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【衍生品策略周报】短期震荡,中期下行,继续轻仓做多

来源: 南方日报网络版     时间: 2019年09月18日 12:58:04
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(资)(金)(利)(率)(:小)(幅)(上)(行)(后)(保)(持)(稳)(定)(
上)(周)(进)(入)(7月)(第)(二)(周)(,公)(开)(市)(场)(到)(期)(资)(金)(规)(模)(为)(3085亿)(元)(,央)(行)(公)(开)(市)(场)(净)(回)(笼)(900亿)(元)(。降)(准)(释)(放)(大)(量)(资)(金)(对)(资)(金)(面)(的)(利)(好)(松)(绑)(仍)(然)(持)(续)(,上)(周)(央)(行)(公)(开)(市)(场)(操)(作)(持)(续)(小)(额)(净)(回)(笼)(,资)(金)(利)(率)(小)(幅)(上)(行)(后)(保)(持)(稳)(定)(,银)(行)(体)(系)(流)(动)(性)(保)(持)(较)(为)(合)(理)(水)(平)(。为)(对)(冲)(季)(初)(月)(7月)(16日)(缴)(税)(规)(模)(较)(大)(及)(缴)(准)(因)(素)(影)(响)(,央)(行)(避)(免)(大)(规)(模)(流)(动)(性)(回)(笼)(以)(呵)(护)(资)(金)(面)(,央)(行)(在)(上)(周)(五)(等)(额)(续)(作)(MLF,呵)(护)(资)(金)(面)(态)(度)(坚)(决)(。DR007加)(权)(平)(均)(利)(率)(周)(上)(行)(20.09bp至)(2.65%,Shibor1w周)(上)(行)(9.8bp至)(2.69%,R007加)(权)(平)(均)(利)(率)(周)(上)(行)(18.5bp至)(2.71%。
上)(周)(SHIBOR利)(率)(呈)(现)(涨)(跌)(不)(一)(的)(态)(势)(。其)(中)(,隔)(夜)(资)(金)(利)(率)(上)(行)(51bp至)(2.48%,7天)(的)(资)(金)(利)(率)(较)(上)(周)(末)(上)(行)(10bp至)(2.69%;14天)(的)(资)(金)(利)(率)(较)(上)(周)(末)(下)(行)(15bps至)(3.03%,1个)(月)(、3个)(月)(资)(金)(利)(率)(较)(上)(周)(末)(分)(别)(下)(降)(24ps和)(13bp,分)(别)(下)(降)(至)(3.21%和)(3.61%。
互)(换)(曲)(线)(:各)(期)(限)(小)(幅)(上)(行)(
上)(周)(互)(换)(各)(期)(限)(利)(率)(整)(体)(上)(行)(。具)(体)(而)(言)(,Repo互)(换)(方)(面)(,各)(期)(限)(品)(种)(利)(率)(全)(部)(上)(行)(,其)(中)(6M期)(限)(品)(种)(利)(率)(较)(前)(周)(上)(行)(3个)(bp至)(2.81%附)(近)(,9M期)(限)(品)(种)(利)(率)(较)(前)(周)(上)(行)(3个)(bp至)(2.84%附)(近)(,1Y期)(限)(品)(种)(利)(率)(较)(前)(周)(五)(上)(行)(17个)(bp至)(2.86%附)(近)(,5Y期)(限)(品)(种)(利)(率)(较)(前)(周)(保)(持)(稳)(定)(在)(3.21%附)(近)(。3MShibor互)(换)(方)(面)(,6M期)(限)(品)(种)(较)(前)(周)(上)(行)(3个)(bp至)(3.75%附)(近)(,9M期)(限)(品)(种)(利)(率)(上)(行)(10个)(bp至)(3.80%附)(近)(,1Y期)(限)(品)(种)(利)(率)(较)(前)(周)(上)(行)(11个)(bp在)(3.83%附)(近)(,5Y期)(限)(品)(种)(利)(率)(上)(行)(11个)(bp至)(3.94%附)(近)(。
