1. Index Trends - On September 25th, the Shanghai Composite Index had a change of -0.01%, closing at 3853.3 points with a trading volume of 1001.211 billion yuan; the Shenzhen Component Index had a change of 0.67%, closing at 13445.9 points with a trading volume of 1369.879 billion yuan [1]. - The CSI 1000 Index had a change of -0.37% and a trading volume of 464.745 billion yuan, with an opening price of 7521.32, a closing price of 7506.51, a daily high of 7563.08, and a low of 7487.12 [1]. - The CSI 500 Index had a change of 0.24% and a trading volume of 493.047 billion yuan, with an opening price of 7325.66, a closing price of 7341.32, a daily high of 7379.61, and a low of 7312.35 [1]. - The SSE 300 Index had a change of 0.6% and a trading volume of 669.867 billion yuan, with an opening price of 4563.98, a closing price of 4593.49, a daily high of 4613.95, and a low of 4558.84 [1]. - The SSE 50 Index had a change of 0.45% and a trading volume of 158.667 billion yuan, with an opening price of 2944.73, a closing price of 2952.74, a daily high of 2962.18, and a low of 2941.87 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 Index rose -27.71 points from the previous closing price. Media and communication sectors significantly pulled the index up, while basic chemicals, machinery, and electronics sectors pulled it down [3]. - The CSI 500 Index rose 17.61 points from the previous closing price. Computer, machinery, and electronics sectors significantly pulled the index up, while the non - banking financial sector pulled it down [3]. - The SSE 300 Index rose 27.42 points from the previous closing price. Power equipment, non - ferrous metals, and communication sectors significantly pulled the index up, while the banking sector pulled it down [3]. - The SSE 50 Index rose 13.23 points from the previous closing price. Non - ferrous metals, pharmaceutical biology, and electronics sectors significantly pulled the index up, while food and beverage and banking sectors pulled it down [3]. 3. Futures Basis and Annualized Opening Costs - IM00 had an average daily basis of -69.91, IM01 of -156.48, IM02 of -236.36, and IM03 of -449.96 [13]. - IC00 had an average daily basis of -51.53, IC01 of -122.3, IC02 of -177.77, and IC03 of -356.12 [13]. - IF00 had an average daily basis of -8.53, IF01 of -24.0, IF02 of -33.81, and IF03 of -65.69 [13]. - IH00 had an average daily basis of 2.04, IH01 of -0.05, IH02 of 1.44, and IH03 of -0.53 [13]. 4. Futures Roll - over Point Differences and Annualized Costs - For IM, from 09:45 to 15:00, there were data on point differences and annualized costs for different roll - over combinations (e.g., IM00 - 01, IM00 - 02, etc.) [21]. - For IC, from 09:45 to 15:00, there were data on point differences and annualized costs for different roll - over combinations (e.g., IC00 - 01, IC00 - 02, etc.) [23]. - For IF, from 09:45 to 15:00, there were data on point differences and annualized costs for different roll - over combinations (e.g., IF00 - 01, IF00 - 02, etc.) [24]. - For IH, from 09:45 to 15:00, there were data on point differences and annualized costs for different roll - over combinations (e.g., IH00 - 01, IH00 - 02, etc.) [26].

Report Information - Report Date: September 19, 2025 [1] - Report Title: Stock Index Hedging Weekly Report [1] - Analysts: Yu Kan, Li Honglei [2] Core View - This week's market revolved around the China-US Madrid talks and the Fed's interest rate cut. After the Madrid talks, the market interpreted the outcome optimistically. The Fed's interest rate cut was in line with expectations, leading to some profit-taking. China's August financial data showed marginal improvement in corporate financing demand, weak consumer willingness, and a four-year low in the M2 - M1 gap. The market trading volume slightly decreased, and the Shanghai Composite Index faced resistance at 3900 points. Among the four broad-based indices, the small and mid-cap indices performed better [4]. Key Points by Section 1. Stock Index Futures Basis Situation - **Basis Data**: Provided the basis data of IF, IH, IC, and IM contracts for last week and this week, including basis changes and index enhancement annualized returns. The index enhancement annualized returns were calculated with a 20% futures margin rate and a 2% cash wealth management yield [2]. - **Market Analysis**: IH's premium was basically flat compared to last week. The annualized discounts of IF, IC, and IM widened, reaching around 2%, 10%, and 13% respectively, returning to the extremely low quantile range in the past three years. After the September contracts expired, the term structure of the remaining contracts had a lower near - end and lower hedging costs for far - month contracts [5]. - **Trading Volume and Open Interest**: This week, the average daily trading volume of IH increased by 18.6% week - on - week, and the open interest decreased by 4.2%. For IF, the average daily trading volume increased by 17.6% and the open interest decreased by 7.7%. For IC, the average daily trading volume increased by 12.9% and the open interest decreased by 8.0%. For IM, the average daily trading volume increased by 11.2% and the open interest decreased by 2.1% [5]. - **Basis after Considering Dividends**: Presented the basis data after considering dividends for the CSI 300, SSE 50, CSI 500, and CSI 1000 indices, including closing prices, expected total dividend points, and annualized premium/discount rates [6]. 