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5001020304050[-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]zz1000zz500hs300sz50国防军工电力设备汽车机械设备非银金融传媒通信有色金属公用事业医药生物房地产基础化工商贸零售家用电器食品饮料建筑装饰轻工制造环保交通运输纺织服饰钢铁农林牧渔建筑材料银行综合社会服务煤炭计算机国防军工电力设备医药生物机械设备汽车有色金属传媒通信房地产公用事业交通运输社会服务环保家用电器钢铁银行基础化工食品饮料建筑材料纺织服饰商贸零售石油石化美容护理建筑装饰轻工制造电力设备电子计算机汽车医药生物有色金属国防军工家用电器公用事业通信机械设备商贸零售建筑装饰食品饮料传媒农林牧渔房地产交通运输建筑材料钢铁基础化工石油石化轻工制造美容护理 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-55.79，IM01日均基差-121.15，IM02日均基差-190.18，IM03日均基差-365.53;IC00日均基差-38.56，IC01日均基差-83.93，IC02日均基差-130.6，IC03日均基差-250.11;IF00日均基差-29.5，IF01日均基差-42.27，IF02日均基差-48.85，IF03日均基差-80.19;IH00日均基差-29.28，IH01日均基差-32.16，IH02日均基差-31.14，IH03日均基差-31.25;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_diff57205740576057805800582058405860588009:3109:4309:5510:0710:1910:3110:4310:5511:0711:1913:0113:1313:2513:3713:4914:01000905.SHIC00_diff386038803900392039403960398009:3109:4309:5510:0710:1910:3110:4310:5511:0711:1913:0113:1313:2513:3713:4914:01000300.SHIF00_diff26802690270027102720273027402750276009:3109:4309:5510:0710:1910:3110:4310:5511:0711:1913:0113:1313:2513:3713:4914:01000016.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-80-70-60-50-40-3014:1314:2514:3714:49024681012141609:3109:4209:5310:0410:15IM01_cost-50-45-40-35-30-25-20-15-1014:1314:2514:3714:490246810121409:3109:4209:5310:0410:15IC01_cost-45-40-35-30-25-20-1514:1314:2514:3714:49024681009:3109:4209:5310:0410:15IF01_cost-40-35-30-25-20-1514:1314:2514:3714:49024681009:3109:4209:5310:0410:15IH01_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_cost012345609:3109:4109:5110:0110:1110:2110:3110:4110:5111:0111:1111:2113:0113:1113:2113:3113:41IF00-01_costIF00-02_costIF01-02_costIF01-03_cost-1.5-1-0.500.511.522.5309:3109:4109:5110:0110:1110:2110:3110:4110:5111:0111:1111:2113:0113:1113:2113:31IH00-01_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.SH09:45-5.99267-13.4098-16