瑞达期货研究院 「2025.11.28」 股指期货周报 作者：廖宏斌 期货从业资格号F30825507 期货投资咨询证号：Z0020723 联系电话：4008-8787-66 业务咨询 添加客服 关 注 我 们 获 取 更 多 资 讯 目录 1、行情回顾 2、消息面概览 3、周度市场数据 4、行情展望与策略 「摘要」 「行情回顾」 | 期货 | 合约名称 | 周涨跌幅% | 周五涨跌幅% | 收盘价 | | --- | --- | --- | --- | --- | | | IF2512 | 1.75 | 0.14 | 4505.8 | | | IH2512 | 0.57 | -0.05 | 2963.2 | | | IC2512 | 3.02 | 0.95 | 6874.2 | | | IM2512 | 3.46 | 0.95 | 7260.8 | | 现货 | 指数名称 | | | 收盘价 | | | 沪深300 | 1.64 | 0.25 | 4526.66 | | | 上证50 | 0.47 | -0.09 | 2969.62 | | | 中证500 | 3.14 | 1.15 | 7031.55 | ...

每经AI快讯，11月28日，中证500股指期货（IC）主力合约日内涨超1.00%，现报6978.0点。 （文章来源：每日经济新闻） ...

FICC日报 | 2025-11-28 市场抛压减弱，沪指收红 市场分析 企业利润回落。宏观方面，国家统计局公布数据显示，1-10月份，全国规模以上工业企业利润总额同比增长1.9%， 累计增速连续三个月保持增长。10月份，规模以上工业企业利润同比下降5.5%。对外方面，中国贸促会新闻发言 人称，应美国商会邀请，中国贸促会将于12月初组织中国企业家代表团访问美国。海外方面，欧洲央行发布10月 会议纪要，详解其在该次会议上按兵不动的依据，进一步强化了市场对本轮降息周期终结的预期。欧洲央行管委 卡扎克斯最新表示，鉴于欧元区通胀仍可能高于预期，目前讨论再次降息为时尚早。 沪指收红。现货市场，A股三大指数延续冲高回落走势，沪指涨0.29%收于3875.26点，创业板指跌0.44%。行业方 面，板块指数涨跌互现，轻工制造、基础化工、石油石化行业涨幅居前，传媒、商贸零售、计算机行业跌幅居前。 当日沪深两市成交额为1.8万亿元。海外方面，美股因感恩节休市。欧洲三大股指收盘小幅上涨，德国DAX指数涨 0.18%报23767.96点。 期指活跃度提升。期货市场，基差方面，IH、IF、IC贴水程度收窄。成交持仓方面，股指期货的成交 ...

Report Summary 1. Index Trends - On November 27th, the Shanghai Composite Index rose by 0.29% to close at 3875.26 points, with a trading volume of 698.519 billion yuan. The Shenzhen Component Index fell by 0.25% to close at 12875.19 points, with a trading volume of 1011.275 billion yuan [1]. - The CSI 1000 Index rose by 0.12% with a trading volume of 365.626 billion yuan. The CSI 500 Index fell by 0.2% with a trading volume of 253.013 billion yuan. The SSE 50 Index rose by 0.02% with a trading volume of 105.106 billion yuan. The CSI 300 Index fell by 0.05% with a trading volume of 417.79 billion yuan [1]. 2. Impact of Sector Movements on Indexes - For the CSI 1000, sectors such as electronics, power equipment, and communication pulled the index up, while pharmaceutical biology, computer, and media sectors pulled it down [3]. - For the CSI 500, basic chemicals, power equipment, and non - ferrous metals sectors pulled the index up, while media, electronics, and computer sectors pulled it down [3]. - For the CSI 300, banks, basic chemicals, and public utilities sectors pulled the index up, while computer, pharmaceutical biology, and power equipment sectors pulled it down [3]. - For the SSE 50, banks, basic chemicals, and coal sectors pulled the index up, while communication, machinery, and pharmaceutical biology sectors pulled it down [3]. 3. Futures Basis and Annualized Opening Costs - The average daily basis for IM00 was -72.04, IM01 was -143.98, IM02 was -294.56, and IM03 was -530.53. For IC00, it was -47.73; IC01, -103.75; IC02, -213.96; IC03, -420.19. For IF00, it was -16.24; IF01, -31.18; IF02, -48.51; IF03, -95.63. For IH00, it was -4.95; IH01, -9.43; IH02, -10.66; IH03, -19.69 [13]. 4. 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 intervals (15 - minute means) are provided, including specific point differences and cost calculations [23][25][26].

