Report Industry Investment Rating - Not provided in the content Core Viewpoints of the Report - The report systematically analyzes the basis structure of China's three major stock index futures and its impact on market-neutral strategies, finding that the basis can be deconstructed into three core dimensions: time value of funds, dividend cash flow, and market sentiment expectations. By introducing the concept of "corrected basis", it more accurately reflects the real hedging cost. A-share dividends show significant seasonal characteristics and three new trends since [year]. The dividend rates of the SSE and CSI 300 indices show a "V-shaped" trend, while the dividend rate center of the CSI 500 index has shifted downward. Currently, the costs of IC and IF contracts are generally positive, while the IH contract shows a negative value. It is recommended to prioritize the allocation of IC contracts and consider the far-quarter IF contracts, and be cautious with IH contracts [1][2]. Summary by Relevant Catalogs I. Basis Driving Factor Deconstruction and Theoretical Framework - The basis of stock index futures can be deconstructed into three core driving dimensions: the cost dimension from the time value of funds, the cash flow dimension from index component stocks' dividends, and the sentiment and expectation dimension reflecting the market's long-short power comparison. The "corrected basis" is defined by combining the time value and market sentiment expectations to simplify the analysis and focus on the core influencing factors of hedging costs [5]. II. Dividend Behavior Characteristics and Dividend Point Index Analysis - The dividend behavior of the three major index component stocks has significant seasonal characteristics, with dividends highly concentrated from [month] to [month], and [months] being the peak. Since [year], there have been three new trends in the A-share market's dividend pattern: the emergence of year-end dividends, the delay of some companies' traditional dividend dates, and the deepening of the impact of dividend behavior on stock index and derivative pricing [8]. III. Dividend Income Quantitative Calculation and Historical Trends - By comparing the yield differences between the total return index and the price index, the annual dividend income performance of the three major indices in the past five years is calculated. The SSE and CSI 300 indices show a "V-shaped" trend, while the dividend rate center of the CSI 500 index has shifted downward. The annualized dividend income of the SSE and CSI 300 indices is stable in the 2%-3% range, while that of the CSI 500 index is relatively low. The impact of dividends on futures pricing and basis structure during the concentrated dividend period cannot be ignored [10][11]. IV. Hedging Cost Time Series Analysis and Market Structure - A simplified model is used to estimate the dividend points of index component stocks and calculate the corrected basis. The far-quarter contracts of the SSE and CSI 300 stock index futures have long-term stable hedging costs around zero, and most of the time are slightly higher than the break-even point. The far-quarter contracts of the CSI 500 stock index futures also fluctuate around zero, and had better cost-benefit characteristics before [year]. The annualized hedging cost of near-month contracts has significant peaks, indicating extreme basis fluctuations near the contract expiration date, such as the abnormal peaks of over 150% observed in [year] [21]. V. Current Hedging Cost Comparison and Strategy Recommendations - From the fourth quarter of [year] to the beginning of [year], the impact of dividends on the stock index futures basis and hedging strategies has weakened. Currently, the hedging costs of IC and IF main contracts are generally positive, providing a favorable window for market-neutral strategies. IC and IF contracts have relatively low hedging costs, while IH contracts have relatively high costs. It is recommended to prioritize the allocation of IC contracts and consider the far-quarter IF contracts, and be cautious with IH contracts [22][24].

