国债期货策略周报

2023年08月13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：ongle.wang@orientfutures.com 截止周五收盘，TL2312环比上涨0.21%，T2312环比上涨0.14%，TF2312环比上涨0.05%，TS2312环比下跌0.01%。9月合约基差与净基差均提前收窄至极低水平，预计9月合约基差直至交割日将无太大波动空间。TL2312基差为0.70，与上周持平，净基差为0.17，较上周上涨0.03；T2312基差为0.44，较上周下跌0.08，净基差为0.14较上周下跌0.06。 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 目前12月合约基差T2312（0.44）与TL2312（0.70），相比T的TTM为79个交易日的季节性中枢（0.70）差异较大，历史季节性中枢可能下周震荡上行至0.74；12月合约净基差T2312（0.14）与TL2312（0.17），均低于T的TTM为79个交易日的季节性中枢（0.44），历史季节性中枢可能下周震荡上行至0.49水平。基于活跃可交割券测算12月合约的上行防御空间，TL2312为5.67bp，T2312为7.30bp，TF2312为9.53bp，TS2312为1.98bp。 ★期现套利策略 测算基于DR007/DR1M的除TS外的12月合约的正套空间均为负，反套空间T2312（-0.39/-0.24）与TL2312（-0.27/-0.12）。 ★跨期价差策略 TS的12-03合约跨期价差0.08低于季节性均值0.15；其余合约12-03跨期价差高于季节性均值。 ★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0.62元），12月合约做平10Y-2Y（测算carry为0.45元），12月合约做平5Y-2Y（测算carry为0.45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.....................................................................................................................