国债期货策略周报

国债期货策略周报 2023年11月26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，TL2403环比下跌0.74%，T2403环比下跌0.42%，TF2403环比下跌0.38%，TS2403环比下跌0.22%。TL2403基差为0.32，较上周下跌0.11，净基差为0.17，较上周上涨0.08；T2403基差为0.05，较上周上涨0.07，净基差为0.05，较上周上涨0.25（230019.IB利息收益等于DR007导致持有收益为0）。 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（0.05），TL2403（0.32）低于T的季节性中枢为0.66，历史季节性中枢可能下周震荡上行至0.74；3月合约净基差T2403（0.05），而TL2403（0.17）低于T的季节性中枢为0.46，历史季节性中枢可能下周震荡上行至0.50水平。基于活跃可交割券测算12月合约的上行防御空间，TL2403为3.94bp，T2403为1.03bp，TF2403为-1.08bp，TS2403为-7.39bp。 ★期现套利策略 测算基于DR007/DR1M的正套空间TS2403（0.19/0.41），TF2403（0.07/0.29）与T2403（-0.18/0.04），融资利率过高压缩正套空间。 ★跨期价差策略 T的03-06合约跨期价差0.11低于季节性均值0.21，TF的03-06合约跨期价差0.05低于季节性均值0.14，TS的03-06合约跨期价差-0.08低于季节性均值0.09。 ★跨品种策略 根据跨品种carry套利交易策略，推荐关注3月合约做多10Y-2Y久期中性组合（测算carry为0.64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.................................................................................................................................