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

1. Index Trends - On July 10th, the Shanghai Composite Index rose by 0.48% to close at 3509.68 points, with a trading volume of 613.161 billion yuan; the Shenzhen Component Index rose by 0.47% to close at 10631.13 points, with a trading volume of 880.987 billion yuan [1]. - The CSI 1000 Index rose by 0.25%, with a trading volume of 296.726 billion yuan, an opening price of 6385.21, a closing price of 6406.57, a daily high of 6427.74, and a daily low of 6367.66 [1]. - The CSI 500 Index rose by 0.5%, with a trading volume of 207.637 billion yuan, an opening price of 5950.97, a closing price of 5983.05, a daily high of 6000.69, and a daily low of 5942.29 [1]. - The SSE 50 Index rose by 0.62%, with a trading volume of 98.729 billion yuan, an opening price of 2739.23, a closing price of 2756.93, a daily high of 2777.42, and a daily low of 2739.23 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 16.1 points from the previous closing price. Sectors such as Medicine and Biology, Non - ferrous Metals, and Real Estate significantly pulled the index up, while sectors like Machinery and Equipment, and Computer pulled it down [3]. - The CSI 500 rose 29.56 points from the previous closing price. Non - Banking Finance, Non - ferrous Metals, and Medicine and Biology sectors significantly pulled the index up, while the Electronics sector pulled it down [3]. - The SSE 300 rose 18.62 points from the previous closing price. Banking, Non - Banking Finance, and Power Equipment sectors significantly pulled the index up [3]. - The SSE 50 rose 17.01 points from the previous closing price. Banking and Non - Banking Finance sectors significantly pulled the index up [3]. 3. Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 27.43, IM01 had - 99.5, IM02 had - 173.59, and IM03 had - 358.9 [14]. - For IC contracts, IC00 had an average daily basis of - 19.8, IC01 had - 75.93, IC02 had - 127.74, and IC03 had - 250.87 [14]. - For IF contracts, IF00 had an average daily basis of - 14.28, IF01 had - 30.93, IF02 had - 39.68, and IF03 had - 72.69 [14]. - For IH contracts, IH00 had an average daily basis of - 13.74, IH01 had - 18.62, IH02 had - 19.15, and IH03 had - 19.03 [14]. 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 time points (e.g., 09:45, 10:00, etc.) are provided, including values such as IM00 - 01, IM00 - 02, etc. [24]. - For IC contracts, similar data on roll - over point differences and annualized costs at different time points are presented, like IC00 - 01, IC00 - 02, etc. [26]. - For IF contracts, data on roll - over point differences and annualized costs at various time points are given, such as IF00 - 01, IF00 - 02, etc. [26]. - For IH contracts, data on roll - over point differences and annualized costs at different time points are shown, including IH00 - 01, IH00 - 02, etc. [28].

1. Report Industry Investment Rating No information about the report industry investment rating is provided in the content. 2. Core Viewpoints The report presents the performance of major stock indices on July 9th, including their price movements, trading volumes, and the impact of different sectors on these indices. It also provides data on the basis of stock index futures, the cost of opening positions, and the points difference in contract roll - over and its annualized cost. 3. Summary by Directory 3.1 Index Trends - On July 9th, the Shanghai Composite Index fell 0.13% to close at 3493.05 points with a trading volume of 595.963 billion yuan; the Shenzhen Component Index fell 0.06% to close at 10581.8 points with a trading volume of 909.214 billion yuan [1]. - The CSI 1000 Index fell 0.27% with a trading volume of 303.196 billion yuan, opening at 6412.14, closing at 6390.47, with a high of 6431.09 and a low of 6375.08 [1]. - The CSI 500 Index fell 0.41% with a trading volume of 207.864 billion yuan, opening at 5980.65, closing at 5953.49, with a high of 5992.13 and a low of 5940.18 [1]. - The SSE 50 Index fell 0.26% with a trading volume of 83.536 billion yuan, opening at 2746.14, closing at 2739.92, with a high of 2759.06 and a low of 2739.21 [1]. - The CSI 300 Index fell 0.18% with a trading volume of 305.399 billion yuan, opening at 3997.5, closing at 3991.4, with a high of 4016.74 and a low of 3987.43 [1]. 