报告类型 股指日评 日期 2025 年 11 月 21 日 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 ＃summary＃ 每日报告 一、行情回顾与后市展望 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 1.1 行情回顾： 11 月 20 日，万得全 A 再次缩量下跌，高开后一路震荡走低，收跌 0.66%，全 市超 7 成个股下跌；沪深 300、上证 50、中证 500、中证 1000 收盘分别下跌 0.51%、 0.40%、0.85%、0.63%，大盘蓝筹股表现更优。期货方面，IF、IH、IC、IM 主力 合约分别收跌 0.57%、0.28%、0.78%、0.47%，表现整体强于现货（按收盘价计算）。 | 表1:股指期货、现货 ...

（文章来源：每日经济新闻） 每经AI快讯，周四（11月20日）纽约尾盘，标普500股指期货最终下跌1.64%，道指期货跌0.83%，纳斯 达克100股指期货跌2.61%。罗素2000股指期货跌1.88%。 ...

Report Summary of Baocheng Futures Stock Index Futures Morning Report (November 20, 2025) 1. Report Industry Investment Rating - Not provided 2. Report's Core View - The short - term trend of the stock index is in a range - bound state due to the game between the profit - taking sentiment of funds and the expectation of policy benefits. In the medium and long term, the expectation of policy benefits and the trend of capital inflow into the stock market strongly support the stock index [1][5] 3. Summary by Related Content 3.1 Variety View Reference - Financial Futures Stock Index Sector - For IH2512, the short - term view is oscillatory, the medium - term view is strong, the intraday view is bullish, and the reference view is range - bound. The core logic is the game between the profit - taking intention of funds and the expectation of policy benefits [1] 3.2 Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - All stock indexes oscillated and sorted yesterday, with differentiated trends. IF and IH closed slightly higher, while IM and IC closed slightly lower. The total turnover of the Shanghai, Shenzhen, and Beijing stock markets was 1742.7 billion yuan, a decrease of 203.3 billion yuan from the previous day. Due to the weakening of policy increment signals in November and the increasing profit - taking sentiment when the stock index approaches the previous high, there is still a need for technical consolidation of the stock index. Currently, the stock index is in a short - term oscillatory period of the game between the fermentation rhythm of policy benefit expectations and the profit - taking rhythm of profitable funds. In the long - term, policy benefit expectations and the trend of capital inflow into the stock market support the stock index. In short, the short - term long - short game in the market has intensified, and the stock index will maintain range - bound in the short term [5]

Group 1 - The S&P 500 futures rose by 0.9% in early trading on Thursday in the Asia-Pacific region [1] - The Nasdaq futures increased by 1.4% [1] - The Russell 2000 futures gained 0.67% [1] - The Dow futures saw a rise of 0.3% [1]

