股指期货数据日报 2025年8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 | 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 | 7477.73 | 1.56% | 40,846 | | 25% | 6,609 | 25% | | | | | IM2509 | 7412.20 | 1.27% | 202,867 | | 9 % | 3,012 | 11% | 207,228 | -200 | 369 | | IM2510 | 7365.00 | 1.27% | 9,039 | | 38% | 133 | 41% | 13,904 | 3,341 | 2 5 | | IM2512 | 7262.00 | 1.44% | 69,077 | | 15% | 1,004 | 18% ...

Report Summary 1. Index Trends - On August 21st, the Shanghai Composite Index rose 0.13% to 3771.1 points with a trading volume of 997.42 billion yuan; the Shenzhen Component Index fell 0.06% to 11919.76 points with a trading volume of 1426.32 billion yuan [1]. - The CSI 1000 Index fell 0.71% with a trading volume of 516.51 billion yuan; the CSI 500 Index fell 0.36% with a trading volume of 404.12 billion yuan; the SSE 50 Index rose 0.53% with a trading volume of 136.49 billion yuan; the CSI 300 Index rose 0.39% with a trading volume of 558.52 billion yuan [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 dropped 52.12 points compared to the previous close, with sectors like power equipment, machinery, and electronics pulling the index down [2]. - The CSI 500 dropped 23.9 points, with the media sector pulling it up and non - bank finance, power equipment, and electronics pulling it down [2]. - The CSI 300 rose 16.67 points, driven up by sectors such as banks, pharmaceuticals, and communications [2]. - The SSE 50 rose 15.19 points, boosted by banks, communications, and petroleum and petrochemicals [2]. 3. Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 60.53, IM01 of - 107.71, IM02 of - 212.17, and IM03 of - 364.91 [13]. - For IC contracts, IC00 had an average daily basis of - 60.14, IC01 of - 98.23, IC02 of - 184.34, and IC03 of - 310.15 [13]. - For IF contracts, IF00 had an average daily basis of - 9.13, IF01 of - 16.06, IF02 of - 28.63, and IF03 of - 49.68 [13]. - For IH contracts, IH00 had an average daily basis of 0.85, IH01 of 0.7, IH02 of 2.49, and IH03 of 5.13 [13]. 4. Stock Index 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 from 09:45 to 15:00 are provided, e.g., at 09:45, IM00 - 01 was - 73.02267 [24]. - For IC contracts, similar data are given, such as at 09:45, IC00 - 01 was - 68.64222 [21]. - For IF contracts, at 09:45, IF00 - 01 was - 12.31678 [22]. - For IH contracts, at 09:45, IH00 - 01 was 0.707 [23].

1. Index Trends - On August 11th, the Shanghai Composite Index rose 0.34% to close at 3647.55 points with a trading volume of 751.329 billion yuan; the Shenzhen Component Index rose 1.46% to close at 11291.43 points with a trading volume of 1075.644 billion yuan [1]. - The CSI 1000 Index rose 1.55% with a trading volume of 401.163 billion yuan, opening at 6850.57, closing at 6943.94, with a daily high of 6957.4 and a low of 6850.57 [1]. - The CSI 500 Index rose 1.08% with a trading volume of 277.034 billion yuan, opening at 6335.43, closing at 6391.76, with a daily high of 6404.83 and a low of 6335.43 [1]. - The SSE 300 Index rose 0.43% with a trading volume of 360.686 billion yuan, opening at 4110.29, closing at 4122.51, with a daily high of 4134.25 and a low of 4103.6 [1]. - The SSE 50 Index rose 0.03% with a trading volume of 90.334 billion yuan, opening at 2791.35, closing at 2789.9, with a daily high of 2800.89 and a low of 2783.65 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 105.81 points from the previous close, with sectors such as power equipment, electronics, and pharmaceutical biology significantly pulling the index up [2]. - The CSI 500 rose 68.26 points from the previous close, with sectors such as electronics, power equipment, and machinery significantly pulling the index up [2]. - The SSE 300 rose 17.54 points from the previous close, with sectors such as food and beverage, electronics, and power equipment significantly pulling the index up, while the banking sector pulled it down [2]. - The SSE 50 rose 0.73 points from the previous close, with sectors such as food and beverage, non - banking finance, and electronics significantly pulling the index up, while sectors such as petroleum and petrochemicals, non - ferrous metals, and banking pulled it down [2]. 3. Stock Index Futures Basis and Annualized Opening Costs - IM00 average daily basis was - 4.24, IM01 was - 75.76, IM02 was - 265.4, and IM03 was - 447.73 [12]. - IC00 average daily basis was - 6.74, IC01 was - 72.91, IC02 was - 228.99, and IC03 was - 368.34 [12]. - IF00 average daily basis was 0.18, IF01 was - 11.76, IF02 was - 41.12, and IF03 was - 73.78 [12]. - IH00 average daily basis was 0.63, IH01 was 1.52, IH02 was 3.18, and IH03 was 2.99 [12]. 4. Stock Index Futures Rollover Point Differences and Annualized Costs - Data for IM rollover point differences and their annualized costs are presented at different time intervals from 09:45 to 15:00 [24][25]. - Data for IC rollover point differences and their annualized costs are presented at different time intervals from 09:45 to 15:00 [26]. - Data for IF rollover point differences and their annualized costs are presented at different time intervals from 09:45 to 15:00 [27]. - Data for IH rollover point differences and their annualized costs are presented at different time intervals from 09:45 to 15:00 [23].

