1. Index Trends - On September 10, the Shanghai Composite Index rose 0.13% to close at 3812.22 points, with a trading volume of 821.114 billion yuan; the Shenzhen Component Index rose 0.38% to close at 12557.68 points, with a trading volume of 1157.009 billion yuan [1]. - The CSI 1000 Index rose 0.06%, with a trading volume of 396.105 billion yuan. The opening price was 7214.23, the closing price was 7230.17, the highest price was 7296.0, and the lowest price was 7179.76 [1]. - The CSI 500 Index rose 0.05%, with a trading volume of 359.667 billion yuan. The opening price was 6911.11, the closing price was 6932.11, the highest price was 6977.77, and the lowest price was 6870.4 [1]. - The SSE 50 Index rose 0.37%, with a trading volume of 133.802 billion yuan. The opening price was 2928.11, the closing price was 2939.59, the highest price was 2954.44, and the lowest price was 2923.56 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 4.14 points from the previous closing price. Sectors such as computer, communication, and electronics had a significant upward pull on the index, while sectors such as basic chemicals, machinery, and power equipment had a significant downward pull [2]. - The CSI 500 rose 3.14 points from the previous closing price. Sectors such as electronics, media, and national defense and military industry had a significant upward pull on the index, while sectors such as basic chemicals, pharmaceuticals, and power equipment had a significant downward pull [2]. - The SSE 300 rose 9.1 points from the previous closing price. Sectors such as electronics, communication, and computer had a significant upward pull on the index, while sectors such as pharmaceuticals, non - ferrous metals, and power equipment had a significant downward pull [2]. - The SSE 50 rose 10.96 points from the previous closing price. Sectors such as electronics, food and beverage, and communication had a significant upward pull on the index, while the non - banking financial sector had a significant downward pull [2]. 3. Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 48.92, IM01 had - 111.1, IM02 had - 256.62, and IM03 had - 440.96 [13]. - For IC contracts, IC00 had an average daily basis of - 45.02, IC01 had - 105.35, IC02 had - 219.54, and IC03 had - 367.48 [13]. - For IF contracts, IF00 had an average daily basis of - 9.15, IF01 had - 17.91, IF02 had - 37.36, and IF03 had - 57.04 [13]. - For IH contracts, IH00 had an average daily basis of - 1.43, IH01 had - 2.54, IH02 had - 2.66, and IH03 had - 0.32 [13]. 4. Stock Index Futures Roll - over Point Differences and Annualized Costs - For IC contracts, data on roll - over point differences and their annualized costs at different times are provided, such as at 09:45, IC00 - 01 was - 68.64222, IC00 - 02 was - 225.568, etc. [23]. - For IH contracts, data on roll - over point differences and their annualized costs at different times are provided, such as at 09:45, IH00 - 01 was 0.707, IH00 - 02 was 1.4593333, etc. [24]. - For IM contracts, data on roll - over point differences and their annualized costs at different times are provided, such as at 09:45, IM00 - 01 was - 73.02267, IM00 - 02 was - 259.4522, etc. [25]. - For IF contracts, data on roll - over point differences and their annualized costs at different times are provided, such as at 09:45, IF00 - 01 was - 12.31678, IF00 - 02 was - 41.14122, etc. [26].

