报告类型 股指日评 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 日期 2025 年 11 月 18 日 研究员：聂嘉怡(股指) 021-60635735 niejiayi@ccb.ccbfutures.com 期货从业资格号：F03124070 一、行情回顾与后市展望 1.1 行情回顾： 11 月 17 日，万得全 A 缩量下跌，开盘震荡回落，尾盘有所修复，收跌 0.15%； 沪深 300、上证 50、中证 500 收盘分别下跌 0.65%、0.87%、0.00%，中证 1000 收 盘上涨 0.27%，中小盘股表现更优。期货方面，期货表现强于现货，IF、IH 主力 合约分别收跌 0.41%、0.70%，IC、IM 主力合约分别收涨 0.08%、0.30%（按收盘 价计算）。 | 表1:股指期 ...

| 11/20 9:00 中国11月1年期、5年期LPR | | | --- | --- | | 11/20 21:30 美国9月非农就业数据、失业率、劳动参与率 | | | 重点关注 | | | 数据来源第三方，观点仅供参考。市场有风险，投资需谨慎！ | 备注：IF:沪深300 IH:上证50 IC:中证500 IM：中证1000 IO:沪深300期权 | | | 研究员: 廖宏斌 | 股指期货全景日报 2025/11/18 | 项目类别 | 数据指标 IF主力合约（2512） | 最新 4555.0 | 环比 数据指标 -18.8↓ IF次主力合约（2511） | 最新 4569.6 | 环比 -20.0↓ | | --- | --- | --- | --- | --- | --- | | | IH主力合约（2512） | 2997.6 | -6.8↓ IH次主力合约（2511） | 3003.6 | -5.0↓ | | | IC主力合约（2512） | 7079.8 | -61.0↓ IC次主力合约（2511） | 7152.8 | -62.4↓ | | | IM主力合约（2512） | 7351.8 ...

Report Industry Investment Rating - Not provided in the given content Core Viewpoints - Not provided in the given content Summary by Relevant Catalogs Index Trends - On November 17th, the Shanghai Composite Index had a change of -0.46%, closing at 3972.03 points with a trading volume of 805.733 billion yuan; the Shenzhen Component Index had a change of -0.11%, closing at 13202.0 points with a trading volume of 1105.058 billion yuan [1] - The CSI 1000 Index had a change of 0.27% with a trading volume of 391.318 billion yuan, opening at 7514.84, closing at 7523.08, with a daily high of 7544.72 and a low of 7487.81 [1] - The CSI 500 Index had a change of -0.0% with a trading volume of 310.823 billion yuan, opening at 7248.92, closing at 7235.35, with a daily high of 7262.33 and a low of 7202.59 [1] - The SSE 50 Index had a change of -0.87% with a trading volume of 111.805 billion yuan, opening at 3033.02, closing at 3012.07, with a daily high of 3037.23 and a low of 3001.2 [1] - The SSE 300 Index had a change of -0.65% with a trading volume of 438.94 billion yuan, opening at 4616.81, closing at 4598.05, with a daily high of 4624.9 and a low of 4580.26 [1] Impact of Sector Movements on Indexes - The CSI 1000 rose 20.32 points compared to the previous closing price. Sectors such as computer, national defense and military industry, and electronics significantly pulled the index up, while household appliances, non - ferrous metals, and pharmaceutical biology significantly pulled it down [3] - The CSI 500 rose -0.11 points compared to the previous closing price. Sectors like electronics, computer, and national defense and military industry significantly pulled the index up, while non - ferrous metals, non - bank finance, and pharmaceutical biology significantly pulled it down [3] - The SSE 300 rose -30.09 points compared to the previous closing price. Sectors such as non - bank finance, banks, and power equipment significantly pulled the index down [3] - The SSE 50 rose -26.36 points compared to the previous closing price. The food and beverage sector significantly pulled the index up, while non - bank finance, banks, and non - ferrous metals significantly pulled it down [3] Stock Index Futures Basis and Annualized Opening Costs Converted from Basis - For IM contracts, IM00 had an average basis of -21.95, IM01 had -118.56, IM02 had -352.6, and IM03 had -581.2 [13] - For IC contracts, IC00 had an average basis of -16.93, IC01 had -90.6, IC02 had -268.85, and IC03 had -470.92 [13] - For IF contracts, IF00 had an average basis of -4.62, IF01 had -20.83, IF02 had -48.63, and IF03 had -89.89 [13] - For IH contracts, IH00 had an average basis of -0.69, IH01 had -5.36, IH02 had -7.48, and IH03 had -13.7 [13] Stock Index Futures Roll - over Point Differences and Their Annualized Costs - For IM contracts, data on roll - over point differences and their converted annualized costs at different time points from 09:45 to 15:00 are provided, such as at 09:45, IM00 - 01 was -73.02267 [24][25] - For IC contracts, data on roll - over point differences and their converted annualized costs at different time points from 09:45 to 15:00 are provided, like at 09:45, IC00 - 01 was -68.64222 [27] - For IF contracts, data on roll - over point differences and their converted annualized costs at different time points from 09:45 to 15:00 are provided, for example, at 09:45, IF00 - 01 was -12.31678 [27] - For IH contracts, data on roll - over point differences and their converted annualized costs at different time points from 09:45 to 15:00 are provided, say at 09:45, IH00 - 01 was 0.707 [29]

