调整中见韧性：VIX 理性上行叠加期指资金积极布局 [Table_ReportTime] 2025 年 11 月 22 日 请阅读最后一页免责声明及信息披露 http://www.cindasc.com 1 [Table_FirstAuthor] 于明明 金融工程与金融产品首席分析师 执业编号：S1500521070001 联系电话：+86 18616021459 邮 箱：yumingming@cindasc.com 证券研究报告 于明明 金融工程与金融产品 首席分析师 执业编号：S1500521070001 联系电话：+86 18616021459 邮 箱：yumingming@cindasc.com 崔诗笛 金融工程与金融产品 金融工程分析师 执业编号：S1500523080001 联系电话：+86 18516560686 邮 箱：cuishidi@cindasc.com 孙石 金融工程与金融产品 金融工程分析师 执业编号：S1500523080010 联系电话：+86 18817366228 邮 箱：sunshi@cindasc.com 信达证券股份有限公司 CINDA SECURITIES CO.,L ...

股指期货数据日报 2025年11月20日 IM每日行情 IM行情概要 IM成交持仓 | 单位：手 | | --- | | 单位：点、手、亿元 | | | 收盘价 | +/- | 成交量 | +/- | 成交额 | +/- | | 持仓量 | +/- | 持仓保证金 | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 中证1000 | 7340.41 | -0.63% | 22,754 | -5% | 3,567 | | -3% | | | | | | IM2511 | 7347.60 | -0.56% | 31,494 | -15% | 465 | | -15% | 23,903 | -10,769 | | 4 2 | | IM2512 | 7263.60 | -0.48% | 140,822 | -6% | 2,054 | | -6% | 205,865 | 4,785 | | 359 | | IM2603 | 7035.20 | -0.47% | 27,245 | -2% | 385 | | -2% ...

股指期货日度数据跟踪 2025-11-20 一、指数走势 11 月 19 日，上证综指涨跌幅 0.18%，收于 3946.74 点，成交额 7209.09 亿元，深成指数涨跌幅-0.0%，收于 13080.09 点，成交额 10050.0 亿元。 中证 1000 指数涨跌幅-0.82%，成交额 3671.73 亿元，其中开盘价 7438.14，收盘价 7387.21，当日最高价 7471.73，最低价 7348.04； 中证 500 指数涨跌幅-0.4%，成交额 2567.55 亿元，其中开盘价 7141.26，收盘价 7122.75，当日最高价 7178.15，最低价 7086.12； 沪深 300 指数涨跌幅 0.44%，成交额 3852.3 亿元，其中开盘价 4568.04，收盘价 4588.29，当日最高价 4607.86，最低价 4568.04； 上证 50 指数涨跌幅 0.58%，成交额 995.51 亿元，其中开盘价 3004.65，收盘价 3020.35，当日最高价 3033.22，最低价 3004.2。 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 ...

股指期货日度数据跟踪 2025-11-18 一、指数走势 11 月 17 日，上证综指涨跌幅-0.46%，收于 3972.03 点，成交额 8057.33 亿元，深成指数涨跌幅-0.11%，收于 13202.0 点，成交额 11050.58 亿元。 中证 1000 指数涨跌幅 0.27%，成交额 3913.18 亿元，其中开盘价 7514.84，收盘价 7523.08，当日最高价 7544.72，最低价 7487.81； 中证 500 指数涨跌幅-0.0%，成交额 3108.23 亿元，其中开盘价 7248.92，收盘价 7235.35，当日最高价 7262.33，最低价 7202.59； 沪深 300 指数涨跌幅-0.65%，成交额 4389.4 亿元，其中开盘价 4616.81，收盘价 4598.05，当日最高价 4624.9，最低价 4580.26； 上证 50 指数涨跌幅-0.87%，成交额 1118.05 亿元，其中开盘价 3033.02，收盘价 3012.07，当日最高价 3037.23，最低价 3001.2。 图表 1：中证 1000、中证 500、沪深 300、上证 50 日内走势（%） 图表 ...

