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[-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]zz1000zz500hs300sz50电力设备计算机传媒有色金属国防军工机械设备基础化工通信非银金融食品饮料汽车公用事业农林牧渔钢铁房地产纺织服饰家用电器石油石化社会服务建筑材料轻工制造交通运输银行煤炭综合建筑装饰非银金融汽车国防军工有色金属计算机基础化工机械设备传媒电子煤炭轻工制造社会服务通信纺织服饰钢铁公用事业食品饮料环保家用电器银行农林牧渔建筑装饰美容护理交通运输石油石化农林牧渔电子国防军工银行通信计算机石油石化基础化工钢铁传媒电力设备美容护理煤炭房地产纺织服饰建筑材料机械设备轻工制造商贸零售交通运输公用事业建筑装饰家用电器有色金属 环保美容护理房地产建筑材料汽车食品饮料 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-41.51，IM01日均基差-133.92，IM02日均基差-296.53，IM03日均基差-472.57;IC00日均基差-31.34，IC01日均基差-101.99，IC02日均基差-213.64，IC03日均基差-339.47;IF00日均基差-15.32，IF01日均基差-51.84，IF02日均基差-83.42，IF03日均基差-117.23;IH00日均基差-12.08，IH01日均基差-43.25，IH02日均基差-47.54，IH03日均基差-47.12;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6100615062006250630009:3109:4309:5510:0710:1910:3110:4310:5511:0711:1913:0113:1313:2513:3713:4914:01000852.SHIM00_diff572057405760578058005820584009:3109:4309:5510:0710:1910:3110:4310:5511:0711:1913:0113:1313:2513:3713:4914:01000905.SHIC00_diff38603865387038753880388538903895390009:3109:4309:5510:0710:1910:3110:4310:5511:0711:1913:0113:1313:2513:3713:4914:01000300.SHIF00_diff267026752680268526902695270009:3109:4309:5510:0710:1910:3110:4310:5511:0711:1913:0113:1313:2513:3713:4914:01000016.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-60-55-50-45-40-35-3014:1314:2514:3714:49051015202509:3109:4209:5310:0410:15IM01_cost-40-35-30-25-2014:1314:2514:3714:490510152009:3109:4209:5310:0410:15IC01_cost-22-20-18-16-14-12-1014:1314:2514:3714:49024681012141609:3109:4209:5310:0410:15IF01_cost-20-18-16-14-12-10-8-614:1314:2514:3714:4902468101214161809:3109:4209:5310:0410:15IH01_cost 10:2610:3710:4810:5910:2610:3710:4810:2610:3710:48 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_cost0246810121409:3109:4109:5110:0110:1110:2110:3110:4110:5111:0111:1111:2113:0113:1113:2113:31IF00-01_costIF00-02_costIF01-02_costIF01-03_cost-2024681012141609:3109:4109:5110:0110:1110:2110:3110:4110:5111:0111:1111:2113:0113:1113:2113:31IH00-01_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: