Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints The report presents a daily data tracking of stock index futures on November 11, 2025, including the performance of major stock indices, the impact of sector movements on these indices, the basis and annualized opening costs of stock index futures, and the points difference in futures contract roll - over and its annualized costs. 3. Summary by Directory Index Trends - On November 11, the Shanghai Composite Index fell 0.39% to close at 4002.76 points, with a trading volume of 858.362 billion yuan; the Shenzhen Component Index fell 1.03% to 13289.0 points, with a trading volume of 1135.224 billion yuan [1]. - The CSI 1000 Index fell 0.3% with a trading volume of 404.867 billion yuan; the CSI 500 Index fell 0.71% with a trading volume of 338.598 billion yuan; the SSE 50 Index fell 0.63% with a trading volume of 118.061 billion yuan; the CSI 300 Index fell 0.91% with a trading volume of 477.629 billion yuan [1]. Impact of Sector Movements on Indices - The CSI 1000 dropped 22.46 points. Sectors such as power equipment and basic chemicals had a positive impact, while household appliances, computer, and electronics had a negative impact [2]. - The CSI 500 dropped 52.19 points, with computer and electronics sectors pulling the index down [2]. - The CSI 300 dropped 42.88 points, affected negatively by non - bank finance, communication, and electronics sectors [2]. - The SSE 50 dropped 19.23 points. The banking sector had a positive impact, while non - bank finance, non - ferrous metals, and electronics had a negative impact [2]. Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 55.58, IM01 of - 140.81, IM02 of - 363.76, and IM03 of - 586.08 [13]. - For IC contracts, IC00 had an average daily basis of - 43.5, IC01 of - 109.76, IC02 of - 283.12, and IC03 of - 476.92 [13]. - For IF contracts, IF00 had an average daily basis of - 10.23, IF01 of - 25.19, IF02 of - 53.14, and IF03 of - 95.85 [13]. - For IH contracts, IH00 had an average daily basis of - 1.09, IH01 of - 3.3, IH02 of - 5.94, and IH03 of - 12.74 [13]. Stock Index Futures Contract Roll - over Points Difference and Annualized Costs - Data on the roll - over points difference and its annualized costs for IM, IC, IF, and IH contracts are presented in the form of 15 - minute average values and corresponding annualized cost graphs [22][23][24].

1. Index Trends - On November 06, the Shanghai Composite Index rose 0.97% to close at 4007.76 points, with a trading volume of 930.276 billion yuan; the Shenzhen Component Index rose 1.73% to close at 13452.42 points, with a trading volume of 1124.972 billion yuan [1] - The CSI 1000 Index rose 1.17% with a trading volume of 405.169 billion yuan, opening at 7482.91, closing at 7551.83, with a daily high of 7551.83 and a low of 7466.75 [1] - The CSI 500 Index rose 1.61% with a trading volume of 352.81 billion yuan, opening at 7243.2, closing at 7345.72, with a daily high of 7352.18 and a low of 7243.2 [1] - The SSE 50 Index rose 1.22% with a trading volume of 143.934 billion yuan, opening at 3015.35, closing at 3044.74, with a daily high of 3049.49 and a low of 3012.44 [1] - The SSE 300 Index rose 1.43% with a trading volume of 553.642 billion yuan, opening at 4642.01, closing at 4693.4, with a daily high of 4698.09 and a low of 4642.01 [1] 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 86.97 points from the previous close, with sectors such as electronics, power equipment, and non - ferrous metals having a significant upward pull on the index [3] - The CSI 500 rose 116.38 points from the previous close, with electronics and power equipment sectors having a significant upward pull on the index [3] - The SSE 300 rose 66.14 points from the previous close, with