Index Trends - On September 29, the Shanghai Composite Index rose 0.9% to close at 3862.53 points with a turnover of 968.212 billion yuan; the Shenzhen Component Index rose 2.05% to close at 13479.43 points with a turnover of 1193.249 billion yuan [1]. - The CSI 1000 Index rose 1.36% with a turnover of 419.535 billion yuan, opening at 7415.13, closing at 7497.83, with a daily high of 7517.12 and a low of 7376.91 [1]. - The CSI 500 Index rose 1.51% with a turnover of 433.864 billion yuan, opening at 7251.52, closing at 7350.56, with a daily high of 7377.22 and a low of 7216.74 [1]. - The SSE 50 Index rose 1.09% with a turnover of 189.969 billion yuan, opening at 2940.04, closing at 2973.04, with a daily high of 3000.48 and a low of 2922.01 [1]. - The SSE 300 Index rose 1.54% with a turnover of 693.395 billion yuan, opening at 4555.03, closing at 4620.05, with a daily high of 4647.57 and a low of 4541.43 [1]. Impact of Sector Movements on Indexes - The CSI 1000 rose 100.24 points from the previous close, with sectors such as electronics, power equipment, and non - ferrous metals significantly pulling the index up [2]. - The CSI 500 rose 109.65 points from the previous close, with sectors such as electronics, non - bank finance, and power equipment significantly pulling the index up [2]. - The SSE 300 rose 70.0 points from the previous close, with sectors such as non - bank finance, power equipment, and non - ferrous metals significantly pulling the index up [2]. - The SSE 50 rose 32.02 points from the previous close, with sectors such as non - ferrous metals, non - bank finance, and electronics significantly pulling the index up, while the banking sector pulled it down [2]. Futures Basis and Annualized Opening Costs - For IM futures, IM00 had an average daily basis of - 33.34, IM01 of - 117.12, IM02 of - 191.69, and IM03 of - 412.21 [12]. - For IC futures, IC00 had an average daily basis of - 31.0, IC01 of - 100.17, IC02 of - 150.99, and IC03 of - 329.66 [12]. - For IF futures, IF00 had an average daily basis of - 5.02, IF01 of - 17.61, IF02 of - 23.81, and IF03 of - 50.41 [12]. - For IH futures, IH00 had an average daily basis of 1.54, IH01 of 0.15, IH02 of 1.98, and IH03 of 0.3 [12]. Futures Roll - over Point Differences and Annualized Costs - Various data on the roll - over point differences and their annualized costs for IM, IC, IF, and IH futures are presented in the report, including values at different time points such as 09:45, 10:00, etc. For example, for IM futures at 09:45, IM00 - 01 was - 73.02267, IM00 - 02 was - 259.4522, etc. [23][25][26]

Group 1: Index Trends - On September 24th, the Shanghai Composite Index rose by 0.83% to close at 3853.64 points, with a trading volume of 1015.708 billion yuan. The Shenzhen Component Index rose by 1.8% to close at 13356.14 points, with a trading volume of 1311.076 billion yuan [1]. - The CSI 1000 Index rose by 1.7%, with a trading volume of 494.398 billion yuan. The opening price was 7375.91, the closing price was 7534.22, the highest price was 7534.22, and the lowest price was 7342.47 [1]. - The CSI 500 Index rose by 1.99%, with a trading volume of 477.262 billion yuan. The opening price was 7140.31, the closing price was 7323.71, the highest price was 7327.02, and the lowest price was 7133.43 [1]. - The SSE 50 Index rose by 0.68%, with a trading volume of 157.195 billion yuan. The opening price was 2908.07, the closing price was 2939.51, the highest price was 2942.59, and the lowest price was 2908.07 [1]. - The SSE 50 Index rose by 0.68%, with a trading volume of 157.195 billion yuan. The opening price was 2908.07, the closing price was 2939.51, the highest price was 2942.59, and the lowest price was 2908.07 [1]. Group 2: Impact of Sector Movements on Indexes - The CSI 1000 rose 126.15 points from the previous closing price, with sectors such as electronics, computer, and power equipment significantly driving the index up [2]. - The CSI 500 rose 143.0 points from the previous closing price, with sectors such as electronics, power equipment, and pharmaceutical biology significantly