Group 1: Index Trends - On June 9th, the Shanghai Composite Index rose by 0.43% to close at 3399.77 points, with a trading volume of 511.88 billion yuan; the Shenzhen Component Index rose by 0.65% to close at 10250.14 points, with a trading volume of 774.512 billion yuan [1]. - The CSI 1000 Index rose by 1.07% with a trading volume of 255.785 billion yuan, opening at 6161.14, closing at 6218.96, with a daily high of 6226.38 and a low of 6158.9 [1]. - The CSI 500 Index rose by 0.76% with a trading volume of 171.482 billion yuan, opening at 5772.78, closing at 5805.65, with a daily high of 5823.9 and a low of 5765.35 [1]. - The SSE 50 Index fell by 0.08% with a trading volume of 65.216 billion yuan, opening at 2689.73, closing at 2686.83, with a daily high of 2698.36 and a low of 2681.69 [1]. - The SSE 300 Index rose by 0.29% with a trading volume of 262.024 billion yuan, opening at 3877.8, closing at 3885.25, with a daily high of 3894.65 and a low of 3871.99 [1]. Group 2: Impact of Sector Movements on Indexes - The CSI 1000 rose 66.12 points from the previous close, with sectors such as Medicine and Biology, and Electronics significantly pulling the index up [2]. - The CSI 500 rose 43.57 points from the previous close, with sectors such as Medicine and Biology, Power Equipment, and Non - Banking Finance significantly pulling the index up [2]. - The SSE 300 rose 11.27 points from the previous close, with sectors such as Non - Banking Finance, Medicine and Biology, and Agriculture, Forestry, Animal Husbandry and Fishery significantly pulling the index up, while sectors such as Automobile and Food and Beverage pulled the index down [2]. - The SSE 50 fell 2.02 points from the previous close, with sectors such as Non - Banking Finance, Medicine and Biology, and Banks significantly pulling the index up, while sectors such as Telecommunications, Non - Ferrous Metals, and Food and Beverage pulled the index down [2]. Group 3: Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 41.51, IM01 of - 133.92, IM02 of - 296.53, and IM03 of - 472.57 [12]. - For IC contracts, IC00 had an average daily basis of - 31.34, IC01 of - 101.99, IC02 of - 213.64, and IC03 of - 339.47 [12]. - For IF contracts, IF00 had an average daily basis of - 15.32, IF01 of - 51.84, IF02 of - 83.42, and IF03 of - 117.23 [12]. - For IH contracts, IH00 had an average daily basis of - 12.08, IH01 of - 43.25, IH02 of - 47.54, and IH03 of - 47.12 [12]. Group 4: Stock Index Futures Rollover Point Differences and Annualized Costs - Data on IM rollover point differences and their annualized costs were presented, including values at different time points such as 09:45, 10:00, etc., for various contract combinations (e.g., IM00 - 01, IM00 - 02) [23]. - Data on IC rollover point differences and their annualized costs were presented, including values at different time points such as 09:45, 10:00, etc., for various contract combinations (e.g., IC00 - 01, IC00 - 02) [25]. - Data on IF rollover point differences and their annualized costs were presented, including values at different time points such as 09:45, 10:00, etc., for various contract combinations (e.g., IF00 - 01, IF00 - 02) [25]. - Data on IH rollover point differences and their annualized costs were presented, including values at different time points such as 09:45, 10:00, etc., for various contract combinations (e.g., IH00 - 01, IH00 - 02) [27].