1. Index Trends - On July 29th, the Shanghai Composite Index rose 0.33% to close at 3609.71 points with a trading volume of 793.606 billion yuan; the Shenzhen Component Index rose 0.64% to close at 11289.41 points with a trading volume of 1009.564 billion yuan [1]. - The CSI 1000 Index rose 0.65% with a trading volume of 383.704 billion yuan, opening at 6724.32, closing at 6773.88, having a high of 6773.88 and a low of 6684.16 [1]. - The CSI 500 Index rose 0.52% with a trading volume of 292.527 billion yuan, opening at 6308.12, closing at 6356.13, having a high of 6356.15 and a low of 6272.31 [1]. - The SSE 50 Index rose 0.21% with a trading volume of 111.954 billion yuan, opening at 2802.78, closing at 2808.59, having a high of 2813.74 and a low of 2795.6 [1]. - The SSE 300 Index rose 0.39% with a trading volume of 428.764 billion yuan, opening at 4132.68, closing at 4152.02, having a high of 4153.33 and a low of 4117.58 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 43.9 points from the previous close, with sectors such as Medicine & Biology, Electronics, and Computer significantly pulling the index up [3]. - The CSI 500 rose 32.71 points from the previous close, with sectors such as Electronics, Medicine & Biology, and National Defense & Military Industry significantly pulling the index up [3]. - The SSE 300 rose 16.2 points from the previous close, with sectors such as Communication, Medicine & Biology, and Electronics significantly pulling the index up, while the Banking sector pulled it down [3]. - The SSE 50 rose 5.82 points from the previous close, with sectors such as Medicine & Biology, Electronics, and National Defense & Military Industry significantly pulling the index up, while sectors like Non - Banking Finance, Banking, and Non - Ferrous Metals pulled it down [3]. 3. Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 55.39, IM01 of - 128.53, IM02 of - 316.31, and IM03 of - 482.97 [13]. - For IC contracts, IC00 had an average daily basis of - 47.12, IC01 of - 103.2, IC02 of - 239.59, and IC03 of - 362.3 [13]. - For IF contracts, IF00 had an average daily basis of - 6.59, IF01 of - 18.46, IF02 of - 50.91, and IF03 of - 85.84 [13]. - For IH contracts, IH00 had an average daily basis of - 0.08, IH01 of - 0.44, IH02 of 0.89, and IH03 of 1.65 [13]. 4. Stock Index Futures Roll - over Point Differences and Annualized Costs - Detailed data on roll - over point differences and their annualized costs for IM, IC, IF, and IH contracts are provided at different time points from 09:45 to 15:00 [24][25][26][27].

Group 1: Index Trends - On July 24, the Shanghai Composite Index rose 0.65% to close at 3605.73 points, with a trading volume of 852.24 billion yuan; the Shenzhen Component Index rose 1.21% to close at 11193.06 points, with a trading volume of 992.466 billion yuan [1] - The CSI 1000 Index rose 1.42% with a trading volume of 374.406 billion yuan, opening at 6602.17, closing at 6701.12, with a daily high of 6701.12 and a low of 6602.17 [1] - The CSI 500 Index rose 1.56% with a trading volume of 320.188 billion yuan, opening at 6197.85, closing at 6293.6, with a daily high of 6293.6 and a low of 6197.85 [1] - The SSE 50 Index rose 0.4% with a trading volume of 118.138 billion yuan, opening at 2797.26, closing at 2812.44, with a daily high of 2819.13 and a low of 2791.78 [1] - The SSE 50 Index rose 0.4% with a trading volume of 118.138 billion yuan, opening at 2797.26, closing at 2812.44, with a daily high of 2819.13 and a low of 2791.78 [1] Group 2: Impact of Sector Movements on Indexes - The CSI 1000 rose 93.9 points from the previous close, with sectors such as electronics, pharmaceuticals and biology, and non - ferrous metals having a significant upward pull on the index [3] - The CSI 500 rose 96.84 points from the previous close, with non - bank finance, non - ferrous metals, and pharmaceuticals and biology having a significant upward pull on the index [3] - The SSE 300 rose 29.27 points from the previous close, with non - bank finance, electronics, and pharmaceuticals and biology having a significant upward pull, while the banking sector had a downward pull [3] - The SSE 50 rose 11.24 points from the previous close, with non - bank finance, food and beverages, and electronics having a significant upward pull, while the banking sector had a downward pull [3] Group 3: Futures Basis and Annualized Opening Costs - IM00 had an average daily basis of - 27.61, IM01 of - 91.7, IM02 of - 274.65, and IM03 of - 433.62 [13] - IC00 had an average daily basis of - 23.31, IC01 of - 68.3, IC02 of - 193.39, and IC03 of - 308.17 [13] - IF00 had an average daily basis of - 0.95, IF01 of - 7.45, IF02 of - 37.24, and IF03 of - 67.48 [13] - IH00 had an average daily basis of 2.25, IH01 of 3.33, IH02 of 5.32, and IH03 of 5.88 [13] Group 4: Futures Roll - over Point Differences and Annualized Costs - Data on IM, IC, IF, and IH roll - over point differences and their corresponding annualized costs at different times are provided, such as for IF at 09:45, IF00 - 01 was - 5.99267, etc. [23][26][27]

Index Trends - On July 23, the Shanghai Composite Index rose 0.01% to close at 3582.3 points, with a trading volume of 857.046 billion yuan. The Shenzhen Component Index fell 0.37% to close at 11059.04 points, with a trading volume of 1007.554 billion yuan [1]. - The CSI 1000 Index fell 0.45% with a trading volume of 378.33 billion yuan. The opening price was 6634.12, the closing price was 6607.22, the highest price was 6667.86, and the lowest price was 6594.48 [1]. - The CSI 500 Index fell 0.27% with a trading volume of 311.06 billion yuan. The opening price was 6218.21, the closing price was 6196.76, the highest price was 6256.15, and the lowest price was 6187.01 [1]. - The SSE 50 Index rose 0.32% with a trading volume of 130.89 billion yuan. The opening price was 2798.96, the closing price was 2801.2, the highest price was 2824.86, and the lowest price was 2794.81 [1]. Impact of Sector Movements on Indexes - The CSI 1000 fell 29.88 points from the previous closing price. Sectors such as National Defense and Military Industry, Machinery, and Power Equipment significantly pulled the index down [2]. - The CSI 500 fell 16.65 points from the previous closing price. Sectors such as Electronics and Machinery significantly pulled the index up, while sectors such as Basic Chemicals, National Defense and Military Industry, and Power Equipment significantly pulled the index down [2]. - The SSE 300 rose 0.81 points from the previous closing price. Sectors such as Non - Banking Finance, Banks, and Household Appliances significantly pulled the index up, while sectors such as National Defense and Military Industry, Power Equipment, and Machinery significantly pulled the index down [2]. - The SSE 50 rose 9.02 points from the previous closing price. Sectors such as Non - Banking Finance, Banks, and Electronics significantly pulled the index up, while sectors such as National Defense and Military Industry, Power Equipment, and Machinery significantly pulled the index down [2]. Stock Index Futures Basis and Annualized Opening Costs - IM00 average daily basis was - 48.5, IM01 was - 119.08, IM02 was - 302.24, and IM03 was - 461.12 [12]. - IC00 average daily basis was - 34.98, IC01 was - 84.14, IC02 was - 208.95, and IC03 was - 322.64 [12]. - IF00 average daily basis was - 5.22, IF01 was - 13.77, IF02 was - 44.24, and IF03 was - 74.51 [12]. - IH00 average daily basis was 0.54, IH01 was 0.86, IH02 was 3.02, and IH03 was 4.05 [12]. 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 futures at different time points are provided, including specific values at 09:45, 10:00, etc. [23][24][25]