3.2 Impact of Sector Movements on Index - The CSI 1000 Index dropped 17.23 points compared to the previous close. Sectors such as environmental protection, media, and banking had a positive impact, while power equipment, non - ferrous metals, and electronics had a negative impact [2]. - The CSI 500 Index dropped 24.25 points compared to the previous close. Power equipment, non - ferrous metals, and electronics had a negative impact [2]. - The CSI 300 Index dropped 7.05 points compared to the previous close. Power equipment, pharmaceutical biology, and banking had a positive impact, while electronics, non - bank finance, and non - ferrous metals had a negative impact [2]. - The SSE 50 Index dropped 7.27 points compared to the previous close. Pharmaceutical biology, food and beverage, and communication had a positive impact, while electronics, non - bank finance, and non - ferrous metals had a negative impact [2]. 3.3 Basis of Stock Index Futures and Annualized Cost of Opening Positions - For IM contracts, IM00 had an average daily basis of - 32.46, IM01 of - 106.22, IM02 of - 179.85, and IM03 of - 367.73 [13]. - For IC contracts, IC00 had an average daily basis of - 22.0, IC01 of - 78.52, IC02 of - 128.99, and IC03 of - 252.77 [13]. - For IF contracts, IF00 had an average daily basis of - 16.7, IF01 of - 33.74, IF02 of - 41.77, and IF03 of - 75.91 [13]. - For IH contracts, IH00 had an average daily basis of - 14.68, IH01 of - 19.67, IH02 of - 19.96, and IH03 of - 19.67 [13]. 3.4 Points Difference in Contract Roll - over and Its Annualized Cost - The report provides data on the points difference in contract roll - over and its annualized cost for IM, IC, IF, and IH contracts at different time points throughout the trading day [21][23][25].

- Model Name: Continuous Hedging Strategy; Model Construction Idea: The strategy is based on the analysis of basis convergence factors and optimization strategies; Model Construction Process: The strategy involves holding the corresponding total return index on the spot side and shorting the corresponding stock index futures contracts on the futures side, with specific parameters and settings for backtesting, including the backtesting period, spot side, futures side, and rebalancing rules[44][45] - Model Name: Minimum Discount Strategy; Model Construction Idea: The strategy selects the futures contract with the smallest annualized basis discount for opening positions; Model Construction Process: The strategy involves holding the corresponding total return index on the spot side and shorting the corresponding stock index futures contracts on the futures side, with specific parameters and settings for backtesting, including the backtesting period, spot side, futures side, and rebalancing rules[44][46] - Factor Name: Cinda-VIX; Factor Construction Idea: The factor reflects the market's expectation of future volatility of the underlying asset; Factor Construction Process: The factor is based on the methodology from the research report series "Exploring Market Sentiment Implied in the Options Market" and reflects the volatility expectations of investors in the options market for different periods[62] - Factor Name: Cinda-SKEW; Factor Construction Idea: The factor captures the skewness of implied volatility (IV) of options with different strike prices; Factor Construction Process: The factor measures the degree of skewness in volatility, providing insights into market expectations of future returns distribution of the underlying asset[70][71] - Continuous Hedging Strategy, Annualized Return: -2.73% (monthly), -1.93% (quarterly), -0.95% (minimum discount); Volatility: 3.88% (monthly), 4.77% (quarterly), 4.68% (minimum discount); Maximum Drawdown: -8.15% (monthly), -8.34% (quarterly), -7.97% (minimum discount); Net Value: 0.9221 (monthly), 0.9446 (quarterly), 0.9725 (minimum discount); Annual Turnover: 12 (monthly), 4 (quarterly), 17.40 (minimum discount); 2025 YTD Return: -3.24% (monthly), -0.94% (quarterly), -0.63% (minimum discount)[48] - Continuous Hedging Strategy, Annualized Return: 0.54% (monthly), 0.80% (quarterly), 