中证 1000 较前收盘价上涨-46.8 点，计算机,家用电器,电力设备等板块对指数向下拉动明显。 中证 500 较前收盘价上涨-60.8 点，基础化工,电力设备,电子等板块对指数向下拉动明显。 股指期货日度数据跟踪 2025-11-21 一、指数走势 11 月 20 日，上证综指涨跌幅-0.4%，收于 3931.05 点，成交额 7113.41 亿元，深成指数涨跌幅-0.76%，收于 12980.82 点，成交额 9968.47 亿元。 中证 1000 指数涨跌幅-0.63%，成交额 3567.12 亿元，其中开盘价 7429.7，收盘价 7340.41，当日最高价 7439.04，最低价 7332.32； 中证 500 指数涨跌幅-0.85%，成交额 2541.58 亿元，其中开盘价 7174.1，收盘价 7061.95，当日最高价 7180.73，最低价 7056.9； 沪深 300 指数涨跌幅-0.51%，成交额 4150.65 亿元，其中开盘价 4619.54，收盘价 4564.95，当日最高价 4620.65，最低价 4560.18； 上证 50 指数涨跌幅-0.4%，成交额 1009.82 亿元 ...

股指期货数据日报 2025年11月17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 | 7523.08 | 0.27% | 26,116 | | -4% | | 3,913 | -4% | | | | | | IM2511 | 7495.40 | -0.15% | 34,485 | | 0 % | | 517 | 0 % | 48,139 | -5,818 | | 8 7 | | IM2512 | 7394.40 | -0.26% | 130,158 | | 4 % | | 1,925 | 4 % | 185,984 | 3,608 | | 330 | | IM2603 | 7162.00 | -0.26% | 23,077 | | 0 % | | 331 | -1% | 8 ...

1. Report Date - The report is dated November 11, 2025 [2] 2. Market Overview IM (China Securities 1000 Index Futures) - The main contract of IM fell 0.3% to close at 7390.4 points. The total trading volume of the four IM contracts was 186,082 lots, a decrease of 8,391 lots from the previous day, and the total open interest was 354,095 lots, a decrease of 582 lots from the previous day [3] - The main contract of IM was at a discount of 150.39 points, a decrease of 8.14 points from the previous day, and the annualized basis rate was -19.05% [4] IF (CSI 300 Index Futures) - The main contract of IF fell 0.84% to close at 4626.8 points. The total trading volume of the four IF contracts was 110,400 lots, an increase of 3,615 lots from the previous day, and the total open interest was 263,184 lots, a decrease of 5,129 lots from the previous day [20][21] - The main contract of IF was at a discount of 25.37 points, a decrease of 2.32 points from the previous day, and the annualized basis rate was -5.13% [21] IC (CSI 500 Index Futures) - The main contract of IC fell 0.79% to close at 7173 points. The total trading volume of the four IC contracts was 112,484 lots, a decrease of 10,252 lots from the previous day, and the total open interest was 241,256 lots, a decrease of 8,077 lots from the previous day [40][41] - The main contract of IC was at a discount of 118.61 points, a decrease of 10.61 points from the previous day, and the annualized basis rate was -15.48% [41] IH (SSE 50 Index Futures) - The main contract of IH fell 0.58% to close at 3033 points. The total trading volume of the four IH contracts was 50,142 lots, an increase of 4,232 lots from the previous day, and the total open interest was 94,744 lots, a decrease of 1,967 lots from the previous day [57] - The main contract of IH was at a discount of 1.63 points, a decrease of 1.77 points from the previous day, and the annualized basis rate was -0.5% [58] 3. Contract - Specific Data IM | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Open - Interest Change | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 1000 | 7540.79 | -0.30% | 26,525 | -3% | 4,049 billion | -7% | - | - | | IM2511 | 7476.60 | -0.30% | 32,931 | -3% | 495 billion | -3% | 60,308 | -1,464 | | IM2512 | 7390.40 | -0.30% | 122,556 | -4% | 1,820 billion | -4% | 179,084 | -6 | | IM2603 | 7167.00 | -0.34% | 21,766 | -3% | 314 billion | -3% | 79,515 | 412 | | IM2606 | 6949.80 | -0.30% | 8,829 | -11% | 123 billion | -11% | 35,188 | 476 | [3] IF | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Open - Interest Change | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 300 | 4652.17 | -0.91% | 18,664 | -21% | 4,776 billion | -20% | - | - | | IF2511 | 4640.20 | -0.88% | 23,298 | 4% | 326 billion | 4% | 39,376 | -1,830 | | IF2512 | 4626.80 | -0.84% | 70,771 | 1% | 986 billion | 1% | 151,427 | -4,735 | | IF2603 | 4600.40 | -0.76% | 12,465 | 12% | 173 billion | 12% | 58,627 | 501 | | IF2606 | 4559.00 | -0.71% | 3,866 | 16% | 35 billion | 16% | 13,754 | 935 | [20] IC | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Open - Interest Change | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 500 | 7291.61 | -0.71% | 19,166 | -6% | 3,386 billion | -9% | - | - | | IC2511 | 7242.20 | -0.72% | 22,488 | -5% | 327 billion | -5% | 42,026 | -2,898 | | IC2512 | 7173.00 | -0.79% | 69,626 | -9% | 1,005 billion | -9% | 127,025 | -5,885 | | IC2603 | 7003.80 | -0.77% | 15,091 | -10% | 212 billion | -11% | 53,067 | 26 | | IC2606 | 6813.80 | -0.73% | 5,279 | -10% | 72 billion | -10% | 19,138 | 680 | [40] IH | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Open - Interest Change | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 3034.63 | -0.63% | 4,104 | -16% | 1,181 billion | -16% | - | - | | IH2511 | 3033.60 | -0.62% | 9,704 | -1% | 88 billion | -1% | 12,907 | -964 | | IH2512 | 3033.00 | -0.58% | 34,254 | 13% | 