1. Report Industry Investment Rating No information provided. 2. Core Viewpoints - The current margin balance is less than 30 billion yuan from the historical high. Among public - fund categories with a high proportion of stock investment, only partial - stock hybrid funds still have some room for position replenishment. The end of the rapid capital inflow window coincides with the military parade time point. It is expected that the subsequent upward rhythm of the market may slow down, and attention should be paid to the risk of a staged correction [2]. 3. Summary by Directory 3.1 Market Analysis - **Macroeconomic Situation**: The eurozone's manufacturing PMI in August reached a three - year high of 50.7, up from 49.8 in July, and expanded for the first time since mid - 2022. In China, President Xi Jinping chaired the 25th meeting of the Council of Heads of Member States of the Shanghai Cooperation Organization. Member states signed and issued multiple important documents [1]. - **Spot Market**: A - share major indices closed up. The Shanghai Composite Index rose 0.46% to 3875.53 points, and the ChiNext Index rose 2.29%. Most sector indices increased, with communication, non - ferrous metals, pharmaceutical biology, and electronics leading the gains, while non - bank finance, banking, and household appliances led the losses. The trading volume of the Shanghai and Shenzhen stock markets was 2.75 trillion yuan. U.S. stocks were closed for the Labor Day holiday [1]. - **Futures Market**: In the futures market, the basis of stock index futures deepened rapidly, and the basis of IC and IM was at a historically low level. The trading volume and open interest of stock index futures declined simultaneously [1]. 3.2 Strategy - The current margin balance is close to the historical high, and only partial - stock hybrid funds have room for position replenishment. The end of the rapid capital inflow window points to the military parade time, so the market's upward rhythm may slow down, and there is a risk of a staged correction [2]. 3.3 Charts - **Macroeconomic Charts**: Include charts showing the relationship between the U.S. dollar index and A - share trends, U.S. Treasury yields and A - share trends, RMB exchange rate and A - share trends, and U.S. Treasury yields and A - share style trends [4][5]. - **Spot Market Tracking Charts**: Present the daily performance of major domestic stock indices on September 1, 2025, and August 31, 2025, including the Shanghai Composite Index, Shenzhen Component Index, ChiNext Index, etc., along with their daily changes. Also include charts of the trading volume of the Shanghai and Shenzhen stock markets and margin balance [4][5][12]. - **Stock Index Futures Tracking Charts**: Provide data on the trading volume and open interest of IF, IH, IC, and IM contracts, their changes, the basis of different contracts, and the inter - period spreads of different contracts. There are also charts showing the open interest, open - interest ratio, and net open interest of foreign investors for different contracts [4][5][14].

股指期货日度数据跟踪 2025-09-02 上证 50 较前收盘价上涨 4.73 点，有色金属,医药生物,电子等板块对指数向上拉动明显，食品饮料,银行,非银金融等板块对指数向下拉动明显。 -5 0 5 10 15 20 25 电子 医药生物 有色金属 通信 电力设备 计算机 房地产 公用事业 传媒 食品饮料 机械设备 轻工制造 纺织服饰 家用电器 社会服务 交通运输 钢铁 基础化工 商贸零售 煤炭 非银金融 综合 石油石化 建筑材料 农林牧渔 建筑装饰 美容护理 环保 银行 国防军工 汽车 数据来源：Wind，光期研究所 图 4：中证 500 各板块对指数贡献的涨跌点数 一、指数走势 09 月 01 日，上证综指涨跌幅 0.46%，收于 3875.53 点，成交额 12083.48 亿元，深成指数涨跌幅 1.05%，收于 12828.95 点，成交额 15416.13 亿元。 中证 1000 指数涨跌幅 0.84%，成交额 5645.68 亿元，其中开盘价 7475.0，收盘价 7501.15，当日最高价 7502.59，最低价 7424.34； 中证 500 指数涨跌幅 0.94%，成交额 5361.61 ...