1. Report Industry Investment Rating - No relevant information provided 2. Core View of the Report - A-share's Q3 reports showed good performance, supporting the market at the bottom However, multiple economic indicators in October weakened, indicating significant downward pressure on the economy and exerting pressure on the stock market After the disclosure of Q3 reports and with no major domestic meetings this month, the market has entered a vacuum period for macro data, performance, and policies Without clear trading guidance, the market is expected to move randomly, and stock index futures will remain volatile [2] 3. Summary by Relevant Catalogs 3.1 Futures Market - **Contract Prices**: IF (2512) at 4565.2 (+22.2), IH (2512) at 3011.0 (+16.6), IC (2512) at 7054.8 (-1.6), IM (2512) at 7298.2 (-31.0); IF (2511) at 4583.4 (+23.4), IH (2511) at 3018.0 (+17.4), IC (2511) at 7116.6 (-15.6), IM (2511) at 7390.4 (-38.6) [2] - **Contract Spreads**: IF - IH spread at 1565.4 (-0.6), IC - IF spread at 2533.2 (-50.0), IM - IC spread at 273.8 (-19.0), IC - IH spread at 4098.6 (-50.6), IM - IF spread at 2807.0 (-69.0), IM - IH spread at 4372.4 (-69.6) [2] - **Quarter - Month Spreads**: IF: -51.2 (-4.6) (current quarter - current month), -94.4 (-1.6) (next quarter - current month); IH: -11.6 (-2.2) (current quarter - current month), -21.8 (-2.4) (next quarter - current month); IC: -241.2 (+14.6) (current quarter - current month), -452.6 (+10.2) (next quarter - current month); IM: -321.6 (+7.2) (current quarter - current month), -551.8 (+6.0) (next quarter - current month) [2] - **Net Positions of Top 20**: IF: -22242.00 (-2488.0), IH: -13615.00 (-598.0), IC: -24823.00 (+1777.0), IM: -34271.00 (+1773.0) [2] 3.2 Spot Market - **Index Prices**: CSI 300 at 4588.29 (+20.1), SSE 50 at 3020.4 (+17.3), CSI 500 at 7122.8 (-28.3), CSI 1000 at 7387.2 (-60.9) [2] - **Basis**: IF basis at -23.1 (-9.9), IH basis at -9.3 (-3.9), IC basis at -67.9 (+3.3), IM basis at -89.0 (+7.3) [2] 3.3 Market Sentiment - **Trading Volume**: A - share trading volume at 17426.66 billion yuan (-2032.93 billion) [2] - **Margin Trading and Short Selling Balance**: 25027.10 billion yuan (+23.76 billion) [2] - **North - bound Trading**: 2181.73 billion yuan (+51.72 billion) [2] - **Repo Operations**: -1955.0 billion yuan (maturity), +3105.0 billion yuan (operation) [2] - **Main Capital Flow**: -993.93 billion yuan (-513.07 billion) [2] - **Rising Stock Ratio**: 21.97% (-1.43%) [2] - **Shibor**: 1.420% (-0.105%) [2] - **Option Prices and Volatility**: IO call option (2511) at 13.80 (-5.00), 13.57% (-2.11%) (implied volatility); IO put option (2511) at 34.20 (-15.20), 13.57% (-2.01%) (implied volatility) [2] - **CSI 300 Volatility**: 14.36% (+0.05%) [2] - **Volume PCR and Position PCR**: 71.29% (+0.08%), 79.93% (+2.07%) [2] 3.4 Market Strength - Weakness Analysis - **All A - shares**: 3.30 (+0.10) [2] - **Technical Aspect**: 2.20 (-0.10) [2] - **Funding Aspect**: 4.50 (+0.50) [2] 3.5 Industry News - Beijing introduced a plan to support and expand consumption, increasing financial support for new - energy vehicle consumption and encouraging credit to service - related businesses [2] - A - share major indices mostly declined, with small and medium - cap stocks weaker than large - cap blue - chips The Shanghai Composite Index rose 0.18%, the Shenzhen Component Index was flat, and the ChiNext Index rose 0.25% Trading volume in the two markets dropped significantly Over 4100 stocks fell, with most industry sectors declining [2] - In October, China's economic indicators such as imports, exports, fixed - asset investment, retail sales, and industrial added - value weakened, and the real estate market continued to decline M1 growth slowed more than M2, ending the five - month upward trend of the M1 - M2 gap [2] - In Q3 reports, the net profit growth rates of CSI 300, SSE 50, and CSI 500 accelerated compared to the semi - annual reports, and the net profit decline of CSI 1000 narrowed [2] 3.6 Key Points to Watch - China's 1 - year and 5 - year LPR on November 20 at 9:00 [3] - US September non - farm payrolls, unemployment rate, and labor participation rate on November 20 at 21:30 [3]

