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银河期货股指期货数据日报-20250924
Yin He Qi Huo· 2025-09-24 09:37
股指期货数据日报 2025年9月24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 | 7534.22 | 1.70% | 27,891 | | -11% | 4,944 | -2% | | | | | | IM2510 | 7472.00 | 3.06% | 68,987 | | -17% | 1,018 | -16% | 84,906 | -11,740 | | 152 | | IM2511 | 7384.40 | 3.13% | 8,349 | | 5 % | 122 | 7 % | 8,831 | 2,598 | | 1 6 | | IM2512 | 7303.20 | 3.21% | 185,454 | | -9% | 2,675 | -7% | 192,420 | -14,214 ...
银河期货股指期货数据日报-20250902
Yin He Qi Huo· 2025-09-02 10:01
1. Report Title and Date - The report is titled "Stock Index Futures Data Daily Report", dated September 2, 2025 [1][2] 2. IM Futures 2.1 Daily Quotes - The CSI 1000 index closed at 7313.88, down 2.50%. The trading volume was 35,044 lots, and the trading value was 59.85 billion yuan. The main contract IM2509 closed at 7251.40, down 1.85%, with a trading volume of 218,061 lots and a trading value of 31.68 billion yuan. The open interest was 193,312 lots, an increase of 12,533 lots [3] 2.2 Summary - The main contract of IM fell 1.81%, closing at 7251.4 points. The total trading volume of the four contracts was 337,746 lots, an increase of 85,941 lots from the previous day. The total open interest was 401,271 lots, an increase of 26,043 lots. The main contract was at a discount of 62.48 points, an increase of 58.07 points from the previous day. The annualized basis rate was -17.47% [5] 2.3 Basis and Cost - The annualized roll - over cost and dividend impact are presented in the report, showing the relationship between different contracts [10][11] 2.4 Open Interest - The net short - position ratio and the positions of major seats in IM2509, IM2512, and IM2603 are detailed, including the trading volume, long - position, and short - position changes of top members [15][18][22] 3. IF Futures 3.1 Daily Quotes - The CSI 300 index closed at 4490.45, down 0.74%. The main contract IF2509 closed at 4481.20, down 0.69%, with a trading volume of 122,523 lots and a trading value of 16.51 billion yuan. The open interest was 146,527 lots, an increase of 8,725 lots [23] 3.2 Summary - The main contract of IF fell 0.69%, closing at 4481.2 points. The total trading volume of the four contracts was 195,366 lots, an increase of 51,069 lots from the previous day. The total open interest was 298,335 lots, an increase of 21,717 lots. The main contract was at a discount of 9.25 points, an increase of 3.86 points from the previous day. The annualized basis rate was -4.19% [23][24] 3.3 Basis and Cost - Similar to IM, the annualized roll - over cost and dividend impact of IF are also provided [28] 3.4 Open Interest - The net short - position ratio and the positions of major seats in IF2509, IF2512, and IF2603 are shown, including the trading volume, long - position, and short - position changes of top members [33][36][37] 4. IC Futures 4.1 Daily Quotes - The CSI 500 index closed at 6961.69, down 2.09%. The main contract IC2509 closed at 6896.20, down 1.83%, with a trading volume of 105,870 lots and a trading value of 14.66 billion yuan. The open interest was 124,446 lots, an increase of 11,825 lots [42] 4.2 Summary - The main contract of IC fell 1.83%, closing at 6896.2 points. The total trading volume of the four contracts was 172,836 lots, an increase of 46,175 lots from the previous day. The total open interest was 254,784 lots, an increase of 18,794 lots. The main contract was at a discount of 65.49 points, an increase of 30 points from the previous day. The annualized basis rate was -19.26% [42][43] 3.3 Basis and Cost - The annualized roll - over cost and dividend impact of IC are presented [49] 3.4 Open Interest - The net short - position ratio and the positions of major seats in IC2509, IC2512, and IC2603 are detailed, including the trading volume, long - position, and short - position changes of top members [53][56][57] 5. IH Futures 5.1 Daily Quotes - The SSE 50 index closed at 2992.88, up 0.39%. The main contract IH2509 closed at 2992.80, up 0.35%, with a trading volume of 53,059 lots and a trading value of 4.75 billion yuan. The open interest was 66,245 lots, an increase of 9,442 lots [61] 5.2 Summary - The main contract of IH rose 0.28%, closing at 2991.2 points. The total trading volume of the four contracts was 80,614 lots, an increase of 26,017 lots from the previous day. The total open interest was 109,749 lots, an increase of 12,783 lots. The main contract was at a discount of 1.68 points, an increase of 1.52 points from the previous day. The annualized basis rate was -0.45% [61][62] 5.3 Basis and Cost - The annualized roll - over cost and dividend impact of IH are provided [65] 5.4 Open Interest - The net short - position ratio and the positions of major seats in IH2509 and IH2512 are shown, including the trading volume, long - position, and short - position changes of top members [70][73][75]