Report Summary 1. Report Industry Investment Rating No information provided in the report. 2. Core Viewpoint The report presents the daily data tracking of stock index futures on August 27, 2025, including the index trends, the impact of sector fluctuations on indices, the basis and annualized opening costs of stock index futures, and the points differences and annualized costs during contract roll - over periods [1]. 3. Summary by Directory Index Trends - On August 27, the Shanghai Composite Index fell 1.76% to close at 3800.35 points, with a trading volume of 1326.849 billion yuan; the Shenzhen Component Index fell 1.43% to close at 12295.07 points, with a trading volume of 1838.716 billion yuan [1]. - The CSI 1000 Index fell 1.87% with a trading volume of 672.784 billion yuan; the CSI 500 Index fell 1.46% with a trading volume of 583.864 billion yuan; the SSE 50 Index fell 1.73% with a trading volume of 197.654 billion yuan; the SSE 300 Index fell 1.49% with a trading volume of 785.098 billion yuan [1]. Impact of Sector Fluctuations on Indices - The CSI 1000 Index dropped 139.97 points from the previous closing price, with sectors such as pharmaceuticals and biotechnology significantly dragging down the index [2]. - The CSI 500 Index dropped 101.51 points, affected by sectors like non - banking finance and pharmaceuticals and biotechnology [2]. - The SSE 300 Index dropped 66.46 points, pulled down by sectors including food and beverage, banking, and non - banking finance [2]. - The SSE 50 Index dropped 51.4 points, influenced by sectors such as food and beverage, banking, and non - banking finance [2]. Basis and Annualized Opening Costs of Stock Index Futures - For IM contracts, IM00 had an average daily basis of - 52.19, IM01 of - 105.28, IM02 of - 216.38, and IM03 of - 377.67 [11]. - For IC contracts, IC00 had an average daily basis of - 31.68, IC01 of - 69.6, IC02 of - 158.42, and IC03 of - 286.97 [11]. - For IF contracts, IF00 had an average daily basis of - 1.52, IF01 of - 7.84, IF02 of - 21.04, and IF03 of - 42.88 [11]. - For IH contracts, IH00 had an average daily basis of 1.72, IH01 of 2.28, IH02 of 5.0, and IH03 of 8.1 [11]. Points Differences and Annualized Costs during Contract Roll - over Periods - Data on the annualized costs and 15 - minute average points differences during the roll - over periods of IM, IC, IF, and IH contracts are provided, including specific values at different time points [21][23][27].

中证 1000 较前收盘价上涨-1.26 点，基础化工,通信,房地产等板块对指数向上拉动明显，计算机,电力设备,医药生物等板块对指数向下拉动明显。 中证 500 较前收盘价上涨 12.17 点，计算机,基础化工,电力设备等板块对指数向上拉动明显，医药生物,国防军工,电子等板块对指数向下拉动明显。 沪深 300 较前收盘价上涨-16.63 点，农林牧渔,基础化工等板块对指数向上拉动明显，通信,银行,非银金融等板块对指数向下拉动明显。 上证 50 较前收盘价上涨-20.07 点，等板块对指数向上拉动明显，医药生物,非银金融,电子等板块对指数向下拉动明显。 股指期货日度数据跟踪 2025-08-27 一、指数走势 08 月 26 日，上证综指涨跌幅-0.39%，收于 3868.38 点，成交额 11141.88 亿元，深成指数涨跌幅 0.26%，收于 12473.17 点，成交额 15648.32 亿元。 中证 1000 指数涨跌幅-0.02%，成交额 5733.43 亿元，其中开盘价 7457.77，收盘价 7476.47，当日最高价 7526.17，最低价 7435.3； 中证 500 指数涨跌幅 0.18%， ...

Group 1: Index Movements - On August 25th, the Shanghai Composite Index rose 1.51% to close at 3883.56 points with a trading volume of 1360.904 billion yuan; the Shenzhen Component Index rose 2.26% to close at 12441.07 points with a trading volume of 1780.233 billion yuan [1]. - The CSI 1000 Index rose 1.56% with a trading volume of 660.911 billion yuan, opening at 7418.35, closing at 7477.73, with a daily high of 7504.01 and a low of 7405.94 [1]. - The CSI 500 Index rose 1.89% with a trading volume of 574.923 billion yuan, opening at 6886.27, closing at 6951.9, with a daily high of 6967.8 and a low of 6863.93 [1]. - The SSE 300 Index rose 2.08% with a trading volume of 823.682 billion yuan, opening at 4416.29, closing at 4469.22, with a daily high of 4472.65 and a low of 4404.78 [1]. - The SSE 50 Index rose 2.09% with a trading volume of 231.307 billion yuan, opening at 2950.65, closing at 2989.85, with a daily high of 2989.85 and a low of 2943.98 [1]. Group 2: Impact of Sector Movements on Indexes - The CSI 1000 rose 114.79 points from the previous closing price, with sectors such as computer significantly pulling the index up [2]. - The CSI 500 rose 129.05 points from the previous closing price, with sectors such as electronics, non - ferrous metals, and power equipment significantly pulling the index up [2]. - The SSE 300 rose 91.22 points from the previous closing price, with sectors such