1. Report Title and Date - Report title: Stock Index Futures Data Daily Report [1] - Date: July 15, 2025 [2] 2. IM Futures 2.1 Market Quotes - The closing price of CSI 1000 was 6,442.83, down 0.30%. The main contract IM2509 fell 0.55% to close at 6,277.4 points [3]. - The total trading volume of the four IM contracts was 210,590 lots, an increase of 77,808 lots from the previous day. The total open interest was 344,784 lots, an increase of 18,183 lots from the previous day [4]. 2.2 Basis and Other Information - The main contract was at a discount of 165.43 points, a decrease of 5.32 points from the previous day. The annualized basis rate was -14.36% [4]. - The dividend impacts of the four IM contracts were 2.9 points, 7.49 points, 8.69 points, and 9.48 points respectively [4]. 2.3 Main Seats - Different seats had varying trading volumes, long - positions, and short - positions, with corresponding changes from the previous day. For example, in IM2507, the top five seats in terms of trading volume had a total of 100,424 lots, an increase of 38,640 lots from the previous day [17]. 3. IF Futures 3.1 Market Quotes - The closing price of CSI 300 was 4,019.06, up 0.03%. The main contract IF2509 fell 0.24% to close at 3,980.6 points [22]. - The total trading volume of the four IF contracts was 124,297 lots, an increase of 44,249 lots from the previous day. The total open interest was 267,331 lots, an increase of 3,863 lots from the previous day [23]. 3.2 Basis and Other Information - The main contract was at a discount of 38.46 points, a decrease of 6.59 points from the previous day. The annualized basis rate was -5.26% [23]. - The dividend impacts of the four IF contracts were 8.06 points, 16.05 points, 18.9 points, and 18.9 points respectively [23]. 3.3 Main Seats - Different seats had different trading volumes, long - positions, and short - positions, with corresponding changes from the previous day. For example, in IF2507, the top five seats in terms of trading volume had a total of 44,155 lots, an increase of 14,182 lots from the previous day [39]. 4. IC Futures 4.1 Market Quotes - The closing price of CSI 500 was 6,018.76, down 0.03%. The main contract IC2509 fell 0.26% to close at 5,893.4 points [44]. - The total trading volume of the four IC contracts was 100,711 lots, an increase of 34,305 lots from the previous day. The total open interest was 231,202 lots, an increase of 3,901 lots from the previous day [45]. 4.2 Basis and Other Information - The main contract was at a discount of 125.36 points, a decrease of 2.1 points from the previous day. The annualized basis rate was -11.59% [45]. - The dividend impacts of the four IC contracts were 1.81 points, 9.75 points, 11.47 points, and 17.98 points respectively [45]. 4.3 Main Seats - Different seats had different trading volumes, long - positions, and short - positions, with corresponding changes from the previous day. For example, in IC2507, the top five seats in terms of trading volume had a total of 38,303 lots, an increase of 15,084 lots from the previous day [57]. 5. IH Futures 5.1 Market Quotes - The closing price of SSE 50 was 2,747.23, down 0.38%. The main contract IH2509 fell 0.64% to close at 2,734.2 points [62]. - The total trading volume of the four IH contracts was 61,294 lots, an increase of 19,958 lots from the previous day. The total open interest was 97,479 lots, an increase of 1,424 lots from the previous day [62]. 5.2 Basis and Other Information - The main contract was at a discount of 13.03 points, a decrease of 2.62 points from the previous day. The annualized basis rate was -2.6% [63]. - The dividend impacts of the four IH contracts were 6.82 points, 10.26 points, 11.06 points, and 11.06 points respectively [63]. 5.3 Main Seats - Different seats had different trading volumes, long - positions, and short - positions, with corresponding changes from the previous day. For example, in IH2507, the top five seats in terms of trading volume had a total of 32,939 lots, an increase of 11,751 lots from the previous day [73].