312 billion | 13% | 60,887 | -712 | | IH2603 | 3029.60 | -0.58% | 4,768 | 10% | 43 billion | 10% | 16,591 | -144 | | IH2606 | 3022.60 | -0.59% | 1,416 | -11% | 13 billion | -11% | 4,359 | -147 | [57] 4. Basis and Annualized Basis Rate IM - The main contract's basis was - 150.39 points, and the annualized basis rate was -19.05% [4] IF - The main contract's basis was - 25.37 points, and the annualized basis rate was -5.13% [21] IC - The main contract's basis was - 118.61 points, and the annualized basis rate was -15.48% [41] IH - The main contract's basis was - 1.63 points, and the annualized basis rate was -0.5% [58] 5. Main Seats' Data IM - Data for main seats of IM2511, IM2512, IM2603, and IM2606 are provided, including trading volume, long - position volume, and short - position volume and their changes [15][17][19] IF - Data for main seats of IF2511, IF2512, IF2603, and IF2606 are provided, including trading volume, long - position volume, and short - position volume and their changes [35][37][38] IC - Data for main seats of IC2511, IC2512, and IC2603 are provided, including trading volume, long - position volume, and short - position volume and their changes [51][53][55] IH - Data for main seats of IH2511, IH2512, IH2603 are provided, including trading volume, long - position volume, and short - position volume and their changes [72][74][76]

1. Report Information - Report Title: Stock Index Futures Data Daily Report [1] - Report Date: November 5, 2025 [2] 2. IM Futures 2.1 Daily Quotes - The underlying index, CSI 1000, closed at 7,464.86, up 0.39%. The total trading volume of the four IM contracts was 238,684 lots, an increase of 5,106 lots from the previous day, and the total open interest was 366,783 lots, an increase of 3,310 lots [4][5]. - The main contract, IM2512, rose 0.77% to close at 7,310.8 points. It was at a discount of 154.06 points to the spot, a decrease of 2.73 points from the previous day, with an annualized basis rate of -17.09% [4][5]. 2.2 Main Seats - In IM2511, the top five seats in terms of trading volume were led by CITIC Futures (on behalf of clients), with a trading volume of 55,286 lots, an increase of 4,013 lots. In terms of long positions, CITIC Futures (on behalf of clients) held 29,347 lots, an increase of 2,565 lots; in terms of short positions, it held 38,462 lots, an increase of 2,913 lots [17]. 3. IF Futures 3.1 Daily Quotes - The underlying index, CSI 300, closed at 4,627.26, up 0.19%. The total trading volume of the four IF contracts was 116,616 lots, a decrease of 1,583 lots from the previous day, and the total open interest was 270,040 lots, an increase of 1,580 lots [22][23]. - The main contract, IF2512, rose 0.41% to close at 4,596.6 points. It was at a discount of 30.66 points to the spot, a decrease of 0.96 points from the previous day, with an annualized basis rate of -5.41% [22][23]. 3.2 Main Seats - In IF2511, the top five seats in terms of trading volume were led by CITIC Futures (on behalf of clients), with a trading volume of 11,219 lots, an increase of 137 lots. In terms of long positions, CITIC Futures (on behalf of clients) held 6,939 lots, an increase of 78 lots; in terms of short positions, it held 10,786 lots, an increase of 137 lots [36]. 4. IC Futures 4.1 Daily Quotes - The underlying index, CSI 500, closed at 7,229.34, up 0.26%. The total trading volume of the four IC contracts was 147,163 lots, an increase of 3,196 lots from the previous day, and the total open interest was 256,435 lots, an increase of 4,279 lots [41][42]. - The main contract, IC2512, rose 0.55% to close at 7,108 points. It was at a discount of 121.34 points to the spot, a decrease of 5.11 points from the previous day, with an annualized basis rate of -13.85% [41][42]. 4.2 Main Seats - In IC2511, the top five seats in terms of trading volume were led by CITIC Futures (on behalf of clients), with a trading volume of 33,280 lots, a decrease of 379 lots. In terms of long positions, CITIC Futures (on behalf of clients) held 21,462 lots, an increase of 1,259 lots; in terms of short positions, it held 22,125 lots, an increase of 741 lots [56]. 5. IH Futures 5.1 Daily Quotes - The underlying index, SSE 50, closed at 3,007.97, down 0.17%. The total trading volume of the four IH contracts was 53,120 lots, an increase of 2,586 lots from the previous day, and the total open interest was 96,978 lots, an increase of 2,204 lots [62]. - The main contract, IH2512, fell 0.01% to close at 3,002.6 points. It was at a discount of 5.37 points to the spot, a decrease of 0.6 points from the previous day, with an annualized basis rate of -1.45% [62][63]. 5.2 Main Seats - In IH2512, the top five seats in terms of trading volume were led by CITIC Futures (on behalf of clients), with a trading volume of 11,333 lots, an increase of 1,357 lots. In terms of long positions, Guotai Junan (on behalf of clients) held 7,809 lots, a decrease of 362 lots; in terms of short positions, Guotai Junan (on behalf of clients) held 8,777 lots, an increase of 52 lots [77].