as electronics, non - ferrous metals, and communication significantly pulling the index up [2]. - The SSE 50 rose 61.24 points from the previous closing price, with sectors such as electronics, non - ferrous metals, and food and beverage significantly pulling the index up [2]. Group 3: Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 29.8, IM01 of - 76.71, IM02 of - 181.65, and IM03 of - 333.67 [12]. - For IC contracts, IC00 had an average daily basis of - 24.37, IC01 of - 58.94, IC02 of - 142.99, and IC03 of - 263.16 [12]. - For IF contracts, IF00 had an average daily basis of 4.56, IF01 of - 1.2, IF02 of - 12.32, and IF03 of - 30.06 [12]. - For IH contracts, IH00 had an average daily basis of 3.85, IH01 of 3.69, IH02 of 5.93, and IH03 of 9.61 [12]. Group 4: Stock Index Futures Roll - over Point Differences and Annualized Costs - For IM contracts, data on roll - over point differences and their annualized costs at different time points from 09:45 to 15:00 are provided, such as at 09:45, IM00 - 01 was - 73.02267, IM00 - 02 was - 259.4522, etc [27]. - For IC contracts, data on roll - over point differences and their annualized costs at different time points from 09:45 to 15:00 are provided, such as at 09:45, IC00 - 01 was - 68.64222, IC00 - 02 was - 225.568, etc [23]. - For IF contracts, data on roll - over point differences and their annualized costs at different time points from 09:45 to 15:00 are provided, such as at 09:45, IF00 - 01 was - 12.31678, IF00 - 02 was - 41.14122, etc [24]. - For IH contracts, data on roll - over point differences and their annualized costs at different time points from 09:45 to 15:00 are provided, such as at 09:45, IH00 - 01 was 0.707, IH00 - 02 was 1.4593333, etc [26].

Group 1: Index Movements - On August 20th, the Shanghai Composite Index rose 1.04% to close at 3766.21 points with a trading volume of 1017.5 billion yuan; the Shenzhen Component Index rose 0.89% to close at 11926.74 points with a trading volume of 1390.734 billion yuan [1]. - The CSI 1000 Index rose 0.86% with a trading volume of 517.521 billion yuan, opening at 7212.97, closing at 7305.46, with a high of 7305.46 and a low of 7166.99 [1]. - The CSI 500 Index rose 1.09% with a trading volume of 409.671 billion yuan, opening at 6623.61, closing at 6728.07, with a high of 6728.07 and a low of 6598.55 [1]. - The SSE 50 Index rose 1.23% with a trading volume of 139.706 billion yuan, opening at 2808.44, closing at 2846.99, with a high of 2848.03 and a low of 2799.4 [1]. - The SSE 50 Index rose 1.23% with a trading volume of 139.706 billion yuan, opening at 2808.44, closing at 2846.99, with a high of 2848.03 and a low of 2799.4 [1]. Group 2: Impact of Sector Movements on Indexes - The CSI 1000 rose 62.61 points from the previous close, with sectors such as electronics and non - ferrous metals significantly pulling the index up [2]. - The CSI 500 rose 72.76 points from the previous close, with the electronics sector significantly pulling the index up [2]. - The SSE 300 rose 48.03 points from the previous close, with sectors such as electronics and non - bank finance significantly pulling the index up [2]. - The SSE 50 rose 34.57 points from the previous close, with sectors such as electronics and non - bank finance significantly pulling the index up [2]. Group 3: Stock Index Futures Basis and Annualized Opening Costs - IM00 average daily basis was - 61.01, IM01 was - 110.72, IM02 was - 226.59, IM03 was - 387.11 [13]. - IC00 average daily basis was - 61.45, IC01 was - 101.64, IC02 was - 192.4, IC03 was - 320.35 [13]. - IF00 average daily basis was - 9.18, IF01 was - 15.65, IF02 was - 28.67, IF03 was - 49.83 [13]. - IH00 average daily basis was 0.76, IH01 was 0.74, IH02 was 3.57, IH03 was 5.75 [13]. Group 4: Stock Index Futures Roll - over Point Differences and Annualized Costs - Data on IM roll - over point differences and their annualized costs are presented at different time intervals from 09:45 to 15:00 [23][24]. - Data on IC roll - over point differences and their annualized costs are presented at different time intervals from 09:45 to 15:00 [26][27]. - Data on IF roll - over point differences and their annualized costs are presented at different time intervals from 09:45 to 15:00 [29]. - Data on IH roll - over point differences and their annualized costs are presented at different time intervals from 09:45 to 15:00 [28].