electronics, non - ferrous metals, and power equipment sectors having a significant upward pull on the index [3] - The SSE 50 rose 36.77 points from the previous close, with electronics, non - ferrous metals, and non - bank finance sectors having a significant upward pull on the index [3] 3. Stock Index Futures Basis and Annualized Opening Costs - IM00 average daily basis was - 67.21, IM01 was - 148.22, IM02 was - 363.75, IM03 was - 577.31 [13] - IC00 average daily basis was - 46.7, IC01 was - 106.32, IC02 was - 273.18, IC03 was - 462.04 [13] - IF00 average daily basis was - 9.75, IF01 was - 23.39, IF02 was - 53.99, IF03 was - 95.93 [13] - IH00 average daily basis was - 1.19, IH01 was - 2.55, IH02 was - 4.55, IH03 was - 9.12 [13] 4. Stock Index Futures Roll - over Point Differences and Annualized Costs - Data on IM roll - over point differences and annualized costs at different timeslots from 09:45 to 15:00 are provided, including values for IM00 - 01, IM00 - 02, etc. [24] - Similar data for IC, IF, and IH roll - over point differences and annualized costs at different timeslots are also presented [26][28][29]

1. Index Trends - On October 29, the Shanghai Composite Index rose 0.7% to close at 4016.33 points, with a trading volume of 968.216 billion yuan; the Shenzhen Component Index rose 1.95% to close at 13691.38 points, with a trading volume of 1287.814 billion yuan [1]. - The CSI 1000 Index rose 1.2%, with a trading volume of 439.162 billion yuan, opening at 7481.24, closing at 7569.12, reaching a high of 7569.12 and a low of 7469.07 [1]. - The CSI 500 Index rose 1.91%, with a trading volume of 443.141 billion yuan, opening at 7350.76, closing at 7480.97, reaching a high of 7480.97 and a low of 7350.76 [1]. - The SSE 300 Index rose 1.19%, with a trading volume of 645.899 billion yuan, opening at 4701.04, closing at 4747.84, reaching a high of 4747.84 and a low of 4697.27 [1]. - The SSE 50 Index rose 0.41%, with a trading volume of 156.303 billion yuan, opening at 3049.45, closing at 3063.02, reaching a high of 3064.56 and a low of 3048.59 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 89.9 points from the previous close, with sectors such as power equipment, non - ferrous metals, and machinery having a significant upward pull on the index [2]. - The CSI 500 rose 139.94 points from the previous close, with power equipment, non - ferrous metals, and electronics having a significant upward pull on the index [2]. - The SSE 300 rose 55.87 points from the previous close, with power equipment, non - ferrous metals, and electronics having a significant upward pull, while the banking sector had a downward pull on the index [2]. - The SSE 50 rose 12.6 points from the previous close, with non - ferrous metals, non - bank finance, and power equipment having an upward pull, and food and beverage, banking sectors having a downward pull on the index [2]. 3. Stock Index Futures Basis and Annualized Opening Costs - IM00 had an average daily basis of - 55.59, IM01 of - 127.76, IM02 of - 339.39, and IM03 of - 554.85 [12]. - IC00 had an average daily basis of - 43.14, IC01 of - 94.69, IC02 of - 259.46, and IC03 of - 448.53 [12]. - IF00 had an average daily basis of - 5.6, IF01 of - 17.67, IF02 of - 47.16, and IF03 of - 87.2 [12]. - IH00 had an average daily basis of 2.25, IH01 of 1.9, IH02 of 3.48, and IH03 of 0.84 [12]. 4. Stock Index Futures Roll - over Point Differences and Annualized Costs - For IM, 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 - 73.02267, IM00 - 02 was - 259.4522, etc. [24]. - For IC, 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. [21]. - For IF, 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. [21]. - For IH, 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. [23].

