【中信期貨金融】 風(fēng)格或向紅利輪動(dòng)-日?qǐng)?bào)20240223 2024-2-23 92436 3

2024-02-232024-02-23對(duì)任何主體進(jìn)行或不進(jìn)行某項(xiàng)行為的建議或意見(jiàn)，不得將本報(bào)告的任何內(nèi)容據(jù)以作為中信期貨所作的承諾或聲明。任何主體依據(jù)本報(bào)告所進(jìn)行的任何作為或不作為，中信期貨不承擔(dān)任何責(zé)任。報(bào)告要點(diǎn)報(bào)告要點(diǎn)格或出現(xiàn)高低切換。債市受銀行下調(diào)存款利率訊息影響，寬貨幣預(yù)期帶動(dòng)多頭走波動(dòng)率開(kāi)始高于認(rèn)沽波動(dòng)率，同時(shí)認(rèn)購(gòu)與認(rèn)沽合約在近月的波動(dòng)率差收窄，推測(cè)部分資金股息的確定性更高，有望穩(wěn)定收獲機(jī)構(gòu)增量資金，最確定性方向或是紅利。而債市在當(dāng)前4）寬信用超預(yù)期投資咨詢業(yè)務(wù)資格：姜業(yè)資格號(hào)F3005640投資咨詢號(hào)Z0012407張業(yè)資格號(hào)F3022617投資咨詢號(hào)Z0013604康遵業(yè)資格號(hào)F03090802投資咨詢號(hào)Z0016853程小業(yè)資格號(hào)F3083989投資咨詢號(hào)Z0018635觀點(diǎn)：繼續(xù)縮量，或向紅利輪動(dòng)邏輯：滬指7連陽(yáng)，但未突破3000點(diǎn)關(guān)口，繼續(xù)大幅縮量，操作建議：觀望觀點(diǎn)：仍有調(diào)整風(fēng)險(xiǎn)幅虧損。從波動(dòng)率曲面的邊際變化來(lái)看，遠(yuǎn)月合約的認(rèn)購(gòu)波動(dòng)率開(kāi)始高于認(rèn)沽波動(dòng)率，同時(shí)認(rèn)購(gòu)與認(rèn)沽合約在近月的波動(dòng)率差收窄，推測(cè)部分資金在期權(quán)市場(chǎng)表現(xiàn)不悲觀。但是整體來(lái)看，認(rèn)沽曲面仍然偏高，結(jié)合期權(quán)情緒指標(biāo)，短期仍有調(diào)整風(fēng)險(xiǎn)，因此操作建議延續(xù)領(lǐng)口防御，可適當(dāng)布局熊操作建議：領(lǐng)口策略、熊市價(jià)差風(fēng)險(xiǎn)因子：1）期權(quán)流動(dòng)性不及預(yù)期觀點(diǎn)：寬貨幣預(yù)期帶動(dòng)債市走強(qiáng)上看，在經(jīng)歷連續(xù)幾日上漲后，多頭可能也偏謹(jǐn)慎，但是情緒或也并未真相對(duì)謹(jǐn)慎，國(guó)債期貨表現(xiàn)偏震蕩。而午后或受有關(guān)近期多家銀行密集下調(diào)存款利率的訊息影響，寬貨幣預(yù)期再度升溫，債市多整體上看，當(dāng)前位置債市需保持謹(jǐn)慎。央行強(qiáng)調(diào)繼續(xù)推動(dòng)社會(huì)綜合融資成4.10-16.1-15.645.546.142.342.32.房地產(chǎn)：深圳市高質(zhì)量發(fā)展工作推進(jìn)會(huì)議指數(shù)，按照“以更硬作風(fēng)推進(jìn)新一輪城中村改造。系統(tǒng)構(gòu)建政府主導(dǎo)的城中村改造“1+N”政策體超過(guò)抵押物價(jià)值的80%。個(gè)人住房公積金貸到期量投放量到期量投放量90002W3.5隔夜90002W3.58000370002.5600025000240001.53000120000.510000002023-05-042023-07-042023-05-042023-07-042023-09-042023-11-042024-01-042022-07-252023-02-252023-09-25二級(jí)指標(biāo)最新值1日變化5日變化基差I(lǐng)F當(dāng)月-2.67-0.803.16IC當(dāng)月-17.1414.69-47.77IH當(dāng)月0.122.95-2.33IM當(dāng)月-29.1342.95-56.29跨期價(jià)差I(lǐng)F01-IF00-4.00-5.4017.20IF02-IF01-14.406.207.20IF03-IF02-37.80-0.4010.00IC01-IC00-19.600.20-8.00IC02-IC01-57.80-3.408.80IC03-IC02-65.80-3.80-1.80IH01-IH00-2.60-1.2015.00IH02-IH01-12.201.00-5.80IH03-IH02-30.600.801.60IM01-IM00-33.404.00-1.40IM02-IM01-78.20-1.40-0.20IM03-IM02-91.00-0.40-12.80指數(shù)PE對(duì)比指數(shù)PE對(duì)比滬深300中小板綜指中證1000滬深300中小板綜指中證1000上證指數(shù)上證50中小板綜指中證500上證50-右創(chuàng)業(yè)板指數(shù)三板成指三板做市滬深300-右中證1000-右中證50030%5050上證指數(shù)-30%505020%40404010%3030300%2020-10%2020-20%-30%02023-02-08002023-02-0802024-02-082023-06-082023-10-082023-06-162023-09-162023-12-162023-06-082023-10-08融資余額滬深30017000160001500014000130001200011000100009000800070002022-11-072023-03-072023-07-072023-11-074300353035303900370025350020330031005502700250035302520502023-12-292024-01-112024-01-232024-02-022024-02-22圖表10：跨期價(jià)差-IF6040200-20-40-60-80-100-120-140-160 