国债期货策略周报

国债期货策略周报 2023年12月10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环比上涨0.15%，T2403环比上涨0.08%，TF2403环比上涨0.01%，TS2403环比下跌0.03%。TL2403基差为0.29，较上周下跌0.14，净基差为0.00，较上周下跌0.08；T2403基差为-0.02，较上周下跌0.09，净基差为-0.18，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 3月合约基差T2403（-0.02），TL2403（0.29）低于T的季节性中枢为0.67，历史季节性中枢可能下周震荡至0.67；3月合约净基差T2403（-0.18）和TL2403（0.00）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0.51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3.73bp，T2403为-0.11bp，TF2403为-0.78bp，TS2403为-7.61bp。 ★期现套利策略 测算基于DR007/DR1M的正套空间TS2403（0.89/-0.06），TF2403（0.69/-0.26）与T2403（0.70/-0.25）。 ★跨期价差策略 T的03-06合约跨期价差0.19低于季节性均值0.24，TF的03-06合约跨期价差0.14低于季节性均值0.18，TS的03-06合约跨期价差-0.03低于季节性均值0.10。 ★跨品种策略 考虑到部分合约基差升水，根据跨品种carry套利交易策略，推荐关注3月合约做多30Y-10Y久期中性组合（测算carry为0.34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........................................................................................................................................................................116、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...................................................................................................................................................................10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...................................................................................................................................11图表18：固定比例跨品种价差.........................................................................................................................................