driving the index up [2]. - The SSE 300 rose 46.29 points from the previous closing price, with sectors such as electronics, power equipment, and computer significantly driving the index up [2]. - The SSE 50 rose 20.0 points from the previous closing price, with sectors such as electronics and non - banking finance significantly driving the index up, while the banking sector pulled the index down [2]. Group 3: Stock Index Futures Basis and Annualized Opening Costs - IM00 had an average daily basis of - 77.26, IM01 had - 162.97, IM02 had - 245.25, and IM03 had - 458.47 [12]. - IC00 had an average daily basis of - 64.91, IC01 had - 135.65, IC02 had - 194.16, and IC03 had - 370.82 [12]. - IF00 had an average daily basis of - 9.42, IF01 had - 24.74, IF02 had - 33.98, and IF03 had - 62.97 [12]. - IH00 had an average daily basis of 1.28, IH01 had - 0.36, IH02 had 0.56, and IH03 had 0.71 [12]. Group 4: Stock Index Futures Roll - over Point Differences and Annualized Costs - Data on IM roll - over point differences and their annualized costs are presented at different time points from 09:45 to 15:00, such as at 09:45, IM00 - 01 was - 73.02267, IM00 - 02 was - 259.4522, etc. [23]. - Data on IC roll - over point differences and their annualized costs are presented at different time points from 09:45 to 15:00, such as at 09:45, IC00 - 01 was - 68.64222, IC00 - 02 was - 225.568, etc. [24]. - Data on IF roll - over point differences and their annualized costs are presented at different time points from 09:45 to 15:00, such as at 09:45, IF00 - 01 was - 12.31678, IF00 - 02 was - 41.14122, etc. [25]. - Data on IH roll - over point differences and their annualized costs are presented at different time points from 09:45 to 15:00, such as at 09:45, IH00 - 01 was 0.707, IH00 - 02 was 1.4593333, etc. [22]

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - The report presents a daily data tracking of stock index futures on September 23, 2025, including index trends, the impact of sector fluctuations on indices, basis and annualized opening costs of stock index futures, and points differences in contract roll - over and their annualized costs [1] 3. Summary by Relevant Catalogs 3.1 Index Trends - On September 23, the Shanghai Composite Index fell 0.18% to 3821.83 points with a trading volume of 1071.698 billion yuan; the Shenzhen Component Index fell 0.29% to 13119.82 points with a trading volume of 1422.684 billion yuan [1] - The CSI 1000 Index fell 1.09% with a trading volume of 503.96 billion yuan, opening at 7500.62, closing at 7408.07, with a high of 7504.23 and a low of 7261.67 [1] - The CSI 500 Index fell 0.61% with a trading volume of 495.069 billion yuan, opening at 7240.85, closing at 7180.71, with a high of 7250.82 and a low of 7045.56 [1] - The SSE 50 Index fell 0.09% with a trading volume of 168.987 billion yuan, opening at 2917.99, closing at 2919.51, with a high of 2938.12 and a low of 2891.78 [1] - The CSI 300 Index fell 0.06% with a trading volume of 680.514 billion yuan, opening at 4536.76, closing at 4519.78, with a high of 4560.73 and a low of 4459.73 [1] 3.2 Impact of Sector Fluctuations on Indices - The CSI 1000 Index dropped 81.41 points compared to the previous close, with sectors such as Computer and Medicine & Biology significantly pulling the index down [2] - The CSI 500 Index dropped 44.42 points compared to the previous close. The Power Equipment sector significantly pulled the index up, while sectors like Medicine & Biology, Non - Banking Finance, and Computer pulled it down [2] - The CSI 300 Index dropped 2.83 points compared to the previous close. Sectors such as Bank, Communication, and Electronics pulled the index up, while Computer, Medicine & Biology, and Non - Banking Finance pulled it down [2] - The SSE 50 Index dropped 2.67 points compared to the previous close. Sectors such as Bank, Non - Ferrous Metals, and Public Utilities pulled the index up, while Non - Banking Finance, Electronics, and Medicine & Biology pulled it down [2] 3.3 Basis and Annualized Opening Costs of Stock Index Futures - IM00 had an