Report Overview - This is a daily data tracking report on stock index futures dated August 20, 2025, covering index trends, impacts of sector movements on indices, basis and annualized opening costs of stock index futures, and points differences and annualized costs during contract roll - overs [1] Index Trends - On August 19, the Shanghai Composite Index dropped 0.02% to close at 3727.29 points with a turnover of 1.060899 trillion yuan; the Shenzhen Component Index fell 0.12% to 11821.63 points with a turnover of 1.52747 trillion yuan [1] - The CSI 1000 Index rose 0.07% with a turnover of 558.781 billion yuan, opening at 7231.93, closing at 7242.85, hitting a high of 7289.03 and a low of 7193.59 [1] - The CSI 500 Index declined 0.19% with a turnover of 444.629 billion yuan, opening at 6663.16, closing at 6655.31, reaching a high of 6707.11 and a low of 6631.12 [1] - The SSE 50 Index tumbled 0.93% with a turnover of 153.14 billion yuan, opening at 2843.28, closing at 2812.42, peaking at 2858.41 and bottoming at 2812.3 [1] - The SSE 300 Index decreased 0.38% with a turnover of 553.536 billion yuan, opening at 4241.77, closing at 4223.37, reaching a high of 4264.23 and a low of 4215.21 [1] Impacts of Sector Movements on Indices - The CSI 1000 Index rose 5.25 points compared to the previous closing price. Sectors like communication, automotive, and computer pulled the index up, while basic chemicals, pharmaceuticals, and national defense and military industries dragged it down [3] - The CSI 500 Index dropped 12.86 points. Sectors such as computer, household appliances, and communication boosted the index, while basic chemicals, non - bank finance, and national defense and military industries weighed it down [3] - The SSE 300 Index fell 16.04 points. Sectors like communication and food and beverage supported the index, while power equipment, pharmaceuticals, and non - bank finance dampened it [3] - The SSE 50 Index declined 26.45 points. Sectors including electronics, pharmaceuticals, and non - bank finance had a negative impact on the index [3] Basis and Annualized Opening Costs of Stock Index Futures - For IM contracts, IM00 had an average daily basis of - 49.32, IM01 of - 96.6, IM02 of - 209.21, and IM03 of - 366.06 [13] - For IC contracts, IC00 had an average daily basis of - 50.15, IC01 of - 89.41, IC02 of - 176.29, and IC03 of - 299.12 [13] - For IF contracts, IF00 had an average daily basis of - 3.95, IF01 of - 9.41, IF02 of - 21.61, and IF03 of - 41.08 [13] - For IH contracts, IH00 had an average daily basis of 3.34, IH01 of 3.8, IH02 of 6.81, and IH03 of 9.06 [13] Points Differences and Annualized Costs during Contract Roll - overs - For IM contracts, data on points differences and annualized costs between different contract periods (e.g., IM00 - 01, IM00 - 02, etc.) at different times (from 09:45 to 15:00) are provided [23] - For IC contracts, similar data on points differences and annualized costs between different contract periods at different times are presented [27] - For IF contracts, relevant data on points differences and annualized costs between different contract periods at different times are given [25] - For IH contracts, data on points differences and annualized costs between different contract periods at different times are also included [26]

1. Index Trends - On July 21st, the Shanghai Composite Index rose 0.72% to close at 3,559.79 points, with a trading volume of 730.906 billion yuan; the Shenzhen Component Index rose 0.86% to close at 11,007.49 points, with a trading volume of 969.074 billion yuan [1]. - The CSI 1000 Index rose 0.92%, with a trading volume of 359.908 billion yuan, opening at 6,557.25, closing at 6,612.26, with a daily high of 6,614.61 and a low of 6,555.04 [1]. - The CSI 500 Index rose 1.01%, with a trading volume of 272.008 billion yuan, opening at 6,115.03, closing at 6,161.31, with a daily high of 6,162.44 and a low of 6,110.99 [1]. - The SSE 50 Index rose 0.28%, with a trading volume of 96.839 billion yuan, opening at 2,770.36, closing at 2,772.24, with a daily high of 2,777.05 and a low of 2,763.35 [1]. - The SSE 300 Index rose 0.67%, with a trading volume of 377.939 billion yuan, opening at 4,069.77, closing at 4,085.61, with a daily high of 4,086.12 and a low of 4,063.44 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 60.19 points from the previous closing price, with sectors such as machinery, basic chemicals, and power equipment significantly driving the index up [5]. - The CSI 500 rose 61.7 points from the previous closing price, with sectors such as non - ferrous metals, basic chemicals, and power equipment significantly driving the index up [5]. - The SSE 300 rose 27.06 points from the previous closing price, with sectors like power equipment, non - ferrous metals, and non - banking finance driving the index up, while the banking sector pulled it down [5]. - The SSE 50 rose 7.72 points from the previous closing price, with non - ferrous metals, non - banking finance, and power equipment driving the index up, and pharmaceutical biology and the banking sector pulling it down [5]. 3. Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 50.58, IM01 of - 120.58, IM02 of - 303.37, and IM03 of - 462.59 [14]. - For IC contracts, IC00 had an average daily basis of - 37.03, IC01 of - 85.76, IC02 of - 210.76, and IC03 of - 322.81 [14]. - For IF contracts, IF00 had an average daily basis of - 6.09, IF01 of - 15.75, IF02 of - 47.51, and IF03 of - 73.04 [14]. - For IH contracts, IH00 had an average daily basis of 0.92, IH01 of 1.2, IH02 of 4.32, and IH03 of 6.2 [14]. 4. Stock Index Futures Roll - over Point Differences and Annualized Costs - The report provides 15 - minute average data on the roll - over point differences and their annualized costs for IM, IC, IF, and IH contracts from 09:45 to 15:00 [21][23][25]