银河期货股指期货数据日报-20250827
Yin He Qi Huo· 2025-08-27 15:10
1. Report Title and Date - Report title: "Stock Index Futures Data Daily Report" [1] - Date: August 27, 2025 [2] 2. IM (CSI 1000 Index Futures) 2.1 Daily Quotes - The CSI 1000 index closed at 7336.50, down 1.87%. The total trading volume was 41,676 lots, up 15%, and the turnover was 67.28 billion yuan, up 17% [3]. - The IM2509 contract (the main contract) closed at 7287.20, down 2.22%. The trading volume was 213,890 lots, up 34%, and the turnover was 31.77 billion yuan, up 33%. The open interest was 202,540 lots, an increase of 6,736 lots [3]. 2.2 Summary - The main contract of IM decreased by 2.22% to close at 7287.2 points. The total trading volume of the four contracts was 333,544 lots, an increase of 92,377 lots compared with the previous day; the total open interest was 397,971 lots, an increase of 17,455 lots [4]. - The main contract of IM was at a discount of 49.3 points, an increase of 11.77 points compared with the previous day; the annualized basis rate was -10.29% [4]. 2.3 Basis and Other Data - The dividend impacts of the four IM contracts were 1.46 points, 3.21 points, 4.35 points, and 6.8 points respectively [4]. - Details of basis, expiration date, remaining days, etc. for each contract are provided in the report [14]. 2.4 Main Seats' Positions - Data on the trading volume, long positions, and short positions of the top members for each contract (IM2509, IM2512, IM2603) are presented, including changes compared with the previous day [18][20][22]. 3. IF (CSI 300 Index Futures) 3.1 Daily Quotes - The CSI 300 index closed at 4386.13, down 1.49%. The total trading volume was 333,130 lots, up 23%, and the turnover was 78.51 billion yuan, up 25% [23]. - The IF2509 contract (the main contract) closed at 4384.00, down 1.71%. The trading volume was 113,283 lots, up 30%, and the turnover was 15.12 billion yuan, up 30%. The open interest was 155,760 lots, an increase of 4,042 lots [23]. 3.2 Summary - The main contract of IF decreased by 1.77% to close at 4384 points. The total trading volume of the four contracts was 176,860 lots, an increase of 43,644 lots compared with the previous day; the total open interest was 286,101 lots, an increase of 13,045 lots [24]. - The main contract of IF was at a discount of 2.13 points, an increase of 1.46 points compared with the previous day; the annualized basis rate was -0.74% [24]. 3.3 Basis and Other Data - The dividend impacts of the four IF contracts were 3.97 points, 7.71 points, 8.39 points, and 11.29 points respectively [24]. - Details of basis, expiration date, remaining days, etc. for each contract are provided in the report [33]. 3.4 Main Seats' Positions - Data on the trading volume, long positions, and short positions of the top members for each contract (IF2509, IF2512, IF2603) are presented, including changes compared with the previous day [37][38][40]. 4. IC (CSI 500 Index Futures) 4.1 Daily Quotes - The CSI 500 index closed at 6862.56, down 1.46%. The total trading volume was 32,806 lots, up 17%, and the turnover was 58.39 billion yuan, up 19% [42]. - The IC2509 contract (the main contract) closed at 6837.80, down 1.76%. The trading volume was 109,151 lots, up 44%, and the turnover was 15.19 billion yuan, up 45%. The open interest was 130,217 lots, an increase of 12,748 lots [42]. 4.2 Summary - The main contract of IC decreased by 1.76% to close at 6837.8 points. The total trading volume of the four contracts was 176,441 lots, an increase of 57,059 lots compared with the previous day; the total open interest was 253,897 lots, an increase of 24,398 lots [43]. - The main contract of IC was at a discount of 24.76 points, an increase of 22.91 points compared with the previous day; the annualized basis rate was -5.51% [43]. 4.3 Basis and Other Data - The dividend impacts of the four IC contracts were 1.3 points, 5.09 points, 7.73 points, and 11.39 points respectively [43]. - Details of basis, expiration date, remaining days, etc. for each contract are provided in the report [50]. 