average daily basis of - 107.49, IM01 of - 195.71, IM02 of - 281.02, and IM03 of - 488.76 [12] - IC00 had an average daily basis of - 112.22, IC01 of - 186.93, IC02 of - 254.9, and IC03 of - 426.14 [12] - IF00 had an average daily basis of - 23.49, IF01 of - 36.88, IF02 of - 51.72, and IF03 of - 78.0 [12] - IH00 had an average daily basis of - 0.65, IH01 of - 1.94, IH02 of - 0.77, and IH03 of 0.52 [12] 3.4 Points Differences in Contract Roll - over and Their Annualized Costs - For IF, from 09:45 to 15:00, the points differences in contract roll - over and their annualized costs fluctuated. For example, at 09:45, IF00 - 01 was - 12.31678 [24][26] - For IH, from 09:45 to 15:00, the points differences in contract roll - over and their annualized costs also fluctuated. For example, at 09:45, IH00 - 01 was 0.707 [29] - For IM, from 09:45 to 15:00, the points differences in contract roll - over and their annualized costs changed. For example, at 09:45, IM00 - 01 was - 73.02267 [31] - For IC, from 09:45 to 15:00, the points differences in contract roll - over and their annualized costs varied. For example, at 09:45, IC00 - 01 was - 68.64222 [32]

Industry Investment Rating - No information about the industry investment rating is provided in the report. Core Viewpoint - The report provides a comprehensive analysis of the stock market on September 22, including the performance of major indices, the impact of sector movements on these indices, the basis of stock index futures, and the points difference and annualized cost of futures contract roll - over. Summary by Section Index Trends - On September 22, the Shanghai Composite Index rose 0.22% to close at 3828.58 points with a trading volume of 941.8 billion yuan; the Shenzhen Component Index rose 0.67% to close at 13157.97 points with a trading volume of 1179.683 billion yuan [1]. - The CSI 1000 Index rose 0.69% with a trading volume of 440.515 billion yuan, opening at 7457.89, closing at 7489.48, with a high of 7489.48 and a low of 7418.46 [1]. - The CSI 500 Index rose 0.76% with a trading volume of 421.916 billion yuan, opening at 7182.89, closing at 7225.13, with a high of 7225.86 and a low of 7143.08 [1]. - The SSE 50 Index rose 0.43% with a trading volume of 156.401 billion yuan, opening at 2911.02, closing at 2922.18, with a high of 2929.52 and a low of 2901.12 [1]. - The SSE 300 Index rose 0.46% with a trading volume of 563.149 billion yuan, opening at 4512.03, closing at 4522.61, with a high of 4523.87 and a low of 4487.13 [1]. Impact of Sector Movements on Indices - The CSI 1000 rose 51.29 points from the previous close, with sectors such as electronics, computers, and machinery having a significant upward pull on the index [3]. - The CSI 500 rose 54.78 points from the previous close, with electronics, computers, and power equipment sectors having a significant upward pull [3]. - The SSE 300 rose 20.69 points from the previous close, with electronics, computers, and non - bank finance sectors having an upward pull, while food and beverage, and banking sectors had a downward pull [3]. - The SSE 50 rose 12.44 points from the previous close, with electronics, non - bank finance, and non - ferrous metals sectors having an upward pull, while food and beverage, and banking sectors had a downward pull [3]. Basis of Stock Index Futures and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 95.65, IM01 had - 178.8, IM02 had - 260.61, and IM03 had - 471.29 [12]. - For IC contracts, IC00 had an average daily basis of - 81.87, IC01 had - 148.19, IC02 had - 210.53, and IC03 had - 380.13 [12]. - For IF contracts, IF00 had an average daily basis of - 14.2, IF01 had - 27.64, IF02 had - 39.11, and IF03 had - 64.45 [12]. - For IH contracts, IH00 had an average daily basis of 1.33, IH01 had 0.79, IH02 had 1.54, and IH03 had 4.06 [12]. Points Difference in Futures Contract Roll - over and Annualized Costs - Detailed data on the points difference in contract roll - over and their annualized costs are provided for IM, IC, IF, and IH contracts at different time intervals from 09:45 to 15:00 [23][25][26].

