国债期货策略周报

2023年08月06日 王冬黎金融工程首席分析师从业资格号：F3032817投资咨询号：Z0014348Tel：8621-63325888-3975Email：dongli.wang@orientfutures.com 截止周五收盘，TL2309环比上涨0.37%，T2309环比上涨0.19%，TF2309环比上涨0.14%，TS2309环比上涨0.04%。TL2309基差较上周末下跌0.06至0.17，净基差较上周末上涨0.02至0.02；T2309基差较上周末下跌0.13至0.12，净基差较上周末下跌0.07至0.03。 联系人： 范沁璇金融工程助理分析师从业资格号：F03111965Email：qinxuan.fan@orientfutures.com ★套保策略 9月合约基差T2309（0.12）与TL2309（0.17），T的季节性中枢（0.40），历史季节性中枢可能下周震荡下行至0.38；9月合约净基差T2309（0.03）与TL2309（0.02），T的季节性中枢为0.32，历史季节性中枢可能下周震荡持平于0.32水平。基于活跃可交割券测算9月合约的上行防御空间，TL2309为3.12bp，T2309为1.89bp，TF2309为4.61bp，TS2309为0.05bp。 ★期现套利策略 测算基于DR007/DR1M的9月合约除TS外的正套空间均为负，反套空间T2309（-0.59/-0.49）与TL2309（-0.67/-0.57）。 ★跨期价差策略 T的09-12合约跨期价差0.50高于季节性均值0.37；T的12-03合约跨期价差0.47高于季节性均值0.29；TF的09-12合约跨期价差0.37低于季节性均值0.24；TS合约跨期价差均低于季节性均值。 ★跨品种策略 根据跨品种carry套利交易策略，推荐关注按照久期中性合约配比的12月合约做陡30Y-10Y（测算Carry为0.85元），12月合约做平10Y-2Y（测算carry为0.48元），以及12月合约做平5Y-2Y（测算carry为0.47元）。 目录 1、市场回顾................................................................................................................................................................................................42、套保策略..............................................................................................................................................................................................83、期现套利策略...................................................................................................................................................................................104、跨期价差策略...................................................................................................................................................................................105、跨品种策略........................................................................................................................................................................................126、风险提示............................................................................................................................................................................................15 图表目录 图表1：本周国债期货市场概览...............................................................................................................................................................................................4图表2：各合约主要期货公司多头持仓存量和持仓变动................................................................................................................................................5图表3：各合约主要期货公司空头持仓存量和持仓变动................................................................................................................................................6图表4：TL2309合约分时走势..................................................................................................................................................................................................7图表5：T2309合约分时走势.....................................................................................................................................................................................................7图表6：TF2309合约分时走势...................................................................................................................................................................................................7图表7：TS2309合约分时走势...................................................................................................................................................................................................7图表8：套保预期收益及成本....................................................................................................................................................................................................8图表9：T及TL基差走势与季节性中枢预期.....................................................................................................................................................................8图表10：T及TL净基差走势与季节性中枢预期..............................................................................................................................................................8图表11：T国债期货走势与现券走势复盘............................................................................................................................................................................9图表12：TL国债期货走势与现券走势复盘.........................................................................................................................................................................9图表13：期现套利策略空间....................................................................................................................................................................................................10图表14：跨期价差策略..............................................................................................................................................................................................................10图表15：TL国债期货跨期价差.........................................................................................................................................