IF當(dāng)月-滬深300IF次月-滬深300IF下季-滬深300IFIF下季-滬深3002023-12-292024-01-112024-01-232024-02-022024-02-22IF次月-IF當(dāng)月IF當(dāng)季-IF次月IF當(dāng)季-IF當(dāng)月IF下季-IF次月IF當(dāng)季-IF當(dāng)月IF下季-IF當(dāng)季40200-20-40-60-80-100-1202023-12-292024-01-112024-01-232024-02-022024-02-22100500-50-100-150-200-250-300-350-400IC當(dāng)月-100500-50-100-150-200-250-300-350-400IC當(dāng)月-中證500IC當(dāng)季-中證500IC次月-中證500IC下季-中證5002023-12-292024-01-112024-01-232024-02-022024-02-22IC次月-IC當(dāng)月IC當(dāng)季-IC次月IC當(dāng)季-IC當(dāng)月IC下季-IC次月IC次季-IC當(dāng)月IC下季-IC當(dāng)季0-50-100-150-200-2502023-12-262024-01-052024-01-162024-01-252024-02-052024-02-2240200-20-40-60-80IH當(dāng)月-上證50IH當(dāng)季-上證50IH次月-上證50IH下季-上證502023-12-292024-01-112024-01-232024-02-022024-02-22IH次月-IH當(dāng)月IH當(dāng)季-IH次月IH當(dāng)季-IH當(dāng)月IH下季-IH次月IH次季-IH當(dāng)月IH下季-IH當(dāng)季0-10-20-30-40-50-60-702024-01-292024-02-012024-02-062024-02-192024-02-2圖表16：跨期價(jià)差-IM1000-100-200-300-400-500IM當(dāng)月-中證1000IM當(dāng)季-中證1000IM次月-中證1000IM下季-中證10002023-12-262024-01-052024-01-162024-01-252024-02-052024-02-22IM次月-IM當(dāng)月IM當(dāng)季-IM次月IM當(dāng)季-IM當(dāng)月IM下季-IM次月IM次季-IM當(dāng)月IM下季-IM當(dāng)季0-50-100-150-200-250-300-3502024-01-292024-02-012024-02-062024-02-192024-02-22申萬(wàn)一級(jí)行業(yè)最新1日5日23日農(nóng)林牧漁2587.620.66% 4.16%-6.煤炭3314.195.04%10.26%14.化工3076.65 1.15% 7.94%-7.鋼鐵2070.35 3.88%0%有色金屬3938.94 1.25% 5.81%-4.3138.43 2.04% 9.05%-6.家用電器7040.700.29%6%食品飲料19132.450.38%6%紡織服裝1443.130.67% 8.47%-8.輕工制造1901.04 1.22%10.79%15%醫(yī)藥生物7427.170.48%-6.公用事業(yè)2223.95 4.86%交通運(yùn)輸2045.080.66% 4.99%3%房地產(chǎn)2060.280.12% 8.83%-2.商業(yè)貿(mào)易1802.96 1.16% 8.30%-7.休閑服務(wù)7473.0012.15%-9.綜合2167.29 1.20%9.59%85%建筑材料4419.360.47% 5.89%-4.建筑裝飾1816.76 8.22%-2.電氣設(shè)備6111.50 4.47%-9.國(guó)防軍工1175.78 1.38% 6.46%-7.計(jì)算機(jī)3567.713.69%15.10%-5.傳媒583.17 2.14%14.27%-1.通信2245.93 3.18%14.12%7%銀行3278.790.10% 4.99%12.非銀金融1467.72汽車4973.83 6.93%-6.機(jī)械設(shè)備1267.57 1.67% 