Report Information - Report Title: Stock Index Futures Data Daily Report [1] - Report Date: July 14, 2025 [2] IM Futures Market Summary - IM main contract dropped 0.3% to close at 6302.2 points [5] - Total trading volume of four IM contracts was 132,782 lots, down 134,671 lots from the previous day; total open interest was 326,601 lots, down 28,320 lots [5] - IM main contract was at a discount of 160.11 points, down 18.81 points from the previous day; annualized basis rate was -13.64% [5] Daily Quotes | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 1000 | 6462.31 | 0.02% | 24,206 | -14% | 302.6 billion | -14% | - | - | - | | IM2507 | 6442.20 | -0.20% | 37,369 | -46% | 48.2 billion | -46% | 58,996 | -14,229 | 91 | | IM2508 | 6373.40 | -0.29% | 10,738 | -36% | 13.7 billion | -36% | 24,530 | 2,724 | 38 | | IM2509 | 6302.20 | -0.30% | 71,184 | -52% | 89.8 billion | -51% | 168,013 | -13,493 | 254 | | IM2512 | 6120.80 | -0.28% | 13,491 | -60% | 16.5 billion | -60% | 75,062 | -3,322 | 110 | [3] Basis and Premium/Discount | Contract | Closing Price | Maturity Date | Remaining Days | Dividend Value | Premium/Discount Points | Premium/Discount Rate | Annualized Premium/Discount Rate | | --- | --- | --- | --- | --- | --- | --- | --- | | Spot | 6462.31 | - | - | - | - | - | - | | Current Month | 6442.20 | 2025-07-18 | 4 | 4.00 | -20.11 | -0.3% | -22.8% | | Next Month | 6373.40 | 2025-08-15 | 32 | 8.58 | -88.91 | -1.5% | -15.4% | | First Quarter | 6302.20 | 2025-09-19 | 67 | 9.78 | -160.11 | -2.7% | -13.6% | | Second Quarter | 6120.80 | 2025-12-19 | 158 | 10.58 | -341.51 | -5.7% | -12.8% | [14] IF Futures Market Summary - IF main contract dropped 0.33% to close at 3985.8 points [24] - Total trading volume of four IF contracts was 80,048 lots, down 83,463 lots from the previous day; total open interest was 263,468 lots, down 19,160 lots [24] - IF main contract was at a discount of 31.87 points, down 10.46 points from the previous day; annualized basis rate was -4.29% [24] Daily Quotes | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 300 | 4017.67 | 0.07% | 20,792 | -21% | 32.14 billion | -28% | - | - | - | | IF2507 | 4009.00 | -0.29% | 28,382 | -47% | 34.2 billion | -47% | 49,850 | -12,573 | 72 | | IF2508 | 3995.40 | -0.30% | 6,951 | -23% | 8.3 billion | -23% | 15,737 | 2,405 | 23 | | IF2509 | 3985.80 | -0.33% | 37,589 | -56% | 45.0 billion | -56% | 150,188 | -8,205 | 216 | | IF2512 | 3955.20 | -0.41% | 7,126 | -56% | 8.5 billion | -56% | 47,693 | -787 | 68 | [23] Basis and Premium/Discount | Contract | Closing Price | Maturity Date | Remaining Days | Dividend Impact | Premium/Discount Points | Premium/Discount Rate | Annualized Premium/Discount Rate | | --- | --- | --- | --- | --- | --- | --- | --- | | Spot | 4017.67 | - | - | - | - | - | - | | Current Month | 4009.00 | 2025-07-18 | 4 | 8.71 | -8.67 | -0.2% | -15.8% | | Next Month | 3995.40 | 2025-08-15 | 32 | 16.71 | -22.27 | -0.6% | -6.2% | | First Quarter | 3985.80 | 2025-09-19 | 67 | 19.57 | -31.87 | -0.8% | -4.3% | | Second Quarter | 3955.20 | 2025-12-19 | 158 | 19.57 | -62.47 | -1.6% | -3.6% | [32] IC Futures Market Summary - IC main contract dropped 0.39% to close at 5897.6 points [41] - Total trading volume of four IC contracts was 66,406 lots, down 57,299 lots from the previous day; total open interest was 227,301 lots, down 14,672 lots [41] - IC main contract was at a discount of 123.26 points, down 16.58 points from the previous day; annualized basis rate was -11.22% [42] Daily Quotes | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 500 | 6020.86 | -0.10% | 18,928 | -15% | 