4.4 Main Seats' Positions - Data on the trading volume, long positions, and short positions of the top members for each contract (IC2509, IC2512, IC2603) are presented, including changes compared with the previous day [55][56][58]. 5. IH (SSE 50 Index Futures) 5.1 Daily Quotes - The SSE 50 index closed at 2918.38, down 1.73%. The total trading volume was 7,101 lots, up 30%, and the turnover was 19.77 billion yuan, up 32% [60]. - The IH2509 contract (the main contract) closed at 2918.20, down 1.81%. The trading volume was 51,558 lots, up 24%, and the turnover was 4.57 billion yuan, up 23%. The open interest was 69,611 lots, a decrease of 955 lots [60]. 5.2 Summary - The main contract of IH decreased by 1.81% to close at 2918.2 points. The total trading volume of the four contracts was 77,499 lots, an increase of 16,891 lots compared with the previous day; the total open interest was 112,063 lots, an increase of 3,677 lots [60]. - The main contract of IH was at a discount of 0.18 points, a decrease of 2.4 points compared with the previous day; the annualized basis rate was -0.04% [61]. 5.3 Basis and Other Data - The dividend impacts of the four IH contracts were 3.74 points, 7.71 points, 8.22 points, and 9.44 points respectively [61]. - Details of basis, expiration date, remaining days, etc. for each contract are provided in the report [69]. 5.4 Main Seats' Positions - Data on the trading volume, long positions, and short positions of the top members for each contract (IH2509, IH2512) are presented, including changes compared with the previous day [73][75].
股指期货日度数据跟踪2025-08-05-20250805
Guang Da Qi Huo· 2025-08-05 05:06
Group 1: Index Trends - On August 4th, the Shanghai Composite Index rose 0.66% to close at 3583.31 points with a trading volume of 639.776 billion yuan; the Shenzhen Component Index rose 0.46% to close at 11041.56 points with a trading volume of 858.775 billion yuan [1]. - The CSI 1000 Index rose 1.04% with a trading volume of 329.555 billion yuan, opening at 6637.84, closing at 6739.69, with a daily high of 6739.73 and a low of 6631.12 [1]. - The CSI 500 Index rose 0.78% with a trading volume of 236.649 billion yuan, opening at 6190.34, closing at 6261.73, with a daily high of 6261.96 and a low of 6187.62 [1]. - The SSE 50 Index rose 0.55% with a trading volume of 80.252 billion yuan, opening at 2748.62, closing at 2769.39, with a daily high of 2769.39 and a low of 2748.62 [1]. Group 2: Impact of Sector Movements on Indexes - The CSI 1000 rose 69.22 points from the previous close, with sectors such as electronics, machinery, and national defense and military industry significantly contributing to the upward movement [2]. - The CSI 500 rose 48.53 points from the previous close, with sectors such as national defense and military industry, media, and non - ferrous metals significantly contributing to the upward movement [2]. - The SSE 50 rose 15.26 points from the previous close, with sectors such as banks, non - ferrous metals, and electronics significantly contributing to the upward movement [2]. Group 3: Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 35.52, IM01 of - 107.93, IM02 of - 294.98, and IM03 of - 466.83 [13]. - For IC contracts, IC00 had an average daily basis of - 34.72, IC01 of - 96.84, IC02 of - 247.57, and IC03 of - 377.49 [13]. - For IF contracts, IF00 had an average daily basis of - 6.85, IF01 of - 19.1, IF02 of - 50.68, and IF03 of - 81.55 [13]. - For IH contracts, IH00 had an average daily basis of - 0.09, IH01 of 0.34, IH02 of 2.36, and IH03 of 2.52 [13]. Group 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 times (e.g., 09:45, 10:00 etc.) are provided, such as at 09:45, IM00 - 01 was - 53.1193, IM00 - 02 was - 158.791 etc. [21]. - For IC contracts, data on roll - over point differences and their annualized costs at different times are provided, like at 09:45, IC00 - 01 was - 26.1467, IC00 - 02 was - 90.0318 etc. [22]. - For IF contracts, data on roll - over point differences and their annualized costs at different times are provided, for example, at 09:45, IF00 - 01 was - 5.99267, IF00 - 02 was - 13.4098 etc. [23]. - For IH contracts, data on roll - over point differences and their annualized costs at different times are provided, such as at 09:45, IH00 - 01 was - 1.29644, IH00 - 02 was 1.559889 etc. [24].