10.26%-7.2.50E+092.00E+091.50E+091.00E+095.00E+080.00E+00上證50ETF期權(quán)滬市300ETF期權(quán)深市創(chuàng)業(yè)板ETF期權(quán)科創(chuàng)50ETF期權(quán)中金所300指數(shù)期權(quán)中金所1000期權(quán)中金所50股指期權(quán)滬市500ETF期權(quán)5.00E+094.50E+094.00E+093.50E+093.00E+092.50E+092.00E+091.50E+091.00E+095.00E+080.00E+002023-08-212023-10-242023-12-192024-02-222023-08-212023-10-242023-12-192024-02-22圖表20：股票股指期權(quán)持倉(cāng)量PCR上證50ETF期權(quán)滬市300ETF期權(quán)深市創(chuàng)業(yè)板ETF期權(quán)科創(chuàng)50ETF期權(quán)圖表21：股票股指期權(quán)持倉(cāng)量PCR中金所300指數(shù)期權(quán)中證1000股指期權(quán)中金所50股指期權(quán)滬市500ETF期權(quán)1.21.00.80.60.40.20.02023-08-212023-10-242023-12-192024-02-221.21.00.80.60.40.20.02023-08-212023-10-242023-12-192024-02-22圖表22：股票股指期權(quán)波動(dòng)率圖表23：股票股指期權(quán)波動(dòng)率60%50%40%30%20%10%0%上證50ETF期權(quán)滬市300ETF期權(quán)深市創(chuàng)業(yè)板ETF期權(quán)科創(chuàng)50ETF期權(quán)2023-08-212023-10-242023-12-192024-02-2270%60%50%40%30%20%10%中金所300指數(shù)期權(quán)中證1000股指期權(quán)中金所50股指期權(quán)滬市500ETF期權(quán)2023-08-212023-10-242023-12-192024-02-22圖表24：股票股指期權(quán)當(dāng)月隱含波動(dòng)率微笑圖表25：股票股指期權(quán)當(dāng)月隱含波動(dòng)率微笑上證50ETF期權(quán)深市創(chuàng)業(yè)板ETF期權(quán)滬市300ETF期權(quán)科創(chuàng)50ETF期權(quán)80.9970.9960.9950.9940.9930.9920.9910.990.9960%90%98%103%110%130%圖表26：股票股指期權(quán)期限結(jié)構(gòu)3025205上證50ETF期權(quán)深市創(chuàng)業(yè)板ETF期權(quán)滬市300ETF期權(quán)科創(chuàng)50ETF期權(quán)1個(gè)月2個(gè)月3個(gè)月6個(gè)月9個(gè)月12個(gè)月圖表28：股指期權(quán)交易情緒指標(biāo)3,9003,8003,7003,6003,5003,4003,3003,2003,1003,000 滬深300指數(shù)成交額PCR/成交量PCR32.521.510.502023-11-212024-02-222023-08-212023-11-212024-02-22中金所300指數(shù)期權(quán)中證1000股指期權(quán) 中金所50股指期權(quán)滬市500ETF期權(quán)80.9970.9960.9950.9940.9930.9920.9910.990.9960%90%98%103%110%130%圖表27：股票股指期權(quán)期限結(jié)構(gòu)353025205中金所300指數(shù)期權(quán)中金所50股指期權(quán)中證1000股指期權(quán)滬市500ETF期權(quán)1個(gè)月2個(gè)月3個(gè)月6個(gè)月9個(gè)月12個(gè)月圖表29：股指期權(quán)交易情緒指標(biāo)65006000550050004500400035003000 中證1000指數(shù)成交額PCR/成交量PCR4.543.532.521.510.502023-11-212024-02-222023-08-212023-11-212024-02-22圖表30：股指期權(quán)交易情緒指標(biāo)圖表31：股指期權(quán)交易情緒指標(biāo)27002600250024002300220021002000 上證50指數(shù)成交額PCR/成交量PCR2.521.510.502023-08-212023-11-072024-01-170.90.80.70.60.50.40.30.20.10 科創(chuàng)50ETF成交額pcr/成交量pcr32.521.510.502024-01-052024-01-182024-01-312024-02-21-0.160-0.030-0.080-0.275-0.025-0.120-0.196-0.044-0.0540.100-0.0200.0400.1350.2155Y-2Y0.0780.1230.2910.4610.1650.405T2406T2406CTD基差1.41.210.80.60.40.20-0.22023-11-12023-12-12024-1-12024-2-121.510.50-0.5220017.IB230004.IB230026.IB220019.IB220025.IB230012.IB230018.IB230028.IB2023-11-12023-12-12024-1-12024-2-1 TL2406CTD基差圖表35：5年期國(guó)債期貨主力CTD基差圖表36：5年期國(guó)債期貨活躍可交割券基差 TL2406CTD基差TF2406TF2406CTD基差0.60.40.20-0.2-0.42023-11-12023-12-12024-1-12024-2-110.8 0.6 0.4 0.2 