投资咨询业务资格：证监许可【2011】1778 号 期货研究报告 宝城期货股指期货早报（2025 年 11 月 24 日） ◼ 品种观点参考—金融期货股指板块 时间周期说明：短期为一周以内、中期为两周至一月 | 品种 | 短期 | 中期 | 日内 | 观点参考 | 核心逻辑概要 | | --- | --- | --- | --- | --- | --- | | IH2512 | 震荡 | 震荡 | 偏弱 | 区间震荡 | 短期内资金了结意愿上升 | 备注： 1.有夜盘的品种以夜盘收盘价为起始价格，无夜盘的品种以昨日收盘价为起始价格，当日日盘收盘 价为终点价格，计算涨跌幅度。 2.跌幅大于 1%为弱势，跌幅 0~1%为偏弱，涨幅 0~1%为偏强，涨幅大于 1%为强势。 3.偏强/偏弱只针对日内观点，短期和中期不做区分。 ◼ 主要品种价格行情驱动逻辑—金融期货股指板块 品种：IF、IH、IC、IM 期货研究报告 专业研究·创造价值 2/3 请务必阅读文末免责条款 日内观点：偏弱 中期观点：震荡 参考观点：区间震荡 核心逻辑：上周五各股指均大幅回调，全天弱势。沪深京三市全天成交额 19836 亿元，较上日放量 26 ...

投资咨询业务资格：证监许可【2011】1778 号 期货研究报告 宝城期货股指期货早报（2025 年 11 月 21 日） ◼ 品种观点参考—金融期货股指板块 时间周期说明：短期为一周以内、中期为两周至一月 2.跌幅大于 1%为弱势，跌幅 0~1%为偏弱，涨幅 0~1%为偏强，涨幅大于 1%为强势。 3.偏强/偏弱只针对日内观点，短期和中期不做区分。 ◼ 主要品种价格行情驱动逻辑—金融期货股指板块 品种：IF、IH、IC、IM 日内观点：偏强 中期观点：强势 参考观点：区间震荡 | 品种 | 短期 | 中期 | 日内 | 观点参考 | 核心逻辑概要 | | --- | --- | --- | --- | --- | --- | | IH2512 | 震荡 | 强势 | 偏强 | 区间震荡 | 资金止盈意愿与政策利好预期相 互博弈 | 备注： 1.有夜盘的品种以夜盘收盘价为起始价格，无夜盘的品种以昨日收盘价为起始价格，当日日盘收盘 价为终点价格，计算涨跌幅度。 核心逻辑：昨日各股指均震荡小幅回调。沪深京三市全天成交额 17226 亿元，较上日缩量 200 亿 元。目前股指处于政策利好预期发酵节奏与获利资金止盈节 ...

股指期货数据日报 2025年11月20日 IM每日行情 IM行情概要 IM成交持仓 | 单位：手 | | --- | | 单位：点、手、亿元 | | | 收盘价 | +/- | 成交量 | +/- | 成交额 | +/- | | 持仓量 | +/- | 持仓保证金 | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 中证1000 | 7340.41 | -0.63% | 22,754 | -5% | 3,567 | | -3% | | | | | | IM2511 | 7347.60 | -0.56% | 31,494 | -15% | 465 | | -15% | 23,903 | -10,769 | | 4 2 | | IM2512 | 7263.60 | -0.48% | 140,822 | -6% | 2,054 | | -6% | 205,865 | 4,785 | | 359 | | IM2603 | 7035.20 | -0.47% | 27,245 | -2% | 385 | | -2% ...

股指期货数据日报 2025年11月19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 | 7387.21 | -0.82% | 23,839 | -14% | | 3,672 | -12% | | | | | IM2511 | 7390.40 | -0.52% | 37,059 | 1 | % | 549 | 0 % | 34,672 | -10,135 | 6 1 | | IM2512 | 7298.20 | -0.42% | 149,890 | 5 | % | 2,191 | 5 % | 201,080 | 11,495 | 352 | | IM2603 | 7068.80 | -0.37% | 27,892 | 5 | % | 395 | 4 % | 85,839 | -716 | 146 | | IM ...

