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银河期货股指期货数据日报-20250929
Yin He Qi Huo· 2025-09-29 08:58
股指期货数据日报 IM每日行情 | | | 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 | 7497.83 | 1.36% | 25,868 | | 0 % | 4,195 | -4% | | | | | IM2510 | 7484.20 | 1.68% | 66,610 | | 17% | 990 | 18% | 84,039 | 530 | 151 | | IM2511 | 7403.80 | 1.80% | 8,544 | | 50% | 126 | 51% | 10,741 | 1,891 | 1 9 | | IM2512 | 7337.40 | 2.00% | 178,532 | | 15% | 2,595 | 16% | 191,754 | -790 | 338 | | IM2603 | 7114.40 | 2.01% | 30,933 ...
银河期货股指期货数据日报-20250918
Yin He Qi Huo· 2025-09-18 08:41
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]
银河期货股指期货数据日报-20250917
Yin He Qi Huo· 2025-09-17 01:30
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].
金融期货早班车-20250916
Zhao Shang Qi Huo· 2025-09-16 03:03
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]
股指期货日度数据跟踪2025-09-03-20250903
Guang Da Qi Huo· 2025-09-03 05:32
1. Report Industry Investment Rating There is no information about the report industry investment rating in the content. 2. Core Viewpoints of the Report The report provides a daily tracking of stock index futures data on September 2, 2025, including the index trends, the impact of sector fluctuations on the indices, the basis and annualized opening costs of stock index futures, and the points differences and annualized costs of stock index futures roll - over [1]. 3. Summary by Relevant Catalogs 3.1 Index Trends - On September 2, the Shanghai Composite Index fell 0.45% to close at 3858.13 points, with a trading volume of 1222.778 billion yuan; the Shenzhen Component Index fell 2.14% to close at 12553.84 points, with a trading volume of 1652.214 billion yuan [1]. - The CSI 1000 Index fell 2.5% with a trading volume of 598.514 billion yuan, opening at 7498.44, closing at 7313.88, with a daily high of 7499.6 and a low of 7258.59 [1]. - The CSI 500 Index fell 2.09% with a trading volume of 541.494 billion yuan, opening at 7108.94, closing at 6961.69, with a daily high of 7108.94 and a low of 6909.72 [1]. - The SSE 50 Index rose 0.39% with a trading volume of 196.061 billion yuan, opening at 2983.72, closing at 2992.88, with a daily high of 3006.46 and a low of 2967.52 [1]. - The SSE 50 Index rose 0.39% with a trading volume of 196.061 billion yuan, opening at 2983.72, closing at 2992.88, with a daily high of 3006.46 and a low of 2967.52 [1]. 3.2 Impact of Sector Fluctuations on the Indices - The CSI 1000 Index dropped 187.27 points from the previous closing price, and sectors such as communication, computer, and electronics significantly pulled the index down [3]. - The CSI 500 Index dropped 148.6 points from the previous closing price, and sectors such as computer and electronics significantly pulled the index down [3]. - The SSE 300 Index dropped 33.26 points from the previous closing price. Sectors such as banks significantly pulled the index up, while sectors such as computer, communication, and electronics pulled it down [3]. - The SSE 50 Index rose 11.68 points from the previous closing price. Sectors such as banks, food and beverage, and petroleum and petrochemicals significantly pulled the index up, while sectors such as non - bank finance and electronics pulled it down [3]. 3.3 Basis and Annualized Opening Costs of Stock Index Futures - For IM contracts, IM00 had an average daily basis of - 79.56, IM01 had - 138.59, IM02 had - 271.34, and IM03 had - 446.93 [14]. - For IC contracts, IC00 had an average daily basis of - 74.3, IC01 had - 122.99, IC02 had - 224.75, and IC03 had - 369.83 [14]. - For IF contracts, IF00 had an average daily basis of - 10.05, IF01 had - 15.77, IF02 had - 30.9, and IF03 had - 51.13 [14]. - For IH contracts, IH00 had an average daily basis of - 0.65, IH01 had - 2.19, IH02 had - 1.79, and IH03 had - 0.25 [14]. 3.4 Points Differences and Annualized Costs of Stock Index Futures Roll - over - The document provides the 15 - minute average points differences and their annualized costs for IM, IC, IF, and IH contracts' roll - over, including data such as IM00 - 01, IM00 - 02, etc. for different time points from 09:45 to 15:00 [23][25][27][26].