22.63 billion | -14% | - | - | - | | IC2507 | 6008.40 | -0.30% | 28,123 | -42% | 3.38 billion | -42% | 52,714 | -13,063 | 76 | | IC2508 | 5951.40 | -0.36% | 9,438 | -16% | 1.13 billion | -16% | 22,340 | 3,845 | 32 | | IC2509 | 5897.60 | -0.39% | 22,467 | -53% | 2.66 billion | -53% | 94,404 | -4,713 | 134 | | IC2512 | 5774.60 | -0.43% | 6,378 | -61% | 0.74 billion | -61% | 57,843 | -741 | 80 | [41] Basis and Premium/Discount | Contract | Closing Price | Maturity Date | Remaining Days | Dividend Value | Premium/Discount Points | Premium/Discount Rate | Annualized Premium/Discount Rate | | --- | --- | --- | --- | --- | --- | --- | --- | | Spot | 6020.86 | - | - | - | - | - | - | | Current Month | 6008.40 | 2025-07-18 | 4 | 2.37 | -12.46 | -0.2% | - | | Next Month | 5951.40 | 2025-08-15 | 32 | 10.36 | -69.46 | -1.2% | - | | First Quarter | 5897.60 | 2025-09-19 | 67 | 12.06 | -123.26 | -2.0% | -11.2% | | Second Quarter | 5774.60 | 2025-12-19 | 158 | 18.61 | -246.26 | -4.1% | - | [45] IH Futures Market Summary - IH main contract dropped 0.5% to close at 2747.4 points [56] - Total trading volume of four IH contracts was 41,336 lots, down 49,239 lots from the previous day; total open interest was 96,055 lots, down 14,582 lots [56] - IH main contract was at a discount of 10.41 points, down 5.24 points from the previous day; annualized basis rate was -2.03% [57] Daily Quotes | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 2757.81 | 0.04% | 5,149 | -33% | 9.00 billion | -38% | - | - | - | | IH2507 | 2751.80 | -0.46% | 14,360 | -49% | 1.19 billion | -49% | 24,607 | -6,696 | 24 | | IH2508 | 2748.60 | -0.53% | 2,702 | -28% | 0.22 billion | -28% | 4,169 | 221 | 4 | | IH2509 | 2747.40 | -0.50% | 21,777 | -58% | 1.80 billion | -58% | 56,656 | -7,554 | 56 | | IH2512 | 2750.00 | -0.48% | 2,497 | -61% | 0.21 billion | -61% | 10,623 | -553 | 11 | [56] Basis and Premium/Discount | Contract | Closing Price | Maturity Date | Remaining Days | Dividend Value | Premium/Discount Points | Premium/Discount Rate | Annualized Premium/Discount Rate | | --- | --- | --- | --- | --- | --- | --- | --- | | Spot | 2757.81 | - | - | - | - | - | - | | Current Month | 2751.80 | 2025-07-18 | 4 | 7.91 | -6.01 | -0.2% | -15.9% | | Next Month | 2748.60 | 2025-08-15 | 32 | 11.36 | -9.21 | -0.3% | -3.7% | | First Quarter | 2747.40 | 2025-09-19 | 67 | 12.15 | -10.41 | -0.4% | -2.0% | | Second Quarter | 2750.00 | 2025-12-19 | 158 | 12.15 | -7.81 | -0.3% | -0.7% | [64]

1. Index Trends - On July 01, the Shanghai Composite Index rose 0.39% to close at 3457.75 points, with a trading volume of 553.557 billion yuan; the Shenzhen Component Index rose 0.11% to close at 10476.29 points, with a trading volume of 912.459 billion yuan [1]. - The CSI 1000 Index rose 0.28%, with a trading volume of 334.302 billion yuan, opening at 6358.06, closing at 6373.77, with a daily high of 6373.77 and a low of 6308.06 [1]. - The CSI 500 Index rose 0.33%, with a trading volume of 213.596 billion yuan, opening at 5915.8, closing at 5934.67, with a daily high of 5936.92 and a low of 5890.11 [1]. - The SSE 50 Index rose 0.21%, with a trading volume of 66.144 billion yuan, opening at 2714.97, closing at 2717.71, with a daily high of 2721.4 and a low of 2708.19 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 17.59 points from the previous close. Sectors such as Medicine and Biology, Non - ferrous Metals, and Basic Chemicals significantly pulled the index up, while Non - Banking Finance and Computer sectors pulled it down [3]. - The CSI 500 rose 19.28 points from the previous close. Sectors like Medicine and Biology, Electronics, and Non - ferrous Metals significantly pulled the index up, while Power Equipment and Computer sectors pulled it down [3]. - The SSE 50 rose 5.72 points from the previous close. Sectors including Banking, Non - ferrous Metals, and Medicine and Biology significantly pulled the index up, while Power Equipment, Food and Beverage, and Electronics sectors pulled it down [3]. 