 index closed at 7,288.74, up 1.49%. The total trading volume of the four IM contracts was 290,120 lots, an increase of 35,895 lots from the previous day, and the total open interest was 392,878 lots, a decrease of 9,704 lots [4][5]. - The main contract IM2512 rose 1.65% to close at 7,295 points. The main contract was at a premium of 6.26 points, down 1.12 points from the previous day, with an annualized basis rate of 10.44% [4][5]. 2.2 Key Seats - In IM2512, the top five seats in terms of trading volume were led by CITIC Futures (on behalf of clients) with 35,090 lots. The top five seats in terms of long positions were led by Guotai Junan (on behalf of clients) with 20,801 lots, and the top five seats in terms of short positions were led by CITIC Futures (on behalf of clients) with 31,567 lots [19]. 3. IF Futures 3.1 Daily Quotes - The CSI 300 index closed at 4,579.88, up 1.83%. The total trading volume of the four IF contracts was 189,590 lots, an increase of 39,510 lots from the previous day, and the total open interest was 289,623 lots, a decrease of 628 lots [24][25]. - The main contract IF2512 rose 1.78% to close at 4,578.2 points. The main contract was at a discount of 1.68 points, down 3.53 points from the previous day, with an annualized basis rate of -4.45% [24][25]. 3.2 Key Seats - In IF2512, the top five seats in terms of trading volume were led by CITIC Futures (on behalf of clients) with 30,016 lots. The top five seats in terms of long positions were led by CITIC Futures (on behalf of clients) with 10,030 lots, and the top five seats in terms of short positions were led by CITIC Futures (on behalf of clients) with 12,841 lots [37]. 4. IC Futures 4.1 Daily Quotes - The CSI 500 index closed at 7,137.83, up 1.95%. The total trading volume of the four IC contracts was 184,831 lots, an increase of 21,520 lots from the previous day, and the total open interest was 271,976 lots, an increase of 2,748 lots [42][43]. - The main contract IC2512 rose 2.25% to close at 7,146.8 points. The main contract was at a premium of 8.97 points, up 0.09 points from the previous day, with an annualized basis rate of 15.26% [42][43]. 4.2 Key Seats - In IC2512, the top five seats in terms of trading volume were led by CITIC Futures (on behalf of clients) with 23,049 lots. The top five seats in terms of long positions were led by Guotai Junan (on behalf of clients) with 18,705 lots, and the top five seats in terms of short positions were led by CITIC Futures (on behalf of clients) with 20,528 lots [55]. 5. IH Futures 5.1 Daily Quotes - The SSE 50 index closed at 2,991.68, up 1.25%. The total trading volume of the four IH contracts was 74,842 lots, an increase of 4,636 lots from the previous day, and the total open interest was 94,153 lots, a decrease of 1,896 lots [62]. - The main contract IH2512 rose 1.4% to close at 2,987.2 points. The main contract was at a discount of 4.48 points, down 1.09 points from the previous day, with an annualized basis rate of -18.24% [62][63]. 5.2 Key Seats - In IH2512, the top five seats in terms of trading volume were led by CITIC Futures (on behalf of clients) with 7,890 lots. The top five seats in terms of long positions were led by CITIC Futures (on behalf of clients) with 4,299 lots, and the top five seats in terms of short positions were led by CITIC Futures (on behalf of clients) with 6,628 lots [77].

Report Industry Investment Rating No information provided in the content. Core Viewpoints - In 2026, the market logic is expected to shift from liquidity-driven to profit-recovery - driven. The strategic adjustment of "building a strong domestic market" and the "anti - involution" policy will improve domestic demand and deflation expectations. Multiple leading indicators suggest that PPI may enter an upward channel, and corporate profit recovery is expected, but the repair strength may be weaker than in 2021. The market may continue to re - balance in the short - term, with the large - cap value style having an advantage, and profit - recovery opportunities will be the key theme for the A - share market in 2026 [4]. Summary by Directory I. Indexes Break through the Oscillation Pattern 1.1 Market Review: Ample Liquidity as the Core Driver of Index Market - In the 2025 annual report, it was predicted that the index market would show an "N" shape, driven by the ample liquidity from the "rush - to - export" expectation. However, China's exports maintained strong resilience after the "rush - to - export" trend cooled, and the obvious profit - repair trend was delayed. The A - share market oscillated in Q1, adjusted in April due to Trump's "reciprocal tariff" remarks, and then rose as policies took effect. In Q3, multiple factors supported the market, and in Q4, the driving force shifted from liquidity to profit - repair expectation [8]. 1.2 Industry Performance: Precious Metals Lead the Non - ferrous Metals Industry - In 2025, industry performance was significantly differentiated. Precious - metal - related non - ferrous metals led the increase due to Trump's tariff policy, the Middle East situation, and the Fed's interest - rate cut expectation. As of December 16, communication, non - ferrous metals, and electronics had high gains, while food and beverage and coal had losses. Different styles dominated at different times, and the large - cap value style became attractive in Q4 [11]. 