股指期货日度数据跟踪2025-08-29-20250829
Guang Da Qi Huo· 2025-08-29 05:10
Report Summary 1. Index Performance - On August 28, the Shanghai Composite Index rose 1.14% to close at 3,843.6 points with a trading volume of 1.265186 trillion yuan; the Shenzhen Component Index rose 2.25% to close at 12,571.37 points with a trading volume of 1.705617 trillion yuan [1]. - The CSI 1000 Index rose 1.51% with a trading volume of 631.712 billion yuan, opening at 7,331.19, closing at 7,447.11, reaching a high of 7,447.11 and a low of 7,216.77 [1]. - The CSI 500 Index rose 2.17% with a trading volume of 563.652 billion yuan, opening at 6,858.5, closing at 7,011.16, reaching a high of 7,011.16 and a low of 6,798.93 [1]. - The SSE 50 Index rose 1.45% with a trading volume of 195.215 billion yuan, opening at 2,918.53, closing at 2,960.73, reaching a high of 2,963.07 and a low of 2,906.65 [1]. 2. Sector Impact on Indexes - The CSI 1000 rose 110.61 points from the previous close, with sectors such as electronics and communication significantly pulling the index up [2]. - The CSI 500 rose 148.6 points from the previous close, with sectors such as electronics and computer significantly pulling the index up [2]. - The SSE 50 rose 42.35 points from the previous close, with the electronics sector significantly pulling the index up [2]. 3. Stock Index Futures Basis and Annualized Opening Costs - IM00 had an average daily basis of -51.98, IM01 -105.75, IM02 -225.02, and IM03 -389.19 [12]. - IC00 had an average daily basis of -33.72, IC01 -75.41, IC02 -168.85, and IC03 -300.35 [12]. - IF00 had an average daily basis of -0.46, IF01 -7.38, IF02 -19.21, and IF03 -41.1 [12]. - IH00 had an average daily basis of 0.34, IH01 0.4, IH02 2.57, and IH03 4.97 [12]. 4. Stock Index Futures Rollover Point Differences and Annualized Costs - The report provides data on the rollover point differences and their annualized costs for IM, IC, IF, and IH futures contracts at different time intervals [21][23][25][26].
银河期货股指期货数据日报-20250825
Yin He Qi Huo· 2025-08-25 15:02
Report Overview - Report Title: Stock Index Futures Data Daily Report [1] - Report Date: August 25, 2025 [2] IM Futures Market Summary - The main contract of IM rose 1.44% to close at 7,412.2 points [4]. - The total trading volume of the four IM contracts was 309,362 lots, an increase of 31,645 lots from the previous day; the total open interest was 399,769 lots, an increase of 8,727 lots from the previous day [5]. - The main contract of IM was at a discount of 65.53 points, a decrease of 51.19 points from the previous day; the annualized basis rate was -12.41% [5]. Contract Details | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 1000 | 7,477.73 | 1.56% | 40,846 | 25% | 66.09 billion | 25% | - | - | - | | IM2509 | 7,412.20 | 1.27% | 202,867 | 9% | 30.12 billion | 11% | 207,228 | -200 | 3.69 billion | | IM2510 | 7,365.00 | 1.27% | 9,039 | 38% | 1.33 billion | 41% | 13,904 | 3,341 | 250 million | | IM2512 | 7,262.00 | 1.44% | 69,077 | 15% | 10.04 billion | 18% | 121,766 | 3,973 | 2.12 billion | | IM2603 | 7,108.00 | 1.40% | 28,379 | 17% | 4.04 billion | 19% | 56,871 | 1,613 | 970 million | [4] Main Seats - 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) [18]. - The top five seats in terms of long positions were Guotai Junan (on behalf of clients), CITIC Futures (on behalf of clients), Yide Futures (on behalf of clients), Haitong Futures (on behalf of clients), and Dongzheng Futures (on behalf of clients) [18]. - The top five seats in terms of short positions were CITIC Futures (on behalf of clients), Guotai Junan (on behalf of clients), Huatai Futures (on behalf of clients), Guotou Futures (on behalf of clients), and Morgan Stanley (on behalf of clients) [18]. IF Futures Market Summary - The main contract of IF rose 2.39% to close at 4,474.6 points [23]. - The total trading volume of the four IF contracts was 180,751 lots, an increase of 40,615 lots from the previous day; the total open interest was 289,604 lots, an increase of 12,487 lots from the previous day [24]. - The main contract of IF was at a premium of 5.38 points, a decrease of 10.62 points from the previous day; the annualized basis rate was 1.69% [24]. Contract Details | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 300 | 4,469.22 | 2.08% | 35,809 | 23% | 82.37 billion | 22% | - | - | - | | IF2509 | 4,474.60 | 2.29% | 118,828 | 26% | 15.84 billion | 29% | 