Group 1 - The main contract of CSI 300 stock index futures (IF) fell by 0.15% [1] - The main contract of SSE 50 stock index futures (IH) decreased by 0.25% [1] - The main contract of CSI 500 stock index futures (IC) increased by 0.35% [1] - The main contract of CSI 1000 stock index futures (IM) rose by 0.67% [1]

Report Summary 1. Index Trends - On July 15th, the Shanghai Composite Index decreased by 0.42% to close at 3505.0 points, with a trading volume of 646.852 billion yuan. The Shenzhen Component Index increased by 0.56% to close at 10744.56 points, with a trading volume of 965.196 billion yuan [1]. - The CSI 1000 Index decreased by 0.3%, with a trading volume of 347.378 billion yuan. The opening price was 6452.0, the closing price was 6442.83, the highest price was 6472.53, and the lowest price was 6381.56 [1]. - The CSI 500 Index decreased by 0.03%, with a trading volume of 246.077 billion yuan. The opening price was 6018.63, the closing price was 6018.76, the highest price was 6049.79, and the lowest price was 5973.8 [1]. - The SSE 50 Index decreased by 0.38%, with a trading volume of 79.806 billion yuan. The opening price was 2758.72, the closing price was 2747.23, the highest price was 2765.5, and the lowest price was 2731.32 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 Index decreased by 19.48 points compared to the previous closing price. Sectors such as Computer, Communication, and Medicine & Biology had a significant positive impact on the index, while sectors such as Utilities, Basic Chemicals, and Power Equipment had a significant negative impact [2]. - The CSI 500 Index decreased by 2.1 points compared to the previous closing price. Sectors such as Electronics, Computer, and Machinery had a significant positive impact on the index, while sectors such as Utilities, Non - Ferrous Metals, and Coal had a significant negative impact [2]. - The SSE 300 Index increased by 1.39 points compared to the previous closing price. Sectors such as Communication, Electronics, and Computer had a significant positive impact on the index, while sectors such as Food & Beverage, Non - Banking Finance, and Banking had a significant negative impact [2]. - The SSE 50 Index decreased by 10.58 points compared to the previous closing price. Sectors such as Computer and Medicine & Biology had a significant positive impact on the index, while sectors such as Food & Beverage, Non - Banking Finance, and Banking had a significant negative impact [2]. 3. Futures Basis and Annualized Opening Costs - For IM futures, the average daily basis for IM00 was - 12.73, IM01 was - 80.73, IM02 was - 150.28, and IM03 was - 328.84 [12]. - For IC futures, the average daily basis for IC00 was - 8.86, IC01 was - 64.74, IC02 was - 118.36, and IC03 was - 241.68 [12]. - For IF futures, the average daily basis for IF00 was - 8.45, IF01 was - 23.55, IF02 was - 35.98, and IF03 was - 68.25 [12]. - For IH futures, the average daily basis for IH00 was - 7.04, IH01 was - 10.23, IH02 was - 11.38, and IH03 was - 9.94 [12]. 4. Futures Roll - over Point Differences and Annualized Costs - The report provides data on the roll - over point differences and their annualized costs for IM, IC, IF, and IH futures at 15 - minute intervals from 09:45 to 15:00 [22][24][26].

投资咨询业务资格：证监许可【2011】1778 号 宝城期货股指期货早报（2025 年 7 月 16 日） ◼ 品种观点参考—金融期货股指板块 时间周期说明：短期为一周以内、中期为两周至一月 | 品种 | 短期 | 中期 | 日内 | 观点参考 | 核心逻辑概要 | | --- | --- | --- | --- | --- | --- | | IH2509 | 震荡 | 上涨 | 震荡偏强 | 震荡偏强 | 政策端利好预期构成较强支撑 | 备注： 1.有夜盘的品种以夜盘收盘价为起始价格，无夜盘的品种以昨日收盘价为起始价格，当日日盘收盘 价为终点价格，计算涨跌幅度。 2.跌幅大于 1%为下跌，跌幅 0~1%为震荡偏弱，涨幅 0~1%为震荡偏强，涨幅大于 1%为上涨。 3.震荡偏强/偏弱只针对日内观点，短期和中期不做区分。 核心逻辑：昨日各股指均震荡回调，不过全天呈现探底回升的走势。沪深京三市成交额 16350 亿元， 较上日放量 1541 亿元。目前股指反弹的主要逻辑是对下半年政策利好的预期，包括宏观需求托底预 期以及"反内卷"对相关行业利润率的提振。今年上半年 GDP 同比增速为 5.3%，整体上稳中有进， ...