Report Information - Report Date: September 19, 2025 [1] - Report Title: Stock Index Hedging Weekly Report [1] - Analysts: Yu Kan, Li Honglei [2] Core View - This week's market revolved around the China-US Madrid talks and the Fed's interest rate cut. After the Madrid talks, the market interpreted the outcome optimistically. The Fed's interest rate cut was in line with expectations, leading to some profit-taking. China's August financial data showed marginal improvement in corporate financing demand, weak consumer willingness, and a four-year low in the M2 - M1 gap. The market trading volume slightly decreased, and the Shanghai Composite Index faced resistance at 3900 points. Among the four broad-based indices, the small and mid-cap indices performed better [4]. Key Points by Section 1. Stock Index Futures Basis Situation - **Basis Data**: Provided the basis data of IF, IH, IC, and IM contracts for last week and this week, including basis changes and index enhancement annualized returns. The index enhancement annualized returns were calculated with a 20% futures margin rate and a 2% cash wealth management yield [2]. - **Market Analysis**: IH's premium was basically flat compared to last week. The annualized discounts of IF, IC, and IM widened, reaching around 2%, 10%, and 13% respectively, returning to the extremely low quantile range in the past three years. After the September contracts expired, the term structure of the remaining contracts had a lower near - end and lower hedging costs for far - month contracts [5]. - **Trading Volume and Open Interest**: This week, the average daily trading volume of IH increased by 18.6% week - on - week, and the open interest decreased by 4.2%. For IF, the average daily trading volume increased by 17.6% and the open interest decreased by 7.7%. For IC, the average daily trading volume increased by 12.9% and the open interest decreased by 8.0%. For IM, the average daily trading volume increased by 11.2% and the open interest decreased by 2.1% [5]. - **Basis after Considering Dividends**: Presented the basis data after considering dividends for the CSI 300, SSE 50, CSI 500, and CSI 1000 indices, including closing prices, expected total dividend points, and annualized premium/discount rates [6]. 2. Hedging Profit and Loss - **Hedging Profit and Loss Data**: Provided the hedging profit and loss data for IF, IH, IC, and IM contracts for last week and this week [13]. - **Hedging Profit and Loss Charts**: Included 60 - trading - day cumulative hedging profit and loss charts for IF, IH, IC, and IM contracts [12]

1. Index Trends - On September 17th, the Shanghai Composite Index rose 0.37% to close at 3876.34 points, with a trading volume of 1006.679 billion yuan; the Shenzhen Component Index rose 1.16% to close at 13215.46 points, with a trading volume of 1370.059 billion yuan [1] - The CSI 1000 Index rose 0.95% with a trading volume of 493.296 billion yuan, opening at 7478.41, closing at 7554.81, with a daily high of 7564.82 and a low of 7461.41 [1] - The CSI 500 Index rose 0.96% with a trading volume of 445.549 billion yuan, opening at 7184.26, closing at 7260.04, with a daily high of 7265.39 and a low of 7159.67 [1] - The SSE 50 Index rose 0.17% with a trading volume of 155.034 billion yuan, opening at 2942.88, closing at 2952.78, with a daily high of 2960.31 and a low of 2935.78 [1] 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 71.18 points from the previous close, with sectors such as electronics, power equipment, and machinery significantly pulling the index up [2] - The CSI 500 rose 69.05 points from the previous close, with power equipment, automotive, and non - banking finance sectors significantly pulling the index up [2] - The SSE 50 rose 4.96 points from the previous close, with electronics, pharmaceutical biology, and coal sectors pulling the index up, while national defense and military industry, food and beverage, and non - banking finance sectors pulling it down [2] 3. Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 13.2, IM01 of - 80.36, IM02 of - 235.47, and IM03 of - 440.87 [12] - For IC contracts, IC00 had an average daily basis of - 14.27, IC01 of - 72.76, IC02 of - 190.19, and IC03 of - 353.51 [12] - For IF contracts, IF00 had an average daily basis of - 1.4, IF01 of - 11.54, IF02 of - 33.52, and IF03 of - 59.3 [12] - For IH contracts, IH00 had an average daily basis of 1.48, IH01 of 0.35, IH02 of 0.86, and IH03 of 3.82 [12] 4. Stock Index Futures Roll - over Point Differences and Annualized Costs - For IM contracts, data on roll - over point differences and their annualized costs at different times (e.g., at 09:45, IM00 - 01 was - 73.02267, etc.) are provided [20] - For IC contracts, roll - over point differences and annualized costs are presented, such as at 09:45, IC00 - 01 was - 68.64222 [21][22] - For IF contracts, roll - over point differences and annualized costs are shown, like at 09:45, IF00 - 01 was - 12.31678 [22] - For IH contracts, roll - over point differences and annualized costs are given, for example, at 09:45, IH00 - 01 was 0.707 [26]

