Index Trends - On January 26, the Shanghai Composite Index fell 0.09% to close at 4132.61 points, with a trading volume of 1.45186 trillion yuan. The Shenzhen Component Index fell 0.85% to close at 14316.64 points, with a trading volume of 1.796343 trillion yuan [1]. - The CSI 1000 Index fell 1.24% with a trading volume of 703.182 billion yuan, opening at 8513.22, closing at 8365.43, with a high of 8530.42 and a low of 8302.1 [1]. - The CSI 500 Index fell 0.97% with a trading volume of 692.105 billion yuan, opening at 8624.89, closing at 8506.69, with a high of 8671.35 and a low of 8453.48 [1]. - The SSE 300 Index rose 0.1% with a trading volume of 796.833 billion yuan, opening at 4715.38, closing at 4706.96, with a high of 4754.18 and a low of 4693.16 [1]. - The SSE 50 Index rose 0.57% with a trading volume of 239.456 billion yuan, opening at 3042.37, closing at 3049.59, with a high of 3088.57 and a low of 3039.64 [1]. Impact of Sector Movements on Indexes - The CSI 1000 fell 105.31 points from the previous close. Sectors such as non - ferrous metals had a significant upward pull on the index, while sectors like computer, machinery, and electronics had a significant downward pull [3]. - The CSI 500 fell 83.48 points from the previous close. Non - ferrous metals had an upward pull, while sectors like automotive, defense, and electronics had a downward pull [3]. - The SSE 300 rose 4.46 points from the previous close. Non - ferrous metals, non - bank finance, and petroleum and petrochemicals had an upward pull, while defense, power equipment, and electronics had a downward pull [3]. - The SSE 50 rose 17.4 points from the previous close. Non - ferrous metals, non - bank finance, and petroleum and petrochemicals had an upward pull, while electronics had a downward pull [3]. Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 16.41, IM01 of - 48.09, IM02 of - 186.11, and IM03 of - 336.24 [13]. - For IC contracts, IC00 had an average daily basis of - 0.12, IC01 of - 8.26, IC02 of - 73.8, and IC03 of - 168.27 [13]. - For IF contracts, IF00 had an average daily basis of 8.25, IF01 of 14.27, IF02 of - 1.59, and IF03 of - 46.65 [13]. - For IH contracts, IH00 had an average daily basis of 4.7, IH01 of 8.46, IH02 of 9.64, and IH03 of - 21.22 [13].

Group 1: Report Industry Investment Rating - No relevant information Group 2: Core View of the Report - The short - term view of the stock index is mainly shock consolidation, with the core logic that the optimistic sentiment has cooled, and there is still a need for shock consolidation. The policy - favorable expectations and the continuous net inflow of incremental funds into the stock market support the upward movement of the stock index in the long - term, but the regulatory's risk - control expectation restrains the "chasing high" sentiment in the short - term [1][5] Group 3: Summary According to the Catalog 3.1 Variety View Reference - Financial Futures Stock Index Sector - For the IH2603 variety, the short - term view is shock, the medium - term view is shock, the intraday view is weak, and the reference view is shock consolidation. The core logic is that the optimistic sentiment has cooled, and there is still a need for shock consolidation [1] 3.2 Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - The varieties are IF, IH, IC, IM. The intraday view is weak, the medium - term view is shock, and the reference view is shock consolidation. The core logic is that the stock indexes showed differentiation yesterday, with IM and IC having a high - level correction and IH and IF continuing shock consolidation. The trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 3280.6 billion yuan, an increase of 162.5 billion yuan from the previous day. The policy - favorable expectations and the continuous net inflow of incremental funds support the upward movement of the stock index in the long - term, but the regulatory's risk - control expectation restrains the "chasing high" sentiment in the short - term. The rise of this stock rebound is mainly contributed by the valuation side, and the stock index has a growing need for short - term shock consolidation. Due to the market's preference for small - and medium - cap stocks, the fluctuations of IM and IC have intensified, and short - term repeated fluctuation risks should be noted [5]