Global Asset Market Performance - The latest yields of 10 - year government bonds in major economies: US 3.995, UK 4.449, France 3.409, Germany 2.679, Italy 3.401, Spain 3.164, Switzerland 0.139, Greece 3.286, Japan 1.795, China 1.844, Australia 4.495, New Zealand 4.228 [3] - The latest yields of 2 - year government bonds in major economies: US 3.477, UK 3.747, Germany 2.025, Japan 0.968, Italy 2.181, China (1Y yield) 1.410, Australia 3.774 [3] - The latest exchange rates of the US dollar against major emerging - economy currencies: Brazil 5.354, South Africa zar 17.156, Korean won 1462.650, Thai baht 32.237, Malaysian ringgit 4.132 [3] - The latest values of on - shore RMB 7.080, off - shore RMB 7.074, RMB central parity rate 7.078, RMB 12 - month NDF 6.939 [3] - The latest values of major economies' stock indices: Mexican index 62694.730, UK index 9693.930, France CAC 8099.470, Germany DAX 23767.960, Spanish index 16361.800, Japanese Nikkei 50167.100, Hong Kong Hang Seng Index 25945.930, Shanghai Composite Index 3875.260, Taiwan index 27554.530, South Korean index 3986.910, Indian index 8545.865, Thai index 1252.710, Malaysian index 1617.460, Australian index 8912.027, emerging - economy index 1370.390 [3] - The latest values of credit - bond indices: US investment - grade credit - bond index 3556.200, euro - zone investment - grade credit - bond index 266.314, emerging - economy investment - grade credit - bond index 290.370, US high - yield credit - bond index 2892.130, euro - zone high - yield credit - bond index 408.530, emerging - economy high - yield credit - bond index 1799.674 [3] Stock Index Futures Trading Data Index Performance - Closing prices: A - shares 3875.26, CSI 300 4515.40, SSE 50 2972.27, ChiNext 3031.30, CSI 500 6951.28 [4] - Percentage changes: A - shares 0.29%, CSI 300 - 0.05%, SSE 50 0.02%, ChiNext - 0.44%, CSI 500 - 0.20% [4] Valuation - PE (TTM): CSI 300 13.95, SSE 50 11.88, CSI 500 31.67, S&P 500 27.08, Germany DAX 18.43 [4] -环比 changes: CSI 300 0.03, SSE 50 0.03, CSI 500 - 0.07, S&P 500 0.00, Germany DAX 0.04 [4] Risk Premium - 1/PE - 10 - year interest rate: S&P 500 - 0.30, Germany DAX 2.75 [4] -环比 changes: S&P 500 0.00, Germany DAX - 0.02 [4] Fund Flows - Latest values: A - shares - 623.07, main board - 470.76, ChiNext - 114.30, CSI 300 - 77.38 [4] - 5 - day average values: A - shares - 435.46, main board - 401.54, ChiNext - 25.24, CSI 300 - 52.11 [4] Transaction Data of Other Markets Transaction Amount - Latest values: Shanghai and Shenzhen stock markets 17097.94, CSI 300 4177.90, SSE 50 1051.06, small - and medium - sized board 3275.75, ChiNext 4947.35 [5] -环比 changes: Shanghai and Shenzhen stock markets - 735.52, CSI 300 - 95.71, SSE 50 78.48, small - and medium - sized board - 297.22, ChiNext - 288.64 [5] Main Contract Basis - Basis: IF - 22.80, IH - 9.87, IC - 55.08 [5] - Magnitude: IF - 0.50%, IH - 0.33%, IC - 0.79% [5] Treasury Bond Futures - Closing prices: T2303 108.12, TF2303 105.68, T2306 107.90, TF2306 105.77 [5] - Percentage changes: T2303 0.05%, TF2303 0.03%, T2306 0.04%, TF2306 0.03% [5] Fund Rates - Rates: R001 1.3706%, R007 1.5185%, SHIBOR - 3M 1.5800% [5] - Daily changes: R001 - 15.00 BP, R007 0.00 BP, SHIBOR - 3M 0.00 BP [5]