股指期货周报:保持强势,温和整理-20250728
Cai Da Qi Huo· 2025-07-28 06:36
1. Report Industry Investment Rating - No information provided 2. Core Viewpoints of the Report - Last week, the four stock index futures varieties continued to rise, with CSI 500 and CSI 1000 showing relatively strong performance Most of the basis of the four stock index futures varieties was in the futures discount mode The A - share market remained upward, with the market strength gradually increasing and the trading volume rising The Wande All - A index broke through last year's October high, and the scope of hot industries expanded, with industries entering a virtuous rotation [2] - Looking ahead to next week, the incremental funds for this upward movement initially came from a wide range of net inflows of institutional funds As the market's money - making effect accumulates, the inflow of retail investors is accelerating, and the market heat is rising The "anti - involution" narrative logic is strengthening The policy of "anti - involution" is both a short - term measure to stabilize the price level and revive nominal growth and a long - term strategic choice to build a consumption - driven economy [3][4] 3. Summaries Based on Relevant Contents Market Performance - Last week, the four stock index futures varieties showed a general upward trend, with CSI 500 and CSI 1000 being relatively strong The basis of the futures main contracts was as follows: IH was 1.29, IF was - 11.16, IC was - 83.59, and IM was - 100.81 [2] - The A - share market continued to rise last week, with Friday's adjustment not affecting its overall strength The Wande All - A index broke through last year's October high, and industries entered a virtuous rotation, with low - position chip semiconductors and the computer sector taking over the rise on Friday [2] Market Outlook - Next week, the incremental funds for the upward movement initially came from institutional net inflows, and the inflow of retail investors is accelerating The market heat is rising, and the "anti - involution" narrative logic is strengthening [3] Policy Impact - The Sixth Meeting of the Central Financial and Economic Commission mentioned "anti - involution" again, making the top - down "anti - involution" policy thinking clearer and accelerating the pace of governing the disorderly low - price competition of enterprises in various industries "Anti - involution" is both a short - term measure for economic stability and a long - term strategic choice [4]
股指周报:风险偏好抬升,短期偏多-20250726
Wu Kuang Qi Huo· 2025-07-26 13:11
Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - This week, the anti - "involution" policy drove up the stock prices of related sectors, coupled with the rebound of the large - financial sector, leading to a recovery in market risk appetite. Overseas, the impact of US tariffs is gradually materializing. Domestically, attention should be focused on the expectations of the "Political Bureau Meeting of the CPC Central Committee" in July, with anti - "involution" expected to be one of the important themes. Strategically, opportunities for market style rotation should be monitored, and it is recommended to go long on IF stock index futures on dips [10][11]. Summary by Directory 1. Weekly Assessment and Strategy Recommendation - **Important News**: Include the start of the Yarlung Zangbo River downstream hydropower project, the release of the "Rural Highway Regulations", power consumption growth, state - owned asset optimization, potential innovation in the Sci - tech Innovation Board, possible large - scale redemptions of bond funds, and Trump's proposed tariff policy [10]. - **Economic and Corporate Earnings**: China's Q2 GDP annual rate was 5.2%, with positive performance in consumption, industrial added value, and exports. However, the real estate sector continued to decline, and there was still significant pressure to stabilize prices. The social financing scale and money supply showed certain growth [10]. - **Interest Rates and Credit Environment**: The 10Y treasury and credit bond interest rates rebounded synchronously, with unchanged credit spreads. The DR007 interest rate rebounded seasonally at the end of the month, and liquidity tightened temporarily [10]. - **Trading Strategies**: Hold a small number of IM long positions in the long - term due to its medium - to - low valuation and long - term discount. Hold IF long positions for six months as a new round of interest rate cuts may benefit high - dividend assets [12]. 