（文章来源：每日经济新闻） 每经AI快讯，周一（11月17日）纽约尾盘，标普500股指期货最终下跌0.85%，道指期货跌1.10%，纳斯 达克100股指期货跌0.76%。罗素2000股指期货跌2.06%。 ...

Report Summary 1. Report Industry Investment Rating - No information provided on the report industry investment rating. 2. Core View of the Report - A - share three - quarterly reports performed well, providing bottom support for the market. However, multiple economic indicators in October showed weakness, indicating significant downward pressure on the economy and putting pressure on the stock market. After the disclosure of the A - share three - quarterly reports and with no major domestic meetings this month, and after the release of macro - economic data, the market will enter a vacuum period of macro - data, performance, and policies. In the absence of 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 Data - **Futures Contract Prices**: IF, IH, IC, and IM main and secondary contracts all declined. For example, the IF main contract (2512) was at 4581.4, down 41.0; the IH main contract (2512) was at 3009.2, down 34.0 [2]. - **Futures Contract Spreads**: Most spreads increased, such as the IF - IH monthly contract spread which was 1581.8, up 1.8; the IC - IF monthly contract spread was 2620.0, up 26.0 [2]. - **Futures Seasonal - Monthly Spreads**: Some spreads decreased, like the IF seasonal - monthly spread was - 43.4, down 1.8; some increased, such as the IH seasonal - monthly spread which was - 6.6, up 1.6 [2]. - **Futures Net Positions**: The net positions of the top 20 in IF, IH, IC, and IM all decreased. For example, the IF top 20 net position was - 23,624.00, down 1014.0 [2]. 3.2 Spot Market Data - **Spot Index Prices**: The Shanghai - Shenzhen 300 was at 4598.05, down 30.1; the Shanghai Composite 50 was at 3012.1, down 26.4; the CSI 500 was at 7235.4, down 0.1; the CSI 1000 was at 7523.1, up 20.3 [2]. - **Futures - Spot Basis**: The basis of IF, IH, IC, and IM main contracts all increased. For example, the IF main contract basis was - 16.6, up 11.1 [2]. 3.3 Market Sentiment Data - **Trading Volume and Margin Trading**: A - share trading volume was 19,303.21 billion yuan, down 500.61 billion yuan; the margin trading balance was 24,927.04 billion yuan, down 138.30 billion yuan [2]. - **North - bound Trading and Repurchase**: North - bound trading volume was 2098.22 billion yuan, down 155.99 billion yuan; the repurchase balance was - 1199.0 billion yuan, up 10830.0 billion yuan [2]. - **Other Indicators**: The proportion of rising stocks was 47.43%, up 11.44%; the Shibor was 1.508%, up 0.145% [2]. 3.4 Market Strength - Weakness Analysis - **Wind Market Analysis**: The overall A - share score was 4.70, up 1.00; the technical analysis score was 4.70, up 1.20; the capital analysis score was 4.60, up 0.70 [2]. 3.5 Industry News - **Economic Data**: In October, China's industrial added value of large - scale industries increased by 4.9% year - on - year, with a month - on - month increase of 0.17%. From January to October, it increased by 6.1% year - on - year. Social consumer goods retail sales in October were 46291 billion yuan, a year - on - year increase of 2.9%. From January to October, it was 412169 billion yuan, a year - on - year increase of 4.3%. From January to October, national fixed - asset investment was 408914 billion yuan, a year - on - year decrease of 1.7%. The real estate development investment decreased by 14.7% year - on - year, the sales area of new commercial housing decreased by 6.8% year - on - year, and the sales volume decreased by 9.6% year - on - year. In October, the real estate development climate index was 92.43 [2]. - **Financial Data**: At the end of October, the stock of social financing scale was 437.72 trillion yuan, a year - on - year increase of 8.5%. The cumulative increase in social financing scale in the first 10 months was 30.9 trillion yuan, 3.83 trillion yuan more than the same period last year. The M2 balance was 335.13 trillion yuan, a year - on - year increase of 8.2%; the M1 balance was 112 trillion yuan, a year - on - year increase of 6.2% [2]. 3.6 Key Data to Watch - On November 20 at 9:00, China's 1 - year and 5 - year LPR will be released. On November 20 at 21:30, the US September non - farm payrolls data, unemployment rate, and labor participation rate will be released [3].

