1. Index Trends - On December 09, the Shanghai Composite Index had a change of -0.37%, closing at 3909.52 points with a trading volume of 781.16 billion yuan; the Shenzhen Component Index had a change of -0.39%, closing at 13277.36 points with a trading volume of 1122.793 billion yuan [1]. - The CSI 1000 Index had a change of -0.57% with a trading volume of 392.313 billion yuan, opening at 7400.93, closing at 7380.58, with a daily high of 7439.55 and a low of 7370.3 [1]. - The CSI 500 Index had a change of -0.71% with a trading volume of 305.522 billion yuan, opening at 7150.97, closing at 7121.33, with a daily high of 7185.11 and a low of 7103.83 [1]. - The SSE 300 Index had a change of -0.51% with a trading volume of 452.114 billion yuan, opening at 4611.38, closing at 4598.22, with a daily high of 4628.7 and a low of 4584.25 [1]. - The SSE 50 Index had a change of -0.71% with a trading volume of 110.095 billion yuan, opening at 3012.24, closing at 2997.96, with a daily high of 3015.45 and a low of 2991.65 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 dropped 42.47 points from the previous close, with sectors such as basic chemicals, pharmaceuticals, and non - ferrous metals significantly dragging down the index [2]. - The CSI 500 dropped 51.04 points from the previous close, with the electronics sector significantly boosting the index, while non - bank finance, power equipment, and non - ferrous metals sectors significantly dragging it down [2]. - The SSE 300 dropped 23.53 points from the previous close, with communication and electronics sectors significantly boosting the index, while food and beverage, non - bank finance, and non - ferrous metals sectors significantly dragging it down [2]. - The SSE 50 dropped 21.4 points from the previous close, with food and beverage, non - bank finance, and non - ferrous metals sectors significantly dragging it down [2]. 3. Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of -29.36, IM01 of -106.87, IM02 of -266.49, and IM03 of -512.42 [12]. - For IC contracts, IC00 had an average daily basis of -20.13, IC01 of -76.42, IC02 of -194.26, and IC03 of -402.83 [12]. - For IF contracts, IF00 had an average daily basis of -9.71, IF01 of -25.05, IF02 of -48.0, and IF03 of -93.78 [12]. - For IH contracts, IH00 had an average daily basis of -4.06, IH01 of -9.88, IH02 of -13.35, and IH03 of -28.39 [12]. 4. Futures Roll - over Point Differences and Annualized Costs - The report provides 15 - minute average data on roll - over point differences and their annualized costs for IM, IC, IF, and IH contracts [22][24][26].

Group 1: Index Trends - On December 8th, the Shanghai Composite Index rose by 0.54% to close at 3924.08 points with a trading volume of 839.439 billion yuan; the Shenzhen Component Index rose by 1.39% to close at 13329.99 points with a trading volume of 1197.207 billion yuan [1]. - The CSI 1000 Index rose by 1.1% with a trading volume of 418.475 billion yuan, opening at 7359.49, closing at 7423.05, with a daily high of 7446.19 and a low of 7359.49 [1]. - The CSI 500 Index rose by 1.05% with a trading volume of 347.245 billion yuan, opening at 7119.05, closing at 7172.37, with a daily high of 7193.72 and a low of 7114.32 [1]. - The SSE 50 Index rose by 0.58% with a trading volume of 125.239 billion yuan, opening at 3006.63, closing at 3019.36, with a daily high of 3030.57 and a low of 3005.38 [1]. - The SSE 300 Index rose by 0.81% with a trading volume of 496.716 billion yuan, opening at 4593.14, closing at 4621.75, with a daily high of 4640.63 and a low of 4592.74 [1]. Group 2: Impact of Sector Movements on Indexes - The CSI 1000 rose 80.56 points from the previous close, with sectors such as electronics, communication, and computer significantly pulling the index up [2]. - The CSI 500 rose 74.53 points from the previous close, with sectors such as electronics, power equipment, and machinery significantly pulling the index up [2]. - The SSE 300 rose 37.21 points from the previous close, with sectors such as communication, electronics, and non - bank finance significantly pulling the index up [2]. - The SSE 50 rose 17.35 points from the previous close, with non - bank finance, electronics, and pharmaceutical biology pulling the index up, while food and beverage pulled it down [2]. Group 3: Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 32.04, IM01 of - 107.61, IM02 of - 265.18, and IM03 of - 506.23 [13]. - For IC contracts, IC00 had an average daily basis of - 19.05, IC01 of - 74.87, IC02 of - 192.01, and IC03 of - 401.1 [13]. - For IF contracts, IF00 had an average daily basis of - 4.8, IF01 of - 20.14, IF02 of - 42.8, and IF03 of - 90.5 [13]. - For IH contracts, IH00 had an average daily basis of - 1.21, IH01 of - 8.49, IH02 of - 11.56, and IH03 of - 26.2 [13]. Group 4: Stock Index Futures Roll - over Point Differences and Annualized Costs - Data on IM roll - over point differences and their annualized costs at different time points from 09:45 to 15:00 are provided, showing the changes in point differences and costs over time [28]. - Similar data for IC, IF, and IH contracts are also presented, including point differences and their annualized costs at various time intervals [23][26][29].