Report Summary 1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints - The central bank's third - quarter monetary policy report indicates a natural decline in financial aggregate growth, and mentions points such as diluting quantitative targets of monetary policy, maintaining a reasonable interest - rate ratio, and developing the "science and technology board" of the bond market. October's CPI and PPI both rebounded, with contributions from low - base effects and the effectiveness of policies. The US government's shutdown ended, but there may be another shutdown in two months. Market trading has shifted to the theme of interest - rate cuts, and the Fed's hawkish remarks have affected the market. The overall A - share trading volume remained stable, with the Shanghai Composite Index reaching a new high but then falling, and different indices showing various performances [4]. - The recent basis fluctuations are still small, with the annualized basis of all varieties decreasing compared to last week. IH has switched to a small - scale discount state, and the term structure has become steeper, with far - month contracts having greater advantages in hedging costs [5]. 3. Summary by Relevant Sections 3.1. Stock Index Futures Basis Situation - **Basis Data**: The report provides the basis data of IF, IH, IC, and IM contracts, including last week's basis, this week's basis, basis changes, and index - enhanced annualized returns. For example, for the IF2511 contract, last week's basis was - 5.79, this week's basis is - 14.14, the basis change is - 8.35, and the index - enhanced annualized return is 14.3% [2]. - **Basis Fluctuation and State**: The recent basis fluctuation range is small, and the annualized basis of each variety has decreased compared to last week. IH has switched to a small - scale discount state, and IF, IC, and IM have annualized discounts of around 3%, 11%, and 14% respectively [5]. - **Trading Volume and Open Interest**: This week, the average daily trading volume of IH increased by 2.9% week - on - week, and the open interest increased by 6.8%; the average daily trading volume of IF increased by 2.2% week - on - week, and the open interest increased by 2.9%; the average daily trading volume of IC decreased by 6.3% week - on - week, and the open interest increased by 1.9%; the average daily trading volume of IM decreased by 5.5% week - on - week, and the open interest increased by 0.2% [5]. - **Basis after Considering Dividends**: The report also presents the basis situation after considering dividends for different indices, including the closing price, basis after considering dividends, expected total dividend points, and annualized premium or discount rate [6]. 3.2. Hedging Profit and Loss - **Hedging Profit and Loss Data**: The report provides the hedging profit and loss data of IF, IH, IC, and IM contracts for last week and this week. For example, for the IF2511 contract, last week's hedging profit and loss was 6.13, and this week's is 8.35 [12]. - **Visualization of Hedging Profit and Loss**: There are charts showing the 60 - trading - day cumulative hedging profit and loss of IF, IH, IC, and IM contracts [11].

1. Index Movements - On November 13th, the Shanghai Composite Index rose 0.73% to close at 4029.5 points with a trading volume of 876.401 billion yuan; the Shenzhen Component Index rose 1.78% to close at 13476.52 points with a trading volume of 1165.561 billion yuan [1]. - The CSI 1000 Index rose 1.39% with a trading volume of 420.596 billion yuan, opening at 7483.66, closing at 7590.58, with a daily high of 7604.89 and a low of 7475.51 [1]. - The CSI 500 Index rose 1.55% with a trading volume of 339.596 billion yuan, opening at 7243.64, closing at 7355.29, with a daily high of 7366.41 and a low of 7243.64 [1]. - The SSE 50 Index rose 0.96% with a trading volume of 132.481 billion yuan, opening at 3044.92, closing at 3073.67, with a daily high of 3075.21 and a low of 3044.92 [1]. - The SSE 300 Index rose 1.21% with a trading volume of 510.061 billion yuan, opening at 4643.79, closing at 4702.07, with a daily high of 4703.49 and a low of 4643.79 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 104.2 points from the previous close, with sectors such as power equipment, basic chemicals, and non - ferrous metals significantly pulling the index up [2]. - The CSI 500 rose 112.04 points from the previous close, with power equipment, electronics, and non - ferrous metals significantly pulling the index up [2]. - The SSE 300 rose 56.16 points from the previous close, with power equipment and non - ferrous metals significantly pulling the index up [2]. - The SSE 50 rose 29.37 points from the previous close, with non - ferrous metals, electronics, and pharmaceutical biology significantly pulling the index up [2]. 3. Stock Index Futures Basis and Annualized Opening Costs - IM00 had an average daily basis of - 31.09, IM01 of - 119.2, IM02 of - 348.14, and IM03 of - 575.97 [13]. - IC00 had an average daily basis of - 22.36, IC01 of - 91.63, IC02 of - 270.21, and IC03 of - 468.58 [13]. - IF00 had an average daily basis of - 5.51, IF01 of - 21.1, IF02 of - 52.38, and IF03 of - 96.16 [13]. - IH00 had an average daily basis of 0.93, IH01 of - 1.76, IH02 of - 6.62, and IH03 of - 14.39 [13]. 4. Stock Index Futures Roll - over Point Differences and Annualized Costs - Data on the roll - over point differences and annualized costs of IM, IC, IF, and IH at different time points are provided, including specific values for different contract combinations (e.g., IM00 - 01, IM00 - 02, etc.) [26][27][28][29]

