Index Trends - On May 21st, the Shanghai Composite Index rose 0.21% to close at 3387.57 points with a trading volume of 465.957 billion yuan; the Shenzhen Component Index rose 0.44% to close at 10294.22 points with a trading volume of 707.488 billion yuan [1]. - The CSI 1000 Index fell 0.23% with a trading volume of 234.419 billion yuan, opening at 6137.1, closing at 6132.18, with a daily high of 6141.73 and a low of 6109.92 [1]. - The CSI 500 Index rose 0.18% with a trading volume of 155.147 billion yuan, opening at 5741.69, closing at 5757.92, with a daily high of 5763.08 and a low of 5733.83 [1]. - The SSE 50 Index rose 0.43% with a trading volume of 59.788 billion yuan, opening at 2716.84, closing at 2728.43, with a daily high of 2740.77 and a low of 2716.84 [1]. Impact of Sector Movements on Indexes - The CSI 1000 fell 13.84 points from the previous close. Sectors such as pharmaceuticals and utilities pulled the index up, while media, computer, and electronics sectors pulled it down [3]. - The CSI 500 rose 10.55 points from the previous close. Sectors such as automobiles, pharmaceuticals, and non - ferrous metals pulled the index up, while communication, machinery, and electronics sectors pulled it down [3]. - The SSE 300 rose 18.21 points from the previous close. Sectors such as power equipment, non - ferrous metals, and banks pulled the index up, while the electronics sector pulled it down [3]. - The SSE 50 rose 11.8 points from the previous close. Sectors such as non - ferrous metals, pharmaceuticals, and coal pulled the index up, while the electronics sector pulled it down [3]. Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 133.48, IM01 of - 223.85, IM02 of - 375.94, and IM03 of - 545.18 [13]. - For IC contracts, IC00 had an average daily basis of - 100.87, IC01 of - 177.63, IC02 of - 299.38, and IC03 of - 432.85 [13]. - For IF contracts, IF00 had an average daily basis of - 35.53, IF01 of - 76.46, IF02 of - 108.45, and IF03 of - 151.56 [13]. - For IH contracts, IH00 had an average daily basis of - 17.38, IH01 of - 48.12, IH02 of - 54.74, and IH03 of - 58.39 [13]. Futures Roll - over Point Differences and Annualized Costs - 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 - 53.1193, IM00 - 02 was - 158.791, etc. [22]. - 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 - 26.1467, IC00 - 02 was - 90.0318, etc. [23]. - 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 - 5.99267, IF00 - 02 was - 13.4098, 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 - 1.29644, IH00 - 02 was 1.559889, etc. [25].