1. Report Information - Report Title: Stock Index Futures Data Daily Report [1] - Date: January 26, 2026 [2] 2. IM (CSI 1000 Index Futures) 2.1 Daily Quotes - The CSI 1000 index closed at 8365.43, down 1.24%. The total trading volume of the four IM contracts was 277,160 lots, an increase of 54,174 lots from the previous day, and the total open interest was 394,502 lots, a decrease of 1,501 lots [4][5]. - The main contract (IM2603) fell 2.24% to close at 8289.2 points, with a premium of -76.23 points, a decrease of 122.09 points from the previous day, and the annualized basis rate was -6.22% [4][5]. 2.2 Key Seats - The top five seats in terms of trading volume were mainly composed of CITIC Futures, Guotai Junan, etc. The top five seats in terms of long positions were mainly Guotai Junan and CITIC Futures, and the top five seats in terms of short positions were mainly CITIC Futures and Guotai Junan [16]. 3. IF (CSI 300 Index Futures) 3.1 Daily Quotes - The CSI 300 index closed at 4706.96, up 0.10%. The total trading volume of the four IF contracts was 189,549 lots, an increase of 49,067 lots from the previous day, and the total open interest was 328,464 lots, an increase of 28,734 lots [21][22]. - The main contract (IF2603) rose 0.11% to close at 4719.4 points, with a premium of 12.44 points, an increase of 5.74 points from the previous day, and the annualized basis rate was 1.78% [21][22]. 3.2 Key Seats - The top five seats in terms of trading volume were mainly CITIC Futures and Guotai Junan. The top five seats in terms of long positions were mainly Guotai Junan and CITIC Futures, and the top five seats in terms of short positions were mainly CITIC Futures and Guotai Junan [35]. 4. IC (CSI 500 Index Futures) 4.1 Daily Quotes - The CSI 500 index closed at 8506.69, down 0.97%. The total trading volume of the four IC contracts was 226,677 lots, an increase of 50,384 lots from the previous day, and the total open interest was 344,006 lots, an increase of 2,781 lots [40][41]. - The main contract (IC2603) fell 1.72% to close at 8470 points, with a premium of -36.69 points, a decrease of 104.72 points from the previous day, and the annualized basis rate was -2.93% [40][41]. 4.2 Key Seats - The top five seats in terms of trading volume were mainly CITIC Futures and Guotai Junan. The top five seats in terms of long positions were mainly Guotai Junan and CITIC Futures, and the top five seats in terms of short positions were mainly CITIC Futures and Guotai Junan [53]. 5. IH (SSE 50 Index Futures) 5.1 Daily Quotes - The SSE 50 index closed at 3049.59, up 0.57%. The total trading volume of the four IH contracts was 84,627 lots, an increase of 22,590 lots from the previous day, and the total open interest was 118,624 lots, an increase of 9,853 lots [59]. - The main contract (IH2603) rose 0.52% to close at 3058.2 points, with a premium of 8.61 points, an increase of 3 points from the previous day, and the annualized basis rate was 1.9% [59][60]. 5.2 Key Seats - The top five seats in terms of trading volume were mainly Guotai Junan and CITIC Futures. The top five seats in terms of long positions were mainly Guotai Junan and CITIC Futures, and the top five seats in terms of short positions were mainly CITIC Futures and Guotai Junan [73].