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints The report presents a daily data tracking of stock index futures on November 11, 2025, including the performance of major stock indices, the impact of sector movements on these indices, the basis and annualized opening costs of stock index futures, and the points difference in futures contract roll - over and its annualized costs. 3. Summary by Directory Index Trends - On November 11, the Shanghai Composite Index fell 0.39% to close at 4002.76 points, with a trading volume of 858.362 billion yuan; the Shenzhen Component Index fell 1.03% to 13289.0 points, with a trading volume of 1135.224 billion yuan [1]. - The CSI 1000 Index fell 0.3% with a trading volume of 404.867 billion yuan; the CSI 500 Index fell 0.71% with a trading volume of 338.598 billion yuan; the SSE 50 Index fell 0.63% with a trading volume of 118.061 billion yuan; the CSI 300 Index fell 0.91% with a trading volume of 477.629 billion yuan [1]. Impact of Sector Movements on Indices - The CSI 1000 dropped 22.46 points. Sectors such as power equipment and basic chemicals had a positive impact, while household appliances, computer, and electronics had a negative impact [2]. - The CSI 500 dropped 52.19 points, with computer and electronics sectors pulling the index down [2]. - The CSI 300 dropped 42.88 points, affected negatively by non - bank finance, communication, and electronics sectors [2]. - The SSE 50 dropped 19.23 points. The banking sector had a positive impact, while non - bank finance, non - ferrous metals, and electronics had a negative impact [2]. Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 55.58, IM01 of - 140.81, IM02 of - 363.76, and IM03 of - 586.08 [13]. - For IC contracts, IC00 had an average daily basis of - 43.5, IC01 of - 109.76, IC02 of - 283.12, and IC03 of - 476.92 [13]. - For IF contracts, IF00 had an average daily basis of - 10.23, IF01 of - 25.19, IF02 of - 53.14, and IF03 of - 95.85 [13]. - For IH contracts, IH00 had an average daily basis of - 1.09, IH01 of - 3.3, IH02 of - 5.94, and IH03 of - 12.74 [13]. Stock Index Futures Contract Roll - over Points Difference and Annualized Costs - Data on the roll - over points difference and its annualized costs for IM, IC, IF, and IH contracts are presented in the form of 15 - minute average values and corresponding annualized cost graphs [22][23][24].