3. Futures Basis and Annualized Opening Costs - IM00 had an average daily basis of - 77.15, IM01 of - 151.38, IM02 of - 226.11, and IM03 of - 403.9 [13]. - IC00 had an average daily basis of - 57.04, IC01 of - 105.34, IC02 of - 158.75, and IC03 of - 282.0 [13]. - IF00 had an average daily basis of - 27.6, IF01 of - 43.21, IF02 of - 52.91, and IF03 of - 86.83 [13]. - IH00 had an average daily basis of - 20.26, IH01 of - 24.66, IH02 of - 26.31, and IH03 of - 27.13 [13]. 4. 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 futures contracts at different 15 - minute intervals throughout the trading day [22][24][26].

Report Summary 1. Report Information - Report Title: "Stock Index Futures Data Daily Report" [1] - Report Date: July 1, 2025 [2] 2. IM (CSI 1000 Index Futures) 2.1 Market Quotes - The closing price of CSI 1000 was 6,373.77, up 0.28%. The total trading volume of the four IM contracts was 181,858 lots, an increase of 9,846 lots from the previous day; the total open interest was 327,974 lots, an increase of 10,329 lots from the previous day [4][5]. - The main contract of IM (IM2509) fell 0.36% to close at 6,133.4 points. The main contract was at a discount of 240.37 points, a decrease of 32.79 points from the previous day; the annualized basis rate was -17.66% [4][5]. 2.2 Key Data of Each Contract | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Open Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 1000 | 6,373.77 | 0.28% | 24,354 | 3% | 3,343 | -1% | - | - | - | | IM2507 | 6,286.80 | -0.04% | 52,561 | -1% | 659 | -1% | 84,569 | 1,694 | 128 | | IM2508 | 6,210.40 | -0.22% | 5,612 | 33% | 70 | 33% | 8,638 | 1,368 | 13 | | IM2509 | 6,133.40 | -0.36% | 103,226 | 9% | 1,263 | 9% | 164,955 | 6,227 | 243 | | IM2512 | 5,951.40 | -0.47% | 20,459 | 2% | 243 | 1% | 69,812 | 1,040 | 100 | [4] 2.3 Dividend Impact and Basis Information - The dividend impacts of the four IM contracts were 13.64 points, 16.17 points, 18.13 points, and 18.91 points respectively [5]. 2.4 Main Seats' Information - The information of the top five, ten, and twenty seats in terms of trading volume, long positions, and short positions for each contract (IM2507, IM2508, IM2509, IM2512) is detailed in the report, showing changes compared to the previous day [18][20][22] 3. IF (CSI 300 Index Futures) 3.1 Market Quotes - The closing price of CSI 300 was 3,942.76, up 0.17%. The total trading volume of the four IF contracts was 70,001 lots, a decrease of 8,991 lots from the previous day; the total open interest was 238,772 lots, a decrease of 5,835 lots from the previous day [23][26]. - The main contract of IF (IF2509) fell 0.03% to close at 3,886 points. The main contract was at a discount of 56.76 points, a decrease of 6.48 points from the previous day; the annualized basis rate was -6.58% [23][26]. 3.2 Key Data of Each Contract | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Open Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 300 | 3,942.76 | 0.17% | 12,896 | -11% | 2,361 | -18% | - | - | - | | IF2507 | 3,911.60 | 0.10% | 28,002 | -9% | 328 | -9% | 60,998 | -4,473 | 86 | | IF2508 | 3,895.00 | 0.01% | 1,906 | -6% | 22 | -6% | 4,228 | 546 | 6 | | IF2509 | 3,886.00 | -0.03% | 34,558 | -14% | 403 | -14% | 132,977 | -2,451 | 186 | | IF2512 | 3,850.20 | -0.17% | 5,535 | -8% | 64 | -9% | 40,569 | 543 | 56 | [23] 3.3 Dividend Impact and Basis Information - The dividend impacts of the four IF contracts were 22.14 points, 28.03 points, 30.97 points, and 30.97 points respectively [32]. 