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - In the context of continued positive policy and valuations reaching the 80%-90% percentile of the past decade, attention should be focused on the capital market and the prospects of the technology sector. The unilateral strategy is to go long at low levels, and the arbitrage strategy is to go long on the main contracts of IM/IC and short ETFs for cash-futures arbitrage [5][6][45] 3. Summary Based on the Table of Contents 3.1 Second Part: Market Review in October 3.1.1 Stock Market - First Decline, Then Rise, and Reach a New High - In October, the A-share market first declined and then rose, with the stock index reaching a new high after oscillations. By October 29, the monthly increase of the CSI 300 Index was 2.3%, the SSE 50 Index rose 2.48%, the CSI 500 Index rose 0.93%, and the CSI 1000 Index fell 0.08% [10] - The oscillations in the stock index led to prominent performances in traditional industries. Sectors such as coal, insurance, telecommunications, public utilities, and oil and gas had significant increases, while sectors like media, automotive, healthcare, computer, real estate, and food declined. The technology sector showed differentiation, with high-level oscillations in concepts such as optical modules, domestic chips, advanced manufacturing processes, and humanoid robots [12] 3.1.2 Stock Index Futures - Periodic Expansion of Premium and Decline in Trading Volume and Open Interest - In October, the premium of stock index futures expanded periodically compared to the previous month. Especially after the listing of the 2606 contract, the premium of the quarterly contracts of IM, IC, and IF expanded significantly, while the premium of the current-month contracts slightly decreased overall, and the basis of each IH contract remained stable [16] - The trading volume and open interest of stock index futures declined overall in October. The average daily trading volume of IM, IC, IF, and IH decreased by 14.4%, 4.1%, 12.6%, and 3.8% respectively; the average daily open interest of IM, IF, and IH decreased by 4.9%, 3%, and 3.8% respectively, while the average daily open interest of IC slightly increased by 0.4% [23] - The expansion of the premium increased the rollover cost for short positions in stock index futures. The optimal choice for short positions in IM and IC to roll over to the next-month contracts had the lowest cost, with the average monthly annualized costs being 9.55% and 8.12% respectively, increasing by 0.82 and 0.59 percentage points compared to the previous month. The optimal choice for short positions in IF and IH to roll over to the next quarterly contracts had the lowest cost, with the average monthly annualized costs being 2.52% and 0.16% respectively, increasing by 0.32 and 0.23 percentage points compared to the previous month [27] - From the perspective of the open interest of major seats, the open interest of each variety remained stable overall, but the net short positions in IC increased significantly. The average monthly net short positions of the top five and top ten seats in IC increased by 2.1 and 2.5 percentage points respectively compared to the previous month. In addition, at the end of September, facing the National Day holiday, the short positions in IF significantly increased before the holiday and then quickly decreased after the holiday, indicating the hedging operations of investors using stock index futures [29] 3.2 Third Part: Market Outlook and Investment Strategy 3.2.1 What's Different About Reaching 4000 Points Again - On October 28, the Shanghai Composite Index stood above the 4000-point mark again after a decade, which was the third time since May 9, 2007, and April 8, 2015. Compared with the previous two times, this round of market has both similarities and some obvious differences [34] - In 2007, the first time the Shanghai Composite Index reached 4000 points was in the middle and later stages of the 2005 - 2007 bull market, driven by the split-share structure reform policy. Corporate profits improved in line with the macroeconomy, leading to a comprehensive bull market [34] - In 2015, the second time the Shanghai Composite Index reached 4000 points was in the later stage of the 2013 - 2015 bull market. Due to the quantitative easing policy implemented by the US at the end of 2012 and multiple reserve requirement ratio cuts and interest rate cuts in China, the liquidity in both China and the US was loose, and the margin trading in A-shares was active, resulting