1. Report Industry Investment Rating There is no information provided regarding the industry investment rating in the report. 2. Core Viewpoints of the Report - This week, although the index showed a weakening trend, the derivatives market demonstrated a relatively restrained emotional response. The VIX increased overall but did not experience an extreme upward movement. The SKEW continued to rise, but most varieties except the Shanghai - Shenzhen 50 remained below the extreme threshold, indicating that investors' concerns about tail - risks were relatively rational. More positively, the futures index market increased its positions by over 70,000 contracts this week, and the basis of small - and medium - cap futures improved significantly, with the IM basis narrowing by nearly 100 points, suggesting that funds were making structural layouts during the market adjustment, presenting a market characteristic of index pressure but non - extreme expectations [2]. 3. Summary by Relevant Catalogs 3.1. Estimation of Dividends during the Lifespan of Stock Index Futures Contracts and Basis Correction - **Dividend Estimation**: On November 21, 2025, the estimated dividend points for the CSI 500, SSE 50, CSI 1000, and Shanghai - Shenzhen 300 indexes in the next year were 80.73, 63.63, 63.40, and 80.42 respectively. The estimated dividend points during the lifespan of different contracts for each index were also provided [4][9]. - **Basis Correction**: The basis of a stock index futures contract is the difference between the contract's closing price and the closing price of the underlying index. When analyzing the contract basis, the impact of dividends needs to be removed. This week, the adjusted annualized basis of the current - quarter IC contract increased, while those of the IF, IH, and IM contracts decreased. The trading and holding levels of IC, IF, IH, and IM contracts increased compared to the previous week [19][20][26]. 3.2. Back - testing and Tracking of Spot - Futures Hedging Strategies - **Strategy Introduction**: The strategy is based on the analysis of basis convergence factors and optimization strategies in the relevant research report. Two strategies, continuous hedging and minimum basis strategy, are used for back - testing, with specific parameter settings provided [45][46]. - **Performance of Different Strategies**: For different indexes (CSI 500, Shanghai - Shenzhen 300, SSE 50, and CSI 1000), the back - testing results of different strategies (continuous hedging and minimum basis strategy) from July 22, 2022, to November 21, 2025, are presented, including indicators such as annualized return, volatility, maximum drawdown, net value, and annual turnover times. This week, the IC and IM hedging strategies had drawdowns, while the IF and IH hedging strategies performed stably [48][50][55]. 3.3. Cinda Options Series Indexes - **Cinda Volatility Index Cinda - VIX**: Cinda - VIX can reflect investors' expectations of the future volatility of the underlying asset. As of November 21, 2025, the 30 - day VIX values for the SSE 50, Shanghai - Shenzhen 300, CSI 500, and CSI 1000 were 19.95, 21.49, 32.21, and 26.91 respectively [63]. - **Cinda Volatility Index Cinda - SKEW**: The SKEW index measures the degree of volatility skew. When the SKEW index exceeds 100, it usually means that investors are more worried about the risk of a significant market decline. As of November 21, 2025, the SKEW values for the SSE 50, Shanghai - Shenzhen 300, CSI 500, and CSI 1000 were 104.78, 104.75, 104.79, and 106.83 respectively [71][72].

