国债期货策略周报

2023年11月05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0.80%，T2312环比上涨0.36%，TF2312环比上涨0.22%，TS2312环比上涨0.06%。TL2312基差为0.41，较上周下跌0.16，净基差为029，较上周上涨0.24；T2312基差为0.0025，较上周下跌0.07，净基差为-0.06，较上周下跌0.08。 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（0.0025）与TL2312（0.24），均低于T的季节性中枢为0.39，历史季节性中枢可能下周下行至0.36；12月合约净基差T2312（-0.06）与TL2312（0.29），均低于T的季节性中枢为0.31，历史季节性中枢可能下周震荡下行至0.30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4.40bp，T2312为0.09bp，TF2312为0.82bp，TS2312为-3.47bp。 ★期现套利策略 测 算基 于DR007/DR1M 12月 合 约 的 正 套 空 间TS2312（0.80/0.65）；反 套空 间TL2312（1.77/1.92）与T2312（-1.46/-1.31）。建议关注TS2312基于230013.IB的正套策略。 ★跨期价差策略 T的12-03合约跨期价差0.30与季节性均值0.34差别不大，TF的12-03合约跨期价差0.16与季节性均值0.18差别不大，TS的12-03合约跨期价差0.05低于季节性均值0.13。 ★跨品种策略 根据跨品种carry套利交易策略，推荐关注12月合约做多30Y-10Y久期中性组合（测算carry为0.40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.........................................................................................................................................................