研究员：聂嘉怡(股指) 021-60635735 niejiayi@ccb.ccbfutures.com 期货从业资格号：F03124070 研究员：何卓乔(宏观贵金属) 18665641296 hezhuoqiao@ccb.ccbfutures.com 期货从业资格号：F3008762 研究员：黄雯昕(宏观国债集运) 021-60635739 huangwenxin@ccb.ccbfutures.com 期货从业资格号：F3051589 宏观金融团队 请阅读正文后的声明 ＃summary＃ 每日报告 报告类型 股指日评 日期 2025 年 7 月 16 日 一、行情回顾与后市展望 1.1 行情回顾： 7 月 15 日，万得全 A 开盘后震荡回落，午后再度回升，收跌 0.20%，超 4000 支个股下跌；指数现货方面，沪深 300 指数收盘上涨 0.03%,上证 50、中证 500、 中证 1000 收盘分别下跌 0.38%、0.03%、0.30%。指数期货表现弱于现货，IF、IH、 IC、IM 主力合约分别收跌 0.13%、0.48%、0.07%、0.39%（按前一交易日收盘价为 基准计算）。 | 表1:股 ...

沪深300股指期货（IF）主力合约跌0.13%，上证50股指期货（IH）主力合约跌0.11%，中证500股指期 货（IC）主力合约涨0.04%，中证1000股指期货（IM）主力合约涨0.07%。 股指期货早盘开盘 ...

Report Industry Investment Rating - Not provided Core View - Economic fundamentals continue a weak recovery trend, with weak demand and investment and structural issues remaining. After the data release, the index declined to varying degrees and rebounded in the afternoon. The index is expected to continue adjusting in the short term, but the overall upward trend remains unchanged without obvious negative signals [6] Summary by Relevant Catalogs Market Review - Today, all stock indexes except the CSI 300 Index closed down. The trading volume of the two markets decreased by 2533.8 billion yuan, and the futures contracts all declined with reduced volume [4] Important Information - The People's Bank of China will continue to implement a moderately loose monetary policy. The year-on-year decline in commodity housing sales prices in all tiers of cities continued to narrow in June. China's economy grew 5.3% year-on-year in H1 2025. In H1 2025, national fixed asset investment increased by 2.8%. In June, total retail sales of consumer goods reached 4228.7 billion yuan, a year-on-year increase of 4.8%. From January to June, national real estate development investment was 4665.8 billion yuan, a year-on-year decrease of 11.2%. In June, the added value of industrial enterprises above the designated size increased by 6.8% year-on-year. Consumption policies will continue to be strengthened in H2 [5][7] Strategy Recommendation - Hold positions and wait and see [7] Futures Market Observation - The intraday price changes of IF, IH, IC, and IM futures contracts were -0.24%, -0.64%, -0.12%, and -0.55% respectively. The trading volumes were 124,297 lots, 61,294 lots, 100,711 lots, and 210,590 lots respectively, with a decrease of 44,249 lots, 19,958 lots, 34,305 lots, and 77,808 lots respectively compared to the previous day. The open interest was 267,331 lots, 97,479 lots, 231,202 lots, and 344,784 lots respectively, with an increase of 3,863 lots, 1,424 lots, 3,901 lots, and 18,183 lots respectively compared to the previous day [8] Spot Market Observation - The price change of the Shanghai Composite Index was -0.42%, and that of the Shenzhen Component Index was 0.56%. The ratio of rising stocks to falling stocks was 0.33. The trading volume of the two markets was 1612.048 billion yuan, a decrease of 1533.09 billion yuan compared to the previous day [8]