1. Index Trends - On November 06, the Shanghai Composite Index rose 0.97% to close at 4007.76 points, with a trading volume of 930.276 billion yuan; the Shenzhen Component Index rose 1.73% to close at 13452.42 points, with a trading volume of 1124.972 billion yuan [1] - The CSI 1000 Index rose 1.17% with a trading volume of 405.169 billion yuan, opening at 7482.91, closing at 7551.83, with a daily high of 7551.83 and a low of 7466.75 [1] - The CSI 500 Index rose 1.61% with a trading volume of 352.81 billion yuan, opening at 7243.2, closing at 7345.72, with a daily high of 7352.18 and a low of 7243.2 [1] - The SSE 50 Index rose 1.22% with a trading volume of 143.934 billion yuan, opening at 3015.35, closing at 3044.74, with a daily high of 3049.49 and a low of 3012.44 [1] - The SSE 300 Index rose 1.43% with a trading volume of 553.642 billion yuan, opening at 4642.01, closing at 4693.4, with a daily high of 4698.09 and a low of 4642.01 [1] 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 86.97 points from the previous close, with sectors such as electronics, power equipment, and non - ferrous metals having a significant upward pull on the index [3] - The CSI 500 rose 116.38 points from the previous close, with electronics and power equipment sectors having a significant upward pull on the index [3] - The SSE 300 rose 66.14 points from the previous close, with electronics, non - ferrous metals, and power equipment sectors having a significant upward pull on the index [3] - The SSE 50 rose 36.77 points from the previous close, with electronics, non - ferrous metals, and non - bank finance sectors having a significant upward pull on the index [3] 3. Stock Index Futures Basis and Annualized Opening Costs - IM00 average daily basis was - 67.21, IM01 was - 148.22, IM02 was - 363.75, IM03 was - 577.31 [13] - IC00 average daily basis was - 46.7, IC01 was - 106.32, IC02 was - 273.18, IC03 was - 462.04 [13] - IF00 average daily basis was - 9.75, IF01 was - 23.39, IF02 was - 53.99, IF03 was - 95.93 [13] - IH00 average daily basis was - 1.19, IH01 was - 2.55, IH02 was - 4.55, IH03 was - 9.12 [13] 4. Stock Index Futures Roll - over Point Differences and Annualized Costs - Data on IM roll - over point differences and annualized costs at different timeslots from 09:45 to 15:00 are provided, including values for IM00 - 01, IM00 - 02, etc. [24] - Similar data for IC, IF, and IH roll - over point differences and annualized costs at different timeslots are also presented [26][28][29]

1. Index Trends - On October 29, the Shanghai Composite Index rose 0.7% to close at 4016.33 points, with a trading volume of 968.216 billion yuan; the Shenzhen Component Index rose 1.95% to close at 13691.38 points, with a trading volume of 1287.814 billion yuan [1]. - The CSI 1000 Index rose 1.2%, with a trading volume of 439.162 billion yuan, opening at 7481.24, closing at 7569.12, reaching a high of 7569.12 and a low of 7469.07 [1]. - The CSI 500 Index rose 1.91%, with a trading volume of 443.141 billion yuan, opening at 7350.76, closing at 7480.97, reaching a high of 7480.97 and a low of 7350.76 [1]. - The SSE 300 Index rose 1.19%, with a trading volume of 645.899 billion yuan, opening at 4701.04, closing at 4747.84, reaching a high of 4747.84 and a low of 4697.27 [1]. - The SSE 50 Index rose 0.41%, with a trading volume of 156.303 billion yuan, opening at 3049.45, closing at 3063.02, reaching a high of 3064.56 and a low of 3048.59 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 89.9 points from the previous close, with sectors such as power equipment, non - ferrous metals, and machinery having a significant upward pull on the index [2]. - The CSI 500 rose 139.94 points from the previous close, with power equipment, non - ferrous metals, and electronics having a significant upward pull on the index [2]. - The SSE 300 rose 55.87 points from the previous close, with power equipment, non - ferrous metals, and electronics having a significant upward pull, while the banking sector had a downward pull on the index [2]. - The SSE 50 rose 12.6 points from the previous close, with non - ferrous metals, non - bank finance, and power equipment having an upward pull, and food and beverage, banking sectors having a downward pull on the index [2]. 3. Stock Index Futures Basis and Annualized Opening Costs - IM00 had an average daily basis of - 55.59, IM01 of - 127.76, IM02 of - 339.39, and IM03 of - 554.85 [12]. - IC00 had an average daily basis of - 43.14, IC01 of - 94.69, IC02 of - 259.46, and IC03 of - 448.53 [12]. - IF00 had an average daily basis of - 5.6, IF01 of - 17.67, IF02 of - 47.16, and IF03 of - 87.2 [12]. - IH00 had an average daily basis of 2.25, IH01 of 1.9, IH02 of 3.48, and IH03 of 0.84 [12]. 4. Stock Index Futures Roll - over Point Differences and Annualized Costs - For IM, data on roll - over point differences and their annualized costs at different times (e.g., 09:45, 10:00, etc.) are provided, such as at 09:45, IM00 - 01 was - 73.02267, IM00 - 02 was - 259.4522, etc. [24]. - For IC, data on roll - over point differences and their annualized costs at different times are provided, such as at 09:45, IC00 - 01 was - 68.64222, IC00 - 02 was - 225.568, etc. [21]. - For IF, data on roll - over point differences and their annualized costs at different times are provided, such as at 09:45, IF00 - 01 was - 12.31678, IF00 - 02 was - 41.14122, etc. [21]. - For IH, data on roll - over point differences and their annualized costs at different times are provided, such as at 09:45, IH00 - 01 was 0.707, IH00 - 02 was 1.4593333, etc. [23].