1.37% (minimum discount); Volatility: 3.02% (monthly), 3.36% (quarterly), 3.15% (minimum discount); Maximum Drawdown: -3.95% (monthly), -4.03% (quarterly), -4.06% (minimum discount); Net Value: 1.0159 (monthly), 1.0237 (quarterly), 1.0406 (minimum discount); Annual Turnover: 12 (monthly), 4 (quarterly), 15.36 (minimum discount); 2025 YTD Return: -0.75% (monthly), 0.39% (quarterly), 0.70% (minimum discount)[53] - Continuous Hedging Strategy, Annualized Return: 1.07% (monthly), 2.04% (quarterly), 1.76% (minimum discount); Volatility: 3.13% (monthly), 3.56% (quarterly), 3.15% (minimum discount); Maximum Drawdown: -4.22% (monthly), -3.75% (quarterly), -3.91% (minimum discount); Net Value: 1.0316 (monthly), 1.0609 (quarterly), 1.0526 (minimum discount); Annual Turnover: 12 (monthly), 4 (quarterly), 16.04 (minimum discount); 2025 YTD Return: 0.08% (monthly), 1.15% (quarterly), 1.14% (minimum discount)[57] - Continuous Hedging Strategy, Annualized Return: -5.96% (monthly), -4.33% (quarterly), -3.76% (minimum discount); Volatility: 4.74% (monthly), 5.79% (quarterly), 5.60% (minimum discount); Maximum Drawdown: -14.00% (monthly), -12.63% (quarterly), -11.11% (minimum discount); Net Value: 0.8521 (monthly), 0.8849 (quarterly), 0.9009 (minimum discount); Annual Turnover: 12 (monthly), 4 (quarterly), 15.96 (minimum discount); 2025 YTD Return: -8.68% (monthly), -3.91% (quarterly), -3.47% (minimum discount)[59] - Cinda-VIX, 30-day VIX values: 17.29 (SSE 50), 15.95 (CSI 300), 23.13 (CSI 500), 21.70 (CSI 1000)[62] - Cinda-SKEW, 30-day SKEW values: 100.62 (SSE 50), 101.40 (CSI 300), 96.04 (CSI 500), 102.73 (CSI 1000)[71]

Group 1: Index Performance - On July 3rd, the Shanghai Composite Index rose 0.18% to close at 3461.15 points with a trading volume of 500.212 billion yuan; the Shenzhen Component Index rose 1.17% to close at 10534.58 points with a trading volume of 809.522 billion yuan [1]. - The CSI 1000 Index rose 0.53% with a trading volume of 270.492 billion yuan, opening at 6306.75, closing at 6342.64, with a daily high of 6349.14 and a low of 6295.23 [1]. - The CSI 500 Index rose 0.5% with a trading volume of 174.689 billion yuan, opening at 5896.24, closing at 5922.66, with a daily high of 5929.73 and a low of 5885.94 [1]. - The SSE 50 Index rose 0.07% with a trading volume of 59.917 billion yuan, opening at 2726.11, closing at 2724.55, with a daily high of 2728.17 and a low of 2713.97 [1]. - The SSE 50 Index rose 0.07% with a trading volume of 59.917 billion yuan, opening at 2726.11, closing at 2724.55, with a daily high of 2728.17 and a low of 2713.97 [1]. Group 2: Sector Impact on Index - The CSI 1000 rose 33.16 points from the previous closing price, with sectors such as pharmaceutical biology and electronics significantly pulling the index up [3]. - The CSI 500 rose 29.71 points from the previous closing price, with sectors such as electronics, pharmaceutical biology, and power equipment significantly pulling the index up [3]. - The SSE 300 rose 24.39 points from the previous closing price, with sectors such as electronics and power equipment significantly pulling the index up [3]. - The SSE 50 rose 2.0 points from the previous closing price, with sectors such as non - bank finance, food and beverage, and electronics significantly pulling the index up, while sectors such as public utilities, banks, and coal pulled the index down [3]. Group 3: Stock Index Futures Basis and Annualized Opening Costs - IM00 average daily basis was - 55.18, IM01 was - 126.37, IM02 was - 196.58, and IM03 was - 374.8 [14]. - IC00 average daily basis was - 44.47, IC01 was - 95.88, IC02 was - 148.09, and IC03 was - 272.46 [14]. - IF00 average daily basis was - 22.97, IF01 was - 40.67, IF02 was - 51.5, and IF03 was - 88.45 [14]. - IH00 average daily basis was - 18.29, IH01 was - 23.64, IH02 was - 24.63, and IH03 was - 25.8 [14]. Group 4: Stock Index Futures Roll - over Point Differences and Annualized Costs - Data on the roll - over point differences and their annualized costs for IM, IC, IF, and IH futures contracts at different time intervals (15 - minute averages) are provided, including specific point differences and corresponding annualized costs [24][26][28].