in a structural market driven by industrial upgrading [34] - Currently, the macroeconomy still faces significant uncertainties, but the artificial intelligence industry chain has experienced explosive growth. The ETF market has expanded significantly, and the absolute value of margin trading balance has continuously reached new highs. The proportion of margin trading is still far lower than that in 2015, and the market is generally stable. The policy is still to "fully consolidate the stable and improving trend of the market," and the development prospects of emerging industries are still broad. Therefore, this round of market is more similar to that in 2015, and the capital market and the prospects of the artificial intelligence industry will determine the height of the market [35] 3.2.2 The Third Quarter Reports to Test the Bull Market - As of October 31, 5437 companies announced their performance, and the overall third-quarter reports of listed companies showed an increase, adding confidence to the bull market. The total operating income of all A-shares reached 53.3 trillion yuan, a year-on-year increase of 1.21%, and the net profit attributable to the parent company reached 4.7 trillion yuan, a year-on-year increase of 5.34%, breaking away from the downward trend of the previous two quarters [40] - It should be noted that the 11.31% increase in the single-quarter net profit attributable to the parent company in the third quarter reports is related to the low base in the third quarter of last year (-15%), which is consistent with the continuous monthly increase of over 20% in the profits of industrial enterprises above the designated size from August to September. With the PMI remaining below the boom-bust line for six consecutive months and the order backlog index remaining at around 45%, the full-year performance still needs continuous tracking and observation [42] - For the performance growth of industry sectors that A-share investors are more concerned about, there have been some changes. Since April, the artificial intelligence wave has led to a significant increase in the performance of the semiconductor industry chain, forming a "Davis double-click" and stimulating market sentiment. However, among the three leading companies in the optical module (CPO) sector, the single-quarter operating income of two companies decreased quarter-on-quarter in the third quarter, and the net profit attributable to the parent company hardly increased quarter-on-quarter. Affected by this, the stock prices of relevant companies fell sharply, the sector declined, and the stock index was also affected. If the performance of the NVIDIA industry chain continues to fall short of expectations, attention should be paid to the progress of the domestic chip industry chain and the performance implementation of the robot industry [43] 3.2.3 Future Strategies - Based on the above analysis, in the context of continued positive policy and valuations reaching the 80%-90% percentile of the past decade, attention should be focused on the capital market and the prospects of the technology sector. Under the premise that the above factors remain unchanged, the unilateral strategy is to go long at low levels. Stock index futures investors should pay attention to the year-end convergence rule of the premium of IM/IC/IF, and the arbitrage strategy is to go long on the main contracts of IM/IC and short ETFs for cash-futures arbitrage [45]

Report Information - Report Title: Stock Index Futures Data Daily Report [1] - Report Date: October 30, 2025 [2] IM Futures Market Quotes - The closing price of CSI 1000 was 7,485.08, down 1.11%. The total trading volume of the four IM contracts was 248,653 lots, an increase of 61,017 lots from the previous day, and the total open interest was 369,079 lots, an increase of 20,311 lots [3][5]. - The main contract of IM was at a discount of 120.68 points, up 2.04 points from the previous day, and the annualized basis rate was -11.73% [5]. Main Seats - In IM2511, the top five seats in terms of trading volume were CITIC Futures (on behalf of clients), Guotai Junan (on behalf of clients), Haitong Futures (on behalf of clients), Zhongtai Futures (on behalf of clients), and Dongzheng Futures (on behalf of clients) [17]. IF Futures Market Quotes - The closing price of CSI 300 was 4,709.91, down 0.80%. The total trading volume of the four IF contracts was 137,376 lots, an increase of 36,443 lots from the previous day, and the total open interest was 270,734 lots, an increase of 12,176 lots [22][23]. - The main contract of IF was at a discount of 19.91 points, down 4.67 points from the previous day, and the annualized basis rate was -3.04% [23]. Main Seats - In IF2511, the top five seats in terms of trading volume