Report Industry Investment Rating - Not provided Core View - Today, the stock index rose first and then fell, showing mixed trends. The trading volume in the two markets slightly decreased. Due to the previous U.S. government shutdown, the latest PCE price index was not available, and the expectation of interest rate cuts did not change much. In October, the profits of industrial enterprises above designated size in China decreased by 5.5% year-on-year, indicating a continuation of the weak fundamental state. Without new positive factors, the stock index maintained a volatile trend today. However, except for the slight convergence of the discount of IF in the basis of stock index futures, the discounts of the rest deepened. The dividend index led the rise again, indicating that market sentiment has cooled down and become more cautious. Currently, both the upper pressure and the lower support have weakened. In the short term, it is expected to mainly show a narrow - range oscillation [4]. Summary by Related Catalogs Market Review - Today, the stock index rose first and then fell, showing mixed trends. Taking the CSI 300 Index as an example, it closed down 0.05%. In terms of capital, the trading volume in the two markets decreased by 735.53 billion yuan. In the stock index futures market, IM declined with increasing volume, and the rest of the varieties also declined with increasing volume [2]. Important Information - In October, the profits of industrial enterprises above designated size decreased by 5.5% year - on - year. The number of initial jobless claims in the U.S. for the week ending November 22 was 216,000, with an expected 225,000 [3]. Strategy Recommendation - Hold positions and wait and see [5]. Futures Market Observation | | IF | IH | IC | IM | | --- | --- | --- | --- | --- | | Main contract intraday change (%) | -0.11 | -0.11 | -0.33 | -0.08 | | Trading volume (10,000 lots) | 10.0893 | 4.2497 | 11.2976 | 18.3443 | | Trading volume MoM (10,000 lots) | 0.3606 | 0.7008 | 0.6006 | 0.5893 | | Open interest (10,000 lots) | 26.4196 | 9.2285 | 25.457 | 36.4043 | | Open interest MoM (10,000 lots) | 0.4902 | 0.6077 | 0.5482 | 0.2816 | [5] Spot Market Observation | Name | Value | | --- | --- | | Shanghai Composite Index change (%) | 0.29 | | Shenzhen Component Index change (%) | -0.25 | | Ratio of rising to falling stocks | 1.14 | | Trading volume in the two markets (billion yuan) | 17097.94 | | Trading volume MoM (billion yuan) | -735.53 | [6]