1. Index Trends - On June 30, the Shanghai Composite Index rose 0.59% to close at 3,444.43 points, with a trading volume of 567.137 billion yuan. The Shenzhen Component Index rose 0.83% to close at 10,465.12 points, with a trading volume of 919.72 billion yuan. [1] - The CSI 1000 Index rose 1.26% with a trading volume of 336.221 billion yuan. It opened at 6,297.08, closed at 6,356.18, with a high of 6,358.03 and a low of 6,292.51. [1] - The CSI 500 Index rose 0.88% with a trading volume of 226.517 billion yuan. It opened at 5,877.67, closed at 5,915.39, with a high of 5,918.31 and a low of 5,872.23. [1] - The SSE 50 Index rose 0.16% with a trading volume of 76.464 billion yuan. It opened at 2,702.12, closed at 2,711.99, with a high of 2,716.3 and a low of 2,695.42. [1] 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 79.24 points from the previous close. Sectors such as electronics, national defense and military industry, and computer significantly pulled the index up. [2] - The CSI 500 rose 51.66 points from the previous close. Sectors such as national defense and military industry, electronics, and media significantly pulled the index up. [2] - The SSE 300 rose 14.32 points from the previous close. Sectors such as electronics, power equipment, and national defense and military industry significantly pulled the index up. [2] - The SSE 50 rose 4.42 points from the previous close. Sectors such as electronics, pharmaceutical biology, and national defense and military industry significantly pulled the index up, while sectors such as non - ferrous metals and banks pulled the index down. [2] 3. Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 51.59, IM01 of - 114.33, IM02 of - 181.73, and IM03 of - 356.0. [12] - For IC contracts, IC00 had an average daily basis of - 38.42, IC01 of - 80.23, IC02 of - 127.59, and IC03 of - 247.16. [12] - For IF contracts, IF00 had an average daily basis of - 25.11, IF01 of - 37.67, IF02 of - 44.55, and IF03 of - 75.15. [12] - For IH contracts, IH00 had an average daily basis of - 20.28, IH01 of - 23.86, IH02 of - 24.19, and IH03 of - 23.5. [12] 4. Stock Index Futures Roll - over Point Differences and Annualized Costs - For IM contracts, various roll - over point differences and their corresponding annualized costs were presented at different time points from 09:45 to 15:00. For example, at 09:45, IM00 - 01 was - 53.1193, IM00 - 02 was - 158.791, etc. [21] - For IC contracts, similar roll - over point differences and annualized costs were provided at different time intervals. For instance, at 09:45, IC00 - 01 was - 26.1467, IC00 - 02 was - 90.0318, etc. [23] - For IF contracts, at 09:45, IF00 - 01 was - 5.99267, IF00 - 02 was - 13.4098, etc., with roll - over point differences and annualized costs tracked throughout the day. [25] - For IH contracts, data such as at 09:45, IH00 - 01 was - 1.29644, IH00 - 02 was 1.559889, etc., were given for roll - over point differences and annualized costs. [27]

- The report introduces the dividend forecast for stock index futures contracts during their duration, predicting dividend points for CSI 500, CSI 300, SSE 50, and CSI 1000 indices as 73.53, 68.56, 52.96, and 65.86 respectively[9][11][16] - The dividend-adjusted annualized basis calculation is explained as: Annualized Basis = (Actual Basis + (Expected) Dividend Points) / Index Price × 360 / Remaining Days of Contract[20] - CSI 500 futures contract IC2507 predicts dividend points of 20.73, IC2509 predicts 30.13, and IC2512 predicts 30.13, with a dividend ratio of 0.53% during the next season contract duration[9] - CSI 300 futures contract IF2507 predicts dividend points of 34.94, IF2509 predicts 48.09, and IF2512 predicts 48.4, with a dividend ratio of 1.26% during the next season contract duration[11] - SSE 50 futures contract IH2507 predicts dividend points of 40.11, IH2509 predicts 44.54, and IH2512 predicts 44.97, with a dividend ratio of 1.68% during the next season contract duration[16] - CSI 1000 futures contract IM2507 predicts dividend points of 18.42, IM2509 predicts 22.63, and IM2512 predicts 22.73, with a dividend ratio of 0.38% during the next season contract duration[18] - CSI 500 futures contract IC's dividend-adjusted annualized basis rose to -8.70% from a weekly low of -9.76%[21] - CSI 300 futures contract IF's dividend-adjusted annualized basis fell to -2.54% from a weekly high of -1.77%[27] - SSE 50 futures contract