1.3 Index Basis: Multiple Factors Lead to Increased Index Discount - The A - share market's trading activity increased in 2025, and the small - and medium - cap style was strong. The market - neutral strategy's scale expanded, increasing the hedging demand for stock - index futures. High dividend payouts and the decline of snowball products also contributed to the deepening discount of stock - index futures [13][14]. II. Market Valuation: Focus on Profit - Driven Valuation Digestion 2.1 CSI 500 and CSI 1000 Indexes: Significant Valuation Repair - As of December 16, the price - to - book ratios of the CSI 500 and CSI 1000 indexes were at relatively high historical levels, at 72.84% and 50.04% of the past 10 - year levels respectively [19]. 2.2 SSE 50 and CSI 300 Indexes: Valuation Divergence - As of December 16, the price - to - earnings ratios of the SSE 50 and CSI 300 indexes were at relatively high historical levels, while the price - to - book ratios were relatively lower. This divergence was due to the valuation recovery since September 2024, and future profit levels will be crucial for digestion and repair [22]. 2.3 Index Crowding: Large - Cap Value Style May Continue to Dominate - The index crowding degree reflects market allocation enthusiasm. In 2025, the small - and medium - cap growth style was popular in most of the year, but the large - cap value style became more attractive in Q4 due to its low valuation and high profit certainty [24][25]. 2.4 Stock - Bond Cost - Effectiveness: Lower Priority of Relative Valuation Attention - The stock - bond cost - effectiveness indicator shows that the stock market is at a relatively low level. With the Fed's interest - rate cuts and the narrowing of the China - US monetary - policy cycle gap, the domestic interest - rate cut window is opening. In the current situation, the priority of relative valuation attention can be shifted, and more attention can be paid to other driving factors [28][31]. 2.5 Valuation Summary - After the continuous valuation repair in 2025, the A - share market's relative valuation advantage over bonds has weakened but is not at an extreme level. There is a differentiation in the market, and the large - cap value style is expected to continue to dominate [33]. III. Supply and Demand Drive, Profit Level Recovery Expected 3.1 Strategic Adjustment of "Insufficient Domestic Demand" Response, Marginal Relief of Consumption Downturn Expected - China's economic problem has been insufficient domestic demand. The policy response is shifting from short - term demand stimulation to long - term market cultivation and system construction. The "construction of a strong domestic market" aims to improve residents' purchasing power and consumption confidence, which is expected to relieve the consumption downturn [34][35]. 3.2 "Anti - Involution" Improves Deflation Expectations, Profit Level Recovery Expected - PPI is expected to enter an upward channel in 2026 and turn positive year - on - year around mid - year. Fiscal, credit, and monetary data all indicate a turning point in the industrial - product price cycle. The profit level has shown an initial recovery trend [41][42]. IV. Asset Allocation Transfer Signs Appear, Capital Account Pressure May Continue to Ease 4.1 Interest - Rate Decline and Dividend Improvement Drive Asset Allocation Transfer - In 2025, the LPR was lowered, and bank deposit rates decreased, making deposits less attractive. At the same time, listed companies increased shareholder returns. As a result, funds flowed from the banking system to the non - banking financial sector, bringing incremental liquidity to the A - share market [50][53]. 4.2 Change in Dominant Factors of the US Dollar, Capital and Financial Account Pressure May Ease - The US dollar's role is changing from a counter - cyclical asset to a pro - cyclical asset due to the expansion of US debt and geopolitical risks. The weakening of the US dollar is expected to support the RMB exchange rate and ease the pressure on China's capital and financial accounts [58][61]. 4.3 Exports Maintain Resilience, Current Account May Face Pressure in H1 2026 - China's exports are expected to remain stable in 2026, with a "low - then - high" growth pattern. Exports may face pressure in H1 due to a high base in 2025 and difficulties in the US market's import recovery. However, the diversification of the export market and the upgrade of export - product competitiveness will provide support [64][67]. V. Summary: Profit - Level Repair Strength May Be the Key Driving Factor - In 2026, the market's core driving force is expected to shift to profit repair. Policies will improve domestic demand and deflation expectations, and multiple indicators suggest PPI may rise and corporate profits may recover. Asset allocation transfer and a favorable capital environment will support the market. The A - share market is expected to rise in an oscillatory manner, with the large - cap value style being attractive in the short - term [72]. - Short - term strategy: The index may continue to oscillate, and the previous long - IF and short - IM hedging portfolio is recommended to be held. Directional traders can enter the market at low prices based on profit - repair expectations. - Medium - and long - term strategy: The current valuation repair is ahead of profit recovery. The profit - recovery situation will be crucial for the market. The stock - index market may see a resonance between profit and valuation in 2026 [73].

Group 1 - The minimum trading margin for contracts expiring on the third Friday of the month will be adjusted to 12% due to the occurrence of a national holiday [1]