were CITIC Futures (on behalf of clients), Guotai Junan (on behalf of clients), Haitong Futures (on behalf of clients), Dongzheng Futures (on behalf of clients), and Guoxin Futures (on behalf of clients) [35]. IC Futures Market Quotes - The closing price of CSI 500 was 7,385.71, down 1.27%. The total trading volume of the four IC contracts was 168,288 lots, an increase of 33,521 lots from the previous day, and the total open interest was 260,211 lots, an increase of 7,396 lots [40][41]. - The main contract of IC was at a discount of 86.71 points, up 4.26 points from the previous day, and the annualized basis rate was -8.5% [41]. Main Seats - In IC2511, the top five seats in terms of trading volume were CITIC Futures (on behalf of clients), Guotai Junan (on behalf of clients), Haitong Futures (on behalf of clients), Dongzheng Futures (on behalf of clients), and Zhongtai Futures (on behalf of clients) [55]. IH Futures Market Quotes - The closing price of SSE 50 was 3,046.61, down 0.54%. The total trading volume of the four IH contracts was 63,949 lots, an increase of 18,844 lots from the previous day, and the total open interest was 102,044 lots, an increase of 7,069 lots [61]. - The main contract of IH was at a discount of 1.61 points, down 3.39 points from the previous day, and the annualized basis rate was -0.38% [62]. Main Seats - In IH2511, the top five seats in terms of trading volume were CITIC Futures (on behalf of clients), Guotai Junan (on behalf of clients), Haitong Futures (on behalf of clients), Dongzheng Futures (on behalf of clients), and Guoxin Futures (on behalf of clients) [78].

Report Date - The report is dated September 29, 2025 [2] IM Futures Market Summary - The CSI 1000 index closed at 7,497.83, up 1.36%. The IM2510 (main contract) rose 2% to 7,484.2. Total trading volume of the four IM contracts was 284,619 lots, up 41,629 from the previous day, and total open interest was 367,256 lots, up 2,392 [4][5] - The main contract had a discount of 13.63 points, up 26.96 points from the previous day, with an annualized basis rate of -3.5%. Dividend impacts for the four contracts were 1.39, 2.29, 2.32, and 3.63 points respectively [5] Position Analysis - In the IM2510 contract, top five members' trading volume was 158,768 lots, up 20,672; long positions were 75,047 lots, up 1,587; short positions were 90,776 lots, up 1,190 [19] IF Futures Market Summary - The CSI 300 index closed at 4,620.05, up 1.54%. The IF2510 (main contract) rose 1.53% to 4,623.6. Total trading volume of the four IF contracts was 166,084 lots, up 44,999 from the previous day, and total open interest was 284,149 lots, up 24,225 [24][25] - The main contract had a premium of 3.55 points, up 10.4 points from the previous day, with an annualized basis rate of 1.47%. Dividend impacts for the four contracts were 5.43, 6.81, 8.52, and 15.57 points respectively [25] Position Analysis - In the IF2510 contract, top five members' trading volume was 52,282 lots, up 14,680; long positions were 32,584 lots, up 3,776; short positions were 31,919 lots, up 3,753 [40] IC Futures Market Summary - The CSI 500 index closed at 7,350.56, up 1.51%. The IC2510 (main contract) rose 1.9% to 7,342.8. Total trading volume of the four IC contracts was 160,425 lots, up 24,390 from the previous day, and total open interest was 256,603 lots, up 4,379 [45][46] - The main contract had a discount of 7.76 points, up 30.55 points from the previous day, with an annualized basis rate of -2.03%. Dividend impacts for the four contracts were 2.31, 3.77, 3.99, and 7.51 points respectively [46] Position Analysis - In the IC2510 contract, top five members' trading volume was 48,557 lots, up 8,696; long positions were 29,948 lots, up 481; short positions were 32,695 lots, up 525 [56] IH Futures Market Summary - The SSE 50 index closed at 2,973.04, up 1.09%. The IH2510 (main contract) rose 0.89% to 2,976.2. Total trading volume of the four IH contracts was 85,621 lots, up 37,395 from the previous day, and total open interest was 113,877 lots, up 17,889 [60] - The main contract had a premium of 3.16 points, up 0.98 points from the previous day, with an annualized basis rate of 0.72%. Dividend impacts for the four contracts were 5.38, 6.6, 7.5, and 15.18 points respectively [61] Position Analysis - In the IH2510 contract, top five members' trading volume was 47,447 lots, up 20,892; long positions were 27,956 lots, up 6,008; short positions were 41,691 lots, up 6,463 [70]