Report Information - Report Title: Stock Index Futures Data Daily Report [1] - Report Date: November 20, 2025 [2] IM Futures Daily Quotes - The main contract of IM fell 0.48% to close at 7,263.6 points. The total trading volume of the four IM contracts was 211,533 lots, a decrease of 15,934 lots from the previous day; the total open interest was 361,945 lots, a decrease of 2,194 lots from the previous day. The main contract of IM was at a discount of 76.81 points, an increase of 12.2 points from the previous day; the annualized basis rate was -12.87%. The dividend impacts of the four IM contracts were 0.03 points, 1.01 points, 2.52 points, and 46.68 points respectively [3][4]. Key Data of Each Contract | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 1000 | 7,340.41 | -0.63% | 22,754 | -5% | 3,567 | -3% | - | - | - | | IM2511 | 7,347.60 | -0.56% | 31,494 | -15% | 465 | -15% | 23,903 | -10,769 | 42 | | IM2512 | 7,263.60 | -0.48% | 140,822 | -6% | 2,054 | -6% | 205,865 | 4,785 | 359 | | IM2603 | 7,035.20 | -0.47% | 27,245 | -2% | 385 | -2% | 88,372 | 2,533 | 149 | | IM2606 | 6,807.00 | -0.45% | 11,972 | -5% | 164 | -5% | 43,805 | 1,257 | 72 | [3] Basis and Other Information - The spot price of CSI 1000 was 7,340.41 points. The current month contract (IM2511) was at a premium of 7.19 points, with a premium rate of 0.1% and an annualized premium rate of 17.9%. The next month contract (IM2512) was at a discount of 76.81 points, with a discount rate of -1.1% and an annualized discount rate of -12.9%. The first quarterly contract (IM2603) was at a discount of 305.21 points, with a discount rate of -4.3% and an annualized discount rate of -13.1%. The second quarterly contract (IM2606) was at a discount of 533.41 points, with a discount rate of -7.6% and an annualized discount rate of -13.3% [12]. Main Seats Information - The trading volume and open interest data of the main seats of each contract are detailed, including the top five, top ten, and top twenty seats, showing their trading volume, open long positions, open short positions, and their changes compared with the previous day [16][18][20]. IF Futures Daily Quotes - The main contract of IF fell 0.69% to close at 4,539.2 points. The total trading volume of the four IF contracts was 128,286 lots, an increase of 5,673 lots from the previous day; the total open interest was 277,884 lots, an increase of 5,717 lots from the previous day. The main contract of IF was at a discount of 25.75 points, a decrease of 2.66 points from the previous day; the annualized basis rate was -6.9%. The dividend impacts of the four IF contracts were 0.16 points, 1.25 points, 8.67 points, and 39.31 points respectively [21][22]. Key Data of Each Contract | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 300 | 4,564.95 | -0.51% | 19,456 | 13% | 4,151 | 8% | - | - | - | | IF2511 | 4,558.00 | -0.63% | 25,265 | -2% | 348 | -2% | 22,593 | -7,109 | 37 | | IF2512 | 4,539.20 | -0.69% | 83,141 | 8% | 1,140 | 8% | 165,189 | 8,865 | 270 | | IF2603 | 4,506.20 | -0.71% | 14,755 | 2% | 201 | 2% | 70,516 | 2,958 | 114 | | IF2606 | 4,461.00 | -0.69% | 5,125 | -6% | 69 | -6% | 19,586 | 1,003 | 31 | [21] Basis and Other Information - The spot price of SSE 300 was 4,564.95 points. The current month contract (IF2511) was at a discount of 6.95 points, with a discount rate of -0.2% and an annualized discount rate of -27.8%. The next month contract (IF2512) was at a discount of 25.75 points, with a discount rate of -0.6% and an annualized discount rate of -6.9%. The first quarterly contract (IF2603) was at a discount of 58.75 points, with a discount rate of -1.3% and an annualized discount rate of -3.9%. The second quarterly contract (IF2606) was at a discount of 103.95 points, with a discount rate of -2.3% and an annualized discount rate of -4.0% [30]. Main Seats Information - The trading volume and open interest data of the main seats of each contract are detailed, including the top five, top ten, and top twenty seats, showing their trading volume, open long positions, open