股指期货日度数据跟踪 2025-06-26 一、指数走势 06 月 25 日，上证综指涨跌幅 1.04%，收于 3455.97 点，成交额 6201.73 亿元，深成指数涨跌幅 1.72%，收于 10393.72 点，成交额 9825.67 亿元。 中证 1000 指数涨跌幅 1.32%，成交额 3349.98 亿元，其中开盘价 6196.15，收盘价 6276.16，当日最高价 6282.11，最低价 6194.15； 中证 500 指数涨跌幅 1.68%，成交额 2392.6 亿元，其中开盘价 5777.74，收盘价 5862.55，当日最高价 5866.52，最低价 5776.12； 沪深 300 指数涨跌幅 1.44%，成交额 3617.27 亿元，其中开盘价 3907.07，收盘价 3960.07，当日最高价 3963.04，最低价 3902.18； 上证 50 指数涨跌幅 1.17%，成交额 1023.26 亿元，其中开盘价 2714.63，收盘价 2747.73，当日最高价 2750.39，最低价 2707.4。 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 ...

1. Index Trends - On June 24th, the Shanghai Composite Index rose 1.15% to close at 3420.57 points with a trading volume of 544.882 billion yuan; the Shenzhen Component Index rose 1.68% to close at 10217.63 points with a trading volume of 869.7 billion yuan [1]. - The CSI 1000 Index rose 1.92% with a trading volume of 303.658 billion yuan, opening at 6082.74, closing at 6194.67, with a daily high of 6194.67 and a low of 6082.74 [1]. - The CSI 500 Index rose 1.62% with a trading volume of 191.935 billion yuan, opening at 5683.46, closing at 5765.84, with a daily high of 5766.02 and a low of 5683.46 [1]. - The SSE 50 Index rose 1.16% with a trading volume of 89.075 billion yuan, opening at 2685.85, closing at 2715.92, with a daily high of 2731.18 and a low of 2685.85 [1]. - The SSE 50 Index rose 1.16% with a trading volume of 89.075 billion yuan, opening at 2685.85, closing at 2715.92, with a daily high of 2731.18 and a low of 2685.85 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 116.45 points from the previous close, with sectors such as power equipment, electronics, and computer significantly contributing to the upward movement [3]. - The CSI 500 rose 91.67 points from the previous close, with electronics, power equipment, and non - banking finance sectors significantly contributing to the upward movement [3]. - The SSE 300 rose 46.13 points from the previous close, with non - banking finance, power equipment, and electronics sectors significantly contributing to the upward movement [3]. - The SSE 50 rose 31.14 points from the previous close, with non - banking finance, banks, and electronics sectors significantly contributing to the upward movement [3]. 3. Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 55.17, IM01 of - 123.04, IM02 of - 195.3, and IM03 of - 370.85 [12]. - For IC contracts, IC00 had an average daily basis of - 34.93, IC01 of - 80.85, IC02 of - 127.08, and IC03 of - 244.07 [12]. - For IF contracts, IF00 had an average daily basis of - 29.83, IF01 of - 43.83, IF02 of - 50.93, and IF03 of - 81.08 [12]. - For IH contracts, IH00 had an average daily basis of - 31.25, IH01 of - 33.89, IH02 of - 32.68, and IH03 of - 32.81 [12]. 4. Futures Roll - over Point Differences and Annualized Costs - For IM contracts, various roll - over point differences and their corresponding annualized costs are presented at different time points from 09:45 to 15:00 [21]. - For IC contracts, various roll - over point differences and their corresponding annualized costs are presented at different time points from 09:45 to 15:00 [23]. - For IF contracts, various roll - over point differences and their corresponding annualized costs are presented at different time points from 09:45 to 15:00 [23]. - For IH contracts, various roll - over point differences and their corresponding annualized costs are presented at different time points from 09:45 to 15:00 [25].