1. Index Trends - On June 4th, the Shanghai Composite Index rose 0.42% to close at 3376.2 points with a trading volume of 446.845 billion yuan; the Shenzhen Component Index rose 0.87% to close at 10144.58 points with a trading volume of 706.203 billion yuan [1]. - The CSI 1000 Index rose 0.88% with a trading volume of 232.04 billion yuan, opening at 6067.83, closing at 6123.17, with a daily high of 6124.7 and a low of 6067.83 [1]. - The CSI 500 Index rose 0.78% with a trading volume of 150.315 billion yuan, opening at 5696.57, closing at 5739.01, with a daily high of 5744.45 and a low of 5696.57 [1]. - The SSE 50 Index rose 0.13% with a trading volume of 51.109 billion yuan, opening at 2688.74, closing at 2690.82, with a daily high of 2699.67 and a low of 2687.3 [1]. - The SSE 300 Index rose 0.43% with a trading volume of 211.736 billion yuan, opening at 3855.49, closing at 3868.74, with a daily high of 3875.86 and a low of 3855.49 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 53.13 points from the previous close, with sectors such as power equipment significantly pulling the index up [2]. - The CSI 500 rose 44.17 points from the previous close, with sectors such as electronics, pharmaceutical and biological, and non - bank finance significantly pulling the index up [2]. - The SSE 300 rose 16.73 points from the previous close, with sectors such as electronics, non - bank finance, and communication significantly pulling the index up, while transportation sectors pulled it down [2]. - The SSE 50 rose 3.52 points from the previous close, with sectors such as electronics, non - bank finance, and pharmaceutical and biological pulling the index up, while sectors like banks, utilities, and transportation pulled it down [2]. 3. Stock Index Futures Basis and Annualized Opening Costs - IM00 had an average daily basis of - 64.19, IM01 of - 156.68, IM02 of - 321.86, and IM03 of - 501.29 [13]. - IC00 had an average daily basis of - 45.82, IC01 of - 115.92, IC02 of - 233.59, and IC03 of - 363.47 [13]. - IF00 had an average daily basis of - 23.62, IF01 of - 61.74, IF02 of - 96.86, and IF03 of - 135.77 [13]. - IH00 had an average daily basis of - 16.54, IH01 of - 46.96, IH02 of - 52.85, and IH03 of - 53.34 [13]. 4. Stock Index Futures Roll - over Point Differences and Annualized Costs - Detailed data on the 15 - minute average roll - over point differences and their annualized costs for IM, IC, IF, and IH are provided, including values at different time points such as 09:45, 10:00, etc. [22][24][25][27]

1. Index Trends - On May 29th, the Shanghai Composite Index rose 0.7% to close at 3363.45 points, with a trading volume of 453.741 billion yuan; the Shenzhen Component Index rose 1.24% to close at 10127.2 points, with a trading volume of 731.681 billion yuan [1]. - The CSI 1000 Index rose 1.76% with a trading volume of 232.576 billion yuan, opening at 5980.86, closing at 6089.58, with a daily high of 6091.96 and a low of 5980.86 [1]. - The CSI 500 Index rose 1.47% with a trading volume of 148.095 billion yuan, opening at 5637.06, closing at 5719.91, with a daily high of 5724.52 and a low of 5637.06 [1]. - The SSE 50 Index rose 0.29% with a trading volume of 53.28 billion yuan, opening at 2684.49, closing at 2690.89, with a daily high of 2703.99 and a low of 2677.81 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 105.12 points from the previous close, with sectors such as Computer, Electronics, and Medicine & Biology significantly pulling the index up [2]. - The CSI 500 rose 82.67 points from the previous close, with Electronics, Medicine & Biology, and Computer sectors significantly pulling the index up [2]. - The SSE 50 rose 7.83 points from the previous close, with Electronics, Non - Banking Finance, and Medicine & Biology sectors pulling the index up, while Food & Beverage, Utilities, and Banking sectors pulling it down [2]. 3. Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 66.97, IM01 of - 157.35, IM02 of - 309.74, and IM03 of - 475.64 [13]. - For IC contracts, IC00 had an average daily basis of - 53.15, IC01 of - 123.11, IC02 of - 229.29, and IC03 of - 349.52 [13]. - For IF contracts, IF00 had an average daily basis of - 22.88, IF01 of - 60.63, IF02 of - 90.54, and IF03 of - 127.91 [13]. - For IH contracts, IH00 had an average daily basis of - 15.56, IH01 of - 46.26, IH02 of - 51.34, and IH03 of - 52.09 [13]. 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 - 53.1193, etc.) are provided [22]. - For IC contracts, data on roll - over point differences and their annualized costs at different times (e.g., at 09:45, IC00 - 01 was - 26.1467, etc.) are provided [23]. - For IF contracts, data on roll - over point differences and their annualized costs at different times (e.g., at 09:45, IF00 - 01 was - 5.99267, etc.) are provided [23]. - For IH contracts, data on roll - over point differences and their annualized costs at different times (e.g., at 09:45, IH00 - 01 was - 1.29644, etc.) are provided [27].