1. Index Trends - On May 19th, the Shanghai Composite Index had a change of 0.0%, closing at 3367.58 points with a trading volume of 437.178 billion yuan; the Shenzhen Component Index changed by -0.08%, closing at 10171.09 points with a trading volume of 649.27 billion yuan [1]. - The CSI 1000 Index rose by 0.45% with a trading volume of 214.013 billion yuan, opening at 6073.2, closing at 6095.34, with a daily high of 6100.8 and a low of 6009.95 [1]. - The CSI 500 Index increased by 0.09% with a trading volume of 141.099 billion yuan, opening at 5719.44, closing at 5720.79, with a daily high of 5729.07 and a low of 5669.72 [1]. - The SSE 50 Index decreased by 0.43% with a trading volume of 51.69 billion yuan, opening at 2710.32, closing at 2705.09, with a daily high of 2716.86 and a low of 2701.25 [1]. - The CSI 300 Index declined by 0.31% with a trading volume of 184.888 billion yuan, opening at 3882.57, closing at 3877.15, with a daily high of 3885.59 and a low of 3866.57 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 27.22 points from the previous close, with sectors such as transportation, national defense and military industry, and electronics significantly pulling the index up [2]. - The CSI 500 rose 4.94 points from the previous close. Sectors like national defense and military industry, food and beverage, and public utilities pulled the index up, while non - ferrous metals, computer, and pharmaceutical biology pulled it down [2]. - The CSI 300 dropped 11.94 points from the previous close. Public utilities pulled the index up, while sectors such as automobiles, banks, and food and beverage pulled it down [2]. - The SSE 50 dropped 11.57 points from the previous close. Public utilities pulled the index up, while banks and food and beverage pulled it down [2]. 3. Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of -133.37, IM01 of -219.12, IM02 of -354.04, and IM03 of -512.6 [12]. - For IC contracts, IC00 had an average daily basis of -111.32, IC01 of -183.82, IC02 of -291.63, and IC03 of -415.42 [12]. - For IF contracts, IF00 had an average daily basis of -40.83, IF01 of -78.35, IF02 of -109.23, and IF03 of -150.81 [12]. - For IH contracts, IH00 had an average daily basis of -20.54, IH01 of -48.83, IH02 of -55.22, and IH03 of -58.25 [12]. 4. Futures Roll - over Point Differences and Annualized Costs - For IM contracts, there were data on roll - over point differences and their annualized costs at different 15 - minute intervals, such as at 09:45, IM00 - 01 was -53.1193, IM00 - 02 was -158.791, etc. [21]. - For IC contracts, at 09:45, IC00 - 01 was -26.1467, IC00 - 02 was -90.0318, etc., with corresponding 15 - minute interval data [22]. - For IF contracts, at 09:45, IF00 - 01 was -5.99267, IF00 - 02 was -13.4098, etc., with 15 - minute interval data [22]. - For IH contracts, at 09:45, IH00 - 01 was -1.29644, IH00 - 02 was 1.559889, etc., with 15 - minute interval data [24].

股指期货日度数据跟踪 2025-05-16 一、指数走势 05 月 15 日，上证综指涨跌幅-0.68%，收于 3380.82 点，成交额 4612.92 亿元，深成指数涨跌幅-1.62%，收于 10186.45 点，成交额 6911.02 亿元。 中证 1000 指数涨跌幅-1.68%，成交额 2249.08 亿元，其中开盘价 6146.0，收盘价 6057.04，当日最高价 6146.0，最低价 6055.84； 中证 500 指数涨跌幅-1.45%，成交额 1651.37 亿元，其中开盘价 5786.78，收盘价 5715.3，当日最高价 5786.78，最低价 5715.29； 沪深 300 指数涨跌幅-0.91%，成交额 2414.65 亿元，其中开盘价 3934.03，收盘价 3907.2，当日最高价 3936.47，最低价 3904.91； 上证 50 指数涨跌幅-0.49%，成交额 692.36 亿元，其中开盘价 2748.54，收盘价 2740.3，当日最高价 2758.08，最低价 2735.9。 数据来源：Wind，光期研究所 数据来源：Wind，光期研究所 二、板块涨跌对指数影响 中证 ...

05 月 13 日，上证综指涨跌幅 0.17%，收于 3374.87 点，成交额 5066.09 亿元，深成指数涨跌幅-0.13%，收于 10288.08 点，成交额 7849.16 亿元。 中证 1000 指数涨跌幅-0.27%，成交额 2634.63 亿元，其中开盘价 6219.45，收盘价 6151.01，当日最高价 6220.44，最低价 6141.68； 中证 500 指数涨跌幅-0.21%，成交额 1942.52 亿元，其中开盘价 5838.03，收盘价 5781.67，当日最高价 5838.03，最低价 5772.07； 沪深 300 指数涨跌幅 0.15%，成交额 2675.86 亿元，其中开盘价 3915.59，收盘价 3896.26，当日最高价 3915.59，最低价 3890.69； 上证 50 指数涨跌幅 0.2%，成交额 693.58 亿元，其中开盘价 2713.11，收盘价 2708.06，当日最高价 2713.11，最低价 2702.06。 图表 1：中证 1000、中证 500、沪深 300、上证 50 日内走势（%） 图表 2：四大指数个股涨跌幅比例（%）统计 -0.6 -0 ...