1. Report Title and Date - The report is titled "Stock Index Futures Data Daily Report" dated November 19, 2025 [1][2] 2. IM Index Analysis 2.1 Daily Quotes - The closing price of CSI 1000 was 7387.21, down 0.82%. The main contract of IM fell 0.42% to close at 7298.2 points. The total trading volume of the four IM contracts was 227,467 lots, an increase of 9,700 lots from the previous day; the total open interest was 364,139 lots, an increase of 2,119 lots from the previous day [4][5] 2.2 Basis and Other Indicators - The main contract of IM had a premium of -89.01 points, an increase of 7.29 points from the previous day; the annualized basis rate was -14.36%. The dividend impacts of the four IM contracts were 0.03 points, 0.91 points, 2.51 points, and 46.75 points respectively [5] 2.3 Position Analysis - The positions of major seats in different contracts (IM2511, IM2512, IM2603, IM2606) were detailed, including the trading volume, long positions, and short positions of each seat and their changes from the previous day [16][18][20] 3. IF Index Analysis 3.1 Daily Quotes - The closing price of CSI 300 was 4588.29, up 0.44%. The main contract of IF rose 0.49% to close at 4565.2 points. The total trading volume of the four IF contracts was 122,613 lots, an increase of 750 lots from the previous day; the total open interest was 272,167 lots, a decrease of 6,521 lots from the previous day [21][22] 3.2 Basis and Other Indicators - The main contract of IF had a premium of -23.09 points, a decrease of 9.9 points from the previous day; the annualized basis rate was -5.96%. The dividend impacts of the four IF contracts were 0.76 points, 1.85 points, 9.28 points, and 39.98 points respectively [22] 3.3 Position Analysis - The positions of major seats in different contracts (IF2511, IF2512, IF2603, IF2606) were detailed, including the trading volume, long positions, and short positions of each seat and their changes from the previous day [35][37][38] 4. IC Index Analysis 4.1 Daily Quotes - The closing price of CSI 500 was 7122.75, down 0.40%. The main contract of IC fell 0.02% to close at 7054.8 points. The total trading volume of the four IC contracts was 132,592 lots, a decrease of 1,848 lots from the previous day; the total open interest was 248,512 lots, a decrease of 5,507 lots from the previous day [40][41] 4.2 Basis and Other Indicators - The main contract of IC had a premium of -67.95 points, an increase of 3.27 points from the previous day; the annualized basis rate was -11.34%. The dividend impacts of the four IC contracts were 0.01 points, 0.56 points, 3.58 points, and 58.4 points respectively [41] 4.3 Position Analysis - The positions of major seats in different contracts (IC2511, IC2512, IC2603, IC2606) were detailed, including the trading volume, long positions, and short positions of each seat and their changes from the previous day [51][52][54] 5. IH Index Analysis 5.1 Daily Quotes - The closing price of SSE 50 was 3020.35, up 0.58%. The main contract of IH rose 0.55% to close at 3011 points. The total trading volume of the four IH contracts was 53,539 lots, a decrease of 1,220 lots from the previous day; the total open interest was 95,237 lots, a decrease of 2,454 lots from the previous day [56] 5.2 Basis and Other Indicators - The main contract of IH had a premium of -9.35 points, a decrease of 3.93 points from the previous day; the annualized basis rate was -3.66%. The dividend impacts of the four IH contracts were 0.4 points, 1.36 points, 9.41 points, and 28.13 points respectively [57] 5.3 Position Analysis - The positions of major seats in different contracts (IH2511, IH2512, IH2603, IH2606) were detailed, including the trading volume, long positions, and short positions of each seat and their changes from the previous day [73][75][77]

Report Summary 1. Report Industry Investment Rating No information provided in the report. 2. Core Viewpoints The report presents the daily data tracking of stock index futures on November 18, 2025, including the index trends, the impact of sector fluctuations on the indices, the basis and annualized opening costs of stock index futures, and the points differences in contract roll - overs and their annualized costs. 3. Summary by Sections Index Trends - On November 18, the Shanghai Composite Index fell 0.81% to close at 3939.81 points, with a trading volume of 790.949 billion yuan; the Shenzhen Component Index dropped 0.92% to 13080.49 points, with a trading volume of 1135.119 billion yuan [1]. - The CSI 1000 Index declined 1.0%, with a trading volume of 418.065 billion yuan; the CSI 500 Index decreased 1.17%, with a trading volume of 306.54 billion yuan; the SSE 50 Index dropped 0.3%, with a trading volume of 106.201 billion yuan; and the SSE 300 Index fell 0.65%, with a trading volume of 420.15 billion yuan [1]. Impact of Sector Fluctuations on Indices - The CSI 1000 Index dropped 74.98 points from the previous close, and sectors such as non - ferrous metals, basic chemicals, and power equipment significantly pulled the index down [3]. - The CSI 500 Index decreased 84.33 points from the previous close, and sectors like basic chemicals, non - ferrous metals, and power equipment had a significant downward pull on the index [3]. - The SSE 300 Index fell 29.86 points from the previous close, with the electronics sector pulling the index up and sectors such as non - ferrous metals and power equipment pulling it down [3]. - The SSE 50 Index dropped 9.05 points from the previous close, with the electronics and food and beverage sectors pulling the index up and sectors like non - bank finance, power equipment, and non - ferrous metals pulling it down [3]. Basis and Annualized Opening Costs of Stock Index Futures - For IM contracts, the average daily basis of IM00 was - 19.03, IM01 was - 118.81, IM02 was - 351.44, and IM03 was - 580.18 [14]. - For IC contracts, the average daily basis of IC00 was - 16.54, IC01 was - 92.61, IC02 was - 272.32, and IC03 was - 476.66 [14]. - For IF contracts, the average daily basis of IF00 was - 4.59, IF01 was - 21.49, IF02 was - 50.75, and IF03 was - 94.98 [14]. - For IH contracts, the average daily basis of IH00 was - 1.11, IH01 was - 6.98, IH02 was - 9.76, and IH03 was - 17.64 [14]. Points Differences in Contract Roll - Overs and Their Annualized Costs - Data on the points differences in contract roll - overs and their annualized costs for IM, IC, IF, and IH contracts are presented in the report, including the 15 - minute average points differences and the corresponding annualized costs at different time points [23][24][25].