Report Information - Report Title: Stock Index Futures Data Daily Report [1] - Report Date: September 18, 2025 [2] IM Futures Market Summary - Total open interest was 405,154 contracts, an increase of 25,806 contracts from the previous day [5] - The main contract was at a discount of 21.6 points, a decrease of 13.79 points from the previous day; the annualized basis rate was -52.88% [5] - The dividend impacts of the four contracts were 0.51 points, 3.27 points, 4.4 points, and 5.94 points respectively [5] Daily Quotes | Contract | Closing Price | Change | Volume | Volume Change | Turnover | Turnover Change | Open Interest | Open Interest Change | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 1000 | 7,476.40 | -1.04% | 39,860 | 32% | 65.4 billion | 33% | | | | IM2509 | 7,454.80 | -1.19% | 118,769 | -3% | 17.94 billion | -2% | 55,453 | -33,716 | | IM2510 | 7,370.20 | -1.44% | 72,033 | 98% | 10.77 billion | 99% | 80,608 | 22,685 | | IM2512 | 7,213.40 | -1.51% | 197,746 | 95% | 28.93 billion | 96% | 190,972 | 32,009 | | IM2603 | 7,000.00 | -1.68% | 40,425 | 56% | 5.76 billion | 57% | 78,121 | 4,828 | [3] Basis and Other Data - The cash index of CSI 1000 closed at 7,476.40. The current month contract (IM2509) was at a discount of 21.60 points, with an annualized basis rate of -52.9%. The next month contract (IM2510) was at a discount of 106.20 points, with an annualized basis rate of -17.5%. The first quarterly contract (IM2512) was at a discount of 263.00 points, with an annualized basis rate of -14.3%. The second quarterly contract (IM2603) was at a discount of 476.40 points, with an annualized basis rate of -13.5% [17] IF Futures Market Summary - Total trading volume of the four contracts was 220,019 lots, an increase of 57,520 lots from the previous day; total open interest was 288,603 lots, an increase of 14,691 lots from the previous day [27] - The main contract was at a discount of 10.91 points, a decrease of 13.09 points from the previous day; the annualized basis rate was -44.37% [27] - The dividend impacts of the four contracts were 0.05 points, 5.36 points, 8.56 points, and 16.4 points respectively [27] Daily Quotes | Contract | Closing Price | Change | Volume | Volume Change | Turnover | Turnover Change | Open Interest | Open Interest Change | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 300 | 4,498.11 | -1.16% | 30,986 | 31% | 84 billion | 38% | | | | IF2509 | 4,487.20 | -1.35% | 65,747 | -10% | 8.94 billion | -10% | 39,525 | -22,028 | | IF2510 | 4,476.00 | -1.37% | 41,117 | 99% | 5.57 billion | 99% | 48,286 | 14,444 | | IF2512 | 4,448.20 | -1.47% | 95,637 | 66% | 12.88 billion | 66% | 152,375 | 18,854 | | IF2603 | 4,418.00 | -1.56% | 17,518 | 53% | 2.35 billion | 53% | 48,417 | 3,421 | [26] Basis and Other Data - The cash index of SSE 300 closed at 4,498.11. The current month contract (IF2509) was at a discount of 10.91 points, with an annualized basis rate of -44.4%. The next month contract (IF2510) was at a discount of 22.11 points, with an annualized basis rate of -6.0%. The first quarterly contract (IF2512) was at a discount of 49.91 points, with an annualized basis rate of -4.4%. The second quarterly contract (IF2603) was at a discount of 80.11 points, with an annualized basis rate of -3.6% [39] IC Futures Market Summary - Total trading volume of the four contracts was 236,268 lots, an increase of 72,444 lots from the previous day; total open interest was 271,127 lots, an increase of 19,056 lots from the previous day [49] - The main contract was at a discount of 28.28 points, a decrease of 20.64 points from the previous day; the annualized basis rate was -71.97% [49] - The dividend impacts of the four contracts were 0.31 points, 3.92 points, 5.8 points, and 10.55 points respectively [49] Daily Quotes | Contract | Closing Price | Change | Volume | Volume Change | Turnover | Turnover Change | Open Interest | Open Interest Change | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 500 | 7,199.88 | -0.83% | 34,859 | 35% | 60.42 billion | 36% | | | | IC2509 | 7,171.60 | -1.00% | 63,994 | -5% | 9.29 billion | -4% | 35,612 | -20,830 | | IC2510 | 7,114.40 | -1.00% | 46,677 | 94% | 6.71 billion | 96% | 57,570 | 17,427 | | IC2512 | 6,985.40 | -1.18% | 101,129 | 79% | 14.29 billion | 80% | 130,507 | 19,424 | | IC2603 | 6,819.60 | -1.23% | 24,468 | 50% | 3.38 billion | 51% | 47,438 | 3,035 | [48] Basis and Other Data - The cash index of CSI 500 closed at 7,199.88. The current month contract (IC2509) was at a discount of 28.28 points, with an annualized basis rate of -72.0%. The next month contract (IC2510) was at a discount of 85.48 points, with an annualized basis rate of -14.6%. The first quarterly contract (IC2512) was at a discount of 214.48 points, with an annualized basis rate of -12.1%. The second quarterly contract (IC2603) was at a discount of 380.28 points, with an annualized basis rate of -11.1% [55] IH Futures Market Summary - Total trading volume of the four contracts was 100,595 lots, an increase of 35,836 lots from the previous day; total open interest was 114,842 lots, an