1. Index Trends - On October 27, the Shanghai Composite Index rose 1.18% to close at 3996.94 points, with a trading volume of 1043.404 billion yuan. The Shenzhen Component Index rose 1.51% to close at 13489.4 points, with a trading volume of 1296.727 billion yuan [1]. - The CSI 1000 Index rose 1.03% with a trading volume of 458.17 billion yuan, opening at 7483.3, closing at 7495.38, with a daily high of 7511.41 and a low of 7430.62 [1]. - The CSI 500 Index rose 1.67% with a trading volume of 471.762 billion yuan, opening at 7336.2, closing at 7379.39, with a daily high of 7391.21 and a low of 7302.02 [1]. - The SSE 50 Index rose 0.78% with a trading volume of 185.295 billion yuan, opening at 3064.38, closing at 3069.53, with a daily high of 3078.78 and a low of 3052.4 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 76.14 points from the previous close, with sectors such as electronics and non - ferrous metals significantly pulling the index up [3]. - The CSI 500 rose 120.86 points from the previous close, with electronics and machinery equipment sectors significantly pulling the index up [3]. - The SSE 300 rose 55.34 points from the previous close, with electronics, communication, and non - ferrous metals sectors significantly pulling the index up [3]. - The SSE 50 rose 23.71 points from the previous close, with non - ferrous metals, electronics, and pharmaceutical biology sectors significantly pulling the index up [3]. 3. Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 67.41, IM01 of - 140.07, IM02 of - 352.55, and IM03 of - 566.92 [14]. - For IC contracts, IC00 had an average daily basis of - 56.45, IC01 of - 109.06, IC02 of - 274.0, and IC03 of - 458.33 [14]. - For IF contracts, IF00 had an average daily basis of - 12.11, IF01 of - 25.64, IF02 of - 54.36, and IF03 of - 94.0 [14]. - For IH contracts, IH00 had an average daily basis of 0.46, IH01 of 0.61, IH02 of 1.85, and IH03 of 0.51 [14]. 4. Stock Index Futures Roll - over Point Differences and Annualized Costs - Data on IM roll - over point differences and their annualized costs are presented in relevant charts and tables, showing values at different time points [23][28]. - Data on IC roll - over point differences and their annualized costs are provided, including values like IC00 - 01, IC00 - 02, etc. at various times [24][25]. - Data on IF roll - over point differences and their annualized costs are given, with details at different time intervals [29]. - Data on IH roll - over point differences and their annualized costs are shown, including values such as IH00 - 01, IH00 - 02 at different times [26][27].

Report Summary 1. Report Industry Investment Rating No information about the report industry investment rating is provided in the content. 2. Core Viewpoints - The market's judgment of international relations tends to swing between extreme optimism and extreme pessimism, causing market sentiment to fluctuate. Market volatility may persist as it overreacts to fast - changing international relations while having relatively well - formed expectations for slow - changing variables like interest rates [4]. - China's Q3 GDP in 2025 grew by 4.8% year - on - year, meeting expectations and laying a good foundation for achieving the annual target. Industrial production rebounded significantly, but consumer spending, real estate, and fixed - asset investment were drags [4]. - After the release of the communiqué of the Fourth Plenary Session of the 20th CPC Central Committee, broad - based indexes rose, and the deepening of the management of local state - owned "three capitals" also boosted market sentiment this week [4]. - A - share trading volume further shrank to less than 2 trillion yuan per day, and the margin balance generally increased, with most of the outflows from last week being replenished. All indexes had similar weekly gains [4]. 3. Summaries by Relevant Catalogs 3.1. Stock Index Futures Basis Situation - **Basis Changes**: This week, the basis of each futures variety fluctuated less, and the overall discount narrowed compared to last week. By the end of this Friday, the annualized discounts of IF, IC, and IM converged to around 2.6%, 8.9%, and 11.4% respectively. The near - month contracts in the term structure moved down slightly, with little change overall, and diversified hedging can be maintained [5]. - **Basis Data Table**: Detailed data on the last week's basis, this week's basis, basis changes, and index - enhanced annualized returns for different contracts of IF, IH, IC, and IM are provided. For example, in the IF contracts, the basis of IF2511 changed from - 18.43 last week to - 12.28 this week, with a change of 6.15 and an index - enhanced annualized return of 4.7% [2]. - **Basis Considering Dividends**: Data on the closing price, basis considering dividends, expected total dividend points, and annualized premium/discount rate for different contracts of IF, IH, IC, and IM are presented. For instance, for the IF2511 contract, the closing price is 4648.40, the basis considering dividends is - 10.88, the expected total dividend points are 1.40, and the annualized discount rate is - 3.04% [6]. 3.2. Hedging Profits and Losses - **Hedging Profit and Loss Data Table**: Data on last week's and this week's hedging profits and losses for different contracts of IF, IH, IC, and IM are provided. For example, the hedging profit of IF2511 last week was 2.00, and this week it was - 6.15 [13]. - **Hedging Profit and Loss Charts**: Charts showing the 60 - trading - day cumulative hedging profits and losses for IF, IH, IC, and IM contracts are presented, visually reflecting the changes in hedging profits and losses [12].