0-0.2-0.4210013.IB230021.IB220006.IB230022.IB230015.IB240001.IB2023-11-12023-12-12024-1-12024-2-1圖表37：2年期國(guó)債期貨主力CTD基差0.3TS2406CTD基差0.30.20.10-0.1-0.2-0.3-0.42023-9-12023-10-12023-11-12023-12-12024-1-12024-2-1圖表38：2年期國(guó)債期貨活躍可交割券基差10.80.60.40.20-0.2-0.4210002.IB230011.IB210011.IB230017.IB230003.IB230027.IB2023-11-12023-12-12024-1-12024-2-1圖表39：30年期國(guó)債期貨主力CTD基差圖表40：30年期國(guó)債期貨活躍可交割券基差1.91.40.90.4-0.1-0.62023-9-12023-10-12023-11-12023-12-12024-1-12024-2-13.5 2.5 21.5 0.50190010.IB200004.IB200012.IB210005.IB210014.IB220008.IB220024.IB230009.IB230023.IB2023-11-12023-12-12024-1-12024-2-10.002023-06-152024-01-042024-01-182024-02-012024-02-150.02023-06-152024-01-042024-01-182024-02-012024-02-1502023-06-152024-01-042024-01-182024-02-012024-02-150.002023-06-152024-01-042024-01-182024-02-012024-02-150.02023-06-152024-01-042024-01-182024-02-012024-02-1502023-06-152024-01-042024-01-182024-02-012024-02-15T2406IRR與CTD成交量T2406IRR與CTD成交量CTD成交量(億)IRR FR007.IR230028.IB成交量(億,右軸) FR007.IR1600140012001000800600400200012003.02.510002.08001600140012001000800600400200012003.02.510002.08006001.51.04002000.55.04.03.02.01.00.0-1.0-2.0-3.0-3.02020-06-152021-06-152022-06-15TF2406IRR與CTD成交量TF2406IRR與CTD成交量CTD成交量(億)IRR FR007.IR230022.IB成交量(億,右軸) FR007.IR3.09008007006003.09008007006005.02.57004.05002.06002.04003005001.54003005001.52.04001.01.03001.02000.02000.510001000.510001000-2.0-2.02020-06-152021-06-152022-06-15TS2406IRR與CTD成交量TS2406IRR與CTD成交量CTD成交量(億)IRR FR007.IR230027.IB成交量(億,右軸) FR007.IR10002.82.710002.82.72.72.62.62.52.52.42.42.32.38007009005.08006007004.07005004005004003.05002.04003001.00.01.00.020020010001000-1.0-1.02020-06-152021-06-152022-06-15圖表47：30年期國(guó)債期貨主力IRR與CTD成交量6.05.04.03.02.01.00.0TL2406IRR與CTD成交量CTD成交量(億)IRRFR007.IR2023-04-012023-07-012023-10-012024-01-01160140120100806040200TL2406活躍券IRR與成交量230023.IB成交量(億,右軸)IRR2.82.72.72.62.62.52.52.42.42.32.32024-01-042024-01-182024-02-012024-02-15120010008006004002000圖表49：股指期債走勢(shì)對(duì)比TF2406TL2406TF2406TL2406 TS2406收盤價(jià)滬深300主力(右軸)收盤價(jià)收盤價(jià)TF*2-T(T*3-TL)/2TS*2-TF10810610410210098962023-11-012023-12-012024-01-012024-02-01400039003800370036003500340033003200104.0103.5103.0102.5102.0101.5101.0100.5100.099.52023-11-012023-12-012024-01-012024-02-01303.5303.0302.5302.0301.5301.0300.5300.010年跨期價(jià)差5年跨期價(jià)差 2年跨期價(jià)差30年跨期價(jià)差0.50.40.30.20.10.0-0.1-0.2-0.3-0.42023-09-152023-11-152024-01-1510-1Y利差10-5Y利差10030-10Y利差100908070605040302002023-07-192023-09-192023-11-192024-01-19日環(huán)比（右）3Y10Y5Y7Y2024-02-222024-02-213.53.503.02.52.01.51.02023-04-262023-07-262023-10-262024-01-26日環(huán)比（右）3Y10Y5Y7Y2024-02-222024-02-213.53.503.02.52.01.51.02023-04-2620