股指期货持仓日度跟踪 投资咨询业务资格： 广发期货研究所 电 话：020-88818051 E-Mail：yeqianning@gf.com.cn 目录： 股指期货： 数据来源：Wind 广发期货研究所整理 2026 年 1 月 15 日星期四 证监许可【2011】1292 号 IF、IH、IC、IM | 品种 | | 主力合 约 | 总持仓点评 | 前二十席位重要变动 | | --- | --- | --- | --- | --- | | 沪深 | 300 | IF2603 | 总持仓大幅上升 | 前二十席位以增仓为主 | | 上证 | 50 | IH2603 | 总持仓小幅上升 | 海通多空头各减仓近千手 | | 中证 | 500 | IC2603 | 总持仓大幅上升 | 中信空头加仓 3000 手以上 | | 中证 | 1000 | IM2603 | 总持仓大幅上升 | 中信多空头各加仓超 2000 手 | 股指期货持仓日度变动简评 11,113.0 2,763.0 9,403.0 4,547.0 12,419.0 3,997.0 17,852.0 13,386.0 0 2,000 4,000 6,00 ...

Group 1: Report Industry Investment Ratings - Not provided in the content Group 2: Core Views of the Report - The A - share index has rebounded continuously, with significant inflows into broad - based ETFs recently, and the downside space is limited. The RMB exchange rate has risen significantly, and core assets are expected to rise. The post - holiday market has a strong upward momentum, and it is recommended to hold bull spread portfolios and build covered call portfolios [3]. - The current abundant capital supports the bond market, but concerns about supply and the strengthening of equities restrain the performance of long - term bonds. Market consistency behavior may amplify fluctuations, and the stabilization or repair of long - term bonds will occur after the supply structure of government bonds becomes clearer [3]. - Geopolitical risks and tight supply continue to drive up the prices of non - ferrous metals and precious metals. Gold is expected to maintain high - volatility operation in January, and silver is recommended to be lightly long - held with low positions in high - volatility markets [3]. - Steel production is being cut and inventories are being reduced, and steel prices are expected to fluctuate within a range. In the iron ore market, more steel mills are resuming production, and attention should be paid to the impact of finished product export policies [3]. - Coal prices in Shanxi are running weakly, and coking coal and coke are viewed bearishly. The market sentiment for ferrosilicon has improved, and the price of manganese silicon is affected by ore support and supply - demand contradictions [3]. - Concerns about the stability of metal supply have intensified, driving up copper prices. Aluminum prices have reached new highs, but there are signs of over - rising in the short term. Zinc prices have moved up, and tin prices are oscillating strongly [3]. - The organic silicon industry is reducing production to support prices, and the polysilicon futures have fallen after rising. The lithium carbonate market has a strong sentiment, and supply disruptions are expected to intensify [3]. - The prices of PX and PTA are expected to oscillate at high levels, and short - fiber follows the raw material fluctuations. The supply and demand of bottle chips are both decreasing in January, and the processing fee has limited upward space [3]. - Ethanol is in a seasonal inventory - building period, and the price is under pressure. The supply - demand situation of benzene is slightly improving, but high inventories still put pressure on prices [3]. - The LLDPE market has strong orders, and the price of PP has strengthened slightly. The port price of methanol is strong, and the futures of caustic soda have rebounded strongly [3]. - The PVC market has a weak supply - demand pattern, and the urea market has improved after the Indian tender results were announced. The soda ash and glass markets have rebounded due to macro factors, and attention should be paid to the sustainability of production and sales [3]. - The prices of agricultural products such as soybeans, rapeseed meal, and corn are expected to oscillate. The prices of edible oils are oscillating within a range, and the prices of sugar are rebounding slightly [3]. - The egg supply is stable, and the apple market is driven by the shortage of high - quality fruits. The price of cotton is expected to oscillate