Report Information - Report Title: Stock Index Futures Data Daily Report [1] - Report Date: November 27, 2025 [2] IM Futures Market Summary - The CSI 1000 index closed at 7,257.45 points, up 0.12% [4]. - The IM main contract (IM2512) closed at 7,179.00 points, down 0.13% [4]. - The total trading volume of the four IM contracts was 183,443 lots, an increase of 5,893 lots from the previous day; the total open interest was 364,043 lots, an increase of 2,816 lots from the previous day [5]. - The IM main contract was at a discount of 78.45 points, a decrease of 6.2 points from the previous day; the annualized basis rate was -17.34% [5]. Contract Details | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 1000 | 7,257.45 | 0.12% | 21,128 | -9% | 3,656 | -3% | - | - | - | | IM2512 | 7,179.00 | -0.08% | 130,117 | 3% | 1,879 | 4% | 203,626 | 735 | 351 | | IM2601 | 7,103.60 | -0.13% | 6,249 | -6% | 89 | -6% | 10,513 | 914 | 18 | | IM2603 | 6,954.80 | -0.16% | 33,067 | 7% | 463 | 7% | 96,829 | 656 | 162 | | IM2606 | 6,720.00 | -0.19% | 14,010 | -1% | 189 | -1% | 53,075 | 511 | 86 | [4] Key Seats - For IM2512, the top five seats in terms of trading volume were CITIC Futures (agency), Guotai Junan (agency), Haitong Futures (agency), Dongzheng Futures (agency), and Zhongtai Futures (agency) [18]. - The top five seats in terms of long positions were Guotai Junan (agency), CITIC Futures (agency), Yide Futures (agency), Haitong Futures (agency), and Guotou Futures (agency) [18]. - The top five seats in terms of short positions were CITIC Futures (agency), Guotai Junan (agency), Huatai Futures (agency), Haitong Futures (agency), and CITIC Construction Investment (agency) [18]. IF Futures Market Summary - The Shanghai - Shenzhen 300 index closed at 4,515.40 points, down 0.05% [23]. - The IF main contract (IF2512) closed at 4,492.60 points, down 0.14% [23]. - The total trading volume of the four IF contracts was 100,893 lots, an increase of 3,606 lots from the previous day; the total open interest was 264,196 lots, an increase of 4,902 lots from the previous day [24]. - The IF main contract was at a discount of 22.8 points, an increase of 1.83 points from the previous day; the annualized basis rate was -8.05% [24]. Contract Details | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | Shanghai - Shenzhen 300 | 4,515.40 | -0.05% | 15,031 | -4% | 4,178 | -2% | - | - | - | | IF2512 | 4,492.60 | -0.11% | 72,122 | 2% | 978 | 3% | 155,679 | -226 | 252 | | IF2601 | 4,477.00 | -0.14% | 3,268 | -7% | 44 | -7% | 4,626 | 550 | 7 | | IF2603 | 4,460.20 | -0.12% | 21,154 | 17% | 285 | 17% | 80,525 | 4,447 | 129 | | IF2606 | 4,414.80 | -0.11% | 4,349 | -14% | 58 | -14% | 23,366 | 131 | 37 | [23] Key Seats - For IF2512, the top five seats in terms of trading volume were CITIC Futures (agency), Guotai Junan (agency), Haitong Futures (agency), Dongzheng Futures (agency), and Guoxin Futures (agency) [36]. - The top five seats in terms of long positions were Guotai Junan (agency), CITIC Futures (agency), Haitong Futures (agency), Dongzheng Futures (agency), and Guotou Futures (agency) [36]. - The top five seats in terms of short positions were CITIC Futures (agency), Guotai Junan (agency), Huatai Futures (agency), Haitong Futures (agency), and Guotou Futures (agency) [36]. IC Futures Market Summary - The CSI 500 index closed at 6,951.28 points, down 0.20% [41]. - The IC main contract (IC2512) closed at 6,896.20 points, down 0.40% [41]. - The total trading volume of the four IC contracts was 112,976 lots, an increase of 6,006 lots from the previous day; the total open interest was 254,570 lots, an increase of 5,482 lots from the previous day [42]. - The IC main contract was at a discount of 55.08 points, an increase of 0.57 points from the previous day; the annualized basis rate was -12.68% [42]. Contract Details | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 500 | 6,951.28 | -0.20% | 13,784 | -7% | 2,530 | -8% | - | - | - | | IC2512 | 6,896.20 | -0.33% | 76,028 | 2% | 1,057 | 2% | 145,804 | 1,894 | 241 | | IC2601 | 6,838.00 | -0.40% | 4,312 | 32% | 59 | 32% | 6,584 | 1,452 | 11 | | IC2603 | 6,728.80 | -0.38% | 24,663 | 14% | 335 | 14% | 71,624 | 1,094 | 116 | | IC2606 | 6,520.20 | -0.45% | 7,973 | 3% | 105 | 3% | 30,558 | 1,042 | 48 | [41] Key Seats - For IC2512, the top five seats in terms of trading volume were CITIC Futures (agency), Guotai Junan (agency), Haitong Futures (agency), Dongzheng Futures (agency), and Huawen Futures (agency) [53]. - The top five seats in terms of long positions were Guotai Junan (agency), CITIC Futures (agency), Galaxy Futures (agency), Huatai Futures (agency), and Yong'an Futures (agency) [53]. - The top five seats in terms of short positions were CITIC Futures (agency), Guotai Junan (agency), Huatai Futures (agency), Guotou Futures (agency), and Haitong Futures (agency) [53]. IH Futures Market Summary - The Shanghai 50 index closed at 2,972.27 points, up 0.02% [59]. - The IH main contract (IH2512) closed at 2,962.40 points, down 0.15% [59]. - The total trading volume of the four IH contracts was 42,497 lots, an increase of 7,008 lots from the previous day; the total open interest was 92,285 lots, an increase of 6,077 lots from the previous day [59]. - The IH main contract was at a discount of 9.87 points, a decrease of 2.67 points from the previous day; the annualized basis rate was -5.28% [60]. Contract Details | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | Shanghai 50 | 2,972.27 | 0.02% | 3,929 | -2% | 1,051 | -8% | - | - | - | | IH2512 | 2,962.40 | -0.11% | 30,995 | 17% | 276 | 17% | 61,159 | 3,149 | 65 | | IH2601 | 2,957.20 | -0.15% | 1,080 | -12% | 10 | -12% | 1,545 | 71 | 2 | | IH2603 | 2,955.60 | -0.15% | 8,305 | 42% | 74 | 42% | 22,542 | 2,221 | 24 | | IH2606 | 2,945.20 | -0.24% | 2,117 | 9% | 19 | 9% | 7,039 | 636 | 7 | [59] Key Seats - For IH2512, the top five seats in terms of trading volume were CITIC Futures (agency), Guotai Junan (agency), Haitong Futures (agency), Dongzheng Futures (agency), and Guoxin Futures (agency) [73]. - The top five seats in terms of long positions were Guotai Junan (agency), CITIC Futures (agency), Yong'an Futures (agency), Zhongtai Futures (agency), and Dongzheng Futures (agency) [73]. - The top five seats in terms of short positions were Guotai Junan (agency), CITIC Futures (agency), GF Futures (agency), Haitong Futures (agency), and Everbright Futures (agency) [73].