Group 1: Index Trends - On May 28th, the Shanghai Composite Index had a change of -0.02%, closing at 3339.93 points with a trading volume of 389.341 billion yuan; the Shenzhen Component Index had a change of -0.26%, closing at 10003.27 points with a trading volume of 620.609 billion yuan [1]. - The CSI 1000 Index had a change of -0.4%, with a trading volume of 191.733 billion yuan, an opening price of 6006.89, a closing price of 5984.46, a daily high of 6023.82, and a daily low of 5972.18 [1]. - The CSI 500 Index had a change of -0.26%, with a trading volume of 119.96 billion yuan, an opening price of 5651.88, a closing price of 5637.24, a daily high of 5660.47, and a daily low of 5628.42 [1]. - The SSE 300 Index had a change of -0.08%, with a trading volume of 162.496 billion yuan, an opening price of 3843.07, a closing price of 3836.24, a daily high of 3849.74, and a daily low of 3833.96 [1]. - The SSE 50 Index had a change of -0.08%, with a trading volume of 44.83 billion yuan, an opening price of 2686.73, a closing price of 2683.06, a daily high of 2691.48, and a daily low of 2681.86 [1]. Group 2: Impact of Sector Movements on Indexes - The CSI 1000 Index decreased by 24.0 points compared to the previous closing price, with sectors such as Computer, Electronics, and Medicine & Biology significantly dragging down the index [3]. - The CSI 500 Index decreased by 14.91 points compared to the previous closing price, with the Food & Beverage sector significantly boosting the index, while sectors such as National Defense & Military Industry, Automobile, and Computer significantly dragging it down [3]. - The SSE 300 Index decreased by 3.16 points compared to the previous closing price, with sectors such as Transportation, Household Appliances, and Communication significantly boosting the index, while sectors such as Electronics, Power Equipment, and Automobile significantly dragging it down [3]. - The SSE 50 Index decreased by 2.22 points compared to the previous closing price, with sectors such as Petroleum & Petrochemical, Public Utilities, and Coal significantly boosting the index, while sectors such as Automobile, Electronics, and Banking significantly dragging it down [3]. Group 3: Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, the average daily basis for IM00 was -96.74, IM01 was -188.82, IM02 was -344.92, and IM03 was -518.57 [14]. - For IC contracts, the average daily basis for IC00 was -78.15, IC01 was -152.25, IC02 was -265.01, and IC03 was -391.8 [14]. - For IF contracts, the average daily basis for IF00 was -32.25, IF01 was -71.05, IF02 was -102.95, and IF03 was -142.39 [14]. - For IH contracts, the average daily basis for IH00 was -18.32, IH01 was -49.61, IH02 was -55.82, and IH03 was -58.14 [14]. Group 4: Stock Index Futures Roll - over Point Differences and Annualized Costs - For IM contracts, various roll - over point differences and their corresponding annualized costs are presented, such as at 09:45, IM00 - 01 was -53.1193, IM00 - 02 was -158.791, etc. [25]. - For IC contracts, at 09:45, IC00 - 01 was -26.1467, IC00 - 02 was -90.0318, etc., along with their annualized costs [26]. - For IF contracts, at 09:45, IF00 - 01 was -5.99267, IF00 - 02 was -13.4098, etc., and their annualized costs are provided [26]. - For IH contracts, at 09:45, IH00 - 01 was -1.29644, IH00 - 02 was 1.559889, etc., with corresponding annualized costs [28].

Quantitative Models and Construction Methods 1. Model Name: Continuous Hedging Strategy - **Model Construction Idea**: The strategy is based on the convergence of basis factors in stock index futures and optimizes hedging through continuous adjustments[47] - **Model Construction Process**: - **Backtesting Period**: From July 22, 2022, to May 23, 2025[48] - **Spot Side**: Hold the total return index of the corresponding underlying index[48] - **Futures Side**: Use 70% of the funds for the spot side and short the futures side with the same nominal principal, occupying the remaining 30% of the funds. After each rebalancing, recalculate the quantities of the spot and futures sides based on the product's net value[48] - **Rebalancing Rules**: Continuously hold quarterly/monthly contracts until the remaining time to maturity is less than 2 days. Close the position at the closing price on that day and simultaneously short the next quarterly/monthly contract at the closing price[48] - **Assumptions**: Equal allocation of principal between the spot and futures sides, excluding transaction fees, impact costs, and the indivisibility of futures contracts[48] 2. Model Name: Minimum Discount Hedging Strategy - **Model Construction Idea**: This strategy selects futures contracts