2. Spot and Futures Markets - **Market Indexes**: Data for major indexes such as the Shanghai Composite Index, Shenzhen Component Index, and others are not available. The AH ratio was 123.52, down 2.19% from 126.28 [14]. - **Futures Contracts**: Data for various stock index futures contracts including IF, IH, IC, and IM are not available [15]. - **Volume and Ratio Analysis**: Multiple charts show historical data on trading volume, open interest, basis, and contract ratios of stock index futures [17][19][21][23][28][30]. 3. Economic and Corporate Earnings - **Economic Indicators**: Q2 GDP actual growth was 5.2%. In June, the manufacturing PMI was 49.7%, up 0.2 percentage points from May. Consumption growth slowed to 4.8%. Exports remained resilient with a 5.8% year - on - year increase. Investment growth was 2.8%, with declines in manufacturing, real estate, and infrastructure investment [35][38][41]. - **Corporate Earnings**: In Q1 2025, the revenue growth rate of all A - share non - financial listed companies slightly declined compared to Q4 but was still higher than Q3 last year. The operating net cash flow increased year - on - year and improved compared to Q4, mainly due to reduced inventory [44]. 4. Interest Rates and Credit Environment - **Interest Rates**: The 10 - year treasury bond yield and 3 - year AA - corporate bond yield are presented in charts. The DR007 interest rate and 7 - day reverse repurchase rate, along with reverse repurchase volume, show liquidity and policy rate trends. Sino - US 10 - year bond interest rates and spreads, as well as the relationship between interest rates and exchange rates, are also analyzed [47][50][52]. - **Credit Environment**: In June 2025, M1 growth was 4.6% and M2 growth was 8.3%. The social financing increment was 4.20 trillion yuan, with government bonds and corporate short - term loans being the main contributors [57]. 5. Capital Flows - **Inflow**: This week, the new share issuance of equity - biased funds was 194 million shares, and the net margin purchase was 392 million yuan [63][66]. - **Outflow**: This week, major shareholders had a net increase in holdings of 3883 million yuan, and the number of IPO approvals was 1 [69]. 6. Valuation - The price - to - earnings ratio (TTM) of the Shanghai 50 was 11.41, the CSI 300 was 13.51, the CSI 500 was 30.73, and the CSI 1000 was 40.26. The price - to - book ratio (LF) of the Shanghai 50 was 1.26, the CSI 300 was 1.42, the CSI 500 was 2.06, and the CSI 1000 was 2.29 [73].
IH保持全面升水,大盘指数预期乐观
Xinda Securities· 2025-07-26 07:16
Quantitative Models and Construction Methods 1. Model Name: Dividend-Adjusted Basis Model - **Model Construction Idea**: The model adjusts the futures basis by incorporating the expected dividend impact during the contract's life, ensuring a more accurate representation of the basis[20] - **Model Construction Process**: The formula for the adjusted basis is: $ Adjusted\ Basis = Actual\ Basis + Expected\ Dividend\ Points $ The annualized basis is calculated as: $ Annualized\ Basis = \frac{(Actual\ Basis + Expected\ Dividend\ Points)}{Index\ Price} \times \frac{360}{Days\ to\ Maturity} $ This adjustment accounts for the dividend points expected during the contract's life, which are subtracted from the index level but reflected in the futures price[20][21][27] 2. Model Name: Continuous Hedging Strategy - **Model Construction Idea**: This strategy involves continuously holding futures contracts to hedge the spot index, adjusting positions as contracts approach expiration[46] - **Model Construction Process**: - **Hedging Setup**: - Spot: Hold the total return index of the underlying - Futures: Use 70% of the capital for the spot and the remaining 30% for shorting futures contracts - **Rebalancing Rule**: - Hold the current month/quarter futures contract until 2 days before expiration - Close the expiring contract and open a new position in the next month/quarter contract at the closing price - **Assumptions**: No transaction costs, no slippage, and equal capital allocation between spot and futures[47] 3. Model Name: Minimum Discount Hedging Strategy - **Model Construction Idea**: This strategy selects futures contracts with the smallest annualized discount to minimize basis risk[48] - **Model Construction Process**: - **Hedging Setup**: - Spot: Hold the total return index of the underlying - Futures: Use 70% of the capital for the spot and the remaining 30% for shorting futures contracts - **Selection Rule**: - Calculate the annualized basis for all available futures contracts - Select the contract with the smallest discount for hedging - Hold the selected contract for 8 trading days or until 2 days before expiration, whichever comes first - **Assumptions**: No transaction costs, no slippage, and equal capital allocation between spot and futures[48] --- Model Backtesting Results 1. Dividend-Adjusted Basis Model - **IC Futures**: Current basis discount at -7.79%, improved from a weekly low of -8.57%[21] - **IF Futures**: Current basis discount at -1.74%, improved from a weekly low of -2.33%[27] - **IH Futures**: Current basis premium at 0.52%, down from a weekly high of 0.94%[32] - **IM Futures**: Current basis discount at -10.13%, improved from a weekly low of -11.86%[39] 2. Continuous Hedging Strategy - **IC Futures**: - Annualized Return: -2.87% (current month), -2.11% (quarterly)[50] - Volatility: 3.85% (current month), 4.74% (quarterly)[50] - Maximum Drawdown: -8.65% (current month), -8.34% (quarterly)[50] - **IF Futures**: - Annualized Return: 0.52% (current month), 0.69% (quarterly)[55] - Volatility: 2.99% (current month), 3.34% (quarterly)[55] - Maximum Drawdown: -3.95% (current month), -4.03% (quarterly)[55] - **IH Futures**: - Annualized Return: 1.08% (current month), 2.00% (quarterly)[59] - Volatility: 3.10% (current month), 3.52% (quarterly)[59] - Maximum Drawdown: -4.22% (current month), -3.76% (quarterly)[59] - **IM Futures**: - Annualized Return: -6.09% (current month), -4.50% (quarterly)[61] - Volatility: 4.73% (current month), 5.78% (quarterly)[61] - Maximum Drawdown: -14.01% (current month), -12.63% (quarterly)[61] 3. Minimum Discount Hedging Strategy - **IC Futures**: - Annualized Return: -1.09%[50] - Volatility: 4.64%[50] - Maximum Drawdown: -7.97%[50] - **IF Futures**: - Annualized Return: 1.33%[55] - Volatility: 3.12%[55] - Maximum Drawdown: -4.06%[55] - **IH Futures**: - Annualized Return: 1.75%[59] - Volatility: 3.12%[59] - Maximum Drawdown: -3.91%[59] - **IM Futures**: - Annualized Return: -3.89%[61] - Volatility: 5.58%[61] - Maximum Drawdown: -11.11%[61] --- Quantitative Factors and Construction Methods 1. Factor Name: Cinda-VIX - **Factor Construction Idea**: Reflects the market's expectation of future volatility for the underlying asset, with a term structure to capture different time horizons[64] - **Factor Construction Process**: - Derived from the implied volatility of options on the underlying index - Adjusted to reflect the characteristics of the Chinese market[64] - **Current Values**: - 30-day VIX: 21.24 (SSE 50), 20.56 (CSI 300), 28.18 (CSI 500), 25.00 (CSI 1000)[64] 2. Factor Name: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness of implied volatility across different strike prices, capturing market sentiment on tail risks[74] - **Factor Construction Process**: - Calculated based on the implied volatility of out-of-the-money options - Higher values indicate greater concern for downside risks[74][75] - **Current Values**: - SKEW: 97.47 (SSE 50), 98.01 (CSI 300), 100.61 (CSI 500), 102.81 (CSI 1000)[75] --- Factor Backtesting Results 1. Cinda-VIX - **30-day VIX**: - SSE 50: 21.24[64] - CSI 300: 20.56[64] - CSI 500: 28.18[64] - CSI 1000: 25.00[64] 2. Cinda-SKEW - **SKEW**: - SSE 50: 97.47[75] - CSI 300: 98.01[75] - CSI 500: 100.61[75] - CSI 1000: 102.81[75]
股指期货日度数据跟踪2025-07-18-20250718
Guang Da Qi Huo· 2025-07-18 05:50
Index Trends - On July 17th, the Shanghai Composite Index rose 0.37% to close at 3516.83 points with a trading volume of 609.791 billion yuan; the Shenzhen Component Index rose 1.43% to close at 10873.62 points with a trading volume of 929.578 billion yuan [1]. - The CSI 1000 Index rose 1.14% with a trading volume of 325.984 billion yuan, opening at 6458.41, closing at 6535.67, with a high of 6535.67 and a low of 6451.15 [1]. - The CSI 500 Index rose 1.08% with a trading volume of 235.043 billion yuan, opening at 6013.71, closing at 6082.46, with a high of 6082.46 and a low of 6013.04 [1]. - The SSE 300 Index rose 0.68% with a trading volume of 325.517 billion yuan, opening at 4005.07, closing at 4034.49, with a high of 4034.59 and a low of 4005.07 [1]. - The SSE 50 Index rose 0.12% with