short positions, and their changes compared with the previous day [34][36][37]. IC Futures Daily Quotes - The main contract of IC fell 0.84% to close at 7,000 points. The total trading volume of the four IC contracts was 137,568 lots, an increase of 4,976 lots from the previous day; the total open interest was 255,979 lots, an increase of 7,467 lots from the previous day. The main contract of IC was at a discount of 61.95 points, an increase of 6 points from the previous day; the annualized basis rate was -10.77%. The dividend impacts of the four IC contracts were 0 points, 0.61 points, 3.57 points, and 58.13 points respectively [39][40]. Key Data of Each Contract | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 500 | 7,061.95 | -0.85% | 15,962 | -2% | 2,542 | -1% | - | - | - | | IC2511 | 7,063.40 | -0.88% | 22,062 | -12% | 314 | -12% | 14,506 | -7,367 | 25 | | IC2512 | 7,000.00 | -0.84% | 89,650 | 7% | 1,262 | 7% | 154,013 | 12,102 | 259 | | IC2603 | 6,821.40 | -0.86% | 18,776 | 6% | 258 | 6% | 62,823 | 1,147 | 103 | | IC2606 | 6,615.00 | -0.87% | 7,080 | 14% | 94 | 13% | 24,637 | 1,585 | 39 | [39] Basis and Other Information - The spot price of CSI 500 was 7,061.95 points. The current month contract (IC2511) was at a premium of 1.45 points, with a premium rate of 0.0% and an annualized premium rate of 3.7%. The next month contract (IC2512) was at a discount of 61.95 points, with a discount rate of -0.9% and an annualized discount rate of -10.8%. The first quarterly contract (IC2603) was at a discount of 240.55 points, with a discount rate of -3.4% and an annualized discount rate of -10.6%. The second quarterly contract (IC2606) was at a discount of 446.95 points, with a discount rate of -6.3% and an annualized discount rate of -11.5% [49]. Main Seats Information - The trading volume and open interest data of the main seats of each contract are detailed, including the top five, top ten, and top twenty seats, showing their trading volume, open long positions, open short positions, and their changes compared with the previous day [54][56][58]. IH Futures Daily Quotes - The main contract of IH fell 0.49% to close at 3,002.6 points. The total trading volume of the four IH contracts was 58,076 lots, an increase of 4,537 lots from the previous day; the total open interest was 97,775 lots, an increase of 2,538 lots from the previous day. The main contract of IH was at a discount of 5.69 points, an increase of 3.66 points from the previous day; the annualized basis rate was -2.31%. The dividend impacts of the four IH contracts were 0 points, 0.97 points, 9.01 points, and 27.63 points respectively [60][61]. Key Data of Each Contract | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 3,008.29 | -0.40% | 5,404 | 12% | 1,010 | 1% | - | - | - | | IH2511 | 3,008.60 | -0.49% | 7,953 | -9% | 72 | -9% | 6,917 | -2,422 | 7 | | IH2512 | 3,002.60 | -0.49% | 39,268 | 8% | 355 | 8% | 64,984 | 3,075 | 70 | | IH2603 | 2,995.60 | -0.56% | 8,203 | 23% | 74 | 23% | 19,929 | 1,370 | 21 | | IH2606 | 2,985.20 | -0.59% | 2,652 | 46% | 24 | 46% | 5,945 | 515 | 6 | [60] Basis and Other Information - The spot price of SSE 50 was 3,008.29 points. The current month contract (IH2511) was at a premium of 0.31 points, with a premium rate of 0.0% and an annualized premium rate of 1.9%. The next month contract (IH2512) was at a discount of 5.69 points, with a discount rate of -0.2% and an annualized discount rate of -2.3%. The first quarterly contract (IH2603) was at a discount of 12.69 points, with a discount rate of -0.4% and an annualized discount rate of -1.3%. The second quarterly contract (IH2606) was at a discount of 23.09 points, with a discount rate of -0.8% and an annualized discount rate of -1.3% [73]. Main Seats Information - The trading volume and open interest data of the main seats of each contract are detailed, including the top five, top ten, and top twenty seats, showing their trading volume, open long positions, open short positions, and their changes compared with the previous day [77][79][81].