1. Index Movements - On May 12, the Shanghai Composite Index rose 0.82% to close at 3369.24 points, with a trading volume of 522.081 billion yuan; the Shenzhen Component Index rose 1.72% to close at 10301.16 points, with a trading volume of 786.329 billion yuan [1]. - The CSI 1000 Index rose 1.4%, with a trading volume of 264.308 billion yuan, opening at 6122.67, closing at 6167.46, with a daily high of 6167.46 and a low of 6110.02 [1]. - The CSI 500 Index rose 1.26%, with a trading volume of 199.427 billion yuan, opening at 5751.44, closing at 5793.67, with a daily high of 5794.52 and a low of 5737.46 [1]. - The SSE 300 Index rose 1.16%, with a trading volume of 296.123 billion yuan, opening at 3866.53, closing at 3890.61, with a daily high of 3890.73 and a low of 3859.03 [1]. - The SSE 50 Index rose 0.69%, with a trading volume of 78.88 billion yuan, opening at 2688.75, closing at 2702.62, with a daily high of 2710.61 and a low of 2681.96 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 85.38 points from the previous closing price, with sectors such as electronics, power equipment, and machinery significantly pulling the index up [3]. - The CSI 500 rose 71.95 points from the previous closing price, with sectors such as national defense and military industry, electronics, and computer significantly pulling the index up [3]. - The SSE 300 rose 44.45 points from the previous closing price, with sectors such as non - bank finance, power equipment, and electronics significantly pulling the index up [3]. - The SSE 50 rose 18.61 points from the previous closing price, with sectors such as non - bank finance, food and beverage, and banks significantly pulling the index up, while the pharmaceutical and biological sector pulled the index down [3]. 3. Stock Index Futures Basis and Annualized Opening Costs Converted from Basis - IM00 average daily basis was - 21.01, IM01 was - 134.41, IM02 was - 324.53, and IM03 was - 465.93 [12]. - IC00 average daily basis was - 12.18, IC01 was - 112.94, IC02 was - 271.41, and IC03 was - 377.95 [12]. - IF00 average daily basis was - 4.8, IF01 was - 37.52, IF02 was - 102.79, and IF03 was - 139.79 [12]. - IH00 average daily basis was 0.39, IH01 was - 16.22, IH02 was - 49.71, and IH03 was - 53.42 [12]. 4. Stock Index Futures Roll - over Point Differences and Their Annualized Costs - Data on IM roll - over point differences and their annualized costs were presented, including values at different time points such as 09:45, 10:00, etc. [22]. - Similar data for IC, IF, and IH roll - over point differences and their annualized costs were also provided with values at multiple time points [23][25]

股指期货日度数据跟踪 2025-05-07 二、板块涨跌对指数影响 中证 1000 较前收盘价上涨 152.8 点，电子,计算机等板块对指数向上拉动明显。 中证 500 较前收盘价上涨 108.51 点，计算机,电子等板块对指数向上拉动明显。 沪深 300 较前收盘价上涨 37.97 点，电子,非银金融,计算机等板块对指数向上拉动明显。 上证 50 较前收盘价上涨 14.56 点，非银金融,电子,机械设备等板块对指数向上拉动明显。 图 3：中证 1000 各板块对指数贡献的涨跌点数 -10 0 10 20 30 40 电子 计算机 电力设备 机械设备 有色金属 通信 传媒 基础化工 汽车 医药生物 国防军工 非银金融 公用事业 交通运输 建筑装饰 房地产 商贸零售 家用电器 食品饮料 农林牧渔 纺织服饰 建筑材料 轻工制造 钢铁 环保 煤炭 美容护理 石油石化 社会服务 综合 银行 数据来源：Wind，光期研究所 图 4：中证 500 各板块对指数贡献的涨跌点数 -5 0 5 10 15 20 计算机 电子 电力设备 有色金属 非银金融 机械设备 国防军工 医药生物 基础化工 汽车 传媒 通信 家用电器 钢铁 ...