Index Trends - On June 10th, the Shanghai Composite Index fell 0.44% to close at 3384.82 points, with a trading volume of 557.428 billion yuan; the Shenzhen Component Index fell 0.86% to close at 10162.18 points, with a trading volume of 857.931 billion yuan [1]. - The CSI 1000 Index fell 0.92% with a trading volume of 277.218 billion yuan, opening at 6220.04, closing at 6161.69, with a high of 6220.04 and a low of 6098.09 [1]. - The CSI 500 Index fell 0.82% with a trading volume of 182.98 billion yuan, opening at 5809.83, closing at 5757.99, with a high of 5810.92 and a low of 5715.97 [1]. - The SSE 50 Index fell 0.39% with a trading volume of 76.949 billion yuan, opening at 2690.87, closing at 2676.4, with a high of 2700.18 and a low of 2670.15 [1]. Impact of Sector Movements on Indexes - The CSI 1000 dropped 57.27 points from the previous close, with the computer and electronics sectors significantly dragging down the index [2]. - The CSI 500 dropped 47.66 points from the previous close, with the national defense and military industry, computer, and electronics sectors significantly dragging down the index [2]. - The SSE 50 dropped 10.43 points from the previous close, with the non - ferrous metals, banking, and pharmaceutical and biological sectors boosting the index, while the electronics, food and beverage, and non - banking finance sectors dragging it down [2]. Futures Basis and Annualized Opening Costs - IM00 had an average daily basis of - 43.72, IM01 of - 133.37, IM02 of - 296.42, and IM03 of - 470.15 [13]. - IC00 had an average daily basis of - 34.84, IC01 of - 105.05, IC02 of - 213.92, and IC03 of - 337.2 [13]. - IF00 had an average daily basis of - 19.32, IF01 of - 56.45, IF02 of - 85.82, and IF03 of - 115.62 [13]. - IH00 had an average daily basis of - 14.31, IH01 of - 45.58, IH02 of - 50.4, and IH03 of - 50.32 [13]. Futures Roll - over Point Differences and Annualized Costs - Data on the roll - over point differences and annualized costs of IM, IC, IF, and IH futures at different time points are presented in the report, including specific point differences and corresponding annualized costs [23][24][26]

1. Index Trends - On May 27th, the Shanghai Composite Index dropped by -0.18% to close at 3340.69 points with a trading volume of 394.409 billion yuan; the Shenzhen Component Index fell by -0.61% to close at 10029.11 points with a trading volume of 604.517 billion yuan [1]. - The CSI 1000 Index decreased by -0.34% with a trading volume of 193.606 billion yuan, opening at 6019.54, closing at 6008.46, reaching a high of 6023.14 and a low of 5971.35 [1]. - The CSI 500 Index declined by -0.31% with a trading volume of 125.276 billion yuan, opening at 5666.3, closing at 5652.15, reaching a high of 5667.87 and a low of 5629.13 [1]. - The SSE 50 Index went down by -0.52% with a trading volume of 49.856 billion yuan, opening at 2699.69, closing at 2685.28, reaching a high of 2709.29 and a low of 2684.71 [1]. - The CSI 300 Index decreased by -0.54% with a trading volume of 178.467 billion yuan, opening at 3857.63, closing at 3839.4, reaching a high of 3865.43 and a low of 3834.85 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 dropped 20.33 points from the previous close. Sectors such as Medicine and Biology, and Basic Chemicals had a significant positive impact, while sectors like Computer, Machinery, and Electronics had a negative impact [2]. - The CSI 500 dropped 17.31 points from the previous close. The Medicine and Biology sector had a positive impact, while Machinery, Non - ferrous Metals, and Electronics had a negative impact [2]. - The CSI 300 dropped 20.71 points from the previous close. The Banking sector had a positive impact, while Automobile, Non - ferrous Metals, and Electronics had a negative impact [2]. - The SSE 50 dropped 14.14 points from the previous close. The Banking sector had a positive impact, while Food and Beverage, Electronics, and Non - ferrous Metals had a negative impact [2]. 3. Futures Basis and Annualized Opening Costs - For IM contracts, the daily average basis was -98.04 for IM00, -190.8 for IM01, -349.56 for IM02, and -527.69 for IM03 [12]. - For IC contracts, the daily average basis was -76.59 for IC00, -151.74 for IC01, -269.32 for IC02, and -399.41 for IC03 [12]. - For IF contracts, the daily average basis was -29.87 for IF00, -68.48 for IF01, -100.62 for IF02, and -139.97 for IF03 [12]. - For IH contracts, the daily average basis was -17.04 for IH00, -48.29 for IH01, -54.82 for IH02, and -57.71 for IH03 [12]. 4. Futures Roll - over Point Differences and Annualized Costs - For IM contracts, data on roll - over point differences and their annualized costs at different time points (e.g., 09:45, 10:00, etc.) are provided, including values for IM00 - 01, IM00 - 02, etc. [21]. - For IC contracts, data on roll - over point differences and their annualized costs at different time points are provided, including values for IC00 - 01, IC00 - 02, etc. [23]. - For IF contracts, data on roll - over point differences and their annualized costs at different time points are provided, including values for IF00 - 01, IF00 - 02, etc. [23]. - For IH contracts, data on roll - over point differences and their annualized costs at different time points are provided, including values for IH00 - 01, IH00 - 02, etc. [25].