- The report discusses the construction and performance of various quantitative models and factors related to stock index futures and options markets[2][4][6] Quantitative Models and Construction Methods 1. **Model Name: Stock Index Futures Basis Adjustment Model** - **Model Construction Idea**: The model aims to adjust the basis of stock index futures by considering the impact of dividends during the contract period[9] - **Model Construction Process**: - The basis is defined as the difference between the futures contract closing price and the underlying index closing price - The formula for the expected dividend-adjusted basis is: $ \text{Expected Dividend-Adjusted Basis} = \text{Actual Basis} + \text{Expected Dividends during the Contract Period} $ - The annualized basis is calculated as: $ \text{Annualized Basis} = (\text{Actual Basis} + \text{Expected Dividend Points}) / \text{Index Price} \times 360 / \text{Remaining Days of the Contract} $[21] - **Model Evaluation**: The model effectively adjusts the basis by accounting for the impact of dividends, providing a more accurate measure of the futures contract's value[21] 2. **Model Name: Continuous Hedging Strategy** - **Model Construction Idea**: The strategy aims to hedge the spot index by continuously holding futures contracts and adjusting positions based on the contract's expiration[44] - **Model Construction Process**: - The strategy involves holding the total return index of the corresponding underlying index on the spot side - On the futures side, 70% of the funds are used for the spot side, and the same nominal principal amount is used for short hedging with stock index futures contracts - The positions are adjusted continuously by holding the quarterly/monthly contracts until the remaining days to expiration are less than 2 days, then rolling over to the next contract[45] - **Model Evaluation**: The strategy provides a systematic approach to hedging, reducing the impact of market fluctuations on the portfolio[45] 3. **Model Name: Minimum Discount Strategy** - **Model Construction Idea**: The strategy selects futures contracts with the smallest annualized basis discount for hedging[46] - **Model Construction Process**: - The strategy involves holding the total return index of the corresponding underlying index on the spot side - On the futures side, 70% of the funds are used for the spot side, and the same nominal principal amount is used for short hedging with stock index futures contracts - The positions are adjusted by selecting the futures contract with the smallest annualized basis discount and holding it for 8 trading days or until the remaining days to expiration are less than 2 days[46] - **Model Evaluation**: The strategy aims to optimize the hedging performance by selecting contracts with the least discount, potentially improving returns[46] Model Backtesting Results 1. **IC Hedging Strategy** - Annualized Return: -2.87% (Monthly Continuous Hedging), -1.87% (Quarterly Continuous Hedging), -1.12% (Minimum Discount Strategy), 0.18% (Index Performance) - Volatility: 3.83%, 4.72%, 4.61%, 20.97% - Maximum Drawdown: -8.65%, -8.34%, -7.97%, -31.46% - Net Value: 0.9155, 0.9443, 0.9665, 1.0054 - Annual Turnover: 12, 4, 17.15 - 2025 YTD Return: -3.90%, -0.97%, -1.22%, 14.02%[48] 2. **IF Hedging Strategy** - Annualized Return: 0.55% (Monthly Continuous Hedging), 0.78% (Quarterly Continuous Hedging), 1.36% (Minimum Discount Strategy), -1.05% (Index Performance) - Volatility: 2.97%, 3.32%, 3.10%, 17.08% - Maximum Drawdown: -3.95%, -4.03%, -4.06%, -25.59% - Net Value: 1.0169, 1.0239, 1.0417, 0.9686 - Annual Turnover: 12, 4, 15.17 - 2025 YTD Return: -0.65%, 0.40%, 0.80%, 7.45%[51] 3. **IH Hedging Strategy** - Annualized Return: 1.11% (Monthly Continuous Hedging), 2.04% (Quarterly