1. Index Trends - On July 14th, the Shanghai Composite Index rose 0.27% to close at 3519.65 points, with a trading volume of 623.102 billion yuan; the Shenzhen Component Index fell 0.11% to close at 10684.52 points, with a trading volume of 835.636 billion yuan [1] - The CSI 1000 Index rose 0.02%, with a trading volume of 302.637 billion yuan, opening at 6465.51, closing at 6462.31, with a daily high of 6474.93 and a low of 6443.56 [1] - The CSI 500 Index fell 0.1%, with a trading volume of 226.291 billion yuan, opening at 6033.18, closing at 6020.86, with a daily high of 6042.89 and a low of 6011.69 [1] - The SSE 50 Index rose 0.04%, with a trading volume of 90.039 billion yuan, opening at 2761.48, closing at 2757.81, with a daily high of 2774.23 and a low of 2757.81 [1] 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 1.21 points from the previous close. Machinery, power equipment, and automotive sectors significantly pulled the index up, while media, non - bank finance, and computer sectors pulled it down [2] - The CSI 500 rose - 6.22 points from the previous close. Pharmaceutical biology, machinery, and public utilities sectors significantly pulled the index up, while electronics, media, and non - bank finance sectors pulled it down [2] - The SSE 300 rose 2.86 points from the previous close. Banks, non - ferrous metals, and household appliances sectors significantly pulled the index up, while national defense and military industry, computer, and non - bank finance sectors pulled it down [2] - The SSE 50 rose 1.04 points from the previous close. Banks, pharmaceutical biology, and petroleum and petrochemical sectors significantly pulled the index up, while electronics, food and beverage, and non - bank finance sectors pulled it down [2] 3. Stock Index Futures Basis and Annualized Opening Costs - IM00 average daily basis was - 13.34, IM01 was - 80.4, IM02 was - 149.25, and IM03 was - 329.11 [12] - IC00 average daily basis was - 9.63, IC01 was - 64.69, IC02 was - 114.85, and IC03 was - 238.97 [12] - IF00 average daily basis was - 8.32, IF01 was - 22.73, IF02 was - 32.29, and IF03 was - 61.46 [12] - IH00 average daily basis was - 6.87, IH01 was - 10.48, IH02 was - 11.07, and IH03 was - 9.58 [12] 4. Stock Index Futures Roll - over Point Differences and Annualized Costs - The report provides detailed data on the roll - over point differences and their annualized costs for IM, IC, IF, and IH futures contracts at different time points from 09:45 to 15:00 [21][23][25]