Report Information - Report Title: Stock Index Futures Data Daily Report [1] - Report Date: November 17, 2025 [2] IM Futures Daily Quotes - The CSI 1000 index closed at 7,523.08, up 0.27%. The total trading volume of the four IM contracts was 197,327 lots, an increase of 4,748 lots from the previous day, and the total open interest was 355,153 lots, a decrease of 2,069 lots [4][5]. - The main contract of IM fell 0.26% to close at 7,394.4 points, with a discount of 128.68 points to the spot, an increase of 2.08 points from the previous day, and an annualized basis rate of -19.25% [4][5]. Basis and Premium Analysis - The spot price of CSI 1000 was 7,523.08. The current month contract (IM2511) had a closing price of 7,495.40, a discount of 27.68 points, a premium rate of -0.4%, and an annualized premium rate of -27.0% [4][10]. - The next month contract (IM2512) had a closing price of 7,394.40, a discount of 128.68 points, a premium rate of -1.8%, and an annualized premium rate of -19.2% [4][10]. Position Analysis - In the IM2511 contract, the top five members in terms of trading volume were CITIC Futures (on behalf of clients) with 43,025 lots, an increase of 838 lots from the previous day [15]. - The top five members in terms of long positions were CITIC Futures (on behalf of clients) with 27,938 lots, an increase of 555 lots from the previous day [15]. IF Futures Daily Quotes - The CSI 300 index closed at 4,598.05, down 0.65%. The total trading volume of the four IF contracts was 114,292 lots, an increase of 4,303 lots from the previous day, and the total open interest was 272,721 lots, an increase of 7,845 lots [20][21]. - The main contract of IF fell 0.89% to close at 4,581.4 points, with a discount of 16.65 points to the spot, an increase of 11.09 points from the previous day, and an annualized basis rate of -4.02% [20][21]. Basis and Premium Analysis - The spot price of CSI 300 was 4,598.05. The current month contract (IF2511) had a closing price of 4,595.80, a discount of 2.25 points, a premium rate of 0.0%, and an annualized premium rate of -3.6% [20][29]. - The next month contract (IF2512) had a closing price of 4,581.40, a discount of 16.65 points, a premium rate of -0.4%, and an annualized premium rate of -4.0% [20][29]. Position Analysis - In the IF2511 contract, the top five members in terms of trading volume were CITIC Futures (on behalf of clients) with 11,581 lots, an increase of 1,705 lots from the previous day [33]. - The top five members in terms of long positions were CITIC Futures (on behalf of clients) with 6,716 lots, an increase of 974 lots from the previous day [33]. IC Futures Daily Quotes - The CSI 500 index closed at 7,235.35, unchanged. The total trading volume of the four IC contracts was 116,917 lots, an increase of 305 lots from the previous day, and the total open interest was 245,834 lots, an increase of 816 lots [39][40]. - The main contract of IC fell 0.5% to close at 7,143.4 points, with a discount of 91.95 points to the spot, an increase of 6.11 points from the previous day, and an annualized basis rate of -14.24% [39][40]. Basis and Premium Analysis - The spot price of CSI 500 was 7,235.35. The current month contract (IC2511) had a closing price of 7,215.80, a discount of 19.55 points, a premium rate of -0.3%, and an annualized premium rate of -19.8% [39][47]. - The next month contract (IC2512) had a closing price of 7,143.40, a discount of 91.95 points, a premium rate of -1.3%, and an annualized premium rate of -14.2% [39][47]. Position Analysis - In the IC2511 contract, the top five members in terms of trading volume were CITIC Futures (on behalf of clients) with 27,479 lots, an increase of 1,905 lots from the previous day [53]. - The top five members in terms of long positions were CITIC Futures (on behalf of clients) with 20,098 lots, an increase of 663 lots from the previous day [53]. IH Futures Daily Quotes - The SSE 50 index closed at 3,012.07, down 0.87%. The total trading volume of the four IH contracts was 57,196 lots, an increase of 8,963 lots from the previous day, and the total open interest was 101,114 lots, an increase of 3,993 lots [59]. - The main contract of IH fell 1.12% to close at 3,009.2 points, with a discount of 2.87 points to the spot, an increase of 5.16 points from the previous day, and an annualized basis rate of -1.06% [59][60]. Basis and Premium Analysis - The spot price of SSE 50 was 3,012.07. The current month contract (IH2511) had a closing price of 3,014.00, a premium of 1.93 points, a premium rate of 0.1%, and an annualized premium rate of 4.7% [59][70]. - The next month contract (IH2512) had a closing price of 3,009.20, a discount of 2.87 points, a premium rate of -0.1%, and an annualized premium rate of -1.1% [59][70]. Position Analysis - In the IH2511 contract, the top five members in terms of trading volume were CITIC Futures (on behalf of clients) with 11,045 lots, an increase of 1,777 lots from the previous day [74]. - The top five members in terms of long positions were CITIC Futures (on behalf of clients) with 6,266 lots, an increase of 35 lots from the previous day [74].