Continuous Hedging), 1.77% (Minimum Discount Strategy), -0.69% (Index Performance) - Volatility: 3.08%, 3.50%, 3.10%, 16.29% - Maximum Drawdown: -4.22%, -3.76%, -3.91%, -22.96% - Net Value: 1.0340, 1.0630, 1.0548, 0.9792 - Annual Turnover: 12, 4, 15.83 - 2025 YTD Return: 0.32%, 1.36%, 1.36%, 6.85%[54] 4. **IM Hedging Strategy** - Annualized Return: -6.07% (Monthly Continuous Hedging), -4.44% (Quarterly Continuous Hedging), -3.88% (Minimum Discount Strategy), -0.49% (Index Performance) - Volatility: 4.72%, 5.76%, 5.56%, 25.72% - Maximum Drawdown: -14.01%, -12.63%, -11.11%, -41.60% - Net Value: 0.8346, 0.8629, 0.8725, 0.9185 - Annual Turnover: 12, 4, 15.85 - 2025 YTD Return: -9.60%, -4.77%, -4.37%, 17.96%[59] Quantitative Factors and Construction Methods 1. **Factor Name: Cinda-VIX** - **Factor Construction Idea**: The Cinda-VIX index reflects the market's expectation of future volatility of the underlying asset based on option prices[61] - **Factor Construction Process**: - The index is constructed by adjusting the methodology used in international markets to suit the Chinese market - It captures the implied volatility of options on major indices over different time horizons[61] - **Factor Evaluation**: The Cinda-VIX index provides valuable insights into market sentiment and expected volatility, aiding in risk management and investment decisions[61] 2. **Factor Name: Cinda-SKEW** - **Factor Construction Idea**: The Cinda-SKEW index measures the skewness of implied volatility across different strike prices, indicating market expectations of tail risk[67] - **Factor Construction Process**: - The index captures the skewness in implied volatility by analyzing the differences in implied volatility for options with different strike prices - A higher SKEW index indicates greater concern about potential market downturns[67] - **Factor Evaluation**: The Cinda-SKEW index is a useful tool for assessing market sentiment regarding tail risks and potential extreme events[67] Factor Backtesting Results 1. **Cinda-VIX** - 30-day VIX values as of August 8, 2025: 18.48 (SSE 50), 18.32 (CSI 300), 23.46 (CSI 500), 23.00 (CSI 1000)[61] 2. **Cinda-SKEW** - SKEW values as of August 8, 2025: 102.35 (SSE 50), 109.58 (CSI 300), 105.49 (CSI 500), 114.07 (CSI 1000)[68]

Group 1: Index Trends - On August 4th, the Shanghai Composite Index rose 0.66% to close at 3583.31 points with a trading volume of 639.776 billion yuan; the Shenzhen Component Index rose 0.46% to close at 11041.56 points with a trading volume of 858.775 billion yuan [1]. - The CSI 1000 Index rose 1.04% with a trading volume of 329.555 billion yuan, opening at 6637.84, closing at 6739.69, with a daily high of 6739.73 and a low of 6631.12 [1]. - The CSI 500 Index rose 0.78% with a trading volume of 236.649 billion yuan, opening at 6190.34, closing at 6261.73, with a daily high of 6261.96 and a low of 6187.62 [1]. - The SSE 50 Index rose 0.55% with a trading volume of 80.252 billion yuan, opening at 2748.62, closing at 2769.39, with a daily high of 2769.39 and a low of 2748.62 [1]. Group 2: Impact of Sector Movements on Indexes - The CSI 1000 rose 69.22 points from the previous close, with sectors such as electronics, machinery, and national defense and military industry significantly contributing to the upward movement [2]. - The CSI 500 rose 48.53 points from the previous close, with sectors such as national defense and military industry, media, and non - ferrous metals significantly contributing to the upward movement [2]. - The SSE 50 rose 15.26 points from the previous close, with sectors such as banks, non - ferrous metals, and electronics significantly contributing to the upward movement [2]. Group 3: Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 35.52, IM01 of - 107.93, IM02 of - 