股指期货日度数据跟踪 2025-11-18 一、指数走势 11 月 17 日，上证综指涨跌幅-0.46%，收于 3972.03 点，成交额 8057.33 亿元，深成指数涨跌幅-0.11%，收于 13202.0 点，成交额 11050.58 亿元。 中证 1000 指数涨跌幅 0.27%，成交额 3913.18 亿元，其中开盘价 7514.84，收盘价 7523.08，当日最高价 7544.72，最低价 7487.81； 中证 500 指数涨跌幅-0.0%，成交额 3108.23 亿元，其中开盘价 7248.92，收盘价 7235.35，当日最高价 7262.33，最低价 7202.59； 沪深 300 指数涨跌幅-0.65%，成交额 4389.4 亿元，其中开盘价 4616.81，收盘价 4598.05，当日最高价 4624.9，最低价 4580.26； 上证 50 指数涨跌幅-0.87%，成交额 1118.05 亿元，其中开盘价 3033.02，收盘价 3012.07，当日最高价 3037.23，最低价 3001.2。 图表 1：中证 1000、中证 500、沪深 300、上证 50 日内走势（%） 图表 ...

1. Report Industry Investment Ratings - Index Futures: Neutral [24] - Precious Metals: Cautiously Bullish [7][47] 2. Core Views - Index Futures: The market is at a critical point, with cautious trading volume. It is expected to oscillate around the integer point in the short - term, which helps consolidate the long - term pattern. Short - term fluctuations may be intensified by the US dollar liquidity risk [3][24]. - Precious Metals: Despite the uncertain interest - rate cut rhythm and the recovery of US economic data, the record - breaking government shutdown in the US may intensify market risk - aversion sentiment, supporting the safe - haven premium of precious metals [3][5] 3. Summary by Relevant Catalogs Market Analysis Index Futures - US economic data: The preliminary value of the University of Michigan Consumer Sentiment Index in November 2025 was 50.3, the lowest since June 2022. The one - year inflation rate expectation was 4.7%. The US government shutdown led to a rapid decline in the three major US stock indexes [4]. - Domestic situation: External relations have eased, and the macro - level driving force has weakened. Institutional pressure has eased, and it is the portfolio rebalancing window. The stock position is oscillating, and the risk appetite is decreasing. The margin trading balance has increased weekly but has not exceeded the previous high, and the daily average trading volume is less than 2 trillion yuan. The Shanghai Composite Index is likely to oscillate around 4000 points [4]. Precious Metals - Price performance: In the week of 2025 - 11 - 07, gold and silver prices continued to oscillate, showing signs of stabilization after a high - point correction [5]. - Interest rate situation: The Fed's "hawkish interest - rate cut" in October was implemented. There are significant differences within the FOMC on whether to cut interest rates again in December, and the future interest - rate cut path is highly uncertain [5]. - Economic data: The US ADP employment in October increased by 42,000, exceeding expectations, but overall labor demand is slowing, and wage growth is stagnant. The US ISM Services PMI in October rose to 52.4, a new eight - month high, with multiple sub - indexes performing well, but core data such as non - farm payrolls are still missing due to the government shutdown [3][5]. Strategy Index Futures - Unilateral strategy: Bullish on IH and IF; Neutral on IC and IM [7]. Precious Metals - Strategy: Cautiously bullish; Suspend arbitrage [7]. Index Futures Logic and Strategy Table - Economic environment: Neutral. China's service trade import and export in the first three quarters increased by 7.6% year - on - year, with a shrinking trade deficit [24]. - Valuation: Neutral. The price - to - earnings ratio of index futures has recovered, while the price - to - book ratio is still low, and the stock - bond ratio has decreased [24]. - Liquidity: Neutral. The central bank's net reverse - repurchase withdrawal last week was 157.22 billion yuan [24]. - Monetary policy: Upward. The central bank will maintain a supportive and moderately loose monetary policy [24]. - RMB trend: Upward. The RMB exchange rate is expected to strengthen with the Fed's substantial interest - rate cut and the consolidation of domestic demand [24]. - Incremental funds: Upward. The government encourages the entry of long - term funds, and institutional incremental funds are expected to drive market stability [24]. - Restricted stock unlocking: Neutral. There will be 1.407 billion restricted shares of 34 companies unlocking this week, with a market value of 24.733 billion yuan, an increase of 742 million yuan from the previous week [24]. - Overall evaluation: Neutral. The market is in a game around 4000 points, with cautious trading volume. It is expected to oscillate in the short - term, and investors are advised to use index futures for risk hedging [24]. Commodity Strategy View Table - Interest rates: Upward. The yields of US Treasury bonds of different maturities changed in different directions. Doubts about the Fed's independence and expectations of a September interest - rate cut are the main trading themes. If Trump successfully removes a Fed governor, it may boost precious metal prices [44]. - Inflation: Upward. The 10 - year Breakeven inflation rate remained stable at 2.41%. US core PCE inflation data was in line with expectations, and the impact of tariffs on inflation is emerging. The market expects a September interest - rate cut [44]. - Exchange rate: Upward. The US dollar index rose slightly. The market expects a 25 - basis - point Fed interest - rate cut in September, which may suppress the US dollar [47]. - Safe - haven: Neutral. Geopolitical factors such as the situation in Ukraine are in a state of balance [47]. - Position: Neutral. Gold SPDR ETF holdings increased, while silver SLV ETF holdings decreased. Gold speculative net long positions increased, while silver net long positions decreased [47]. - Gold - silver ratio: Short at high levels. The trading logic of silver is similar to that of gold, and silver may have upward potential with the implementation of easing policies and the repair of the gold - silver ratio [46][47].

