股指期货日度数据跟踪

1/4图表2：四大指数个股涨跌幅比例（%）统计数据来源：Wind，光期研究所10:0310:1410:2510:3610:4710:5811:0911:2013:0013:1113:2213:3313:4413:5514:0614:1714:2814:3914:50中证500沪深300上证50051015202530354045[-6, -5][-5, -4][-4, -3][-3, -2][-2, -1][-1, 0][0, 1][1, 2][2, 3][3, 4][4, 5][5, 6][6, 7][7, 8][8, 9][9, 10][10, 11]zz1000zz500hs300sz50电子计算机国防军工机械设备传媒汽车医药生物银行有色金属环保公用事业商贸零售家用电器非银金融建筑装饰社会服务综合石油石化钢铁交通运输建筑材料煤炭纺织服饰轻工制造房地产农林牧渔食品饮料美容护理电子计算机机械设备银行医药生物通信汽车环保公用事业社会服务商贸零售传媒非银金融建筑材料轻工制造家用电器煤炭纺织服饰建筑装饰交通运输石油石化农林牧渔房地产钢铁美容护理食品饮料有色金属食品饮料通信非银金融家用电器国防军工电子计算机医药生物公用事业纺织服饰美容护理建筑材料建筑装饰轻工制造传媒商贸零售汽车农林牧渔房地产煤炭钢铁石油石化交通运输机械设备基础化工有色金属 请务必阅读文末的免责声明三、股指期货基差及基差折算年化开仓成本IM00日均基差-28.39，IM01日均基差-134.91，IM02日均基差-317.52，IM03日均基差-455.98;IC00日均基差-18.11，IC01日均基差-108.13，IC02日均基差-250.18，IC03日均基差-351.45;IF00日均基差-6.76，IF01日均基差-37.22，IF02日均基差-97.47，IF03日均基差-129.83;IH00日均基差-0.95，IH01日均基差-16.65，IH02日均基差-50.69，IH03日均基差-54.45;图7：中证1000指数与主力合约基差数据来源：Wind、光期研究所图9：中证500指数与主力合约基差数据来源：Wind、光期研究所图11：沪深300指数与主力合约基差数据来源：Wind、光期研究所图13：上证50指数与主力合约基差数据来源：Wind，光期研究所6050610061506200625009:3109:4309:5510:0710:1910:3110:4310:5511:0711:1913:0113:1313:2513:3713:4914:01000852.SHIM00_diff57005720574057605780580009:3109:4309:5510:0710:1910:3110:4310:5511:0711:1913:0113:1313:2513:3713:4914:01000905.SHIC00_diff37903800381038203830384038503860387009:3109:4309:5510:0710:1910:3110:4310:5511:0711:1913:0113:1313:2513:3713:4914:01000300.SHIF00_diff264026502660267026802690270009:3109:4309:5510:0710:1910:3110:4310:5511:0711:1913:0113:1313:2513:3713:4914:01000016.SHIH00_diff 2/4图8：IM对冲开仓成本（%）数据来源：Wind、光期研究所图10：IC对冲开仓成本（%）数据来源：Wind、光期研究所图12：IF对冲开仓成本（%）数据来源：Wind、光期研究所图14：IH对冲开仓成本（%）数据来源：Wind、光期研究所-60-50-40-30-20-10014:1314:2514:3714:49051015202509:3109:4209:5310:0410:15IM01_cost-30-25-20-15-10-5014:1314:2514:3714:490510152009:3109:4209:5310:0410:15IC01_cost-12-10-8-6-4-2014:1314:2514:3714:49024681009:3109:4209:5310:0410:15IF01_cost-10-8-6-4-20214:1314:2514:3714:490123456709:3109:4209:5310:0410:15IH01_cost 10:2610:3710:4810:5910:2610:3710:4810:2610:3710:4810:59 请务必阅读文末的免责声明四、股指期货换月点数差及其折算年化成本图15：IM换月点数差折算年化成本（%）数据来源：Wind，光期研究所图17：IC换月点数差折算年化成本（%）数据来源：Wind，光期研究所图19：IF换月点数差折算年化成本（%）数据来源：Wind，光期研究所图21：IH换月点数差折算年化成本（%）数据来源：Wind，光期研究所2712172209:3109:4109:5110:0110:1110:2110:3110:4110:5111:0111:1111:2113:0113:1113:2113:31IM00-01_costIM00-02_costIM01-02_costIM01-03_cost27121709:3109:4109:5110:0110:1110:2110:3110:4110:5111:0111:1111:2113:0113:1113:2113:31IC00-01_costIC00-02_costIC01-02_costIC01-03_cost024681009:3109:4109:5110:0110:1110:2110:3110:4110:5111:0111:1111:2113:0113:1113:2113:31IF00-01_costIF00-02_costIF01-02_costIF01-03_cost01234567809:3109:4109:5110:0110:1110:2110:3110:4110:5111:0111:1111:2113:0113:1113:2113:3113:41IH00-01_costIH00-02_costIH01-02_costIH01-03_cost 