a trading volume of 74.646 billion yuan, opening at 2737.35, closing at 2744.26, with a high of 2744.74 and a low of 2732.35 [1]. Impact of Sector Movements on Indexes - The CSI 1000 rose 73.61 points from the previous close, with sectors such as Medicine & Biology, Electronics, and Machinery having a significant upward pull on the index [3]. - The CSI 500 rose 65.27 points from the previous close, with sectors such as Electronics, Medicine & Biology, and National Defense & Military Industry having a significant upward pull on the index [3]. - The SSE 300 rose 27.29 points from the previous close, with sectors such as Electronics, Communication, and Medicine & Biology having a significant upward pull on the index [3]. - The SSE 50 rose 3.36 points from the previous close, with sectors such as Food & Beverage, Medicine & Biology, and National Defense & Military Industry having a significant upward pull, while sectors such as Transportation, Communication, and Banking had a downward pull [3]. Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of -8.13, IM01 -75.98, IM02 -151.1, and IM03 -336.78 [14]. - For IC contracts, IC00 had an average daily basis of -1.49, IC01 -54.76, IC02 -108.14, and IC03 -235.3 [14]. - For IF contracts, IF00 had an average daily basis of -3.57, IF01 -15.25, IF02 -27.9, and IF03 -63.8 [14]. - For IH contracts, IH00 had an average daily basis of -2.73, IH01 -5.16, IH02 -5.96, and IH03 -4.36 [14]. Futures Roll - over Point Differences and Annualized Costs - Data on the roll - over point differences and their annualized costs for IM, IC, IF, and IH contracts at different time points from 09:45 to 15:00 are presented in detailed tables [25][26][27][28].
银河期货股指期货数据日报-20250710
Yin He Qi Huo· 2025-07-10 12:18
1. Report Industry Investment Rating - Not provided in the given content 2. Report Core View - The report presents the daily data of stock index futures including IM, IF, IC, and IH on July 10, 2025, covering their market quotes, trading volume, open interest, basis, and positions of major seats [4][21][39][53] 3. Summary by Relevant Catalogs 3.1 IM Index Futures - **Market Quotes**: The closing price of the CSI 1000 index was 6406.57, up 0.25%. The main contract IM2509 rose 0.19% to 6231.6 points. The total trading volume of the four contracts was 168,165 lots, an increase of 5,777 lots from the previous day, and the total open interest was 333,057 lots, an increase of 11,313 lots [4][5] - **Basis**: The main contract was at a discount of 174.97 points, up 1.5 points from the previous day, with an annualized basis rate of -14.23% [5] - **Positions of Major Seats**: In IM2507, the top five trading volume seats were led by CITIC Futures (on behalf of clients) with 29,040 lots. For long positions, Guotai Junan (on behalf of clients) held 21,994 lots, and for short positions, CITIC Futures (on behalf of clients) held 34,821 lots [17] 3.2 IF Index Futures - **Market Quotes**: The closing price of the SSE 300 index was 4010.02, up 0.47%. The main contract IF2509 rose 0.38% to 3972 points. The total trading volume of the four contracts was 97,027 lots, an increase of 14,938 lots from the previous day, and the total open interest was 258,020 lots, an increase of 11,835 lots [21][22] - **Basis**: The main contract was at a discount of 38.02 points, up 0.58 points from the previous day, with an annualized basis rate of -4.85% [22] - **Positions of Major Seats**: In IF2507, the top five trading volume seats were led by CITIC Futures (on behalf of clients) with 11,334 lots. For long positions, Guotai Junan (on behalf of clients) held 9,457 lots, and for short positions, CITIC Futures (on behalf of clients) held 13,611 lots [35] 3.3 IC Index Futures - **Market Quotes**: The closing price of the CSI 500 index was 5983.05, up 0.50%. The main contract IC2509 rose 0.42% to 5854.2 points. The total trading volume of the four contracts was 73,407 lots, an increase of 2,623 lots from the previous day, and the total open interest was 227,469 lots, an increase of 5,291 lots [39][40] - **Basis**: The main contract was at a discount of 128.85 points, up 1.24 points from the previous day, with an annualized basis rate of -11.16% [40] - **Positions of Major Seats**: In IC2507, the top five trading volume seats were led by Guotai Junan (on behalf of clients) with 9,878 lots. For long positions, CITIC Futures (on behalf of clients) held 