Report Title - The Weekly Report on Stock Index Futures by Caida Futures [1][2] Report Date - November 17, 2025 [2] Researcher - Name: Li Jinwen; Qualification Number: F0244287; Investment Consulting Number: Z0012495 [3] Report Core View - The stock index futures showed a pattern of rising and then falling last week and still need consolidation. The market may continue to fluctuate in the short - term to digest pressure and accumulate momentum [3][4][6] Market Review Stock Index Futures - Last week, the four stock index futures showed a pattern of rising and then falling, with relatively large adjustments in CSI 300 and CSI 500. The basis of all four futures varieties changed little, and all the main contracts remained in the futures discount mode. The futures - spot basis of the main contracts were: IH at - 8.03, IF at - 27.74, IC at - 98.06, and IM at - 130.76 [4] A - share Market - The A - share market last week featured "index range - bound fluctuations, accelerated structural rotation, and cautious capital preference". The stable economic operation provided bottom support, but the fluctuations of some data restricted the upward space of the index. By the end of Friday, the main stock indices generally declined slightly, and trading volume continued to shrink slightly. There was still a differentiation in the sector structure, and capital quickly switched between policy - beneficiary sectors and low - valuation sectors. After the impact of the third - quarter reports faded, the market pricing logic gradually shifted to next year's performance expectations and policy - beneficiary directions. Overall, capital risk preference converged, and more attention was paid to the safety margin and sustainability of prosperity in structural selection [4] Comprehensive Analysis Macroeconomic Situation - The release of October's macro - economic data was the main focus of the market. On November 14, it was announced that the national economy continued to develop steadily: industrial production and the service industry remained stable; market sales continued to expand; and the employment situation was generally stable. In October, the year - on - year CPI changed from a 0.3% decline last month to a 0.2% increase, and the year - on - year decline of PPI narrowed for the third consecutive month to 2.1%, indicating the initial signs of domestic demand recovery. Meanwhile, the interpretation of the "15th Five - Year Plan" continued, and the market continuously discussed the future industrial policies and measures to expand domestic demand [5][6] Market Outlook - The October economic data further confirmed the resilience of China's economic recovery, especially the marginal improvement in prices helped stabilize market expectations. However, the full recovery of effective demand still requires more time and policy support. In this context, the market may continue to fluctuate in the short - term to digest pressure and accumulate momentum [6]

