国债期货策略周报

2023年09月17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8.9%，T2312环比下跌8.6%，TF2312环比下跌9.3%，TS2312环比上涨8.6%。TL2312基差为0.46，较上周下跌0.07，净基差为0.15，较上周下跌0.02；T2312基差为0.26，较上周下跌0.2，净基差为0.1，较上周下跌0.18。 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 12月合约基差T2312（0.26）与TL2312（0.46），低于T的季节性中枢（0.67），历史季节性中枢可能下周下行至0.57；12月合约净基差T2312（0.10）与TL2312（0.15），均低于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0.37水平。基于活跃可交割券测算12月合约的上行防御空间，TL2312为4.51bp，T2312为4.38bp，TF2312为4.46bp，TS2312为-2.18bp。 ★期现套利策略 测 算基 于DR007/DR1M 12月 合 约 的 正 套 空 间TS2312（0.36/-0.14）；反 套 空 间TL2312（-0.16/0.34）与T2312（-0.39/0.11）。 ★跨期价差策略 T的12-03合约跨期价差0.31与季节性均值0.26差别不大，TF的12-03合约跨期价差0.18与季节性均值0.19差别不大，TS的12-03合约跨期价差0.05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12月合约做平10Y-2Y（测算carry为0.54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.....................................................................................................................................................................................95、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...................................................................................................................................................................................................6图表7：TS2309合约分时走势...................................................................................................................................................................................................6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.....................................................................................................................................................................7图表10：T及TL净基差走势与季节性中枢预期..............................................................................................................................................................7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.........................................................................................................................................................................8图表13：期现套利策略空间......................................................................................................................................................................................................9图表14：跨期价差策略................................................................................................................................................................................................................9图表15：TL国债期货跨期价差...............................................................................................................................................................................................