Report Summary 1. Index Trends - On April 29th, the Shanghai Composite Index closed at 3286.65 points with a change of -0.05% and a trading volume of 430.881 billion yuan; the Shenzhen Component Index closed at 9849.8 points with a change of -0.05% and a trading volume of 591.202 billion yuan [1]. - The CSI 1000 Index closed at 5903.38 points with a change of 0.45% and a trading volume of 219.412 billion yuan; the CSI 500 Index closed at 5604.91 points with a change of 0.12% and a trading volume of 158.033 billion yuan [1]. - The SSE 50 Index closed at 2645.51 points with a change of -0.22% and a trading volume of 53.894 billion yuan; the CSI 300 Index closed at 3775.08 points with a change of -0.17% and a trading volume of 197.463 billion yuan [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 Index rose 26.32 points. Sectors such as machinery, computer, and electronics had a significant positive impact, while the public utilities sector had a negative impact [3]. - The CSI 500 Index rose 6.61 points. Sectors like computer, pharmaceutical, and food and beverage had a positive impact, while national defense, power equipment, and public utilities sectors had a negative impact [3]. - The CSI 300 Index fell 6.54 points. Sectors including electronics, machinery, and household appliances had a positive impact, while food and beverage, public utilities, and power equipment sectors had a negative impact [3]. - The SSE 50 Index fell 5.72 points. Sectors such as electronics, pharmaceutical, and machinery had a positive impact, while non - banking finance, power equipment, and banking sectors had a negative impact [3]. 3. Futures Basis and Annualized Opening Costs - For IM contracts, the average daily basis for IM00 was -39.94, IM01 was -136.95, IM02 was -297.78, and IM03 was -425.98 [13]. - For IC contracts, the average daily basis for IC00 was -33.17, IC01 was -119.32, IC02 was -246.92, and IC03 was -340.05 [13]. - For IF contracts, the average daily basis for IF00 was -15.5, IF01 was -48.3, IF02 was -104.23, and IF03 was -131.19 [13]. - For IH contracts, the average daily basis for IH00 was -4.81, IH01 was -21.88, IH02 was -54.45, and IH03 was -59.08 [13]. 4. Futures Roll - over Point Differences and Annualized Costs - The report provides data on the annualized costs and 15 - minute average point differences for IM, IC, IF, and IH contracts during roll - over periods [22][24][25][27].

1. Report Industry Investment Rating - No relevant content provided. 2. Core View of the Report - The report presents the performance of major stock indices on April 28, including their price movements, trading volumes, and the impact of sector fluctuations on these indices. It also provides data on the basis and cost of futures contracts, as well as the points difference and cost of futures contract roll - overs [1][4][13][21]. 3. Summary by Directory Index Trends - On April 28, the Shanghai Composite Index closed at 3288.41 points, down 0.2%, with a trading volume of 441.916 billion yuan. The Shenzhen Component Index closed at 9855.2 points, down 0.62%, with a trading volume of 614.393 billion yuan [1]. - The CSI 1000 Index closed at 5877.06 points, down 1.05%, with a trading volume of 221.938 billion yuan. The CSI 500 Index closed at 5598.3 points, down 0.51%, with a trading volume of 167.616 billion yuan [1]. - The SSE 50 Index closed at 2651.23 points, up 0.09%, with a trading volume of 57.671 billion yuan. The SSE 300 Index closed at 3781.62 points, down 0.14%, with a trading volume of 210.635 billion yuan [1]. Impact of Sector Movements on Index - The CSI 1000 Index dropped 62.44 points, with sectors such as machinery, basic chemicals, and electronics significantly pulling the index down [4]. - The CSI 500 Index dropped 28.88 points, with machinery, electronics, and non - bank finance sectors significantly pulling the index down [4]. - The SSE 300 Index dropped 5.37 points. Sectors like banks, household appliances, and utilities pulled the index up, while real estate, non - bank finance, and automotive sectors pulled it down [4]. - The SSE 50 Index rose 2.42 points. Sectors like banks, electronics, and utilities pulled the index up, while coal, real estate, and food and beverage sectors pulled it down [4]. Futures Basis and Annualized Opening Cost - For the IM contracts, the average daily basis for IM00 was - 58.89, IM01 was - 158.16, IM02 was - 316.67, and IM03 was - 442.49 [13]. - For the IC contracts, the average daily basis for IC00 was - 47.14, IC01 was - 134.14, IC02 was - 260.58, and IC03 was - 354.58 [13]. - For the IF contracts, the average daily basis for IF00 was - 19.19, IF01 was - 52.35, IF02 was - 109.54, and IF03 was - 135.66 [13]. - For the IH contracts, the average daily basis for IH00 was - 5.89, IH01 was - 23.37, IH02 was - 56.54, and IH03 was - 61.01 [13]. Futures Contract Roll - over Points Difference and Annualized Cost - The report provides 15 - minute average data on the points difference and annualized cost of contract roll - overs for IM, IC, IF, and IH futures contracts [21][23].