Global Asset Market Performance - The latest yields of 10-year government bonds in major economies: US 4.226%, UK 4.511%, France 3.493%, Germany 2.905%, Italy 3.512%, Spain 3.270%, Switzerland 0.278%, Greece 3.506%, Japan 2.248%, Brazil 6.208%, China 1.825%, South Korea 3.603%, Australia 4.818%, New Zealand 4.589% [3] - The latest yields of 2-year government bonds in major economies: US 3.595%, UK 3.722%, Germany 2.127%, Japan 1.240%, Italy 2.205%, China (1Y yield) 1.273%, South Korea 2.924%, Australia 4.183% [3] - The latest exchange rates of the US dollar against major emerging - economy currencies: Brazil 5.286, South Africa (zar) 16.127, South Korean won 1464.000, Thai baht 31.195, Malaysian ringgit 4.007 [3] - The latest exchange rates of the RMB: on - shore RMB 6.963, off - shore RMB 6.949, RMB central parity rate 6.993, RMB 12 - month NDF 6.817 [3] - The latest values of major economies' stock indices: S&P 500 6915.610, Dow Jones Industrial Average 49098.710, Nasdaq 23501.240, Mexican stock index 68195.150, UK stock index 10143.440, France CAC 8143.050, Germany DAX 24900.710, Spanish stock index 17544.400, Russian stock index (not available), Nikkei 53846.870, Hang Seng Index 26749.510, Shanghai Composite Index 4136.164, Taiwan stock index 31961.510, South Korean stock index 4990.070, Indian stock index 8951.010, Thai stock index 1314.390, Malaysian stock index 1719.990, Australian stock index 9189.871, emerging - economy stock index 1501.110 [3] - The latest values of credit - bond indices: US investment - grade credit - bond index 3555.310, euro - zone investment - grade credit - bond index 266.753, emerging - economy investment - grade credit - bond index 290.590, US high - yield credit - bond index 2933.910, euro - zone high - yield credit - bond index 412.990, emerging - economy high - yield credit - bond index 1838.807 [3] Stock Index Futures Trading Data - Index performance: A - share closing price 4136.16 (up 0.33%), CSI 300 closing price 4702.50 (down 0.45%), SSE 50 closing price 3032.19 (down 0.69%), ChiNext closing price 3349.50 (up 0.63%), CSI 500 closing price 8590.17 (up 2.42%) [4] - Valuation: PE(TTM) of CSI 300 14.08 (down 0.09%), SSE 50 11.49 (down 0.11%), CSI 500 38.90 (up 0.83%), S&P 500 27.62 (up 0.01%), Germany DAX 19.32 (up 0.03%) [4] - Risk premium: 1/PE - 10 - year interest rate of S&P 500 - 0.61 (up 0.01%), Germany DAX 2.27 (down 0.03%) [4] - Fund flow: A - share latest value - 58.18, main - board latest value - 331.92, ChiNext latest value 183.94, CSI 300 latest value - 814.22, A - share 5 - day average - 466.98, main - board 5 - day average - 321.96, ChiNext 5 - day average - 123.99, CSI 300 5 - day average - 457.40 [4] - Transaction amount: Shanghai and Shenzhen stock markets latest value 30852.24 (up 3934.91), CSI 300 latest value 7556.18 (up 653.83), SSE 50 latest value 2004.56 (up 70.45), small - and medium - sized board latest value 6259.27 (up 921.92), ChiNext latest value 8169.10 (up 1353.75) [5] - Main contract basis and spread: IF basis 6.70 (0.14%), IH basis 5.61 (0.18%), IC basis 68.03 (0.79%) [5] Treasury Futures Trading Data - Treasury futures closing prices: T2303 108.20 (up 0.04%), TF2303 105.88 (up 0.04%), T2306 108.19 (up 0.06%), TF2306 105.90 (up 0.05%) [5] - Fund interest rates: R001 1.4654% (down 8.00BP), R007 1.5360% (down 1.00BP), SHIBOR - 3M 1.5980% (unchanged) [5]