1. Report Industry Investment Rating No information provided in the given content. 2. Core Viewpoints of the Report No clear core viewpoints are presented in the provided text. The report mainly presents data on index trends, the impact of sector movements on indices, and data related to stock index futures basis and roll - over point differentials. 3. Summary by Relevant Catalogs Index Trends - On October 22, the Shanghai Composite Index had a change of -0.07%, closing at 3913.76 points with a trading volume of 7415.25 billion yuan; the Shenzhen Component Index had a change of -0.62%, closing at 12996.61 points with a trading volume of 9263.32 billion yuan [1]. - The CSI 1000 Index had a change of -0.43%, with a trading volume of 3321.81 billion yuan, an opening price of 7304.96, a closing price of 7312.21, a high of 7349.8, and a low of 7278.71 [1]. - The CSI 500 Index had a change of -0.8%, with a trading volume of 2862.0 billion yuan, an opening price of 7135.21, a closing price of 7128.48, a high of 7166.56, and a low of 7101.83 [1]. - The SSE 50 Index had a change of 0.09%, with a trading volume of 1238.41 billion yuan, an opening price of 2987.35, a closing price of 3010.1, a high of 3015.17, and a low of 2987.35 [1]. - The SSE 300 Index had a change of -0.33%, with a trading volume of 4409.35 billion yuan, an opening price of 4576.03, a closing price of 4592.57, a high of 4603.49, and a low of 4567.24 [1]. Impact of Sector Movements on Indices - The CSI 1000 Index decreased by 31.84 points compared to the previous closing price. Sectors such as computer, non - ferrous metals, and electronics significantly pulled the index down [3]. - The CSI 500 Index decreased by 57.14 points compared to the previous closing price. Sectors such as non - ferrous metals, electronics, and power equipment significantly pulled the index down [3]. - The SSE 300 Index decreased by 15.3 points compared to the previous closing price. Sectors such as banks and household appliances pulled the index up, while non - ferrous metals, electronics, and power equipment pulled the index down [3]. - The SSE 50 Index increased by 2.84 points compared to the previous closing price. Sectors such as banks, electronics, and petroleum and petrochemicals pulled the index up, while national defense and military industry, pharmaceutical biology, and non - ferrous metals pulled the index down [3]. Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of -76.36, IM01 had -152.24, IM02 had -368.67, and IM03 had -578.19 [14]. - For IC contracts, IC00 had an average daily basis of -62.99, IC01 had -117.82, IC02 had -282.45, and IC03 had -459.31 [14]. - For IF contracts, IF00 had an average daily basis of -14.85, IF01 had -26.63, IF02 had -52.83, and IF03 had -89.76 [14]. - For IH contracts, IH00 had an average daily basis of -3.45, IH01 had -3.28, IH02 had -2.81, and IH03 had -4.66 [14]. Stock Index Futures Roll - over Point Differentials and Annualized Costs - For IM contracts, data on roll - over point differentials and their annualized costs at different times (e.g., 09:45, 10:00, etc.) are provided, such as at 09:45, IM00 - 01 was -73.02267, IM00 - 02 was -259.4522, etc. [26]. - For IC contracts, data on roll - over point differentials 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 IF contracts, data on roll - over point differentials 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. [27]. - For IH contracts, data on roll - over point differentials and their annualized costs at different times are provided, such as at 09:45, IH00 - 01 was 1.4593333, IH00 - 02 was 1.3637778, etc. [25].