Group 1: Index Trends - On November 19th, the Shanghai Composite Index rose by 0.18% to close at 3946.74 points, with a trading volume of 720.909 billion yuan; the Shenzhen Component Index had a change of -0.0% to close at 13080.09 points, with a trading volume of 1005.0 billion yuan [1]. - The CSI 1000 Index fell by 0.82%, with a trading volume of 367.173 billion yuan, opening at 7438.14, closing at 7387.21, with a daily high of 7471.73 and a low of 7348.04 [1]. - The CSI 500 Index fell by 0.4%, with a trading volume of 256.755 billion yuan, opening at 7141.26, closing at 7122.75, with a daily high of 7178.15 and a low of 7086.12 [1]. - The SSE 50 Index rose by 0.58%, with a trading volume of 99.551 billion yuan, opening at 3004.65, closing at 3020.35, with a daily high of 3033.22 and a low of 3004.2 [1]. Group 2: Impact of Sector Movements on Indexes - The CSI 1000 dropped 60.89 points from the previous close, with sectors such as electronics, computer, and pharmaceutical biology significantly dragging down the index [2]. - The CSI 500 dropped 28.27 points from the previous close, with sectors like non - ferrous metals pulling the index up, while pharmaceutical biology, computer, and electronics dragging it down [2]. - The SSE 300 rose 20.1 points from the previous close, with non - ferrous metals, banks, and power equipment pulling the index up, and electronics dragging it down [2]. - The SSE 50 rose 17.33 points from the previous close, with non - ferrous metals, non - bank finance, and banks pulling the index up, and electronics dragging it down [2]. Group 3: Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 2.83, IM01 of - 94.97, IM02 of - 325.53, and IM03 of - 555.01 [11]. - For IC contracts, IC00 had an average daily basis of - 2.88, IC01 of - 72.75, IC02 of - 252.92, and IC03 of - 459.44 [11]. - For IF contracts, IF00 had an average daily basis of - 5.31, IF01 of - 22.15, IF02 of - 53.99, and IF03 of - 99.73 [11]. - For IH contracts, IH00 had an average daily basis of - 1.64, IH01 of - 7.5, IH02 of - 12.25, and IH03 of - 21.64 [11]. Group 4: Stock Index Futures Roll - over Point Differences and Annualized Costs - For IM contracts, data shows roll - over point differences and their annualized costs at different time points from 09:45 to 15:00 [21]. - For IC contracts, roll - over point differences and annualized costs are presented at various 15 - minute intervals from 09:45 to 15:00 [22]. - For IF contracts, roll - over point differences and annualized costs are provided at 15 - minute intervals from 09:45 to 15:00 [22]. - For IH contracts, roll - over point differences and annualized costs are given at 15 - minute intervals from 09:45 to 15:00 [24].

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]

Report Summary 1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints - The central bank's third - quarter monetary policy report indicates a natural decline in financial aggregate growth, and mentions points such as diluting quantitative targets of monetary policy, maintaining a reasonable interest - rate ratio, and developing the "science and technology board" of the bond market. October's CPI and PPI both rebounded, with contributions from low - base effects and the effectiveness of policies. The US government's shutdown ended, but there may be another shutdown in two months. Market trading has shifted to the theme of interest - rate cuts, and the Fed's hawkish remarks have affected the market. The overall A - share trading volume remained stable, with the Shanghai Composite Index reaching a new high but then falling, and different indices showing various performances [4]. - The recent basis fluctuations are still small, with the annualized basis of all varieties decreasing compared to last week. IH has switched to a small - scale discount state, and the term structure has become steeper, with far - month contracts having greater advantages in hedging costs [5]. 3. Summary by Relevant Sections 3.1. Stock Index Futures Basis Situation - **Basis Data**: The report provides 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 IF2511 contract, last week's basis was - 5.79, this week's basis is - 14.14, the basis change is - 8.35, and the index - enhanced annualized return is 14.3% [2]. - **Basis Fluctuation and State**: The recent basis fluctuation range is small, and the annualized basis of each variety has decreased compared to last week. IH has switched to a small - scale discount state, and IF, IC, and IM have annualized discounts of around 3%, 11%, and 14% respectively [5]. - **Trading Volume and Open Interest**: This week, the average daily trading volume of IH increased by 2.9% week - on - week, and the open interest increased by 6.8%; the average daily trading volume of IF increased by 2.2% week - on - week, and the open interest increased by 2.9%; the average daily trading volume of IC decreased by 6.3% week - on - week, and the open interest increased by 1.9%; the average daily trading volume of IM decreased by 5.5% week - on - week, and the open interest increased by 0.2% [5]. - **Basis after Considering Dividends**: The report also presents the basis situation after considering dividends for different indices, including the closing price, basis after considering dividends, expected total dividend points, and annualized premium or discount rate [6]. 3.2. Hedging Profit and Loss - **Hedging Profit and Loss Data**: The report provides the hedging profit and loss data of IF, IH, IC, and IM contracts for last week and this week. For example, for the IF2511 contract, last week's hedging profit and loss was 6.13, and this week's is 8.35 [12]. - **Visualization of Hedging Profit and Loss**: There are charts showing the 60 - trading - day cumulative hedging profit and loss of IF, IH, IC, and IM contracts [11].

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]

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]