国债期货策略周报

2023年09月24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环比下跌0.6%，T2312环比下跌0.19%，TF2312环比下跌0.13%，TS2312环比下跌0.04%。TL2312基差为0.68，较上周上涨0.22，净基差为0.38，较上周上涨0.24；T2312基差为0.32，较上周上涨0.04，净基差为0.17，较上周上涨0.07。 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（0.68），分别小于和大于T的季节性中枢（0.56），历史季节性中枢可能下周上行至0.62；12月合约净基差T2312（0.17）与TL2312（0.38），分别小于和大于T的季节性中枢（0.37），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5.72bp，T2312为5.42bp，TF2312为3.88bp，TS2312为-3.66bp。 ★期现套利策略 测 算基 于DR007/DR1M 12月 合 约 的 正 套 空 间TS2312（0.55/-0.23）；反 套空 间TL2312（0.88/1.66）与T2312（-0.05/0.73）。 ★跨期价差策略 T的12-03合约跨期价差0.34与季节性均值0.27差别不大，TF的12-03合约跨期价差0.21与季节性均值0.20差别不大，TS的12-03合约跨期价差0.06低于季节性均值0.14。 ★跨品种策略 根据跨品种carry套利交易策略，推荐关注12月合约做平10Y-2Y（测算carry为0.71元）。 目录 1、市场回顾................................................................................................................................................................................................42、套保策略..............................................................................................................................................................................................73、期现套利策略.....................................................................................................................................................................................94、跨期价差策略...................................................................................................................................................................................105、跨品种策略........................................................................................................................................................................................126、风险提示............................................................................................................................................................................................14 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................................................................................................................................................5图表4：TL2309合约分时走势..................................................................................................................................................................................................6图表5：T2309合约分时走势.....................................................................................................................................................................................................6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....................................................................................................................................................................................................7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............................................................................................................................................................................8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......................................................................................................................................................................................................9图表14：跨期价差策略..............................................................................................................................................................................................................10图表15：TL国债期货跨期价差.....................................................................................................................................................................................