国债期货策略周报

2023年08月20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1.31%，T2312环比上涨0.54%，TF2312环比上涨0.38%，TS2312环比下跌0.11%。TL2312基差为0.57，较上周下跌0.13，净基差为0.14，较上周下跌0.03；T2312基差为0.32，较上周下跌0.13，净基差为0.11较上周下跌0.04。 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 12月合约基差T2312（0.32）与TL2312（0.57），低于T的季节性中枢（0.74），历史季节性中枢可能下周震荡下行至0.66；12月合约净基差T2312（0.11）与TL2312（0.14），均低于T的季节性中枢（0.50），历史季节性中枢可能下周震荡下行至0.46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4.82bp，T2312为4.90bp，TF2312为3.17bp，TS2312为-2.06bp。 ★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TL2312（-0.30/-0.23）与T2312（-0.47/-0.40）。 ★跨期价差策略 T的12-03合约跨期价差0.40高于季节性均值0.26， TF的12-03合约跨期价差0.27高于季节性均值0.21，TS的12-03合约跨期价差0.07低于季节性均值0.15。 ★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月合约做平10Y-2Y（测算carry为0.49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...............................................................................................................................................................................................11图表16：T国债期