每经AI快讯，11月19日，股指期货早盘收盘，沪深300股指期货（IF）主力合约涨0.17%，上证50股指期 货（IH）主力合约涨0.43%，中证500股指期货（IC）主力合约跌0.54%，中证1000股指期货（IM）主力 合约跌0.97%。 ...

Group 1: Report's Investment Rating - No investment rating is provided in the report. Group 2: Core Viewpoints - The short - term view of the stock index is range - bound, with intensified short - term long - short game. The medium - term view is strong. The intraday view is bullish. The overall situation is that the rhythm of policy - driven positive expectations and the rhythm of profit - taking by profit - making funds are in a short - term oscillation game. In the long - term, policy - driven positive expectations and the trend of capital inflow into the stock market strongly support the stock index [1][5]. Group 3: Summary by Relevant Catalogs Variety Viewpoint Reference - Financial Futures Stock Index Sector - For IH2512, the short - term view is oscillatory, the medium - term view is strong, the intraday view is bullish, and the reference view is range - bound. The core logic is the game between the willingness of funds to take profits and the expectation of policy benefits [1]. Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - For IF, IH, IC, and IM, the intraday view is bullish, the medium - term view is strong, and the reference view is range - bound. The core logic is that the stock indexes pulled back slightly yesterday, with the three - market turnover of 194.6 billion yuan, an increase of 1.56 billion yuan from the previous day. In the short - term, policy signals are weakening, geopolitical factors are increasing risk - aversion sentiment, and profit - taking willingness is rising as the stock index approaches the previous high, so there is a need for technical consolidation. In the long - term, policy - driven positive expectations and capital inflow trends support the stock index [5].

Report Industry Investment Rating - Not provided Core View - The stock index continued to adjust today, with relatively large declines in small and medium - cap stock indices. The market is currently dominated by the game between policy - driven positive expectations and the increasing willingness of funds to take profits. In the short - term, the news is relatively flat, and the signal of favorable policies is weakening, increasing the pressure for index correction. The decline in the Asia - Pacific market today has further increased the downward pressure on A - shares. The previously strong chemical and battery sectors have corrected, while the AI sector has strengthened, showing a high - to - low rotation. The basis of stock index futures shows differentiation. For IF, except for the next - quarter contract whose basis declined, the basis of other contracts converged. The basis of IH contracts declined, while the basis of IC and IM contracts rebounded significantly, breaking away from the historical percentile below 10%. The basis of stock index futures of stock indices with large declines for two consecutive days has strengthened significantly. Coupled with the slight rebound of the index in the late trading today, it indicates that there is support below, and the market sentiment is not completely pessimistic. In general, it is expected to continue to adjust in the short - term, but the expectation of favorable policies provides support at the bottom, and the downward space of the stock index is limited [5]. Market Review - The stock indices closed down collectively today, with the large - cap stock indices relatively more resilient. For example, the CSI 300 index closed down 0.65%. In terms of funds, the trading volume of the two markets increased by 1.5277 billion yuan. In the stock index futures market, IH declined with shrinking volume, while other varieties declined with increasing volume [3]. Important Information - The China - Germany High - Level Financial Dialogue was held in Beijing, reaching a number of achievements and consensuses, ending the trade tension. The favorite candidate for the Fed Chairman, Fed Governor Waller, supports a rate cut in December, while Fed Vice - Chairman Jefferson emphasizes a cautious and slow - paced policy [4]. Strategy Recommendation Futures Market Observation | | IF | IH | IC | IM | | --- | --- | --- | --- | --- | | Main contract intraday change (%) | -0.41 | -0.23 | -0.85 | -0.69 | | Trading volume (10,000 lots) | 12.1863 | 5.4759 | 13.444 | 21.7767 | | Trading volume change (10,000 lots) | 0.7571 | -0.2437 | 1.7523 | 2.044 | | Open interest (10,000 lots) | 27.8688 | 9.7691 | 25.4019 | 36.202 | | Open interest change (10,000 lots) | 0.5967 | -0.3423 | 0.8185 | 0.6867 | [6] Spot Market Observation | Name | Value | | --- | --- | | Shanghai Composite Index change (%) | -0.81 | | Shenzhen Component Index change (%) | -0.92 | | Ratio of rising to falling stocks | 0.31 | | Trading volume of the two markets (100 million yuan) | 1926.068 | | Trading volume change (100 million yuan) | 1.5277 | [7]