国债期货策略周报
2023年10月08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 截止周四收盘，TL2312环比上涨0.27%，T2312环比上涨0.17%，TF2312环比上涨0.12%，TS2312环比上涨0.03%。TL2312基差为0.47，较上周下跌0.21，净基差为0.31，较上周下跌0.07；T2312基差为0.59，较上周上涨0.27，净基差为0.52，较上周上涨0.34。 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（0.59）与TL2312（0.47），均小于T的季节性中枢（0.62），历史季节性中枢可能下周下行至0.55；12月合约净基差T2312（0.51）与TL2312（0.31），分别大于和小于T的季节性中枢（0.49），历史季节性中枢可能下周震荡下行至0.39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4.64bp，T2312为8.96bp，TF2312为2.06bp，TS2312为-2.51bp。 ★期现套利策略 测 算基 于DR007/DR1M 12月 合 约 的 正 套 空 间TS2312（0.52/0.35）；反套空间TL2312（0.07/0.24）与T2312（1.05/1.22）。 ★跨期价差策略 T的12-03合约跨期价差0.36略高于季节性均值0.25，TF的12-03合约跨期价差0.22与季节性均值0.18差别不大，TS的12-03合约跨期价差0.06低于季节性均值0.13。 ★跨品种策略 根据跨品种carry套利交易策略，推荐关注12月合约做多10Y-2Y久期中性组合（测算carry为0.97元）以及12月合约做空久期中性组合30-10Y（测算carry为0.85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....................................................................................................................................................