165,246 | 4,048 | 2.66 billion | | IF2510 | 4,471.60 | 2.34% | 5,520 | 43% | 730 million | 47% | 6,207 | 1,144 | 100 million | | IF2512 | 4,457.40 | 2.39% | 43,108 | 34% | 5.72 billion | 37% | 90,612 | 4,478 | 1.45 billion | | IF2603 | 4,442.60 | 2.50% | 13,295 | 40% | 1.76 billion | 44% | 27,539 | 2,817 | 440 million | [23] Main Seats - 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) [37]. - The top five seats in terms of long positions were Guotai Junan (on behalf of clients), CITIC Futures (on behalf of clients), Haitong Futures (on behalf of clients), Dongzheng Futures (on behalf of clients), and Huatai Futures (on behalf of clients) [37]. - The top five seats in terms of short positions were CITIC Futures (on behalf of clients), Guotai Junan (on behalf of clients), Dongzheng Futures (on behalf of clients), Guotou Futures (on behalf of clients), and Haitong Futures (on behalf of clients) [37]. IC Futures Market Summary - The main contract of IC rose 1.83% to close at 6,909.6 points [41]. - The total trading volume of the four IC contracts was 148,122 lots, an increase of 19,543 lots from the previous day; the total open interest was 244,555 lots, an increase of 10,952 lots from the previous day [42]. - The main contract of IC was at a discount of 42.3 points, a decrease of 29.85 points from the previous day; the annualized basis rate was -8.59% [42]. Contract Details | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 500 | 6,951.90 | 1.89% | 33,383 | 30% | 57.49 billion | 29% | - | - | - | | IC2509 | 6,909.60 | 1.80% | 93,555 | 14% | 12.89 billion | 17% | 127,766 | 3,746 | 2.12 billion | | IC2510 | 6,876.80 | 1.87% | 4,282 | 37% | 590 million | 40% | 6,410 | 1,340 | 110 million | | IC2512 | 6,785.00 | 1.83% | 36,047 | 12% | 4.88 billion | 14% | 79,235 | 3,453 | 1.29 billion | | IC2603 | 6,668.80 | 2.00% | 14,238 | 26% | 1.89 billion | 29% | 31,144 | 2,413 | 500 million | [41] Main Seats - 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) [52]. - The top five seats in terms of long positions were CITIC Futures (on behalf of clients), Guotai Junan (on behalf of clients), Dongzheng Futures (on behalf of clients), Huatai Futures (on behalf of clients), and Haitong Futures (on behalf of clients) [52]. - The top five seats in terms of short positions were CITIC Futures (on behalf of clients), Guotai Junan (on behalf of clients), Huatai Futures (on behalf of clients), Guotou Futures (on behalf of clients), and Haitong Futures (on behalf of clients) [52]. IH Futures Market Summary - The main contract of IH rose 2.13% to close at 2,993 points [57]. - The total trading volume of the four IH contracts was 89,047 lots, an increase of 15,585 lots from the previous day; the total open interest was 120,186 lots, an increase of 6,671 lots from the previous day [57]. - The main contract of IH was at a premium of 3.15 points, a decrease of 6.24 points from the previous day; the annualized basis rate was 0.71% [58]. Contract Details | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 2,989.85 | 2.09% | 8,636 | 27% | 23.13 billion | 28% | - | - | - | | IH2509 | 2,992.00 | 2.14% | 61,498 | 18% | 5.48 billion | 21% | 78,193 | 2,017 | 840 million | | IH2510 | 2,993.00 | 2.22% | 2,675 | 20% | 240 million | 23% | 2,784 | 601 | 30 million | | IH2512 | 2,993.40 | 2.13% | 19,314 | 24% | 1.72 billion | 27% | 30,851 | 2,989 | 330 million | | IH2603 | 2,997.80 | 2.22% | 5,560 | 48% | 500 million | 51% | 8,358 | 1,064 | 90 million | [57] Main Seats - 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) [69]. - The top five seats in terms of long positions were Guotai Junan (on behalf of clients), CITIC Futures (on behalf of clients), Dongzheng Futures (on behalf of clients), Galaxy Futures (on behalf of clients), and Zhongtai Futures (on behalf of clients) [69]. - The top five seats in terms of short positions were CITIC Futures (on behalf of clients), Guotai Junan (on behalf of clients), GF Futures (on behalf of clients), Haitong Futures (on behalf of clients), and Huatai Futures (on behalf of clients) [69].
股指期货日度数据跟踪2025-08-22-20250822
Guang Da Qi Huo· 2025-08-22 05:32
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].
股指期货日度数据跟踪2025-08-12-20250812
Guang Da Qi Huo· 2025-08-12 09:36
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].
股指期货日度数据跟踪-20250730
Guang Da Qi Huo· 2025-07-30 02:08
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].