Report Information - Report Title: Stock Index Futures Data Daily Report [1] - Report Date: July 14, 2025 [2] IM Futures Market Summary - IM main contract dropped 0.3% to close at 6302.2 points [5] - Total trading volume of four IM contracts was 132,782 lots, down 134,671 lots from the previous day; total open interest was 326,601 lots, down 28,320 lots [5] - IM main contract was at a discount of 160.11 points, down 18.81 points from the previous day; annualized basis rate was -13.64% [5] Daily Quotes | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 1000 | 6462.31 | 0.02% | 24,206 | -14% | 302.6 billion | -14% | - | - | - | | IM2507 | 6442.20 | -0.20% | 37,369 | -46% | 48.2 billion | -46% | 58,996 | -14,229 | 91 | | IM2508 | 6373.40 | -0.29% | 10,738 | -36% | 13.7 billion | -36% | 24,530 | 2,724 | 38 | | IM2509 | 6302.20 | -0.30% | 71,184 | -52% | 89.8 billion | -51% | 168,013 | -13,493 | 254 | | IM2512 | 6120.80 | -0.28% | 13,491 | -60% | 16.5 billion | -60% | 75,062 | -3,322 | 110 | [3] Basis and Premium/Discount | Contract | Closing Price | Maturity Date | Remaining Days | Dividend Value | Premium/Discount Points | Premium/Discount Rate | Annualized Premium/Discount Rate | | --- | --- | --- | --- | --- | --- | --- | --- | | Spot | 6462.31 | - | - | - | - | - | - | | Current Month | 6442.20 | 2025-07-18 | 4 | 4.00 | -20.11 | -0.3% | -22.8% | | Next Month | 6373.40 | 2025-08-15 | 32 | 8.58 | -88.91 | -1.5% | -15.4% | | First Quarter | 6302.20 | 2025-09-19 | 67 | 9.78 | -160.11 | -2.7% | -13.6% | | Second Quarter | 6120.80 | 2025-12-19 | 158 | 10.58 | -341.51 | -5.7% | -12.8% | [14] IF Futures Market Summary - IF main contract dropped 0.33% to close at 3985.8 points [24] - Total trading volume of four IF contracts was 80,048 lots, down 83,463 lots from the previous day; total open interest was 263,468 lots, down 19,160 lots [24] - IF main contract was at a discount of 31.87 points, down 10.46 points from the previous day; annualized basis rate was -4.29% [24] Daily Quotes | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 300 | 4017.67 | 0.07% | 20,792 | -21% | 32.14 billion | -28% | - | - | - | | IF2507 | 4009.00 | -0.29% | 28,382 | -47% | 34.2 billion | -47% | 49,850 | -12,573 | 72 | | IF2508 | 3995.40 | -0.30% | 6,951 | -23% | 8.3 billion | -23% | 15,737 | 2,405 | 23 | | IF2509 | 3985.80 | -0.33% | 37,589 | -56% | 45.0 billion | -56% | 150,188 | -8,205 | 216 | | IF2512 | 3955.20 | -0.41% | 7,126 | -56% | 8.5 billion | -56% | 47,693 | -787 | 68 | [23] Basis and Premium/Discount | Contract | Closing Price | Maturity Date | Remaining Days | Dividend Impact | Premium/Discount Points | Premium/Discount Rate | Annualized Premium/Discount Rate | | --- | --- | --- | --- | --- | --- | --- | --- | | Spot | 4017.67 | - | - | - | - | - | - | | Current Month | 4009.00 | 2025-07-18 | 4 | 8.71 | -8.67 | -0.2% | -15.8% | | Next Month | 3995.40 | 2025-08-15 | 32 | 16.71 | -22.27 | -0.6% | -6.2% | | First Quarter | 3985.80 | 2025-09-19 | 67 | 19.57 | -31.87 | -0.8% | -4.3% | | Second Quarter | 3955.20 | 2025-12-19 | 158 | 19.57 | -62.47 | -1.6% | -3.6% | [32] IC Futures Market Summary - IC main contract dropped 0.39% to close at 5897.6 points [41] - Total trading volume of four IC contracts was 66,406 lots, down 57,299 lots from the previous day; total open interest was 227,301 lots, down 14,672 lots [41] - IC main contract was at a discount of 123.26 points, down 16.58 points from the previous day; annualized basis rate was -11.22% [42] Daily Quotes | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 500 | 6020.86 | -0.10% | 18,928 | -15% | 22.63 billion | -14% | - | - | - | | IC2507 | 6008.40 | -0.30% | 28,123 | -42% | 3.38 billion | -42% | 52,714 | -13,063 | 76 | | IC2508 | 5951.40 | -0.36% | 9,438 | -16% | 1.13 billion | -16% | 22,340 | 3,845 | 32 | | IC2509 | 5897.60 | -0.39% | 22,467 | -53% | 2.66 billion | -53% | 94,404 | -4,713 | 134 | | IC2512 | 5774.60 | -0.43% | 6,378 | -61% | 0.74 billion | -61% | 57,843 | -741 | 80 | [41] Basis and Premium/Discount | Contract | Closing Price | Maturity Date | Remaining Days | Dividend Value | Premium/Discount Points | Premium/Discount Rate | Annualized Premium/Discount Rate | | --- | --- | --- | --- | --- | --- | --- | --- | | Spot | 6020.86 | - | - | - | - | - | - | | Current Month | 6008.40 | 2025-07-18 | 4 | 2.37 | -12.46 | -0.2% | - | | Next Month | 5951.40 | 2025-08-15 | 32 | 10.36 | -69.46 | -1.2% | - | | First Quarter | 5897.60 | 2025-09-19 | 67 | 12.06 | -123.26 | -2.0% | -11.2% | | Second Quarter | 5774.60 | 2025-12-19 | 158 | 18.61 | -246.26 | -4.1% | - | [45] IH Futures Market Summary - IH main contract dropped 0.5% to close at 2747.4 points [56] - Total trading volume of four IH contracts was 41,336 lots, down 49,239 lots from the previous day; total open interest was 96,055 lots, down 14,582 lots [56] - IH main contract was at a discount of 10.41 points, down 5.24 points from the previous day; annualized basis rate was -2.03% [57] Daily Quotes | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 2757.81 | 0.04% | 5,149 | -33% | 9.00 billion | -38% | - | - | - | | IH2507 | 2751.80 | -0.46% | 14,360 | -49% | 1.19 billion | -49% | 24,607 | -6,696 | 24 | | IH2508 | 2748.60 | -0.53% | 2,702 | -28% | 0.22 billion | -28% | 4,169 | 221 | 4 | | IH2509 | 2747.40 | -0.50% | 21,777 | -58% | 1.80 billion | -58% | 56,656 | -7,554 | 56 | | IH2512 | 2750.00 | -0.48% | 2,497 | -61% | 0.21 billion | -61% | 10,623 | -553 | 11 | [56] Basis and Premium/Discount | Contract | Closing Price | Maturity Date | Remaining Days | Dividend Value | Premium/Discount Points | Premium/Discount Rate | Annualized Premium/Discount Rate | | --- | --- | --- | --- | --- | --- | --- | --- | | Spot | 2757.81 | - | - | - | - | - | - | | Current Month | 2751.80 | 2025-07-18 | 4 | 7.91 | -6.01 | -0.2% | -15.9% | | Next Month | 2748.60 | 2025-08-15 | 32 | 11.36 | -9.21 | -0.3% | -3.7% | | First Quarter | 2747.40 | 2025-09-19 | 67 | 12.15 | -10.41 | -0.4% | -2.0% | | Second Quarter | 2750.00 | 2025-12-19 | 158 | 12.15 | -7.81 | -0.3% | -0.7% | [64]