Report Title - "Stock Index Futures Weekly Report: IC and IM Accelerate Upward" [1] Report Industry Investment Rating - Not provided Core Viewpoints of the Report - The market enthusiasm has risen again after a week of cooling of thematic hotspots, and the upward trend is expected to continue due to high trading volume and sufficient funds. The differentiation of stock indexes may further strengthen investors' expectations, leading funds to flow into non-300 component stocks. It is still optimistic about the CSI 500 and CSI 1000 indexes. In the futures market, the large premium of the near - month contracts of IC and IM indicates investors' optimism about the future market, but also increases the cost of going long in futures [5]. Summary by Relevant Catalogs Part 1: Weekly Core Points Analysis and Strategy Recommendations - **Weekend News** - US President Trump will visit China in April, and China's Foreign Ministry spokesperson said that stable Sino - US relations are in the common interests of the two peoples and the international community [4]. - The China Securities Regulatory Commission and the Asset Management Association of China issued relevant regulations on the performance comparison benchmarks of public - offering securities investment funds, focusing on four aspects: accurate portrayal, full - process supervision, linking with compensation, and information transparency [4]. - The news that the CSRC will tighten the listing threshold for mainland enterprises in Hong Kong is false, and the current overseas listing policy remains unchanged [4]. - As of the end of 2025, the existing scale of the banking wealth - management market was 33.29 trillion yuan, a year - on - year increase of 11.15%. In 2025, the overall income of wealth - management products was stable, with a cumulative income of 730.3 billion yuan for investors, a year - on - year increase of 2.87% [4]. - **Comprehensive Analysis and Strategy Recommendations** - **Logic**: After a week of cooling, thematic hotspots regained momentum in the second half of the week. The CSI 500 and CSI 1000 indexes continued to reach new highs, and the market trading volume remained high, with the trading volume exceeding 3 trillion yuan again on Friday [5]. - **Outlook**: During the concentrated disclosure period of annual report forecasts, the market treats performance growth positively. The differentiation of stock indexes may strengthen investors' expectations, and the rotation of various industry and theme ETFs will continue to drive the rotation of sectors. It is still optimistic about the CSI 500 and CSI 1000 indexes [5]. - **Strategy**: Unilateral strategy is to go long on IC and IM at low prices; arbitrage strategy is the spot - futures arbitrage of "IM long 2609 + short ETF"; option strategy is the bull spread [5][6]. Part 2: Weekly Data Tracking - **A - share Index Performance** - This week, the performance of stock indexes was differentiated. The large - cap indexes were under obvious pressure, while the small - and medium - cap indexes accelerated their rise. The CSI 300 fell 0.62%, the SSE 50 fell 1.54%, the CSI 500 rose 4.34%, and the CSI 1000 rose 2.89% [17]. - **A - share Trading Volume** - This week, the A - share market trading volume first declined and then rose, reaching 3 trillion yuan again on Friday. The total weekly trading volume was 13.86 trillion yuan, and the average daily trading volume decreased by 19% compared with last week. The trading volume ratios of the main indexes remained stable, with a slight increase in the trading volume ratios of the CSI 1000 and CSI 500 indexes [22]. - **A - share Individual Stock Rise - Fall Situation** - The market was in a good state, with more rising stocks than falling stocks. The proportion of rising stocks in the second half of the week was continuously higher than 50% and kept rising. The proportion of limit - down stocks continued to decline, reaching a recent low on Friday, while the proportion of limit - up stocks continued to rise, exceeding 2% again [29]. - **A - share Margin Trading Situation** - This week, the margin trading balance in the A - share market remained at a high level, exceeding 2.7 trillion yuan again on Thursday, accounting for 2.6% of the A - share floating market value. After two consecutive days of net selling at the beginning of the week, there was net buying again. The proportion of margin trading purchases in the A - share trading volume continued to fall below 10% [34]. - **A - share Industry Performance** - **Industry Weekly Rise - Fall**: The rise - fall ranges of different industries varied, with some industries rising significantly and some falling [37]. - **Industry Heat**: The total heat change rates and total heats of different industries showed different trends [39]. - **Industry Capital Flow**: The weekly net capital inflows and weekly net margin trading inflows of different industries also showed different situations [42]. - **Stock Index Futures Data** - **Basis Change**: The basis of different stock index futures contracts showed different changes [48]. - **Trading Volume and Open Interest Change**: The trading volumes and open interests of different stock index futures contracts showed different trends [51][52][53][54]. - **Spot - Futures Trading Volume Comparison**: The trading volumes of the main contracts and all contracts of different stock index futures were compared with the trading volumes of the corresponding spot indexes [57][58][59]. - **Main Open Interest of Stock Index Futures**: The net short - position ratios of the top five and top ten holders of different stock index futures showed different trends [62].

Report Summary 1. Reported Industry Investment Rating No information provided. 2. Core Viewpoints - The overall view on the stock index futures is that they will fluctuate and consolidate. In the short - term (within a week), the sentiment is oscillating, and in the medium - term (two weeks to a month), it's also oscillating. For the intraday, it's on the weaker side [1][5]. - The main factors supporting the long - term upward trend of the stock index are the positive policy expectations and the continuous net inflow of incremental funds into the stock market. In the short - term, the expectations of policy bottom - support, support for technological innovation, and boosting consumption are clear, which strongly support the stock index. Although the regulatory authorities have signaled risk control, the high trading volume in the stock market indicates that the market sentiment remains optimistic [5]. 3. Summary by Relevant Catalogs 3.1 Variety Viewpoint Reference - Financial Futures Stock Index Sector - For the IH2603 variety, the short - term view is oscillating, the medium - term view is oscillating, and the intraday view is on the weaker side. The reference view is that it will fluctuate and consolidate, with the core logic being that the optimistic sentiment has cooled down and there is still a need for oscillatory consolidation [1]. 3.2 Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - The varieties include IF, IH, IC, and IM. The intraday view is on the weaker side, the medium - term view is oscillating, and the reference view is that they will fluctuate and consolidate. The core logic is that last Friday, the stock indices fluctuated and diverged, with IM and IC leading the gains, while IH and IF slightly declined. The trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 311.81 billion yuan, an increase of 40.17 billion yuan from the previous day [5].