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - Since 2020, the annualized hedging costs of stock index futures for the three major stock indices (SSE 50, CSI 300, and CSI 500) have been more significantly affected by stock dividends, especially on the expiration date [2]. - The hedging costs of the far - season contracts of SSE 50 and CSI 300 stock index futures have long been stable around zero, and are slightly higher than the break - even point in most periods. The cost of the far - season contracts of CSI 500 stock index futures also fluctuates around zero, and before 2023, it was overall superior to the contracts of SSE 50 and CSI 300 in terms of return performance, showing relatively better cost - return characteristics [2]. - Based on the prediction for the fourth quarter of 2025, under the current market structure, preferentially allocating hedging tools represented by IC stock index futures may be a better choice for constructing market - neutral strategies [2]. 3. Summary According to the Table of Contents 3.1. Introduction - In the practice of the stock market - neutral strategy, although the hedging means of the strategy portfolio have been significantly enriched, stock index futures are still the core hedging tool for constructing market - neutral exposure. The basis structure of stock index futures directly determines the hedging cost of the neutral strategy and affects the final return performance [6]. - The basis of stock index futures can be decomposed into three core driving dimensions: the cost dimension from the time value of funds, the cash - flow dimension from index component stock dividends during the period, and the sentiment and expectation dimension reflecting the balance of market long - and short - side forces. The model is simplified to: Futures price - Index price = Corrected basis - Index dividends during the period [6]. 3.2. Dividend Situations of the Three Major Index Component Stocks 3.2.1. Dividend Point Indices of the Three Major Stock Indices - The dividend behavior of the three major index component stocks has significant seasonal characteristics, with dividend payments highly concentrated from April to September each year, peaking from June to August, especially from June to July [8][12]. - Compared with the market practice before 2020, in recent years, the phenomenon of the three major index component stocks paying dividends in the fourth quarter has increased. Since 2023, the A - share market dividend pattern has shown three new trends: year - end dividends, postponed dividend dates for some companies, and a deeper impact of dividend behavior on stock index and derivatives pricing [9][12]. 3.2.2. Dividend Yield Situations of the Three Major Stock Indices - The dividend yields of the SSE 50 and CSI 300 indices showed a "V - shaped" trend of first decreasing and then increasing from 2020 to 2024, which is related to the market adjustment from the end of 2023 to the beginning of 2024. The dividend yield center of the CSI 500 index has shifted down compared with the level before 2020 [13][15]. - The average annual dividend yields of the SSE 50 and CSI 300 indices, representing large - cap blue - chip stocks, are stable in the range of 2% - 3%, while the average dividend yield of the CSI 500 index, representing small - and medium - cap stocks, is relatively low. The dividends from June to July have a significant impact on futures pricing and basis structure [15][16]. 3.3. Annualized Hedging Costs of the Three Major Stock Index Futures 3.3.1. Estimation of Historical Data of Annualized Hedging Costs of the Three Major Stock Index Futures - A simplified model is used to estimate the dividend points of index component stocks and calculate the corrected basis. The annualized hedging costs of the near - month, far - month, near - season, and far - season contracts of the three major stock index futures in the past three years are calculated [18][20]. - The hedging costs of the far - season contracts of SSE 50 and CSI 300 stock index futures are long - term stable around zero and slightly higher than the break - even point, with low historical average hedging costs. Before 2023, the far - season contracts of CSI 500 stock index futures were overall superior to those of SSE 50 and CSI 300 in terms of return performance [20]. - The annualized hedging cost of near - month contracts may show significant peaks, indicating that the basis of stock index futures contracts may fluctuate extremely (deep premium or discount) when approaching the expiration date, which affects the actual cost of roll - over operations and strategy returns [26]. 3.3.2. Prediction of the Performance of Annualized Hedging Costs of the Three Major Stock Index Futures in the Fourth Quarter - From the fourth quarter of 2025 to the beginning of 2026, the impact of dividends on the basis of stock index futures and hedging strategies has weakened. The hedging costs of the current IC and IF main contracts are generally positive, providing a favorable window for market - neutral strategies [27][28]. - Based on the closing data on September 22, 2025, the overall hedging costs of the three major stock index futures are relatively low. After considering dividends, most of the hedging costs of IC and IF contracts are positive, especially for IC near - month and far - month contracts. The hedging costs of IH contracts are relatively high and even negative after considering dividends [29][30]. - Currently, market - neutral strategies using IC or IF futures contracts for hedging have relative advantages. IC near - season main contracts have lower hedging costs, while IF far - season contracts have more obvious cost advantages. IH contracts have relatively low cost - performance. Therefore, preferentially allocating hedging tools represented by IC stock index futures may be a better choice [30][31].