1. Report Information - Report Title: Stock Index Futures Data Daily Report [1] - Report Date: November 6, 2025 [2] 2. IM Futures 2.1 Daily Quotes - The underlying index, CSI 1000, closed at 7,551.83, up 1.17%. The main contract, IM2512, rose 1.03% to close at 7,405 points [4]. - The total trading volume of the four IM contracts was 203,430 lots, down 35,254 lots from the previous day; the total open interest was 349,856 lots, down 16,927 lots from the previous day [5]. 2.2 Basis - The main contract was at a discount of 146.83 points to the spot, up 7.23 points from the previous day; the annualized basis rate was -16.45% [5]. 2.3 Positions - The report details the positions of major members in different IM contracts, including trading volume, long positions, and short positions, and their changes from the previous day [15][17][19] 3. IF Futures 3.1 Daily Quotes - The underlying index, SSE 300, closed at 4,693.40, up 1.43%. The main contract, IF2512, rose 1.39% to close at 4,670.8 points [20]. - The total trading volume of the four IF contracts was 111,413 lots, down 5,203 lots from the previous day; the total open interest was 264,651 lots, down 5,389 lots from the previous day [21]. 3.2 Basis - The main contract was at a discount of 22.6 points to the spot, up 8.06 points from the previous day; the annualized basis rate was -4.01% [21]. 3.3 Positions - The report details the positions of major members in different IF contracts, including trading volume, long positions, and short positions, and their changes from the previous day [33][35][36] 4. IC Futures 4.1 Daily Quotes - The underlying index, CSI 500, closed at 7,345.72, up 1.61%. The main contract, IC2512, rose 1.69% to close at 7,246.4 points [38]. - The total trading volume of the four IC contracts was 133,488 lots, down 13,675 lots from the previous day; the total open interest was 249,495 lots, down 6,940 lots from the previous day [39]. 4.2 Basis - The main contract was at a discount of 99.32 points to the spot, up 22.02 points from the previous day; the annualized basis rate was -11.37% [39]. 4.3 Positions - The report details the positions of major members in different IC contracts, including trading volume, long positions, and short positions, and their changes from the previous day [52][54][56] 5. IH Futures 5.1 Daily Quotes - The underlying index, SSE 50, closed at 3,044.74, up 1.22%. The main contract, IH2512, rose 1.04% to close at 3,041.4 points [58]. - The total trading volume of the four IH contracts was 51,481 lots, down 1,639 lots from the previous day; the total open interest was 96,234 lots, down 744 lots from the previous day [58]. 5.2 Basis - The main contract was at a discount of 3.34 points to the spot, up 2.03 points from the previous day; the annualized basis rate was -0.91% [59]. 5.3 Positions - The report details the positions of major members in different IH contracts, including trading volume, long positions, and short positions, and their changes from the previous day [71][73][75]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints The report presents the daily market data of stock index futures including IM, IF, IC, and IH, covering closing prices, trading volumes, open interests, basis, and positions of major seats for different contracts. It also shows intraday trends and historical basis data for each type of futures [4][21][40][61]. 3. Summary by Related Catalogs IM Futures - **Daily Market Data**: The closing prices of IM contracts decreased, with the main contract IM2512 down 1.55% to 7284.4 points. The total trading volume of the four contracts was 233,578 lots, up 4,445 lots from the previous day, and the total open interest was 363,473 lots, up 534 lots [4][5]. - **Basis**: The main contract was at a discount of 151.33 points, down 11.21 points from the previous day, with an annualized basis rate of -16.48%. The dividend impacts of the four contracts were 0.69 points, 0.87 points, 3.4 points, and 48.67 points respectively [5][12]. - **Positions of Major Seats**: Data for major seats of IM2511, IM2512, IM2603, and IM2606 contracts are provided, showing changes in trading volumes, long positions, and short positions of different members [16][18][20]. IF Futures - **Daily Market Data**: The closing prices of IF contracts decreased, with the main contract IF2512 down 0.89% to 4589 points. The total trading volume of the four contracts was 118,199 lots, up 3,153 lots from the previous day, and the total open interest was 268,460 lots, down 1,637 lots [21][22]. - **Basis**: The main contract was at a discount