从)(互)(换)(曲)(线)(的)(陡)(峭)(度)(来)(看)(,Repo曲)(线)(形)(态)(均)(较)(上)(周)(平)(缓)(,3M互)(换)(曲)(线)(呈)(上)(升)(态)(势)(。具)(体)(而)(言)(,Repo互)(换)(方)(面)(,1×5Y利)(差)(较)(前)(周)(下)(降)(4个)(bp至)(35个)(bp附)(近)(,1×2Y利)(差)(较)(前)(周)(下)(降)(2个)(bp至)(9个)(bp附)(近)(,9M×1Y利)(差)(保)(持)(稳)(定)(维)(持)(在)(2个)(bp附)(近)(,6×9M利)(差)(也)(继)(续)(保)(持)(在)(2个)(bp附)(近)(;3MShibor互)(换)(方)(面)(,1×5Y保)(持)(稳)(定)(,在)(11个)(bp附)(近)(,1×2Y利)(差)(较)(前)(周)(上)(行)(1个)(bp至)(6个)(bp附)(近)(,9M×1Y利)(差)(较)(前)(周)(上)(升)(1个)(bp至)(3个)(bp附)(近)(,6×9M利)(差)(上)(行)(6个)(bp至)(5个)(bp附)(近)(。
策)(略)(推)(荐)(:震)(荡)(行)(情)(,保)(持)(仓)(位)(
策)(略)(方)(面)(,受)(6月)(底)(财)(政)(支)(出)(力)(度)(较)(大)(和)(7月)(5日)(定)(向)(降)(准)(释)(放)(7000亿)(元)(资)(金)(影)(响)(,7月)(初)(银)(行)(体)(系)(流)(动)(性)(总)(量)(处)(于)(较)(高)(水)(平)(,货)(币)(市)(场)(利)(率)(大)(幅)(走)(低)(。在)(此)(背)(景)(下)(,央)(行)(公)(开)(市)(场)(操)(作)(连)(续)(小)(额)(净)(回)(笼)(或)(实)(现)(完)(全)(对)(冲)(,流)(动)(性)(总)(量)(保)(持)(在)(合)(理)(充)(裕)(水)(平)(。为)(对)(冲)(季)(初)(月)(7月)(16日)(缴)(税)(规)(模)(较)(大)(及)(缴)(准)(因)(素)(影)(响)(,央)(行)(等)(额)(续)(作)(MLF避)(免)(大)(规)(模)(流)(动)(性)(回)(笼)(以)(呵)(护)(资)(金)(面)(。本)(次)(等)(额)(续)(作)(MLF在)(流)(动)(性)(环)(境)(本)(已)(相)(对)(宽)(松)(的)(环)(境)(下)(完)(成)(,对)(长)(期)(流)(动)(性)(环)(境)(的)(呵)(护)(意)(图)(料)(高)(于)(短)(期)(资)(金)(面)(的)(维)(稳)(考)(虑)(。自)(MLF担)(保)(品)(范)(围)(扩)(充)(以)(来)(,MLF工)(具)(的)(定)(向)(效)(果)(更)(为)(突)(出)(有)(效)(,本)(次)(MLF续)(作)(不)(仅)(仅)(是)(数)(量)(上)(的)(覆)(盖)(,背)(后)(可)(能)(存)(在)(结)(构)(上)(的)(调)(整)(。我)(们)(认)(为)(下)(半)(年)(降)(准)(+MLF的)(流)(动)(性)(投)(放)(方)(式)(仍)(将)(延)(续)(,流)(动)(性)(环)(境)(的)(持)(续)(偏)(松)(仍)(然)(是)(大)(趋)(势)(。因)(此)(我)(们)(判)(断)(趋)(势)(仍)(未)(结)(束)(,但)(短)(期)(内)(可)(能)(略)(有)(震)(荡)(,建)(议)(保)(持)(目)(前)(receive的)(仓)(位)(。
国)(债)(期)(货)(:行)(情)(震)(荡)(,中)(期)(或)(可)(突)(破)(
国)(债)(方)(面)(:收)(益)(率)(维)(持)(震)(荡)(