1. Index Trends - On September 16, the Shanghai Composite Index rose 0.04% to close at 3861.87 points, with a trading volume of 989.786 billion yuan; the Shenzhen Component Index rose 0.45% to close at 13063.97 points, with a trading volume of 1351.615 billion yuan [1]. - The CSI 1000 Index rose 0.92% with a trading volume of 474.734 billion yuan, opening at 7426.41, closing at 7483.63, with a daily high of 7487.07 and a low of 7364.73 [1]. - The CSI 500 Index rose 0.75% with a trading volume of 435.21 billion yuan, opening at 7152.19, closing at 7190.99, with a daily high of 7195.42 and a low of 7080.43 [1]. - The SSE 300 Index fell 0.21% with a trading volume of 613.728 billion yuan, opening at 4539.92, closing at 4523.34, with a daily high of 4552.42 and a low of 4494.79 [1]. - The SSE 50 Index fell 0.5% with a trading volume of 155.43 billion yuan, opening at 2969.23, closing at 2947.82, with a daily high of 2974.95 and a low of 2942.3 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 68.06 points from the previous close, with sectors such as electronics, machinery, and computers having a significant positive impact [2]. - The CSI 500 rose 53.63 points from the previous close, with sectors such as electronics, automobiles, and computers having a significant positive impact [2]. - The SSE 300 fell 9.72 points from the previous close, with sectors such as computers, electronics, and machinery having a positive impact, while non - ferrous metals, non - banking finance, and banks had a negative impact [2]. - The SSE 50 fell 14.8 points from the previous close, with the electronics sector having a positive impact, while food and beverage, non - banking finance, and banks had a negative impact [2]. 3. Futures Basis and Annualized Opening Costs - For IM contracts, the average daily basis for IM00 was - 26.35, IM01 was - 95.74, IM02 was - 248.6, and IM03 was - 455.45 [12]. - For IC contracts, the average daily basis for IC00 was - 18.99, IC01 was - 77.14, IC02 was - 186.78, and IC03 was - 345.03 [12]. - For IF contracts, the average daily basis for IF00 was - 3.61, IF01 was - 12.63, IF02 was - 33.84, and IF03 was - 58.86 [12]. - For IH contracts, the average daily basis for IH00 was 0.17, IH01 was - 0.2, IH02 was 0.6, and IH03 was 3.13 [12]. 4. Futures Roll - over Point Differences and Annualized Costs - The document provides data on the roll - over point differences and their annualized costs for IM, IC, IF, and IH contracts at different 15 - minute intervals [23][25][27][28].

1. Report Industry Investment Rating There is no relevant content provided in the report. 2. Core Viewpoints of the Report The report presents a comprehensive analysis of the performance of major stock indices on September 15, including their intraday trends, the impact of sector movements on index changes, and the basis and cost data of stock index futures [1][3]. 3. Summary by Relevant Catalogs Index Trends - On September 15, the Shanghai Composite Index closed at 3860.5 points with a decline of 0.26% and a trading volume of 986.172 billion yuan; the Shenzhen Component Index closed at 13005.77 points with an increase of 0.63% and a trading volume of 1291.213 billion yuan [1]. - The CSI 1000 Index closed at 7415.57 points with a decline of 0.1% and a trading volume of 475.105 billion yuan; the CSI 500 Index closed at 7137.36 points with a decline of 0.15% and a trading volume of 441.829 billion yuan [1]. - The SSE 50 Index closed at 2962.62 points with a decline of 0.2% and a trading volume of 145.698 billion yuan; the SSE 300 Index closed at 4533.06 points with an increase of 0.24% and a trading volume of 613.315 billion yuan [1]. Impact of Sector Movements on Index Changes - The CSI 1000 Index decreased by 7.31 points. Sectors such as pharmaceutical biology, power equipment, and automobiles had a significant positive impact, while national defense and military industry, non - ferrous metals, and computer sectors had a negative impact [3]. - The CSI 500 Index decreased by 10.39 points. Media, automobile, and power equipment sectors pulled the index up, while non - ferrous metals, pharmaceutical biology, and electronics sectors pulled it down [3]. - The SSE 300 Index increased by 11.06 points. Power equipment, automobile, and agriculture, forestry, animal husbandry, and fishery sectors contributed positively, while non - bank finance, banking, and communication sectors had a negative impact [3]. - The SSE 50 Index decreased by 5.92 points. Electronics, pharmaceutical biology, and automobile sectors had a positive impact, while communication, non - bank finance, and banking sectors pulled the index down [3]. Basis and Annualized Opening Costs of Stock Index Futures - IM00 had an average daily basis of - 35.46, IM01 of - 104.78, IM02 of - 257.48, and IM03 of - 465.25 [12]. - IC00 had an average daily basis of - 20.83, IC01 of - 82.03, IC02 of - 189.44, and IC03 of - 349.6 [12]. - IF00 had an average daily basis of - 4.11, IF01 of - 13.84, IF02 of - 36.38, and IF03 of - 61.42 [12]. - IH00 had an average daily basis of - 0.54, IH01 of - 0.48, IH02 of 0.23, and IH03 of 2.65 [12]. Point Differences in Contract Roll - over and Annualized Costs of Stock Index Futures - The report provides data on the point differences in contract roll - over and their annualized costs for IM, IC, IF, and IH stock index futures at different time intervals, such as 15 - minute average values [20][22][24].

