国债期货策略周报

2023年07月23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，TL2309环比上涨0.91%，T2309环比上涨0.38%，TF2309环比上涨0.27%，TS2309环比上涨0.08%。TL2309基差较上周末上涨0.06至0.48，净基差较上周末上涨0.08至0.27；T2309基差较上周末下跌0.01至0.34，净基差较上周末下跌0.03至0.20。 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 9月合约基差T2309（0.34）与TL2309（0.48），T的季节性中枢（0.51），历史季节性中枢可能下周震荡下行至0.47；9月合约净基差T2309（0.20）与TL2309（0.27），T的季节性中枢为0.40，历史季节性中枢可能下周震荡下行至0.38水平。基于活跃可交割券测算9月合约的上行防御空间，TL2309为4.65bp，T2309为5.93bp，TF2309为2.64bp，TS2309为0.06bp。 ★期现套利策略 测算基于DR007/DR1M的9月合约的正套空间均为负，反套空间T2309（0.53/0.84）与TL2309（0.95/1.26）。 ★跨期价差策略 TS的12-03合约跨期价差0.09低于季节性均值0.17；其余跨期价差与季节性均值差异不大。 ★跨品种策略 根据跨品种carry套利交易策略，推荐关注按照久期中性合约配比的12月合约做陡30Y-10Y（测算Carry为0.68元），12月合约做平10Y-2Y（测算carry为0.56元）。 ★风险提示： 量化指标的有效性基于历史数据得出，不排除失效的可能。 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...............................................................................................................................................................................................10图表