Report Overview - Report Date: July 14, 2025 [1] - Report Team: Research Center's Macro Team Global Asset Market Performance 10 - Year Treasury Yields of Major Economies - On July 11, 2025, yields varied widely: US (4.411%), UK (4.621%), etc [2]. - Latest changes ranged from 0.002% (Greece) to 0.060% (US). - One - week changes were between 0.044% (Switzerland) and 0.134% (France). - One - month changes spanned from 0.010% (US) to 0.190% (Germany). - One - year changes varied from - 0.412% (Italy) to 0.450% (UK). 2 - Year Treasury Yields of Major Economies - As of July 11, 2025, yields were as follows: US (3.860%), UK (3.851%), etc [2]. - Latest changes were from - 0.040% (US) to 0.025% (Australia). - One - week changes ranged from - 0.019% (South Korea) to 0.128% (Australia). - One - month changes were between - 0.083% (UK) and 0.140% (Australia). - One - year changes varied from - 1.352% (Italy) to 0.421% (Japan). Dollar Exchange Rates Against Major Emerging Economies' Currencies - On July 11, 2025, exchange rates were: Brazil (5.560), South Africa (17.942), etc [2]. - Latest changes were from 0.10% (Malaysian ringgit) to 1.10% (South African rand). - One - week changes ranged from 0.10% (Malaysian ringgit) to 2.56% (Brazilian real). - One - month changes were between - 0.02% (South African rand) and 2.56% (Brazilian real). - One - year changes varied from - 11.58% (Thai baht) to 0.12% (Brazilian real). Stock Indices of Major Economies - On July 11, 2025, indices included: S&P 500 (6259.750), Dow Jones (44371.510), etc [2]. - Latest changes were from - 0.94% (Spanish index) to 0.60% (Indian index). - One - week changes ranged from - 2.39% (Mexican index) to 3.98% (South Korean index). - One - month changes were between - 1.66% (Indian index) and 6.07% (Nasdaq). - One - year changes varied from - 4.91% (Malaysian index) to 32.01% (German DAX). Credit Bond Indices - Latest changes in credit bond indices were from - 0.49% (US investment - grade) to - 0.03% (Eurozone high - yield) [2][3] - One - week changes ranged from - 0.62% (US investment - grade) to 0.26% (Eurozone high - yield) - One - month changes were between 0.32% (Eurozone investment - grade) and 1.62% (emerging economies high - yield) - One - year changes varied from 5.51% (US investment - grade) to 14.46% (emerging economies high - yield) Stock Index Futures Trading Data Index Performance - Closing prices on July 11, 2025: A - share (3510.18), CSI 300 (4014.81), etc [4] - Percentage changes were from - 0.01% (SSE 50) to 0.80% (ChiNext) Valuation - PE (TTM) values: CSI 300 (13.31), SSE 50 (11.39), etc -环比变化 were from - 0.09% (S&P 500) to 0.21% (CSI 500) Risk Premium - 1/PE - 10 - year interest rate values: S&P 500 (- 0.65), German DAX (2.10) -环比变化 were from - 0.04% (S&P 500) to 0.02% (German DAX) Fund Flows - Latest values: A - shares (75.13), Main Board (- 50.13), etc - 5 - day average values were from - 178.82 (A - shares) to 48.76 (CSI 300) Trading Volume - Latest trading volumes: Shanghai and Shenzhen markets (17121.19), CSI 300 (4437.81), etc -环比变化 were from 184.64 (Small - and Medium - sized Board) to 959.44 (CSI 300) Main Contract Basis - Basis values: IF (- 21.41), IH (- 5.17), IC (- 4.08) - Basis percentages were from - 0.53% (IF) to - 0.07% (IC) Treasury Bond Futures Trading Data - Closing prices on July 11, 2025: T00 (108.830), TF00 (105.995), etc [5] - Percentage changes were from - 0.22% (T01) to - 0.15% (TF01) - Funding rates: R001 (1.4038%), R007 (1.5086%), SHIBOR - 3M (1.5570%) - Daily changes in basis points were from - 12.00 (R001) to 0.00 (SHIBOR - 3M)

沪深300股指期货（IF）主力合约跌0.09%，上证50股指期货（IH）主力合约跌0.22%，中证500股指期 货（IC）主力合约涨0.04%，中证1000股指期货（IM）主力合约涨0.12%。 股指期货早盘开盘 ...