1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints of the Report - Short - term, the stock index will mainly show range - bound fluctuations. The short - term market is likely to fluctuate repeatedly as the rhythm of the game between the expectation of policy benefits and the profit - taking of profitable funds determines the short - term market. In the medium - term, the stock index is strong, supported by the expectation of policy benefits and the trend of capital inflow into the stock market [1][5]. 3. Summaries According to Related Catalogs 3.1 Variety Viewpoint Reference - Financial Futures Stock Index Sector - For IH2512, the short - term view is "oscillation", the medium - term view is "strong", the intraday view is "bullish", and the reference view is "range - bound oscillation". The core logic is the game between the willingness of funds to take profits and the expectation of policy benefits [1]. 3.2 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 oscillation". Last week, each stock index showed an oscillatory consolidation trend, and it dropped significantly on Friday. As the stock index rebounded to near the previous high yesterday, combined with the weakening of domestic investment and consumption data and the cooling of overseas AI technology stocks, some investors' willingness to take profits increased, leading to a technical correction of the stock index. In the long - run, the expectation of policy benefits and the trend of capital inflow into the stock market strongly support the upward movement of the stock index [5].

报告类型 股指日评 日期 2025 年 11 月 14 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 11 月 13 日，万得全 A 放量上涨，开盘震荡上行，午后小幅回落后再度走高， 收涨 1.33%；沪深 300、上证 50、中证 500、中证 1000 收盘分别上涨 1.21%、0.96%、 1.55%、1.39%，中小盘股表现更优。期货方面，IF、IH 主力合约分别收涨 1.06%、 0.85%，表现弱于现货，IC、IM 主力合约分别收涨 1.59%、1.47%，表现强于现货 （按收盘价计算）。 | 表1:股指期货、现货行情数据 | | --- | 资料来源：Wind，建信期货研究发展部 huangwenxin@ccb.ccbfutures.com 期货从业资格号：F3051589 宏观金融团队 请阅读 ...

1. Index Movements - On November 13th, the Shanghai Composite Index rose 0.73% to close at 4029.5 points with a trading volume of 876.401 billion yuan; the Shenzhen Component Index rose 1.78% to close at 13476.52 points with a trading volume of 1165.561 billion yuan [1]. - The CSI 1000 Index rose 1.39% with a trading volume of 420.596 billion yuan, opening at 7483.66, closing at 7590.58, with a daily high of 7604.89 and a low of 7475.51 [1]. - The CSI 500 Index rose 1.55% with a trading volume of 339.596 billion yuan, opening at 7243.64, closing at 7355.29, with a daily high of 7366.41 and a low of 7243.64 [1]. - The SSE 50 Index rose 0.96% with a trading volume of 132.481 billion yuan, opening at 3044.92, closing at 3073.67, with a daily high of 3075.21 and a low of 3044.92 [1]. - The SSE 300 Index rose 1.21% with a trading volume of 510.061 billion yuan, opening at 4643.79, closing at 4702.07, with a daily high of 4703.49 and a low of 4643.79 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 104.2 points from the previous close, with sectors such as power equipment, basic chemicals, and non - ferrous metals significantly pulling the index up [2]. - The CSI 500 rose 112.04 points from the previous close, with power equipment, electronics, and non - ferrous metals significantly pulling the index up [2]. - The SSE 300 rose 56.16 points from the previous close, with power equipment and non - ferrous metals significantly pulling the index up [2]. - The SSE 50 rose 29.37 points from the previous close, with non - ferrous metals, electronics, and pharmaceutical biology significantly pulling the index up [2]. 3. Stock Index Futures Basis and Annualized Opening Costs - IM00 had an average daily basis of - 31.09, IM01 of - 119.2, IM02 of - 348.14, and IM03 of - 575.97 [13]. - IC00 had an average daily basis of - 22.36, IC01 of - 91.63, IC02 of - 270.21, and IC03 of - 468.58 [13]. - IF00 had an average daily basis of - 5.51, IF01 of - 21.1, IF02 of - 52.38, and IF03 of - 96.16 [13]. - IH00 had an average daily basis of 0.93, IH01 of - 1.76, IH02 of - 6.62, and IH03 of - 14.39 [13]. 4. Stock Index Futures Roll - over Point Differences and Annualized Costs - Data on the roll - over point differences and annualized costs of IM, IC, IF, and IH at different time points are provided, including specific values for different contract combinations (e.g., IM00 - 01, IM00 - 02, etc.) [26][27][28][29]