股指期货日度数据跟踪 2025-05-08 一、指数走势 05 月 07 日，上证综指涨跌幅 0.8%，收于 3342.67 点，成交额 5952.3 亿元，深成指数涨跌幅 0.22%，收于 10104.13 点，成交额 8730.87 亿元。 中证 1000 指数涨跌幅 0.14%，成交额 2965.22 亿元，其中开盘价 6171.61，收盘价 6111.49，当日最高价 6195.14，最低价 6063.64； 中证 500 指数涨跌幅 0.17%，成交额 2275.66 亿元，其中开盘价 5805.66，收盘价 5750.29，当日最高价 5819.24，最低价 5713.27； 沪深 300 指数涨跌幅 0.61%，成交额 2860.11 亿元，其中开盘价 3861.58，收盘价 3831.63，当日最高价 3863.68，最低价 3814.99； 上证 50 指数涨跌幅 0.87%，成交额 806.55 亿元，其中开盘价 2685.56，收盘价 2670.7，当日最高价 2685.56，最低价 2656.2。 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 ...

Group 1: Index Trends - On April 14th, the Shanghai Composite Index rose 0.76% to close at 3262.81 points with a trading volume of 543.811 billion yuan. The Shenzhen Component Index rose 0.51% to close at 9884.3 points with a trading volume of 733.662 billion yuan [1]. - The CSI 1000 Index rose 1.3% with a trading volume of 272.673 billion yuan, opening at 5933.99, closing at 5938.53, with a high of 5979.9 and a low of 5914.25 [1]. - The CSI 500 Index rose 0.82% with a trading volume of 207.47 billion yuan, opening at 5633.78, closing at 5627.14, with a high of 5661.8 and a low of 5608.73 [1]. - The SSE 50 Index rose 0.33% with a trading volume of 85.931 billion yuan, opening at 2623.57, closing at 2628.21, with a high of 2636.79 and a low of 2615.39 [1]. - The SSE 300 Index rose 0.23% with a trading volume of 292.571 billion yuan, opening at 3772.04, closing at 3759.14, with a high of 3776.63 and a low of 3754.03 [1]. Group 2: Impact of Sector Movements on Indexes - The CSI 1000 rose 76.34 points from the previous close, with sectors such as Pharmaceutical Biology and Electronics having a significant upward pull on the index [2]. - The CSI 500 rose 45.82 points from the previous close, with sectors such as Non - Ferrous Metals having a significant upward pull on the index [2]. - The SSE 300 rose 8.62 points from the previous close, with sectors like Banks, Non - Ferrous Metals, and Automobiles having an upward pull, while Machinery, Household Appliances, and Food and Beverage had a downward pull [2]. - The SSE 50 rose 8.63 points from the previous close, with sectors like Banks, Non - Ferrous Metals, and Automobiles having an upward pull, while Food and Beverage had a downward pull [2]. Group 3: Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 37.39, IM01 of - 121.7, IM02 of - 221.63, and IM03 of - 387.77 [13]. - For IC contracts, IC00 had an average daily basis of - 29.41, IC01 of - 90.75, IC02 of - 171.57, and IC03 of - 298.5 [13]. - For IF contracts, IF00 had an average daily basis of - 13.94, IF01 of - 30.31, IF02 of - 61.11, and IF03 of - 111.78 [13]. - For IH contracts, IH00 had an average daily basis of - 4.89, IH01 of - 7.89, IH02 of - 18.34, and IH03 of - 49.87 [13]. Group 4: Stock Index Futures Roll - over Point Differences and Annualized Costs - The report provides data on the roll - over point differences and their annualized costs for IM, IC, IF, and IH contracts at different time intervals from 09:45 to 15:00 [24][26][28]