股指期货数据日报 2025年11月26日 IM每日行情 | | | | | | IM行情概要 | | | | | | | IM成交持仓 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 单位：点、手、亿元 | | | | | | | | | | | 单位：手 | | | | 收盘价 | +/- | 成交量 | +/- | | 成交额 | +/- | 持仓量 | +/- | 持仓保证金 | 600,000 | | | 中证1000 | 7248.45 | -0.02% | 23,178 | | -6% | 3,770 | -7% | | | | | | | IM2512 | 7176.20 | -0.09% | 125,795 | | -18% | 1,812 | -18% | 202,891 | -8,427 | 349 | 500,000 | | | IM2601 | 7107.60 | -0.05% | 6,676 | | -1% | 9 5 | -1% | 9,599 | 1,579 | ...

Group 1: Index Trends - On November 25th, the Shanghai Composite Index rose by 0.87%, closing at 3870.02 points with a trading volume of 722.789 billion yuan; the Shenzhen Component Index rose by 1.53%, closing at 12777.31 points with a trading volume of 1089.359 billion yuan [1]. - The CSI 1000 Index rose by 1.31% with a trading volume of 404.174 billion yuan, opening at 7195.1, closing at 7249.95, with a daily high of 7311.73 and a low of 7194.77 [1]. - The CSI 500 Index rose by 1.25% with a trading volume of 289.205 billion yuan, opening at 6915.12, closing at 6954.6, with a daily high of 7018.47 and a low of 6912.32 [1]. - The SSE 300 Index rose by 0.95% with a trading volume of 411.524 billion yuan, opening at 4475.84, closing at 4490.4, with a daily high of 4510.77 and a low of 4467.35 [1]. - The SSE 50 Index rose by 0.6% with a trading volume of 98.032 billion yuan, opening at 2963.69, closing at 2968.2, with a daily high of 2974.77 and a low of 2952.35 [1]. Group 2: Impact of Sector Movements on Indexes - The CSI 1000 rose 93.54 points from the previous closing price, with sectors such as electronics, communication, and power equipment significantly pulling the index up [2]. - The CSI 500 rose 85.63 points from the previous closing price, with sectors such as electronics and non - ferrous metals significantly pulling the index up [2]. - The SSE 300 rose 42.35 points from the previous closing price, with sectors such as electronics, banking, and communication significantly pulling the index up [2]. - The SSE 50 rose 17.64 points from the previous closing price, with sectors such as banking, non - banking finance, and non - ferrous metals significantly pulling the index up [2]. Group 3: Stock Index Futures Basis and Annualized Opening Costs - IM00 average daily basis was - 64.84, IM01 was - 133.46, IM02 was - 277.15, and IM03 was - 502.43 [13]. - IC00 average daily basis was - 41.17, IC01 was - 92.86, IC02 was - 201.32, and IC03 was - 404.45 [13]. - IF00 average daily basis was - 12.2, IF01 was - 26.04, IF02 was - 41.26, and IF03 was - 83.51 [13]. - IH00 average daily basis was - 5.88, IH01 was - 10.02, IH02 was - 10.28, and IH03 was - 17.55 [13]. Group 4: Stock Index Futures Roll - over Point Differences and Annualized Costs - For IM, data on roll - over point differences and their annualized costs are presented in relevant graphs and tables [23][28]. - For IC, at 09:45, IC00 - 01 was - 68.64222, IC00 - 02 was - 225.568, etc., and data at different time points are also provided [24][25]. - For IF, at 09:45, IF00 - 01 was - 12.31678, IF00 - 02 was - 41.14122, etc., with data at various time points [25]. - For IH, at 09:45, IH00 - 01 was 0.707, IH00 - 02 was 1.4593333, etc., and data at different times are given [26][27].

股指期货数据日报 2025年11月25日 IM每日行情 IM行情概要 IM成交持仓 单位：点、手、亿元 单位：手 | | 收盘价 | +/- | 成交量 | +/- | | 成交额 | +/- | | 持仓量 +/- | | 持仓保证金 | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 中证1000 | 7249.95 | 1.31% | 24,543 | | 2 % | 4,042 | | 10% | | | | | | IM2512 | 7172.00 | 0.85% | 152,757 | | -5% | 2,200 | | -3% | 211,318 | -9,330 | 364 | | | IM2601 | 7103.40 | 0.79% | 6,715 | | -15% | 9 | 6 | -14% | 8,020 | 246 | | 1 4 | | IM2603 | 6954.00 | 0.79% | 38,225 | | -1% | 534 | | 0 % | 97,216 ...