1. Index Trends - On April 15th, the Shanghai Composite Index rose by 0.15%, closing at 3267.66 points with a trading volume of 456.33 billion yuan. The Shenzhen Component Index fell by 0.27%, closing at 9858.1 points with a trading volume of 620.861 billion yuan [1]. - The CSI 1000 Index fell by 0.41% with a trading volume of 225.752 billion yuan, opening at 5938.57, closing at 5914.03, with a daily high of 5949.86 and a low of 5872.29 [1]. - The CSI 500 Index fell by 0.44% with a trading volume of 161.901 billion yuan, opening at 5625.0, closing at 5602.53, with a daily high of 5626.68 and a low of 5567.03 [1]. - The SSE 50 Index rose by 0.24% with a trading volume of 72.435 billion yuan, opening at 2624.2, closing at 2634.59, with a daily high of 2637.75 and a low of 2615.37 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 fell 24.5 points from the previous close. Sectors such as National Defense and Military Industry, Computer, and Electronics significantly dragged the index down [2]. - The CSI 500 fell 24.61 points from the previous close. Sectors like Electronics, Computer, and National Defense and Military Industry had a significant downward pull on the index [2]. - The SSE 300 rose 2.09 points from the previous close. Sectors such as Banking, Household Appliances, and Food and Beverage pulled the index up, while Computer, Basic Chemicals, and Electronics dragged it down [2]. - The SSE 50 rose 6.38 points from the previous close. Sectors including Banking, Food and Beverage, and Non - Banking Finance pushed the index up, while Pharmaceutical Biology, Basic Chemicals, and Electronics pulled it down [2]. 3. Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 30.23, IM01 of - 124.59, IM02 of - 232.38, and IM03 of - 403.73 [12]. - For IC contracts, IC00 had an average daily basis of - 25.94, IC01 of - 99.32, IC02 of - 183.93, and IC03 of - 315.12 [12]. - For IF contracts, IF00 had an average daily basis of - 12.95, IF01 of - 32.35, IF02 of - 64.15, and IF03 of - 115.64 [12]. - For IH contracts, IH00 had an average daily basis of - 4.31, IH01 of - 11.15, IH02 of - 21.94, and IH03 of - 54.49 [12]. 4. Stock Index 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 [23][25][27].

Market Overview - The A-share market is experiencing structural adjustments, with small-cap indices leading the decline; the CSI 500 and CSI 1000 fell by 1.19% and 1.04% respectively this week[2] - The VIX index has shown a mild increase, indicating rising risk aversion, while the overall market sentiment remains optimistic[2] Derivatives Market Insights - The SKEW for CSI 300 and CSI 1000 remains stable within the historical 35-55% range, suggesting an overall optimistic market sentiment[4] - Conversely, the near-term SKEW for CSI 500 is above the 80% threshold, indicating heightened expectations for significant downside risks in the short term[4] Dividend Forecasts - For the year ahead, the predicted dividend points for CSI 500, CSI 300, SSE 50, and CSI 1000 are 80.96, 80.99, 65.01, and 64.64 respectively[4] - The CSI 500 is expected to have no dividends in the current contract but forecasts dividends of 4.93, 47.11, and 80.54 in subsequent contracts[9] Risk Factors - The results presented are based on historical data and modeling, which may be subject to failure risks due to market volatility uncertainties[5]