IH's dividend-adjusted annualized basis rose to 0.91% from a weekly low of 0.40%[33] - CSI 1000 futures contract IM's dividend-adjusted annualized basis rose to -12.34% from a weekly low of -14.89%[40] - The continuous hedging strategy and minimum basis strategy are introduced, with parameters including holding corresponding total return indices for the spot side and shorting futures contracts with equal nominal principal for the hedging side[45][46][47] - CSI 500 futures hedging strategy results: Annualized returns for monthly continuous hedging, seasonal continuous hedging, and minimum basis strategy are -2.75%, -1.97%, and -0.95% respectively, with volatility of 3.89%, 4.78%, and 4.70%[48] - CSI 300 futures hedging strategy results: Annualized returns for monthly continuous hedging, seasonal continuous hedging, and minimum basis strategy are 0.60%, 0.88%, and 1.44% respectively, with volatility of 3.03%, 3.38%, and 3.17%[50][54] - SSE 50 futures hedging strategy results: Annualized returns for monthly continuous hedging, seasonal continuous hedging, and minimum basis strategy are 1.10%, 2.04%, and 1.76% respectively, with volatility of 3.15%, 3.58%, and 3.16%[55][58] - CSI 1000 futures hedging strategy results: Annualized returns for monthly continuous hedging, seasonal continuous hedging, and minimum basis strategy are -5.99%, -4.36%, and -3.68% respectively, with volatility of 4.74%, 5.78%, and 5.60%[59][60] - Cinda-VIX index reflects market volatility expectations, with 30-day VIX values for SSE 50, CSI 300, CSI 500, and CSI 1000 indices at 16.54, 17.01, 25.03, and 22.92 respectively[63][65] - Cinda-SKEW index captures implied volatility skew characteristics, with values for SSE 50, CSI 300, CSI 500, and CSI 1000 indices at 101.73, 106.09, 97.81, and 105.04 respectively[72][75]

Report Summary 1. Index Performance - On June 19th, the Shanghai Composite Index dropped by 0.79% to close at 3362.11 points, with a trading volume of 473.259 billion yuan; the Shenzhen Component Index fell 1.21% to 10051.97 points, trading 777.365 billion yuan [1]. - The CSI 1000 Index decreased by 1.42%, with a trading volume of 270.827 billion yuan, opening at 6127.94 and closing at 6048.22 [1]. - The CSI 500 Index declined by 1.2%, trading 162.658 billion yuan, opening at 5733.81 and closing at 5676.83 [1]. - The SSE 50 Index fell 0.54%, with a trading volume of 64.021 billion yuan, opening at 2678.36 and closing at 2665.52 [1]. 2. Sector Impact on Index - The CSI 1000 dropped 87.17 points, with the Computer and Pharmaceutical Biology sectors significantly dragging it down [2]. - The CSI 500 fell 69.04 points, affected by the Computer, Pharmaceutical Biology, and Non - Banking Finance sectors [2]. - The SSE 300 declined 31.88 points, pulled down by the Power Equipment and Non - Banking Finance sectors [2]. - The SSE 50 dropped 14.4 points, influenced by the Non - Banking Finance and Non - Ferrous Metals sectors [2]. 3. Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 7.72, IM01 of - 95.26, IM02 of - 258.62, and IM03 of - 437.34 [11]. - For IC contracts, IC00 had an average daily basis of - 6.6, IC01 of - 72.5, IC02 of - 184.11, and IC03 of - 308.25 [11]. - For IF contracts, IF00 had an average daily basis of - 5.07, IF01 of - 47.41, IF02 of - 77.64, and IF03 of - 107.61 [11]. - For IH contracts, IH00 had an average daily basis of - 6.22, IH01 of - 43.57, IH02 of - 45.65, and IH03 of - 47.67 [11]. 4. Futures Roll - over Point Differences and Annualized Costs - For IM contracts, various roll - over point differences and their corresponding annualized costs were presented, such as IM00 - 01 having different values at different times [21]. - For IC contracts, similar roll - over point differences and annualized costs were provided, like IC00 - 01 with values changing over time [23]. - For IF contracts, roll - over point differences and annualized costs were detailed, e.g., IF00 - 01 at different time points [23]. - For IH contracts, roll - over point differences and annualized costs were given, such as IH00 - 01 at various times [25]. Core View The report presents the performance of major stock indices on June 19th, including their price changes, trading volumes, and the impact of different sectors on these indices. It also provides data on the basis and roll - over costs of various stock index futures contracts, offering a comprehensive view of the market situation on that day.