15,111 lots, and for short positions, CITIC Futures (on behalf of clients) held 16,422 lots [48] 3.4 IH Index Futures - **Market Quotes**: The closing price of the SSE 50 index was 2756.93, up 0.62%. The main contract IH2509 rose 0.49% to 2740.4 points. The total trading volume of the four contracts was 56,248 lots, an increase of 13,869 lots from the previous day, and the total open interest was 95,486 lots, an increase of 9,632 lots [53] - **Basis**: The main contract was at a discount of 16.53 points, down 0.61 points from the previous day, with an annualized basis rate of -3.06% [54] - **Positions of Major Seats**: In IH2507, the top five trading volume seats were led by CITIC Futures (on behalf of clients) with 6,558 lots. For long positions, CITIC Futures (on behalf of clients) held 4,506 lots, and for short positions, Guotai Junan (on behalf of clients) held 5,852 lots [64]
股指期货持仓日度跟踪-20250709
Guang Fa Qi Huo· 2025-07-09 01:48
Report Summary 1. Report Industry Investment Rating - Not provided in the given content 2. Core View - The report provides a daily tracking of the positions of stock index futures, including IF, IH, IC, and IM, and analyzes the changes in total positions and the top 20 seats' positions [1][5][11] 3. Summary by Related Catalogs IF (CSI 300) - Total position significantly increased, with the top 20 seats mainly increasing positions. On July 8, the total position of the IF variety increased by 13,588 hands, and the position of the main contract 2509 increased by 6,572 hands [1][5] - Among the top 20 long - position seats, Guotai Junan Futures ranked first with a total position of 43,747 hands. CITIC Futures had the most long - position increase (1,425 hands), and Shenyin Wanguo Futures had the most long - position decrease (286 hands) [6] - Among the top 20 short - position seats, CITIC Futures ranked first with a total position of 46,429 hands. Haitong Futures had the most short - position increase (2,179 hands), and CICC Wealth had the most short - position decrease (19 hands) [8] IH (SSE 50) - Total position slightly increased, and the positions of the top 20 seats changed little. On July 8, the total position of the IH variety increased by 2,249 hands, and the position of the main contract 2509 increased by 2,097 hands [1][11] - Among the top 20 long - position seats, Guotai Junan Futures ranked first with a total position of 10,132 hands. Guotou Futures had the most long - position increase (352 hands), and GF Futures had the most long - position decrease (228 hands) [12] - Among the top 20 short - position seats, Guotai Junan Futures ranked first with a total position of 12,033 hands. GF Futures had the most short - position increase (440 hands), and Huawen Futures had the most short - position decrease (143 hands) [13] IC (CSI 500) - Total position significantly increased, and both Guotai Junan and CITIC increased their long and short positions by more than 2,000 hands. On July 8, the total position of the IC variety increased by 13,286 hands, and the position of the main contract 2507 increased by 4,008 hands [1][17] - Among the top 20 long - position seats, CITIC Futures ranked first with a total position of 35,866 hands. Guotai Junan Futures had the most long - position increase (2,439 hands), and Shenyin Wanguo Futures had the most long - position decrease (208 hands) [18] - Among the top 20 short - position seats, CITIC Futures ranked first with a total position of 40,930 hands. CITIC Futures had the most short - position increase (2,807 hands), and Shan Jin Futures had the most short - position decrease (223 hands) [19] IM (CSI 1000) - Total position significantly increased, and CITIC increased its long and short positions by more than 8,000 hands. On July 8, the total position of the IM variety increased by 26,607 hands, and the position of the main contract 2509 increased by 15,443 hands [1][23] - Among the top 20 long - position seats, Guotai Junan Futures ranked first with a total position of 45,750 hands. CITIC Futures had the most long - position increase (8,512 hands), and Yong'an Futures had the most long - position decrease (401 hands) [24] - Among the top 20 short - position seats, CITIC Futures ranked first with a total position of 67,946 hands. CITIC Futures had the most short - position increase (9,100 hands), and CICC Wealth had the most short - position decrease (265 hands) [26]