股)(市)(继)(续)(企)(稳)(,收)(益)(率)(窄)(幅)(震)(荡)(。周)(一)(现)(券)(继)(续)(调)(整)(,收)(益)(率)(整)(体)(上)(行)(。超)(长)(端)(成)(交)(活)(跃)(,收)(益)(率)(上)(行)(1BP,周)(二)(早)(盘)(收)(益)(率)(上)(行)(2BP,随)(着)(CPI、PPI数)(据)(出)(来)(后)(,市)(场)(多)(头)(略)(微)(占)(据)(上)(风)(,收)(益)(率)(下)(行)(2BP,随)(后)(市)(场)(继)(续)(反)(弹)(回)(吐)(上)(午)(涨)(幅)(。周)(三)(至)(周)(四)(收)(益)(率)(窄)(幅)(波)(动)(,周)(五)(则)(在)(金)(融)(及)(信)(贷)(数)(据)(的)(带)(动)(之)(下)(再)(次)(下)(行)(,全)(周)(来)(看)(收)(益)(率)(小)(幅)(震)(荡)(,周)(五)(与)(周)(一)(收)(益)(率)(水)(平)(持)(平)(。
国)(债)(期)(货)(主)(力)(表)(现)(:小)(幅)(收)(涨)(
国)(债)(期)(货)(短)(线)(回)(调)(,回)(吐)(前)(周)(部)(分)(涨)(幅)(。上)(周)(5年)(期)(国)(债)(期)(货)(主)(力)(合)(约)(TF1809全)(周)(涨)(0.22%,收)(盘)(报)(98.43元)(;10年)(国)(债)(期)(货)(主)(力)(合)(约)(T1809全)(周)(涨)(0.36%,收)(盘)(报)(95.96元)(;5年)(期)(债)(合)(约)(TF1809持)(仓)(增)(加)(115手)(,总)(持)(升)(至)(19694手)(,成)(交)(金)(额)(239.34亿)(元)(,较)(前)(一)(周)(减)(少)(60.33亿)(元)(,日)(均)(成)(交)(47.87亿)(元)(,较)(前)(一)(周)(减)(少)(12.07亿)(元)(;10年)(期)(债)(合)(约)(T1809持)(仓)(增)(加)(2223,总)(持)(升)(至)(63634手)(,成)(交)(金)(额)(1625.63亿)(元)(,较)(前)(一)(周)(减)(少)(42.41亿)(元)(,日)(均)(成)(交)(325.13亿)(元)(,较)(前)(一)(周)(减)(少)(8.48亿)(元)(。
上)(周)(中)(美)(贸)(易)(战)(激)(化)(引)(燃)(市)(场)(避)(险)(情)(绪)(,国)(债)(期)(货)(周)(初)(下)(跌)(后)(持)(续)(走)(高)(;降)(准)(后)(资)(金)(面)(持)(续)(宽)(松)(,央)(行)(公)(开)(市)(场)(操)(作)(仍)(然)(以)(小)(额)(净)(回)(笼)(为)(主)(,上)(周)(五)(等)(额)(续)(作)(MLF,呵)(护)(资)(金)(面)(态)(度)(坚)(决)(,资)(金)(面)(的)(持)(续)(宽)(松)(带)(动)(市)(场)(情)(绪)(升)(温)(。十)(年)(期)(国)(债)(期)(货)(主)(力)(合)(约)(T1809周)(上)(涨)(0.37%,五)(年)(期)(国)(债)(期)(货)(主)(力)(合)(约)(TF1809周)(上)(涨)(0.24%。其)(中)(,周)(一)(10年)(期)(国)(债)(期)(货)(主)(力)(合)(约)(T1809跌)(0.14%,5年)(期)(国)(债)(期)(货)(主)(力)(合)(约)(TF1809跌)(0.09%;周)(二)(10年)(期)(国)(债)(期)(货)(主)(力)(合)(约)(T1809跌)(0.01%,5年)(期)(国)(债)(期)(货)(主)(力)(合)(约)(TF1809跌)(0.02%;周)(三)(10年)(期)(国)(债)(期)(货)(主)(力)(合)(约)(T1809涨)(0.34%,5年)(期)(国)(债)(期)(货)(主)(力)(合)(约)(TF1809涨)(0.21%;周)(四)(10年)(期)(国)(债)(期)(货)(主)(力)(合)(约)(T1809涨)(0.02%,5年)(期)(国)(债)(期)(货)(主)(力)(合)(约)(TF1809跌)(0.01%;周)(五)(10年)(期)(国)(债)(期)(货)(主)(力)(合)(约)(T1809涨)(0.27%,5年)(期)(国)(债)(期)(货)(主)(力)(合)(约)(TF1809涨)(0.21%。
基)(差)(变)(化)(:IRR继)(续)(下)(行)(,正)(套)(机)(会)(还)(需)(等)(待)(
基)(差)(=现)(券)(价)(格)(-期)(货)(价)(格)(×转)(换)(因)(子)(
基)(差)(交)(易)(者)(时)(刻)(关)(注)(期)(货)(市)(场)(和)(现)(货)(市)(场)(间)(的)(价)(差)(变)(化)(,积)(极)(寻)(找)(低)(买)(高)(卖)(的)(套)(利)(机)(会)(。做)(多)(基)(差)(,即)(投)(资)(者)(认)(为)(基)(差)(会)(上)(涨)(,现)(券)(价)(格)(的)(上)(涨)((下)(跌)()幅)(度)(会)(高)(于)((低)(于)()期)(货)(价)(格)(乘)(以)(转)(换)(因)(子)(的)(幅)(度)(,则)(买)(入)(现)(券)(,卖)(出)(期)(货)(,待)(基)(差)(如)(期)(上)(涨)(后)(分)(别)(平)(仓)(;做)(空)(基)(差)(,即)(投)(资)(者)(认)(为)(基)(差)(会)(下)(跌)(,现)(券)(价)(格)(的)(上)(涨)((下)(跌)()幅)(度)(会)(低)(于)((高)(于)()期)(货)(价)(格)(乘)(以)(转)(换)(因)(子)(的)(幅)(度)(,则)(卖)(出)(现)(券)(,买)(入)(期)(货)(,待)(基)(差)(如)(期)(下)(跌)(后)(分)(别)(平)(仓)(。交)(易)(时)(一)(般)(只)(需)(关)(注)(IRR指)(标)(,IRR越)(大)(,则)(正)(套)(锁)(定)(的)(盈)(利)(越)(高)(。今)(年)(以)(来)(IRR策)(略)(表)(现)(不)(佳)(,机)(会)(较)(少)(。
从)(活)(跃)(券)(的)(IRR来)(看)(,五)(年)(与)(十)(年)(国)(债)(期)(货)(所)(对)(应)(的)(IRR,180004和)(180011对)(应)(的)(十)(年)(国)(债)(期)(货)(IRR回)(到)(了)(2%-3%的)(区)(间)(,180009所)(对)(应)(的)(五)(年)(国)(债)(期)(货)(IRR则)(低)(于)(1%。正)(套)(机)(会)(仍)(需)(继)(续)(等)(待)(。
策)(略)(推)(荐)(:维)(持)(短)(期)(转)(为)(震)(荡)(的)(判)(断)(,中)(期)(或)(有)(突)(破)(行)(情)(
交)(易)(策)(略)(上)(,10年)(期)(国)(债)(期)(货)(上)(周)(在)(周)(一)(延)(续)(了)(前)(周)(的)(下)(跌)(趋)(势)(后)(,在)(周)(二)(触)(及)(了)(一)(周)(最)(低)(点)(95.37,随)(后)(止)(跌)(企)(稳)(,并)(在)(周)(五)(再)(次)(突)(破)(96.00,最)(后)(收)(于)(95.955。我)(们)(在)(之)(前)(的)(周)(报)(曾)(提)(到)(突)(破)(之)(后)(我)(们)(建)(议)(这)(一)(次)(交)(易)(的)(将)(止)(损)(点)(放)(在)(6月)(27日)(的)(开)(盘)(价)((95.20),从)(目)(前)(的)(行)(情)(来)(看)(,前)(周)(以)(来)(的)(回)(调)(并)(未)(反)(向)(突)(破)(我)(们)(之)(前)(设)(定)(的)(止)(损)(点)(,完)(美)(印)(证)(了)(我)(们)(之)(前)(新)(趋)(势)(的)(判)(断)(,展)(望)(未)(来)(几)(周)(,站)(上)(前)(周)(形)(成)(的)(96.205的)(前)(期)(高)(点)(仍)(需)(宏)(观)(数)(据)(及)(微)(观)(流)(动)(性)(等)(各)(方)(面)(条)(件)(的)(配)(合)(,短)(期)(内)(可)(能)(略)(有)(难)(度)(,因)(此)(我)(们)(仍)(然)(维)(持)(前)(周)(的)(判)(断)(,短)(期)(内)(有)(一)(定)(概)(率)(转)(为)(震)(荡)(,建)(议)(投)(资)(者)(保)(持)(轻)(仓)(做)(多)(的)(头)(寸)(。