数据来源：Wind、光期研究所图18：IC换月点数差(15分钟均值)数据来源：Wind、光期研究所图20：IF换月点数差(15分钟均值)数据来源：Wind、光期研究所图22：IH换月点数差(15分钟均值)数据来源：Wind、光期研究所14:51DatetimeIM00-01 IM00-02 IM00-03 IM01-02 IM01-03 IM02-03000852.SH09:45-53.1193-158.791-243.457-105.671-190.338-84.6667 4662.34310:00-52.4033-158.765-243.616-106.361-191.213-84.8518 4659.78510:15-53.173-159.041-243.466-105.868-190.293-84.4251 4652.42810:30-53.2087-159.336-243.373-106.127-190.164-84.0373 4662.00110:45-53.1293-159.181-243.843-106.052-190.714-84.6624679.7311:00-52.9676-158.821-244.177-105.853-191.209-85.35614700.811:15-53.3852-159.469-244.984-106.084-191.599-85.5144 4700.09611:30-53.5927-160.11-245.485-106.517-191.892-85.3751 4701.48213:15-53.2661-159.343-244.055-106.077-190.789-84.7118 4698.98513:30-53.4483-160.384-245.607-106.936-192.159-85.2233 4690.98213:45-52.9822-160.361-245.793-107.379-192.811-85.4324 4696.87814:00-52.9966-160.35-245.783-107.353-192.787-85.4332 4701.03814:15-52.3411-159.682-245.089-107.341-192.748-85.4071 4691.72614:30-52.4599-159.457-244.692-106.997-192.233-85.2356 4692.26914:45-52.796-159.677-244.221-106.881-191.425-84.5441 4694.54915:00-53.5418-159.179-243.062-105.637-189.52-83.8829 4698.90114:51DatetimeIC00-01 IC00-02 IC00-03 IC01-02 IC01-03 IC02-03000905.SH09:45-26.1467-90.0318-141.123-63.8851-114.977-51.0917 4675.30410:00-25.9111-90.2878-141.287-64.3767-115.376-50.9992 4664.43710:15-26.1308-90.9913-142.558-64.8606-116.428-51.5671 4662.03910:30-26.1067-90.8639-143.349-64.7572-117.242-52.4852 4668.4710:45-25.9116-90.5696-142.806-64.658-116.895-52.2366 4681.91311:00-25.5903-90.3931-142.355-64.8028-116.765-51.9618 4698.63911:15-25.5926-90.9127-143.676-65.3201-118.083-52.7633 4697.31411:30-25.2017-90.9193-143.686-65.7177-118.484-52.7668 4698.06213:15-24.7665-90.8792-144.242-66.1127-119.475-53.3625 4694.26213:30-24.8971-91.2788-145.016-66.3817-120.119-53.7371 4687.97113:45-24.7343-90.5868-145.379-65.8524-120.644-54.792 4692.62714:00-24.3154-89.1133-144.194-64.7979-119.878-55.0802 4696.17814:15-24.2453-87.9996-142.676-63.7542-118.431-54.6763 4687.84414:30-23.9172-88.1941-143.299-64.2769-119.381-55.1046 4690.65914:45-23.9987-87.756-142.471-63.7573-118.472-54.7147 4692.88315:00-23.7193-87.1208-139.815-63.4014-116.096-52.6942 4697.30314:51DatetimeIF00-01 IF00-02 IF00-03 IF01-02 IF01-03 IF02-03000300.SH09:45-5