股指期货日度数据跟踪 2025-06-19 一、指数走势 06 月 18 日，上证综指涨跌幅 0.04%，收于 3388.81 点，成交额 4410.11 亿元，深成指数涨跌幅 0.24%，收于 10175.59 点，成交额 7500.56 亿元。 中证 1000 指数涨跌幅-0.1%，成交额 2564.64 亿元，其中开盘价 6126.18，收盘价 6135.39，当日最高价 6143.21，最低价 6086.69； 中证 500 指数涨跌幅-0.09%，成交额 1545.4 亿元，其中开盘价 5740.16，收盘价 5745.87，当日最高价 5753.71，最低价 5709.8； 沪深 300 指数涨跌幅 0.12%，成交额 2305.54 亿元，其中开盘价 3871.65，收盘价 3874.97，当日最高价 3881.35，最低价 3854.66； 上证 50 指数涨跌幅-0.15%，成交额 621.34 亿元，其中开盘价 2685.47，收盘价 2679.92，当日最高价 2690.9，最低价 2668.87。 图表 1：中证 1000、中证 500、沪深 300、上证 50 日内走势（%） 图表 ...

Index Trends - On June 11th, the Shanghai Composite Index rose 0.52% to close at 3402.32 points with a trading volume of 501.807 billion yuan; the Shenzhen Component Index rose 0.83% to close at 10246.02 points with a trading volume of 753.651 billion yuan [1]. - The CSI 1000 Index rose 0.4% with a trading volume of 243.671 billion yuan, opening at 6162.16, closing at 6186.51, with a daily high of 6221.2 and a low of 6162.16 [1]. - The CSI 500 Index rose 0.61% with a trading volume of 161.354 billion yuan, opening at 5758.53, closing at 5792.95, with a daily high of 5818.57 and a low of 5758.53 [1]. - The SSE 50 Index rose 0.59% with a trading volume of 66.528 billion yuan, opening at 2676.67, closing at 2692.14, with a daily high of 2704.45 and a low of 2676.67 [1]. - The SSE 50 Index rose 0.59% with a trading volume of 66.528 billion yuan, opening at 2676.67, closing at 2692.14, with a daily high of 2704.45 and a low of 2676.67 [1]. Impact of Sector Movements on Indexes - The CSI 1000 rose 24.82 points from the previous closing price. Sectors such as non - ferrous metals, media, and electronics significantly pulled the index up, while the pharmaceutical and biological sector pulled it down [3]. - The CSI 500 rose 34.96 points from the previous closing price. Sectors such as automobiles, non - bank finance, and power equipment significantly pulled the index up [3]. - The SSE 300 rose 29.16 points from the previous closing price. Sectors such as non - bank finance, power equipment, and non - ferrous metals significantly pulled the index up [3]. - The SSE 50 rose 15.74 points from the previous closing price. Sectors such as non - bank finance, banks, and non - ferrous metals significantly pulled the index up, while the electronics sector pulled it down [3]. Stock Index Futures Basis and Annualized Opening Costs - IM00 had an average daily basis of - 32.9, IM01 of - 126.39, IM02 of - 286.78, and IM03 of - 460.32 [14]. - IC00 had an average daily basis of - 24.61, IC01 of - 98.13, IC02 of - 204.24, and IC03 of - 327.04 [14]. - IF00 had an average daily basis of - 13.64, IF01 of - 52.63, IF02 of - 80.48, and IF03 of - 107.98 [14]. - IH00 had an average daily basis of - 11.11, IH01 of - 42.08, IH02 of - 47.99, and IH03 of - 48.09 [14]. Stock Index Futures Roll - over Point Differences and Annualized Costs - Data on the roll - over point differences and their annualized costs for IM, IC, IF, and IH futures at different time points are provided, including details such as IC00 - 01, IC00 - 02, etc. at 15 - minute intervals [24][26][27].