increase of 10,071 lots from the previous day [64] - The main contract was at a discount of 1.03 points, a decrease of 3.85 points from the previous day; the annualized basis rate was -0.43% [65] - The dividend impacts of the four contracts were 0 points, 5.25 points, 7.5 points, and 15.3 points respectively [65] Daily Quotes | Contract | Closing Price | Change | Volume | Volume Change | Turnover | Turnover Change | Open Interest | Open Interest Change | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 2,912.83 | -1.35% | 7,486 | 32% | 22.58 billion | 46% | | | | IH2509 | 2,910.80 | -1.45% | 31,314 | 6% | 2.76 billion | 5% | 18,625 | -9,707 | | IH2510 | 2,911.80 | -1.36% | 18,385 | 118% | 1.62 billion | 117% | 20,104 | 7,313 | | IH2512 | 2,912.40 | -1.37% | 43,865 | 90% | 3.86 billion | 89% | 63,340 | 11,134 | | IH2603 | 2,912.60 | -1.47% | 7,031 | 94% | 0.62 billion | 93% | 12,773 | 1,331 | [64] Basis and Other Data - The cash index of SSE 50 closed at 2,912.83. The current month contract (IH2509) was at a discount of 2.03 points, with an annualized basis rate of -12.7%. The next month contract (IH2510) was at a discount of 1.03 points, with an annualized basis rate of -0.4%. The first quarterly contract (IH2512) was at a discount of 0.43 points, with an annualized basis rate of -0.1%. The second quarterly contract (IH2603) was at a discount of 0.23 points, with an annualized basis rate of 0.0% [75]

1. Report Information - Report Title: Stock Index Futures Data Daily Report [1] - Report Date: September 16, 2025 [2] 2. IM Futures 2.1 Daily Quotes - The main contract of IM rose 1.13% to close at 7,462 points. The total trading volume of the four IM contracts was 261,972 lots, an increase of 67,583 lots from the previous day; the total open interest was 379,927 lots, an increase of 23,224 lots from the previous day [4]. - The main contract of IM was at a discount of 21.63 points, up 25.34 points from the previous day; the annualized basis rate was -26.45%. The dividend impacts of the four IM contracts were 0.76 points, 3.32 points, 4.46 points, and 6.17 points respectively [5]. 2.2 Positions - The data shows the trading volume, long positions, and short positions of top - ranking member firms for different contracts such as IM2509, IM2512, and IM2603, along with their changes from the previous day [22][24][25]. 3. IF Futures 3.1 Daily Quotes - The main contract of IF fell 0.16% to close at 4,516.8 points. The total trading volume of the four IF contracts was 153,511 lots, an increase of 15,747 lots from the previous day; the total open interest was 276,592 lots, an increase of 9,133 lots from the previous day [27][28]. - The main contract of IF was at a discount of 6.54 points, down 1.28 points from the previous day; the annualized basis rate was -13.21%. The dividend impacts of the four IF contracts were 0.67 points, 5.68 points, 8.88 points, and 16.88 points respectively [28]. 3.2 Positions - The data presents the trading volume, long positions, and short positions of top - ranking member firms for different contracts such as IF2509, IF2512, and IF2603, along with their changes from the previous day [43][44][45]. 4. IC Futures 4.1 Daily Quotes - The main contract of IC rose 0.65% to close at 7,165.2 points. The total trading volume of the four IC contracts was 161,577 lots, an increase of 24,221 lots from the previous day; the total open interest was 262,891 lots, an increase of 13,259 lots from the previous day [48]. - The main contract of IC was at a discount of 25.79 points, down 2.63 points from the previous day; the annualized basis rate was -32.85%. The dividend impacts of the four IC contracts were 0.62 points, 3.91 points, 5.85 points, and 10.78 points respectively [48][49]. 3.2 Positions - The data shows the trading volume, long positions, and short positions of top - ranking member firms for different contracts such as IC2509, IC2512, and IC2603, along with their changes from the previous day [61][62][64]. 5. IH Futures 5.1 Daily Quotes - The main contract of IH fell 0.36% to close at 2,951.4 points. The total trading volume of the four IH contracts was 59,526 lots, an increase of 4,178 lots from the previous day; the total open interest was 100,750 lots, an increase of 2,226 lots from the previous day [67]. - The main contract of IH was at a premium of 3.58 points, up 3.4 points from the previous day; the annualized basis rate was 1.38%. The dividend impacts of the four IH contracts were 0.73 points, 5.89 points, 8.17 points, and 15.99 points respectively [68]. 3.2 Positions - The data presents the trading volume, long positions, and short positions of top - ranking member firms for different contracts such as IH2509, IH2512, and IH2603, along with their changes from the previous day [82][85][87].

