金融工程周度报告：国债期货策略周报

国债期货策略周报 2024年01月14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：dongli.wang@orientfutures.com 截止周五收盘，TL2403环比下跌0.09%，T2403环比下跌0.17%，TF2403环比下跌0.11%，TS2403环比下跌0.02%。TL2403基差为0.13，较上周持平，净基差为-0.10，较上周持平；T2403基差为0.57，较上周上涨0.07，净基差为0.40，较上周上涨0.06。 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（0.57），TL2403（0.13），而T的季节性中枢为0.51，历史季节性中枢可能下周下行至0.46；3月合约净基差T2403（0.40）和TL2403（-0.10），而T的季节性中枢为0.40，历史季节性中枢可能下周震荡上行至0.38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2.66bp，T2403为8.48bp，TF2403为-1.54bp，TS2403为-6.34bp。 ★期现套利策略 测算基于DR007/DR1M的正套空间TS2403（1.17/0.62），TF2403（1.15/0.60）与反套空间T2403（1.57/2.12）。建议关注TS2403基于230020.IB的正套机会。 ★跨期价差策略 T的03-06合约跨期价差0.06低于季节性均值0.40，TF的03-06合约跨期价差0.07低于季节性均值0.24，TS的03-06合约跨期价差-0.07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3月 合 约 做空30Y-10Y久期中性组合（测算carry为1.18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............................................................................................................................................................................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............................................................................................................................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....................................................................................................................................