Market Performance - The S&P 500 futures declined by 0.17% at the end of trading on Friday, January 23 [1] - The Dow futures fell by 0.76% [1] - The Nasdaq 100 futures increased by 0.08% [1] - The Russell 2000 futures dropped by 2.20% [1]

Market Performance - The S&P 500 futures declined by 0.17% at the end of trading on Friday, January 23 [1] - The Dow futures fell by 0.76% [1] - The Nasdaq 100 futures increased by 0.08% [1] - The Russell 2000 futures dropped by 2.20% [1]

Group 1 - The core point of the news is the performance of various stock index futures, with the CSI 1000 index futures showing a significant increase while others like the CSI 300 and SSE 50 index futures experienced declines [1] - The CSI 1000 index futures rose by 3.06%, indicating strong market sentiment for smaller companies [1] - The CSI 500 index futures increased by 3.36%, suggesting positive movement in mid-cap stocks [1] Group 2 - The CSI 300 index futures fell by 0.15%, reflecting a slight downturn in large-cap stocks [1] - The SSE 50 index futures decreased by 0.66%, indicating weakness in the top 50 stocks listed on the Shanghai Stock Exchange [1]

1. Index Trends - On January 22, the Shanghai Composite Index rose 0.14% to close at 4122.58 points with a trading volume of 1201.764 billion yuan; the Shenzhen Component Index rose 0.5% to close at 14327.05 points with a trading volume of 1489.968 billion yuan [1] - The CSI 1000 Index rose 0.75% with a trading volume of 571.806 billion yuan, opening at 8272.47, closing at 8309.35, with a daily high of 8314.22 and a low of 8252.74 [1] - The CSI 500 Index rose 0.57% with a trading volume of 546.138 billion yuan, opening at 8355.68, closing at 8387.59, with a daily high of 8396.13 and a low of 8337.2 [1] - The SSE 50 Index fell 0.46% with a trading volume of 193.411 billion yuan, opening at 3080.2, closing at 3053.13, with a daily high of 3089.67 and a low of 3046.43 [1] - The CSI 300 Index rose 0.01% with a trading volume of 690.235 billion yuan, opening at 4741.75, closing at 4723.71, with a daily high of 4757.76 and a low of 4700.45 [1] 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 61.67 points from the previous close, with National Defense and Military Industry, Non - Ferrous Metals and other sectors significantly driving the index up [2] - The CSI 500 rose 47.48 points from the previous close, with National Defense and Military Industry, Computer, Basic Chemicals and other sectors significantly driving the index up, while the Media sector significantly pulling the index down [2] - The CSI 300 rose 0.64 points from the previous close, with Communications, National Defense and Military Industry, Petroleum and Petrochemicals and other sectors significantly driving the index up, while Non - Banking Finance, Power Equipment, Non - Ferrous Metals and other sectors significantly pulling the index down [2] - The SSE 50 fell 14.05 points from the previous close, with Petroleum and Petrochemicals, National Defense and Military Industry and other sectors significantly driving the index up, while Non - Ferrous Metals, Non - Banking Finance, Banking and other sectors significantly pulling the index down [2] 3. Stock Index Futures Basis and Annualized Opening Costs Converted from Basis - For IM contracts, IM00 had an average daily basis of - 7.79, IM01 of - 36.25, IM02 of - 210.33, and IM03 of - 375.27 [12] - For IC contracts, IC00 had an average daily basis of 8.93, IC01 of 7.02, IC02 of - 87.86, and IC03 of - 197.89 [12] - For IF contracts, IF00 had an average daily basis of - 0.14, IF01 of - 1.9, IF02 of - 36.88, and IF03 of - 95.46 [12] - For IH contracts, IH00 had an average daily basis of 2.23, IH01 of 5.46, IH02 of 2.53, and IH03 of - 30.97 [12]