Report Summary 1. Index Trends - On October 14th, the Shanghai Composite Index fell by 0.62% to close at 3865.23 points, with a trading volume of 1209.984 billion yuan; the Shenzhen Component Index dropped by 2.54% to 12895.11 points, with a trading volume of 1366.25 billion yuan [1]. - The CSI 1000 Index declined by 1.95% with a trading volume of 506.69 billion yuan; the CSI 500 Index decreased by 2.46% with a trading volume of 505.839 billion yuan; the SSE 50 Index decreased by 0.21% with a trading volume of 219.194 billion yuan; the CSI 300 Index decreased by 1.2% with a trading volume of 808.959 billion yuan [1]. 2. Impact of Sector Movements on Indexes - For the CSI 1000 Index, sectors such as power equipment, computer, and electronics significantly pulled the index down [2]. - For the CSI 500 Index, power equipment and electronics sectors significantly pulled the index down [2]. - For the CSI 300 Index, banks and food and beverage sectors pulled the index up, while non - ferrous metals, communication, and electronics sectors pulled it down [2]. - For the SSE 50 Index, banks, food and beverage, and non - bank finance sectors pulled the index up, while pharmaceutical biology, non - ferrous metals, and electronics sectors pulled it down [2]. 3. Stock Index Futures Basis and Annualized Opening Costs - IM00 had an average daily basis of - 44.75, IM01 of - 145.04, IM02 of - 231.03, and IM03 of - 452.67 [13]. - IC00 had an average daily basis of - 38.77, IC01 of - 120.78, IC02 of - 173.92, and IC03 of - 336.26 [13]. - IF00 had an average daily basis of - 9.29, IF01 of - 24.15, IF02 of - 38.68, and IF03 of - 60.55 [13]. - IH00 had an average daily basis of - 1.61, IH01 of - 6.62, IH02 of - 7.19, and IH03 of - 5.78 [13]. 4. Stock Index Futures Rollover Point Differences and Annualized Costs - For IM, specific data on rollover point differences and their annualized costs are presented in the report, such as IM00 - 01 having values like - 73.02267 at 09:45 [22]. - For IC, detailed rollover point differences and annualized costs are provided, e.g., IC00 - 01 was - 68.64222 at 09:45 [24]. - For IF, specific values of rollover point differences and annualized costs are given, for example, IF00 - 01 was - 12.31678 at 09:45 [26]. - For IH, the rollover point differences and annualized costs are also detailed, like IH00 - 01 being 0.707 at 09:45 [27].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report No clear core viewpoints are presented in the given text. The report mainly provides data on index trends, the impact of sector fluctuations on indices, futures basis, and futures rollover point differences. 3. Summary by Relevant Catalogs 3.1 Index Trends - On October 13th, the Shanghai Composite Index closed at 3889.5 points with a change of -0.19% and a trading volume of 1085.414 billion yuan; the Shenzhen Component Index closed at 13231.47 points with a change of -0.93% and a trading volume of 1269.327 billion yuan [1]. - The CSI 1000 Index had a change of -0.19% and a trading volume of 470.991 billion yuan, with an opening price of 7250.58, a closing price of 7519.76, a daily high of 7535.21, and a daily low of 7250.58 [1]. - The CSI 500 Index had a change of -0.29% and a trading volume of 473.286 billion yuan, with an opening price of 7135.1, a closing price of 7376.56, a daily high of 7391.82, and a daily low of 7135.1 [1]. - The SSE 50 Index had a change of -0.26% and a trading volume of 185.783 billion yuan, with an opening price of 2917.88, a closing price of 2967.21, a daily high of 2972.19, and a daily low of 2917.88 [1]. 3.2 Impact of Sector Fluctuations on Indices - The CSI 1000 Index rose -14.06 points compared to the previous closing price. Sectors such as electronics, non - ferrous metals, and national defense and military industry had a significant upward pull on the index, while sectors like machinery, pharmaceuticals, and automobiles had a downward pull [2]. - The CSI 500 Index rose -21.66 points compared to the previous closing price. Non - ferrous metals and electronics had an upward pull, while machinery, automobiles, and pharmaceuticals had a downward pull [2]. - The SSE 300 Index rose -22.85 points compared to the previous closing price. Non - ferrous metals and banks had an upward pull, while power equipment, pharmaceuticals, and non - bank finance had a downward pull [2]. - The SSE 50 Index rose -7.64 points compared to the previous closing price. Electronics, non - ferrous metals, and computers had an upward pull, while food and beverage, non - bank finance, and pharmaceuticals had a downward pull [2]. 3.3 Futures Basis and Annualized Opening Costs - For IM futures, IM00 had an average daily basis of -23.79, IM01 of -112.03, IM02 of -191.57, and IM03 of -414.08 [12]. - For IC futures, IC00 had an average daily basis of -15.26, IC01 of -87.02, IC02 of -132.55, and IC03 of -296.72 [12]. - For IF futures, IF00 had an average daily basis of -5.07, IF01 of -15.92, IF02 of -25.96, and IF03 of -45.99 [12]. - For IH futures, IH00 had an average daily basis of -1.73, IH01 of -4.12, IH02 of -4.67, and IH03 of -3.62 [12]. 3.4 Futures Rollover Point Differences and Annualized Costs - Details of the rollover point differences and their annualized costs for IM, IC, IF, and IH futures are provided in the corresponding tables, including data at different time points such as 09:45, 10:00, etc. [22][23][25][27].

