国债期货策略周报

国债期货策略周报 2023年11月19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0.38%，T2312环比上涨0.02%，TF2312环比上涨0.07%，TS2312环比下跌0.03%。TL2312基差为0.27，较上周下跌0.18，净基差为0.20，较上周下跌0.15；T2312基差为-0.03，较上周下跌0.04，净基差为-0.07，较上周下跌0.02。今年以来，国债期货合约基差收敛速率加快，近几个季月在主力合约切换前即收敛至0附近。值得注意的是T、TF与TS的03合约基差出现升水。 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 3月合约基差T2403（-0.01）出现升水，TL2403（0.43）低于T的季节性中枢为0.74，历史季节性中枢可能下周震荡下行至0.66；3月合约净基差T2312（-0.19）与TL2312（0.09）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3月合约的上行防御空间，TL2403为4.43bp，T2403为-0.03bp，TF2403为-1.18bp，TS2403为-8.73bp。 ★期现套利策略 测 算 基 于DR007/DR1M 3月 合 约 的 正 套 空 间T2403（0.626/0.226），TF2403（0.628/0.228），TS2403（0.71/0.31）。 ★跨期价差策略 T的03-06合约跨期价差0.23与季节性均值持平，TF的03-06合约跨期价差0.13与季节性均值0.17差别不大，TS的03-06合约跨期价差0.01低于季节性均值0.10。 ★跨品种策略 根据跨品种carry套利交易策略，同时考虑到T、TF与TS的03合约均出现升水，推荐关注3月合约做多30Y-10Y久期中性组合（测算carry为0.46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国债期货跨期价差与季节性水平预期.....................................................................................................................................11图表17：TF国债期货跨期价差与季节性水平预期...................................................................................................................................12图表18：固定比例跨品种价差...........................................................