with the smallest annualized basis discount for hedging, aiming to optimize returns[49] - **Model Construction Process**: - **Backtesting Period**: From July 22, 2022, to May 23, 2025[49] - **Spot Side**: Hold the total return index of the corresponding underlying index[49] - **Futures Side**: Use 70% of the funds for the spot side and short the futures side with the same nominal principal, occupying the remaining 30% of the funds. After each rebalancing, recalculate the quantities of the spot and futures sides based on the product's net value[49] - **Rebalancing Rules**: Calculate the annualized basis for all tradable futures contracts on the day of rebalancing and select the contract with the smallest discount for opening a position. Hold the same contract for 8 trading days or until the remaining time to maturity is less than 2 days before selecting a new contract. Even if the result is to hold the original contract, it must still be held for 8 trading days[49] - **Assumptions**: Equal allocation of principal between the spot and futures sides, excluding transaction fees, impact costs, and the indivisibility of futures contracts[49] --- Model Backtesting Results 1. Continuous Hedging Strategy - **IC (CSI 500 Futures)**: - Annualized Return: -2.50% (monthly), -1.64% (quarterly)[51] - Volatility: 3.93% (monthly), 4.83% (quarterly)[51] - Maximum Drawdown: -7.51% (monthly), -8.34% (quarterly)[51] - Net Value: 0.9312 (monthly), 0.9545 (quarterly)[51] - Annual Turnover: 12 (monthly), 4 (quarterly)[51] - 2025 YTD Return: -2.34% (monthly), 0.05% (quarterly)[51] - **IF (CSI 300 Futures)**: - Annualized Return: 0.72% (monthly), 0.99% (quarterly)[56] - Volatility: 3.07% (monthly), 3.41% (quarterly)[56] - Maximum Drawdown: -3.95% (monthly), -4.03% (quarterly)[56] - Net Value: 1.0204 (monthly), 1.0281 (quarterly)[56] - Annual Turnover: 12 (monthly), 4 (quarterly)[56] - 2025 YTD Return: -0.30% (monthly), 0.83% (quarterly)[56] - **IH (SSE 50 Futures)**: - Annualized Return: 1.18% (monthly), 2.14% (quarterly)[60] - Volatility: 3.18% (monthly), 3.61% (quarterly)[60] - Maximum Drawdown: -4.22% (monthly), -3.75% (quarterly)[60] - Net Value: 1.0336 (monthly), 1.0612 (quarterly)[60] - Annual Turnover: 12 (monthly), 4 (quarterly)[60] - 2025 YTD Return: 0.28% (monthly), 1.18% (quarterly)[60] - **IM (CSI 1000 Futures)**: - Annualized Return: -5.76% (monthly), -4.12% (quarterly)[62] - Volatility: 4.76% (monthly), 5.81% (quarterly)[62] - Maximum Drawdown: -14.00% (monthly), -12.63% (quarterly)[62] - Net Value: 0.8595 (monthly), 0.8909 (quarterly)[62] - Annual Turnover: 12 (monthly), 4 (quarterly)[62] - 2025 YTD Return: -7.32% (monthly), -2.55% (quarterly)[62] 2. Minimum Discount Hedging Strategy - **IC (CSI 500 Futures)**: - Annualized Return: -0.61%[51] - Volatility: 4.75%[51] - Maximum Drawdown: -7.97%[51] - Net Value: 0.9829[51] - Annual Turnover: 17.78[51] - 2025 YTD Return: 0.42%[51] - **IF (CSI 300 Futures)**: - Annualized Return: 1.56%[56] - Volatility: 3.20%[56] - Maximum Drawdown: -4.06%[56] - Net Value: 1.0445[56] - Annual Turnover: 14.94[56] - 2025 YTD Return: 1.09%[56] - **IH (SSE 50 Futures)**: - Annualized Return: 1.85%[60] - Volatility: 3.19%[60] - Maximum Drawdown: -3.91%[60] - Net Value: 1.0528[60] - Annual Turnover: 16.36[60] - 2025 YTD Return: 1.16%[60] - **IM (CSI 1000 Futures)**: - Annualized Return: -3.45%[62] - Volatility: 5.62%[62] - Maximum Drawdown: -11.11%[62] - Net Value: 0.9068[62] - Annual Turnover: 16.12[62] - 2025 YTD Return: -1.64%[62] --- Quantitative Factors and Construction Methods 1. Factor Name: Cinda-VIX - **Factor Construction Idea**: Reflects investors' expectations of future volatility in the options market, with a term structure to capture different time horizons[65] - **Factor Construction Process**: - Based on methodologies from international markets, adjusted for China's options market[65] - Captures implied volatility from options prices to reflect market sentiment[65] - **Factor Values**: - 30-day VIX values as of May 23, 2025: - SSE 50: 18.91 - CSI 300: 17.52 - CSI 500: 24.78 - CSI 1000: 26.65[65][66][67] 2. Factor Name: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness of implied volatility across different strike prices, capturing market expectations of extreme risks[72] - **Factor Construction Process**: - Analyzes the slope of implied volatility curves to assess market sentiment on tail risks[72] - Higher SKEW values indicate increased concerns about extreme downside risks[73] - **Factor Values**: - SKEW values as of May 23, 2025: - SSE 50: 107.30 - CSI 300: 108.20 - CSI 500: 101.41 - CSI 1000: 110.79[73][74][79]

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].