strongly, and the price of red dates has stabilized [3]. Group 3: Summaries by Relevant Catalogs Daily Selected Views - Nickel (NI2602) is expected to fluctuate strongly; Methanol (MA2605) is expected to be strong in the short term; Iron ore (I2605) is recommended for short - term long - position attempts; Live pigs (LH2603) are expected to fluctuate strongly; Silver (AG2604) is expected to fluctuate strongly [3]. Full - Variety Daily Reviews Financial Sector - **Stock Index Futures**: The A - share index has rebounded, and the stock index has reached new highs. It is recommended to hold bull spread portfolios and build covered call portfolios. Core assets and technology - leading stocks represented by IH and IC are dominant [3]. - **Treasury Bond Futures**: The bond market is supported by abundant funds, but long - term bonds are restricted. It is recommended to wait and see in the short term, focus on cash - and - carry arbitrage, and steepen the yield curve [3]. - **Precious Metals**: Geopolitical risks and tight supply drive up prices. Gold should be held long above $4300, silver should be lightly long - held with low positions, and platinum and palladium should be long - held at low positions [3]. Commodity Sector - **Steel and Iron**: Steel prices are range - bound, iron ore is recommended for short - term long - positions, coking coal and coke are bearish, ferrosilicon is expected to fluctuate strongly, and manganese silicon is for range - bound operations [3]. - **Non - Ferrous Metals**: Copper prices are rising, aluminum prices are at new highs but not recommended to be chased, zinc prices are rising, tin prices are strongly oscillating, and nickel and stainless steel are recommended for long - positions at low prices [3]. - **New Energy and Chemicals**: Organic silicon and polysilicon futures have fallen after rising, lithium carbonate is recommended to wait and see, PX and PTA are for high - level oscillations and low - level long - positions, and short - fiber follows raw material fluctuations [3]. - **Energy and Chemicals**: LLDPE is recommended for short - term long - positions, PP should focus on PDH profit expansion, methanol is recommended for long - positions at low prices, and caustic soda is recommended to wait and see [3]. - **Agricultural Products**: Soybeans, rapeseed meal, and corn are expected to oscillate, edible oils are range - bound, sugar is slightly rebounding, cotton is expected to oscillate strongly, and red dates are recommended to sell out - of - the - money call options [3].

1. Report Title and Date - The report is titled "Stock Index Futures Data Daily Report" and dated December 4, 2025 [1][2] 2. Overall Market Performance Summary IM Contracts - The main IM contract rose 0.33% to close at 7,213.4 points. The total trading volume of the four IM contracts was 172,057 lots, down 5,429 lots from the previous day, and the total open interest was 357,216 lots, down 13,768 lots [4][5] IF Contracts - The main IF contract rose 0.32% to close at 4,530.6 points. The total trading volume of the four IF contracts was 92,574 lots, down 5,184 lots from the previous day, and the total open interest was 261,904 lots, down 3,942 lots [24][25] IC Contracts - The main IC contract rose 0.55% to close at 6,983.2 points. The total trading volume of the four IC contracts was 99,796 lots, down 2,272 lots from the previous day, and the total open interest was 244,189 lots, down 8,576 lots [43][44] IH Contracts - The main IH contract rose 0.34% to close at 2,968.2 points. The total trading volume of the four IH contracts was 39,273 lots, down 44 lots from the previous day, and the total open interest was 87,594 lots, down 3,020 lots [59] 3. Specific Contract Data IM Contracts | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Interest Change | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 1000 | 7,248.66 | 0.01% | 19,484 | -9% | 3,113 billion | -7% | - | - | | IM2512 | 7,213.40 | 0.39% | 116,454 | -2% | 1,674 billion | -2% | 181,088 | -11,986 | | IM2601 | 7,137.20 | 0.33% | 7,618 | 5% | 108 billion | 5% | 17,229 | 1,137 | | IM2603 | 6,987.80 | 0.38% | 35,706 | -4% | 497 billion | -4% | 102,333 | -1,707 | | IM2606 | 6,748.20 | 0.41% | 12,279 | -15% | 165 billion | -15% | 56,566 | -1,212 | [4] IF Contracts | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Interest Change | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 300 | 4,546.57 | 0.34% | 14,720 | -13% | 3,488 billion | -7% | - | - | | IF2512 | 4,530.60 | 0.38% | 63,708 | -6% | 865 billion | -6% | 136,475 | -5,723 | | IF2601 | 4,512.20 | 0.32% | 3,708 | 0% | 5 billion | 0% | 8,471 | 505 | | IF2603 | 4,492.20 | 0.34% | 20,155 | -5% | 271 billion | -5% | 90,771 | 851 | | IF2606 | 4,441.60 | 0.27% | 5,003 | 0% | 67 billion | 0% | 26,187 | 425 | [24] IC Contracts | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Interest Change | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 500 | 7,012.81 | 0.24% | 14,104 | -11% | 2,399 billion | -5% | - | - | | IC2512 | 6,983.20 | 0.61% | 64,721 | -4% | 901 billion | -4% | 123,278 | -10,513 | | IC2601 | 6,926.20 | 0.55% | 4,034 | 7% | 56 billion | 7% | 11,229 | 789 | | IC2603 | 6,812.20 | 0.59% | 23,747 | 0% | 323 billion | 0% | 76,774 | 1,096 | | IC2606 | 6,605.00 | 0.59% | 7,294 | 0% | 96 billion | 0% | 32,908 | 52 | [43] IH Contracts | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Interest Change | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 2,974.34 | 0.38% | 3,628 | -6% | 886 billion | 4% | - | - | | IH2512 | 2,968.20 | 0.44% | 27,688 | 0% | 246 billion | 0% | 53,262 | -2,692 | | IH2601 | 2,959.80 | 0.34% | 1,268 | 25% | 11 billion | 25% | 2,694 | 228 | | IH2603 | 2,958.60 | 0.37% | 8,640 | 3% | 77 billion | 3% | 23,841 | -354 | | IH2606 | 2,943.80 | 0.36% | 1,677 | -29% | 15 billion | -29% | 7,797 | -202 | [59] 4. Basis and Annualized Basis Rate IM Contracts - The main IM contract was at a discount of 35.26 points, up 17.61 points from the previous day, with an annualized basis rate of -11.15% [5] IF Contracts - The main IF contract was at a discount of 15.97 points, down 3.12 points from the previous day, with an annualized basis rate of -8.04% [25] IC Contracts - The main IC contract was at a discount of 29.61 points, up 16.35 points from the previous day, with an annualized basis rate of -9.67% [44] IH Contracts - The main IH contract was at a discount of 6.14 points, down 1.46 points from the previous day, with an annualized basis rate of -4.72% [60] 5. Main Seats' Data IM2512 - For trading volume, the top five seats were CITIC Futures (on behalf of clients) with 14,784 lots, up 321 lots; Guotai Junan (on behalf of clients) with 11,474 lots, down 625 lots; Haitong Futures (on behalf of clients) with 5,779 lots, down 200 lots; Guoxin Futures (on behalf of clients) with 3,280 lots, down 59 lots; and Dongzheng Futures (on behalf of clients) with 3,042 lots, up 104 lots [19] - For long positions, the top five seats were Guotai Junan (on behalf of clients) with 15,520 lots, down 637 lots; CITIC Futures (on behalf of clients) with 10,314 lots, down 492 lots; Yide Futures (on behalf of clients) with 5,060 lots, up 9 lots; Haitong Futures (on behalf of clients) with 4,679 lots, down 376 lots; and Guotou Futures (on behalf of clients) with 4,084 lots, up 108 lots [19] - For short positions, the top five seats were CITIC Futures (on behalf of clients) with 20,445 lots, up 192 lots; Guotai Junan (on behalf of clients) with 15,590 lots, down 735 lots; Huatai Futures (on behalf of clients) with 5,813 lots, down 103 lots; Guoxin Futures (on behalf of clients) with 4,184 lots, down 164 lots; and Haitong Futures (on behalf of clients) with 4,118 lots, down 603 lots [19] Other Contracts - Similar data is provided for other contracts such as IF, IC, and IH in relevant sections of the report [38][54][76]