1. Report Industry Investment Rating - Not provided 2. Core Viewpoints - In the medium to long term, maintain the judgment of going long on the economy and recommend allocating long - term contracts of various varieties on dips; in the short term, the market shows signs of cooling [3] - With the upward risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies in the medium and long term [4] 3. Summary by Directory 3.1 Market Performance - On September 15, most of the four major A - share stock indexes moved up, with the Shanghai Composite Index down 0.26% at 3860.5 points, the Shenzhen Component Index up 0.63% at 13005.77 points, the ChiNext Index up 1.51% at 3066.18 points, and the STAR 50 Index up 0.18% at 1340.4 points. Market turnover was 2303.2 billion yuan, a decrease of 245.1 billion yuan from the previous day. In the industry sector, power equipment (+2.22%), media (+1.94%), and agriculture, forestry, animal husbandry and fishery (+1.79%) led the gains; comprehensive (-1.8%), communication (-1.52%), and national defense and military industry (-1.05%) led the losses. In terms of market strength, IF>IM>IC>IH. The number of rising/flat/falling stocks was 1914/138/3374 respectively. The net inflows of institutional, main, large - scale and retail investors in the Shanghai and Shenzhen stock markets were - 18.9 billion, - 15.1 billion, 8.7 billion and 25.4 billion yuan respectively, with changes of +2.2 billion, +1 billion, +2.3 billion and - 5.6 billion yuan respectively [2] - On September 15, the yields of treasury bond futures declined across the board. Among the active contracts, the implied interest rate of the two - year bond was 1.399, down 0.26 bps from the previous day; the implied interest rate of the five - year bond was 1.59, down 1.91 bps; the implied interest rate of the ten - year bond was 1.764, down 2.43 bps; and the implied interest rate of the thirty - year bond was 2.17, down 1.57 bps [3] 3.2 Stock Index Futures - The basis of the next - month contracts of IM, IC, IF, and IH was 114.57, 87.16, 13.26, and - 0.18 points respectively, with annualized basis yields of - 20.33%, - 16.07%, - 3.85%, and 0.08% respectively, and three - year historical quantiles of 3%, 5%, 23%, and 45% respectively [3] - The performance data of various stock index futures contracts such as IC2509, IC2510, etc. including their code, name, daily change rate, current price, trading volume, etc. are presented in Table 1 [6] 3.3 Treasury Bond Futures - The current active contract is the 2512 contract. The CTD bond, yield change, corresponding net basis, and IRR of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are provided. For example, the CTD bond of the 2 - year treasury bond futures is 250012.IB, with a yield change of - 0.5 bps, a corresponding net basis of - 0.005, and an IRR of 1.5% [4] - In terms of the money supply, the central bank injected 280 billion yuan and withdrew 191.5 billion yuan, resulting in a net injection of 88.5 billion yuan [4] - The performance data of various treasury bond futures contracts such as TS2512, TS2603, etc. including their code, name, daily change rate, current price, trading volume, etc. are presented in Table 2 [8] 3.4 Economic Data - High - frequency data shows that the recent social activity sentiment is weak [11] - Based on the comparison of medium - term data of each module with the same period in the past five years (year - on - year month - on - month), the sentiment of manufacturing, real estate, social activities, infrastructure, and import and export is scored. Positive scores indicate an improvement in sentiment, negative scores indicate a weakening, and zero scores indicate little change [13][14]