1. Index Trends - On May 15th, the Shanghai Composite Index dropped by 0.68% to close at 3380.82 points, with a trading volume of 461.292 billion yuan; the Shenzhen Component Index fell by 1.62% to 10186.45 points, with a trading volume of 691.102 billion yuan [1]. - The CSI 1000 Index decreased by 1.68%, with a trading volume of 224.908 billion yuan. It opened at 6146.0, closed at 6057.04, reached a high of 6146.0, and a low of 6055.84 [1]. - The CSI 500 Index declined by 1.45%, with a trading volume of 165.137 billion yuan. It opened at 5786.78, closed at 5715.3, had a high of 5786.78, and a low of 5715.29 [1]. - The SSE 50 Index dropped by 0.49%, with a trading volume of 69.236 billion yuan. It opened at 2748.54, closed at 2740.3, reached a high of 2758.08, and a low of 2735.9 [1]. - The SSE 50 Index dropped by 0.49%, with a trading volume of 69.236 billion yuan. It opened at 2748.54, closed at 2740.3, reached a high of 2758.08, and a low of 2735.9 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 Index fell 103.33 points from the previous close, with sectors such as Power Equipment, Computer, and Electronics significantly dragging down the index [2]. - The CSI 500 Index declined 83.82 points from the previous close, with sectors like Computer and Electronics having a notable negative impact [2]. - The SSE 50 Index decreased 13.48 points from the previous close. The Pharmaceutical and Biological sector pulled the index up, while Non - Ferrous Metals, Electronics, and Non - Banking Finance sectors dragged it down [2]. 3. Basis and Annualized Opening Costs of Stock Index Futures - For IM contracts, IM00 had an average daily basis of - 6.51, IM01 of - 126.26, IM02 of - 323.74, and IM03 of - 467.93 [10]. - For IC contracts, IC00 had an average daily basis of - 5.11, IC01 of - 109.87, IC02 of - 274.72, and IC03 of - 386.77 [10]. - For IF contracts, IF00 had an average daily basis of - 3.23, IF01 of - 39.55, IF02 of - 104.42, and IF03 of - 142.08 [10]. - For IH contracts, IH00 had an average daily basis of - 0.91, IH01 of - 18.58, IH02 of - 50.77, and IH03 of - 53.28 [10]. 4. Point Differences in Stock Index Futures Rollover and Annualized Costs - The report provides 15 - minute average data on the point differences in IM, IC, IF, and IH futures rollover and their corresponding annualized costs [19][20][22].

Report Summary 1. Index Trends - On May 13th, the Shanghai Composite Index rose 0.17% to close at 3374.87 points with a trading volume of 506.609 billion yuan; the Shenzhen Component Index fell 0.13% to close at 10288.08 points with a trading volume of 784.916 billion yuan [1]. - The CSI 1000 Index fell 0.27% with a trading volume of 263.463 billion yuan; the CSI 500 Index fell 0.21% with a trading volume of 194.252 billion yuan; the SSE 50 Index rose 0.2% with a trading volume of 69.358 billion yuan; the SSE 300 Index rose 0.15% with a trading volume of 267.586 billion yuan [1]. 2. Impact of Sector Movements on Indexes - For the CSI 1000, sectors such as Medicine & Biology and Banking had a significant positive impact, while sectors like Computer, National Defense & Military Industry, and Electronics had a negative impact [3]. - For the CSI 500, Medicine & Biology and Banking pulled the index up, while Electronics, Computer, and National Defense & Military Industry pulled it down [3]. - For the SSE 300, Banking, Power Equipment, and Medicine & Biology boosted the index, while Electronics, Non - Banking Finance, and National Defense & Military Industry dragged it down [3]. - For the SSE 50, Banking, Power Equipment, and Medicine & Biology contributed positively, while Electronics, Non - Banking Finance, and Food & Beverage had a negative effect [3]. 3. Futures Basis and Annualized Opening Costs - IM00 had an average daily basis of - 28.2, IM01 of - 154.3, IM02 of - 346.67, and IM03 of - 489.3 [13]. - IC00 had an average daily basis of - 18.12, IC01 of - 128.41, IC02 of - 291.39, and IC03 of - 401.14 [13]. - IF00 had an average daily basis of - 7.03, IF01 of - 45.26, IF02 of - 113.55, and IF03 of - 151.61 [13]. - IH00 had an average daily basis of - 0.67, IH01 of - 20.26, IH02 of - 53.63, and IH03 of - 57.01 [13]. 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 futures contracts [24][25][27].

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]