1. Index Trends - On October 27, the Shanghai Composite Index rose 1.18% to close at 3996.94 points, with a trading volume of 1043.404 billion yuan. The Shenzhen Component Index rose 1.51% to close at 13489.4 points, with a trading volume of 1296.727 billion yuan [1]. - The CSI 1000 Index rose 1.03% with a trading volume of 458.17 billion yuan, opening at 7483.3, closing at 7495.38, with a daily high of 7511.41 and a low of 7430.62 [1]. - The CSI 500 Index rose 1.67% with a trading volume of 471.762 billion yuan, opening at 7336.2, closing at 7379.39, with a daily high of 7391.21 and a low of 7302.02 [1]. - The SSE 50 Index rose 0.78% with a trading volume of 185.295 billion yuan, opening at 3064.38, closing at 3069.53, with a daily high of 3078.78 and a low of 3052.4 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 76.14 points from the previous close, with sectors such as electronics and non - ferrous metals significantly pulling the index up [3]. - The CSI 500 rose 120.86 points from the previous close, with electronics and machinery equipment sectors significantly pulling the index up [3]. - The SSE 300 rose 55.34 points from the previous close, with electronics, communication, and non - ferrous metals sectors significantly pulling the index up [3]. - The SSE 50 rose 23.71 points from the previous close, with non - ferrous metals, electronics, and pharmaceutical biology sectors significantly pulling the index up [3]. 3. Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 67.41, IM01 of - 140.07, IM02 of - 352.55, and IM03 of - 566.92 [14]. - For IC contracts, IC00 had an average daily basis of - 56.45, IC01 of - 109.06, IC02 of - 274.0, and IC03 of - 458.33 [14]. - For IF contracts, IF00 had an average daily basis of - 12.11, IF01 of - 25.64, IF02 of - 54.36, and IF03 of - 94.0 [14]. - For IH contracts, IH00 had an average daily basis of 0.46, IH01 of 0.61, IH02 of 1.85, and IH03 of 0.51 [14]. 4. Stock Index Futures Roll - over Point Differences and Annualized Costs - Data on IM roll - over point differences and their annualized costs are presented in relevant charts and tables, showing values at different time points [23][28]. - Data on IC roll - over point differences and their annualized costs are provided, including values like IC00 - 01, IC00 - 02, etc. at various times [24][25]. - Data on IF roll - over point differences and their annualized costs are given, with details at different time intervals [29]. - Data on IH roll - over point differences and their annualized costs are shown, including values such as IH00 - 01, IH00 - 02 at different times [26][27].