1. Index Trends - On September 10, the Shanghai Composite Index rose 0.13% to close at 3812.22 points, with a trading volume of 821.114 billion yuan; the Shenzhen Component Index rose 0.38% to close at 12557.68 points, with a trading volume of 1157.009 billion yuan [1]. - The CSI 1000 Index rose 0.06%, with a trading volume of 396.105 billion yuan. The opening price was 7214.23, the closing price was 7230.17, the highest price was 7296.0, and the lowest price was 7179.76 [1]. - The CSI 500 Index rose 0.05%, with a trading volume of 359.667 billion yuan. The opening price was 6911.11, the closing price was 6932.11, the highest price was 6977.77, and the lowest price was 6870.4 [1]. - The SSE 50 Index rose 0.37%, with a trading volume of 133.802 billion yuan. The opening price was 2928.11, the closing price was 2939.59, the highest price was 2954.44, and the lowest price was 2923.56 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 4.14 points from the previous closing price. Sectors such as computer, communication, and electronics had a significant upward pull on the index, while sectors such as basic chemicals, machinery, and power equipment had a significant downward pull [2]. - The CSI 500 rose 3.14 points from the previous closing price. Sectors such as electronics, media, and national defense and military industry had a significant upward pull on the index, while sectors such as basic chemicals, pharmaceuticals, and power equipment had a significant downward pull [2]. - The SSE 300 rose 9.1 points from the previous closing price. Sectors such as electronics, communication, and computer had a significant upward pull on the index, while sectors such as pharmaceuticals, non - ferrous metals, and power equipment had a significant downward pull [2]. - The SSE 50 rose 10.96 points from the previous closing price. Sectors such as electronics, food and beverage, and communication had a significant upward pull on the index, while the non - banking financial sector had a significant downward pull [2]. 3. Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 48.92, IM01 had - 111.1, IM02 had - 256.62, and IM03 had - 440.96 [13]. - For IC contracts, IC00 had an average daily basis of - 45.02, IC01 had - 105.35, IC02 had - 219.54, and IC03 had - 367.48 [13]. - For IF contracts, IF00 had an average daily basis of - 9.15, IF01 had - 17.91, IF02 had - 37.36, and IF03 had - 57.04 [13]. - For IH contracts, IH00 had an average daily basis of - 1.43, IH01 had - 2.54, IH02 had - 2.66, and IH03 had - 0.32 [13]. 4. Stock Index Futures Roll - over Point Differences and Annualized Costs - For IC contracts, data on roll - over point differences and their annualized costs at different times are provided, such as at 09:45, IC00 - 01 was - 68.64222, IC00 - 02 was - 225.568, etc. [23]. - For IH contracts, data on roll - over point differences and their annualized costs at different times are provided, such as at 09:45, IH00 - 01 was 0.707, IH00 - 02 was 1.4593333, etc. [24]. - For IM contracts, data on roll - over point differences and their annualized costs at different times are provided, such as at 09:45, IM00 - 01 was - 73.02267, IM00 - 02 was - 259.4522, etc. [25]. - For IF contracts, data on roll - over point differences and their annualized costs at different times are provided, such as at 09:45, IF00 - 01 was - 12.31678, IF00 - 02 was - 41.14122, etc. [26].