of 29.7 points, down 11.1 points from the previous day, with an annualized basis rate of -5.14%. The dividend impacts of the four contracts were 1.9 points, 2.75 points, 10.48 points, and 41.59 points respectively [22][31]. - **Positions of Major Seats**: Data for major seats of IF2511, IF2512, IF2603, and IF2606 contracts are provided, showing changes in trading volumes, long positions, and short positions of different members [35][37][38]. IC Futures - **Daily Market Data**: The closing prices of IC contracts decreased, with the main contract IC2512 down 1.92% to 7094.6 points. The total trading volume of the four contracts was 143,967 lots, up 3,761 lots from the previous day, and the total open interest was 252,156 lots, down 2,202 lots [40][41]. - **Basis**: The main contract was at a discount of 116.23 points, down 22.23 points from the previous day, with an annualized basis rate of -13%. The dividend impacts of the four contracts were 1.72 points, 1.94 points, 5.18 points, and 60.91 points respectively [41][51]. - **Positions of Major Seats**: Data for major seats of IC2511, IC2512, IC2603, and IC2606 contracts are provided, showing changes in trading volumes, long positions, and short positions of different members [55][57][59]. IH Futures - **Daily Market Data**: The closing prices of IH contracts decreased, with the main contract IH2512 down 0.18% to 3008.2 points. The total trading volume of the four contracts was 50,534 lots, down 624 lots from the previous day, and the total open interest was 94,774 lots, down 2,205 lots [61]. - **Basis**: The main contract was at a discount of 4.77 points, down 5.02 points from the previous day, with an annualized basis rate of -1.26%. The dividend impacts of the four contracts were 1.13 points, 1.98 points, 10.46 points, and 29.6 points respectively [62][72]. - **Positions of Major Seats**: Data for major seats of IH2511, IH2512, IH2603, and IH2606 contracts are provided, showing changes in trading volumes, long positions, and short positions of different members [77][79][81].

Report Information - Report Title: Stock Index Futures Data Daily Report [1] - Report Date: October 31, 2025 [2] IM Futures Market Summary - The main contract of IM rose 0.02% to close at 7368.2 points [4]. - The total trading volume of the four IM contracts was 253,282 lots, an increase of 4,629 lots from the previous day; the total open interest was 362,383 lots, a decrease of 6,696 lots from the previous day [5]. - The main contract of IM was at a discount of 138.47 points, a decrease of 17.79 points from the previous day; the annualized basis rate was -13.72% [5]. Price and Volume Details | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Open Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 1000 | 7506.67 | 0.29% | 29,975 | | 4,756 | -1% | | | | | IM2511 | 7439.60 | 0.00% | 49,482 | 4% | 740 | 4% | 69,370 | -1,735 | 124 | | IM2512 | 7368.20 | 0.02% | 164,443 | 1% | 2,436 | 2% | 186,908 | -3,849 | 331 | | IM2603 | 7165.00 | 0.09% | 27,165 | 1% | 391 | 1% | 78,264 | -2,074 | 135 | | IM2606 | 6960.00 | 0.11% | 12,192 | 2% | 171 | 2% | 27,841 | 962 | 47 | [4] Basis and Other Information - The dividend impacts of the four IM contracts were 0.72 points, 0.9 points, 3.45 points, and 48.25 points respectively [5]. Main Seats Information - Details of the trading volume, long positions, and short positions of the top members in different contracts are provided, such as in IM2511, the top five members in trading volume had a total of 145,968 lots, an increase of 3,092 lots from the previous day [21]. IF Futures Market Summary - The main contract of IF fell 1.43% to close at 4631.4 points [29]. - The total trading volume of the four IF contracts was 139,862 lots, an increase of 2,486 lots from the previous day; the total open interest was 271,131 lots, an increase of 397 lots from the previous day [29]. - The main contract of IF was at a discount of 9.27 points, an increase of 10.64 points from the previous day; the annualized basis rate was -1.46% [29]. Price and Volume Details | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Open Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 300 | 4640.67 | -1.47% | 28,146 | 3% | 6,807 | -5% | | | | | IF2511 | 4641.00 | -1.45% | 33,764 | 5% | 473 | 4% | 42,899 | -1,634 | 72 | | IF2512 | 4631.40 | -1.43% | 85,956 | -1% | 1,201 | -3% | 160,463 | -390 | 268 | | IF2603 | 4608.80 | -1.33% | 14,754 | 6% | 205 | 5% | 57,343 | 770 | 95 | | IF2606 | 4573.60 | -1.23% | 5,388 | 34% | 74 | 33% | 10,426 | 1,651 | 17 | [26] Basis and Other