3.4 Main Seats' Information - The information of the top five, ten, and twenty seats in terms of trading volume, long positions, and short positions for each contract (IF2507, IF2508, IF2509, IF2512) is detailed in the report, showing changes compared to the previous day [36][37][39] 4. IC (CSI 500 Index Futures) 4.1 Market Quotes - The closing price of CSI 500 was 5,934.67, up 0.33%. The total trading volume of the four IC contracts was 68,686 lots, a decrease of 2,617 lots from the previous day; the total open interest was 220,821 lots, a decrease of 540 lots from the previous day [41][42]. - The main contract of IC (IC2509) fell 0.19% to close at 5,764.6 points. The main contract was at a discount of 170.07 points, a decrease of 23.48 points from the previous day; the annualized basis rate was -13.29% [41][42]. 4.2 Key Data of Each Contract | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Open Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 500 | 5,934.67 | 0.33% | 15,419 | -7% | 2,136 | -6% | - | - | - | | IC2507 | 5,868.00 | 0.01% | 31,394 | -5% | 368 | -5% | 70,063 | -3,404 | 99 | | IC2508 | 5,817.60 | -0.13% | 3,013 | -1% | 35 | -1% | 5,616 | 796 | 8 | | IC2509 | 5,764.60 | -0.19% | 26,248 | -5% | 302 | -5% | 92,761 | 1,286 | 128 | | IC2512 | 5,639.60 | -0.28% | 8,031 | 3% | 90 | 3% | 52,381 | 782 | 71 | [41] 3.3 Dividend Impact and Basis Information - The dividend impacts of the four IC contracts were 12.64 points, 17.83 points, 19.77 points, and 26.34 points respectively [47]. 3.4 Main Seats' Information - The information of the top five, ten, and twenty seats in terms of trading volume, long positions, and short positions for each contract (IC2507, IC2508, IC2509, IC2512) is detailed in the report, showing changes compared to the previous day [53][55][57] 5. IH (SSE 50 Index Futures) 5.1 Market Quotes - The closing price of SSE 50 was 2,717.71, up 0.21%. The total trading volume of the four IH contracts was 32,102 lots, a decrease of 8,576 lots from the previous day; the total open interest was 83,173 lots, a decrease of 2,668 lots from the previous day [59]. - The main contract of IH (IH2509) rose 0.08% to close at 2,689.8 points. The main contract was at a discount of 27.91 points, a decrease of 4.92 points from the previous day; the annualized basis rate was -4.68% [59][60]. 5.2 Key Data of Each Contract | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Open Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 2,717.71 | 0.21% | 3,303 | -14% | 661 | -13% | - | - | - | | IH2507 | 2,696.00 | 0.16% | 11,086 | -22% | 90 | -22% | 24,800 | -1,601 | 24 | | IH2508 | 2,691.00 | 0.12% | 999 | 17% | 8 | 17% | 1,764 | 8 | 2 | | IH2509 | 2,689.80 | 0.08% | 17,755 | -23% | 143 | -23% | 48,099 | -1,034 | 47 | | IH2512 | 2,689.60 | 0.08% | 2,262 | -12% | 18 | -12% | 8,510 | -41 | 8 | [59] 5.3 Dividend Impact and Basis Information - The dividend impacts of the four IH contracts were 20.88 points, 23.44 points, 24.26 points, and 24.26 points respectively [69]. 5.4 Main Seats' Information - The information of the top five, ten, and twenty seats in terms of trading volume, long positions, and short positions for each contract (IH2507, IH2509) is detailed in the report, showing changes compared to the previous day [73][75]