国)(开)(债)(:震)(荡)(行)(情)(将)(延)(续)(
国)(开)(债)(方)(面)(:曲)(线)(平)(坦)(化)(
全)(周)(来)(看)(,国)(开)(债)(收)(益)(率)(短)(期)(上)(行)(,中)(长)(期)(下)(行)(。其)(中)(1年)(上)(行)(6个)(bp,3年)(下)(行)(1个)(bp,5年)(下)(行)(2个)(bp,7年)(下)(行)(1个)(bp,10年)(下)(行)(6个)(bp。利)(差)(方)(面)(,各)(期)(限)(利)(差)(也)(涨)(跌)(不)(一)(,全)(周)(来)(看)(,1年)(上)(行)(1个)(bp,3年)(上)(行)(2个)(bp,5年)(上)(行)(3个)(bp,7年)(上)(行)(1个)(bp,10年)(下)(行)(2个)(bp。短)(期)(信)(用)(利)(差)(涨)(跌)(不)(一)(,与)(国)(开)(债)(相)(比)(降)(幅)(较)(大)(。国)(开)(-AAA中)(票)(利)(差)(方)(面)(,具)(体)(来)(看)(,1年)(期)(利)(差)(下)(行)(8个)(bp,3年)(期)(利)(差)(保)(持)(不)(变)(,5年)(期)(利)(差)(上)(行)(5个)(bp,7年)(期)(利)(差)(下)(行)(3个)(bp,10年)(期)(利)(差)(下)(行)(7个)(bp。国)(开)(-AA中)(票)(的)(利)(差)(走)(势)(与)(AAA中)(票)(利)(差)(走)(势)(基)(本)(相)(同)(,1年)(期)(利)(差)(下)(降)(8个)(bp,3年)(期)(利)(差)(下)(降)(1个)(bp,5年)(期)(利)(差)(上)(行)(6个)(bp,7年)(期)(利)(差)(下)(行)(2个)(bp,10年)(期)(利)(差)(下)(行)(6个)(bp。
策)(略)(推)(荐)(:震)(荡)(行)(情)(持)(续)(,建)(议)(继)(续)(轻)(仓)(做)(多)(
策)(略)(方)(面)(,前)(周)(十)(年)(国)(开)(债)(估)(值)(收)(益)(率)(在)(突)(破)(后)(继)(续)(下)(行)(,但)(在)(上)(周)(略)(微)(修)(整)(,在)(上)(半)(周)(略)(微)(回)(调)(后)(在)(周)(五)(金)(融)(及)(信)(贷)(数)(据)(的)(冲)(击)(下)(再)(次)(下)(行)(,估)(值)(收)(益)(率)(最)(终)(收)(于)(4.11%,从)(目)(前)(的)(走)(势)(来)(看)(,估)(值)(已)(经)(到)(达)(了)(新)(的)(低)(点)(,且)(自)(6月)(25日)(我)(们)(开)(始)(推)(荐)(做)(多)(10年)(国)(开)(开)(始)(到)(上)(周)(五)(按)(曲)(线)(估)(值)(计)(算)(已)(有)(超)(过)(20个)(bp的)(盈)(利)(,按)(活)(跃)(券)(180205个)(券)(估)(值)(计)(算)(也)(有)(15个)(bp左)(右)(的)(盈)(利)(,虽)(然)(我)(们)(仍)(然)(看)(好)(利)(率)(中)(期)(下)(行)(的)(趋)(势)(,但)(短)(期)(内)(行)(情)(可)(能)(会)(有)(所)(反)(复)(,建)(议)(投)(资)(者)(继)(续)(轻)(仓)(做)(多)(。
具)(体)(分)(析)(内)(容)((包)(括)(相)(关)(风)(险)(提)(示)()请)(详)(见)(报)(告)(《衍)(生)(品)(策)(略)(周)(报)(20180716——短)(期)(震)(荡)(,中)(期)(下)(行)(,继)(续)(轻)(仓)(做)(多)(》。
特)(别)(声)(明)(:返)(回)(搜)(狐)(,查)(看)(更)(多)(
责)(任)(编)(辑)(:
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