Information - The dividend impacts of the four IF contracts were 1.62 points, 2.47 points, 11 points, and 42.38 points respectively [29]. Main Seats Information - Similar to IM, details of the main seats in different IF contracts are presented, including trading volume, long - position, and short - position changes [40][42][43]. IC Futures Market Summary - The main contract of IC fell 0.89% to close at 7242.4 points [45]. - The total trading volume of the four IC contracts was 145,316 lots, a decrease of 22,972 lots from the previous day; the total open interest was 254,465 lots, a decrease of 5,746 lots from the previous day [46]. - The main contract of IC was at a discount of 88.6 points, a decrease of 1.89 points from the previous day; the annualized basis rate was -8.93% [46]. Price and Volume Details | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Open Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 500 | 7331.00 | -0.74% | 23,204 | -5% | 4,349 | -8% | | | | | IC2511 | 7291.20 | -0.92% | 29,712 | -3% | 436 | -3% | 48,365 | -1,058 | 85 | | IC2512 | 7242.40 | -0.89% | 92,416 | -13% | 1,346 | -13% | 138,903 | -2,520 | 241 | | IC2603 | 7085.00 | -0.90% | 16,806 | -28% | 240 | -28% | 51,715 | -2,375 | 88 | | IC2606 | 6907.00 | -0.86% | 6,382 | -23% | 89 | -23% | 15,482 | 207 | 26 | [45] Basis and Other Information - The dividend impacts of the four IC contracts were 1.68 points, 1.9 points, 5.29 points, and 62.34 points respectively [46]. Main Seats Information - Information about the main seats in different IC contracts is given, including trading volume, long - position, and short - position changes [59][61][63]. IH Futures Market Summary - The main contract of IH fell 1.13% to close at 3015.2 points [65]. - The total trading volume of the four IH contracts was 63,349 lots, a decrease of 600 lots from the previous day; the total open interest was 99,608 lots, a decrease of 2,436 lots from the previous day [65]. - The main contract of IH was at a premium of 3.65 points, an increase of 5.26 points from the previous day; the annualized basis rate was 0.88% [66]. Price and Volume Details | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Open Interest Change | Margin | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 3011.55 | -1.15% | 6,932 | 5% | 1,693 | -8% | | | | | IH2511 | 3016.80 | -1.09% | 13,624 | -4% | 124 | -5% | 15,925 | -468 | 17 | | IH2512 | 3015.20 | -1.13% | 40,576 | -3% | 368 | -4% | 63,955 | -2,898 | 69 | | IH2603 | 3016.00 | -1.16% | 7,055 | 19% | 64 | 17% | 16,285 | 718 | 18 | | IH2606 | 3015.80 | -1.03% | 2,094 | 11% | 19 | 9% | 3,443 | 212 | 4 | [65] Basis and Other Information - The dividend impacts of the four IH contracts were 0 points, 0.85 points, 10.65 points, and 30.11 points respectively [66]. Main Seats Information - Details of the main seats in different IH contracts, including trading volume, long - position, and short - position changes, are provided [79][81][83].

Report Summary 1. Report Industry Investment Rating No information provided. 2. Report's Core View - The short - term view of the stock index futures is wide - range oscillation, with the mid - term view being upward. The main driving force is the competition between the profit - taking intention of funds and the expectation of policy benefits. There is also a possibility of technical correction in November [1][4]. 3. Summary by Relevant Contents 3.1 Variety View Reference - Financial Futures Stock Index Sector - For IH2512, the short - term view is oscillation, the mid - term view is upward, the intraday view is oscillation with a slight upward trend, and the overall view is wide - range oscillation. The core logic is the competition between the profit - taking intention of funds and the expectation of policy benefits [1]. 3.2 Main Variety Price Quotation Driving Logic - Financial Futures Stock Index Sector - The intraday view of IF, IH, IC, IM is oscillation with a slight upward trend, the mid - term view is upward, and the reference view is wide - range oscillation. The core logic is that the stock market rebounded with increased trading volume yesterday, with the Shanghai Composite Index breaking through 4000 points, indicating a rapid increase in investors' risk appetite. Policy benefits for the technology industry are expected to ferment, and external uncertainty risks are easing. However, there may be a technical correction in November. The future trend depends on the competition between the fermentation rhythm of policy benefit expectations and the profit - taking rhythm of funds [4].