2. Hedging Profit and Loss - **Hedging Profit and Loss Data**: Provided the hedging profit and loss data for IF, IH, IC, and IM contracts for last week and this week [13]. - **Hedging Profit and Loss Charts**: Included 60 - trading - day cumulative hedging profit and loss charts for IF, IH, IC, and IM contracts [12]

1. Report Information - Report Name: Stock Index Futures Data Daily Report [1] - Date: July 29, 2025 [2] 2. IM Futures 2.1 Market Summary - The main contract of IM rose 0.8% to close at 6,662 points. The total trading volume of the four IM contracts was 188,549 lots, an increase of 2,292 lots from the previous day, and the total open interest was 329,912 lots, a decrease of 8,839 lots from the previous day [4]. - The main contract of IM was at a discount of 111.88 points, an increase of 16.1 points from the previous day, and the annualized basis rate was -11.57%. The dividend impacts of the four IM contracts were 3.24 points, 4.26 points, 5.07 points, and 5.39 points respectively [5]. 2.2 Key Quotes | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Open Interest Change | Margin | [4] | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 1000 | 6,773.88 | 0.65% | 25,926 | 3% | 3,837 | 7% | - | - | - | | IM2508 | 6,731.00 | 0.84% | 38,521 | -2% | 514 | -2% | 59,508 | -4,161 | 96 | | IM2509 | 6,662.00 | 0.86% | 116,403 | 0% | 1,537 | 0% | 174,556 | -5,877 | 279 | | IM2512 | 6,471.80 | 0.80% | 26,296 | 9% | 337 | 8% | 78,495 | -546 | 122 | | IM2603 | 6,306.00 | 0.83% | 7,329 | 11% | 92 | 11% | 17,353 | 1,745 | 26 | 2.3 Main Seats - The trading volume, long positions, and short positions of the top five, ten, and twenty seats in each contract showed different changes [20][23][24] 3. IF Futures 3.1 Market Summary - The main contract of IF rose 0.51% to close at 4,141.4 points. The total trading volume of the four IF contracts was 97,663 lots, an increase of 4,670 lots from the previous day, and the total open interest was 259,520 lots, a decrease of 4,319 lots from the previous day [25][26]. - The main contract of IF was at a discount of 10.62 points, an increase of 3.2 points from the previous day, and the annualized basis rate was -1.77%. The dividend impacts of the four IF contracts were 3.44 points, 6.32 points, 6.32 points, and 6.32 points respectively [26]. 3.2 Key Quotes | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Open Interest Change | Margin | [25] | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 300 | 4,152.02 | 0.39% | 23,081 | 4% | 4,288 | 5% | - | - | - | | IF2508 | 4,152.80 | 0.57% | 24,227 | 4% | 300 | 4% | 41,889 | -2,558 | 63 | | IF2509 | 4,141.40 | 0.54% | 58,516 | 7% | 723 | 7% | 153,577 | -3,158 | 229 | | IF2512 | 4,110.00 | 0.51% | 10,826 | 0% | 133 | 0% | 54,546 | 1,051 | 81 | | IF2603 | 4,078.60 | 0.63% | 4,094 | -4% | 50 | -4% | 9,508 | 346 | 14 | 3.3 Main Seats - The trading volume, long positions, and short positions of the top five, ten, and twenty seats in each contract showed different changes [41][42][43] 4. IC Futures 4.1 Market Summary - The main contract of IC rose 0.51% to close at 6,263 points. The total trading volume of the four IC contracts was 88,093 lots, a decrease of 98 lots from the previous day, and the total open interest was 224,781 lots, a decrease of 3,909 lots from the previous day [45]. - The main contract of IC was at a discount of 93.13 points, an increase of 8.29 points from the previous day, and the annualized basis rate was -10.24%. The dividend impacts of the four IC contracts were 5.27 points, 6.97 points, 13.65 points, and 15.09 points respectively [46]. 