Group 1: Report Overview - Report Title: Stock Index Hedging Weekly Report [1] - Report Date: October 10, 2025 [1] - Analysts: Yu Kan, Li Honglei [2] Group 2: Market Conditions - Policy: Before the National Day, the central bank's third - quarter regular meeting did not provide guidance on incremental relaxation measures. The focus was on supporting small and micro - enterprises and stabilizing foreign trade. The policy was prudent. In August, the profits of industrial enterprises above designated size increased by 20.4% year - on - year. In September, the Political Bureau meeting discussed the "15th Five - Year Plan," and the Fourth Plenary Session of the 20th Central Committee was to be held from October 20 - 23 [4]. - Overseas Events: During the National Day holiday, the depreciation of the yen and the rise of the US dollar index pushed up the price of gold. Domestic travel and consumption showed a mild recovery. A - share broad - based indexes were less responsive to overseas events [4]. - A - share Market: After the holiday, the Shanghai Composite Index broke through 3900 points, reaching a 10 - year high, but then had a sharp correction. The semiconductor sector had a large - scale adjustment. Leveraged funds were active, and the total A - share trading volume after the holiday rebounded to 2.5 trillion. Most broad - based indexes rose in the four trading days around the National Day. The CSI 500 rose by more than 2%, and the 50, 500, and 1000 indexes rose between 1 - 2%, while the ChiNext Index declined [4]. Group 3: Futures Basis - Basis Data: The basis of each futures variety fluctuated significantly in both directions recently. Compared with before the holiday, the basis of IH and IF changed little, while the discounts of IC and IM widened significantly. The annualized basis rates of IC and IM reached around 9% and 13% respectively. The term structure changed little. The 10 - month contract had a short remaining time, and position transfer could be carried out in advance [5]. - Specific Contract Basis: The report provided the basis data of IF, IH, IC, and IM contracts, including last week's basis, this week's basis, basis changes, and index - enhanced annualized returns. For example, for the IF2510 contract, last week's basis was - 6.29, this week's basis was - 3.03, the basis change was 3.26, and the index - enhanced annualized return was 4.3% [2]. - Basis after Considering Dividends: The report also presented the basis data after considering dividends for different contracts of the CSI 300, SSE 50, CSI 500, and CSI 1000, including closing prices, adjusted basis, expected total dividend points, and annualized premium/discount rates [6]. Group 4: Trading Volume and Open Interest - Trading Volume: This week, the average daily trading volume of IH was 66,712 lots, a 17.4% increase from the previous week; IF was 143,688 lots, a 5.3% increase; IC was 153,711 lots, a 4.0% increase; IM was 237,167 lots, an 8.2% decrease [5]. - Open Interest: This week, the open interest of IH was 105,743 lots, a 6.6% increase from the previous week; IF was 278,581 lots, a 6.3% increase; IC was 260,074 lots, a 5.4% increase; IM was 356,927 lots, a 1.5% increase [5]. Group 5: Hedging Profit and Loss - Hedging Profit and Loss Data: The report provided the hedging profit and loss data of IF, IH, IC, and IM contracts for last week and this week. For example, for the IF2510 contract, last week's hedging profit and loss was - 0.56, and this week's was - 3.26 [13].