294.98, and IM03 of - 466.83 [13]. - For IC contracts, IC00 had an average daily basis of - 34.72, IC01 of - 96.84, IC02 of - 247.57, and IC03 of - 377.49 [13]. - For IF contracts, IF00 had an average daily basis of - 6.85, IF01 of - 19.1, IF02 of - 50.68, and IF03 of - 81.55 [13]. - For IH contracts, IH00 had an average daily basis of - 0.09, IH01 of 0.34, IH02 of 2.36, and IH03 of 2.52 [13]. Group 4: Stock Index Futures Roll - over Point Differences and Annualized Costs - For IM contracts, data on roll - over point differences and their annualized costs at different times (e.g., 09:45, 10:00 etc.) are provided, such as at 09:45, IM00 - 01 was - 53.1193, IM00 - 02 was - 158.791 etc. [21]. - For IC contracts, data on roll - over point differences and their annualized costs at different times are provided, like at 09:45, IC00 - 01 was - 26.1467, IC00 - 02 was - 90.0318 etc. [22]. - For IF contracts, data on roll - over point differences and their annualized costs at different times are provided, for example, at 09:45, IF00 - 01 was - 5.99267, IF00 - 02 was - 13.4098 etc. [23]. - For IH contracts, data on roll - over point differences and their annualized costs at different times are provided, such as at 09:45, IH00 - 01 was - 1.29644, IH00 - 02 was 1.559889 etc. [24].

1. Index Trends - On July 30, the Shanghai Composite Index rose 0.17% to close at 3615.72 points, with a trading volume of 819.628 billion yuan; the Shenzhen Component Index fell 0.77% to close at 11203.03 points, with a trading volume of 1024.652 billion yuan [1]. - The CSI 1000 Index fell 0.82% with a trading volume of 392.675 billion yuan, opening at 6758.33, closing at 6718.48, with a daily high of 6770.88 and a low of 6662.91 [1]. - The CSI 500 Index fell 0.65% with a trading volume of 304.778 billion yuan, opening at 6345.37, closing at 6314.69, with a daily high of 6368.27 and a low of 6269.51 [1]. - The SSE 50 Index rose 0.38% with a trading volume of 112.597 billion yuan, opening at 2809.44, closing at 2819.35, with a daily high of 2842.47 and a low of 2802.74 [1]. - The CSI 300 Index fell 0.02% with a trading volume of 445.168 billion yuan, opening at 4148.94, closing at 4151.24, with a daily high of 4185.21 and a low of 4127.43 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 dropped 55.4 points from the previous close, with sectors such as non - ferrous metals, power equipment, and computers significantly dragging down the index [2]. - The CSI 500 dropped 41.44 points from the previous close, with power equipment, computers, and non - bank finance sectors having a significant downward pull on the index [2]. - The CSI 300 dropped 0.78 points from the previous close, with banks, food and beverage, and pharmaceutical biology sectors pulling the index up, while computers, electronics, and power equipment sectors pulling it down [2]. - The SSE 50 rose 10.76 points from the previous close, with banks, non - bank finance, and food and beverage sectors pulling the index up, and the electronics sector pulling it down [2]. 3. Stock Index Futures Basis and Annualized Opening Costs - IM00 average daily basis was - 48.99, IM01 was - 119.91, IM02 was - 303.97, and IM03 was - 472.07 [13]. - IC00 average daily basis was - 46.19, IC01 was - 102.76, IC02 was - 241.09, and IC03 was - 367.61 [13]. - IF00 average daily basis was - 6.78, IF01 was - 17.41, IF02 was - 49.47, and IF03 was - 83.1 [13]. - IH00 average daily basis was 0.36, IH01 was 0.26, IH02 was 0.43, and IH03 was 0.33 [13]. 4. Stock Index Futures Roll - over Point Differences and Annualized Costs - Data on IM, IC, IF, and IH roll - over point differences and their corresponding annualized costs are presented in the relevant tables and figures, including specific values at different time points [20][21][22][23][24][25]