4.2 Key Quotes | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Open Interest Change | Margin | [45] | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 500 | 6,356.13 | 0.52% | 20,176 | -6% | 2,925 | -4% | - | - | - | | IC2508 | 6,317.80 | 0.68% | 23,067 | -3% | 289 | -3% | 48,942 | -1,944 | 74 | | IC2509 | 6,263.00 | 0.66% | 46,670 | 1% | 579 | 1% | 105,314 | -2,825 | 158 | | IC2512 | 6,122.80 | 0.51% | 13,587 | -2% | 165 | -3% | 58,057 | -341 | 85 | | IC2603 | 5,996.40 | 0.43% | 4,769 | 16% | 57 | 16% | 12,468 | 1,201 | 18 | 4.3 Main Seats - The trading volume, long positions, and short positions of the top five, ten, and twenty seats in each contract showed different changes [57][58][60] 5. IH Futures 5.1 Market Summary - The main contract of IH rose 0.35% to close at 2,814 points. The total trading volume of the four IH contracts was 46,147 lots, a decrease of 210 lots from the previous day, and the total open interest was 94,722 lots, a decrease of 725 lots from the previous day [62]. - The main contract of IH was at a premium of 5.41 points, an increase of 2.38 points from the previous day, and the annualized basis rate was 1.32%. The dividend impacts of the four IH contracts were 1.44 points, 2.21 points, 2.21 points, and 2.21 points respectively [63]. 4.2 Key Quotes | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Open Interest Change | Margin | [62] | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 2,808.59 | 0.21% | 4,705 | -5% | 1,120 | -2% | - | - | - | | IH2508 | 2,812.60 | 0.33% | 11,112 | -13% | 94 | -12% | 17,894 | -550 | 18 | | IH2509 | 2,814.00 | 0.39% | 30,546 | 6% | 257 | 6% | 60,354 | -408 | 61 | | IH2512 | 2,815.00 | 0.35% | 3,574 | -7% | 30 | -6% | 14,387 | 40 | 15 | | IH2603 | 2,816.00 | 0.32% | 915 | -1% | 8 | -1% | 2,087 | 193 | 2 | 4.3 Main Seats - The trading volume, long positions, and short positions of the top five, ten, and twenty seats in each contract showed different changes [74][76][78]

1. Report Title and Date - Report title: "Stock Index Futures Data Daily Report" [1] - Date: June 25, 2025 [2] 2. IM (China Securities 1000 Index Futures) 2.1 Daily Quotes - The closing price of the CSI 1000 was 6,276.16, up 1.32%. The total trading volume of the four IM contracts was 247,386 lots, an increase of 33,750 lots from the previous day; the total open interest was 345,077 lots, an increase of 20,157 lots from the previous day. The main contract of IM rose 2.19% to close at 6,119.6 points [4][5]. 2.2 Basis and Annualized Basis Rate - The main contract of IM was at a discount of 156.56 points, up 43.11 points from the previous day; the annualized basis rate was -10.73% [5]. 2.3 Main Seats' Positions - For different contracts (IM2507, IM2508, IM2509, IM2512), the report shows the trading volume, long and short positions, and their changes of the top - ranking member companies [16][18][19]. 3. IF (CSI 300 Index Futures) 3.1 Daily Quotes - The closing price of the CSI 300 was 3,960.07, up 1.44%. The total trading volume of the four IF contracts was 123,530 lots, an increase of 9,685 lots from the previous day; the total open interest was 254,002 lots, an increase of 12,395 lots from the previous day. The main contract of IF rose 1.93% to close at 3,922.8 points [20][21]. 3.2 Basis and Annualized Basis Rate - The main contract of IF was at a discount of 37.27 points, up 14.36 points from the previous day; the annualized basis rate was -3.99% [21]. 3.3 Main Seats' Positions - For different contracts (IF2507, IF2508, IF2509, IF2512), the report shows the trading volume, long and short positions, and their changes of the top - ranking member companies [34][35]. 4. IC (CSI 500 Index Futures) 4.1 Daily Quotes - The closing price of the CSI 500 was 5,862.55, up 1.68%. The total trading volume of the four IC contracts was 110,445 lots, an increase of 15,870 lots from the previous day; the total open interest was 234,477 lots, an increase of 12,841 lots from the previous day. The main contract of IC rose 2.37% to close at 5,759.8 points [39][40]. 4.2 Basis and Annualized Basis Rate - The main contract of IC was at a discount of 102.75 points, up 30.49 points from the previous day; the annualized basis rate was -7.48% [40]. 4.3 Main Seats' Positions - For different contracts (IC2507, IC2508, IC2509, IC2512), the report shows the trading volume, long and short positions, and their changes of the top - ranking member companies [49][50][52]. 5. IH (SSE 50 Index Futures) 5.1 Daily Quotes - The closing price of the SSE 50 was 2,747.73, up 1.17%. The total trading volume of the four IH contracts was 62,048 lots, a decrease of 784 lots from the previous day; the total open interest was 93,338 lots, an increase of 5,800 lots from the previous day. The main contract of IH rose 1.59% to close at 2,722.6 points [54]. 5.2 Basis and Annualized Basis Rate - The main contract of IH was at a discount of 25.13 points, up 8.79 points from the previous day; the annualized basis rate was -3.87% [55]. 5.3 Main Seats' Positions - For different contracts (IH2507, IH2508, IH2509, IH2512), the report shows the trading volume, long and short positions, and their changes of the top - ranking member companies [68][70]