【中信期货金融】 风格或向红利轮动-日报20240223 2024-2-23 92436 3

2024-02-232024-02-23对任何主体进行或不进行某项行为的建议或意见，不得将本报告的任何内容据以作为中信期货所作的承诺或声明。任何主体依据本报告所进行的任何作为或不作为，中信期货不承担任何责任。报告要点报告要点格或出现高低切换。债市受银行下调存款利率讯息影响，宽货币预期带动多头走波动率开始高于认沽波动率，同时认购与认沽合约在近月的波动率差收窄，推测部分资金股息的确定性更高，有望稳定收获机构增量资金，最确定性方向或是红利。而债市在当前4）宽信用超预期投资咨询业务资格：姜业资格号F3005640投资咨询号Z0012407张业资格号F3022617投资咨询号Z0013604康遵业资格号F03090802投资咨询号Z0016853程小业资格号F3083989投资咨询号Z0018635观点：继续缩量，或向红利轮动逻辑：沪指7连阳，但未突破3000点关口，继续大幅缩量，操作建议：观望观点：仍有调整风险幅亏损。从波动率曲面的边际变化来看，远月合约的认购波动率开始高于认沽波动率，同时认购与认沽合约在近月的波动率差收窄，推测部分资金在期权市场表现不悲观。但是整体来看，认沽曲面仍然偏高，结合期权情绪指标，短期仍有调整风险，因此操作建议延续领口防御，可适当布局熊操作建议：领口策略、熊市价差风险因子：1）期权流动性不及预期观点：宽货币预期带动债市走强上看，在经历连续几日上涨后，多头可能也偏谨慎，但是情绪或也并未真相对谨慎，国债期货表现偏震荡。而午后或受有关近期多家银行密集下调存款利率的讯息影响，宽货币预期再度升温，债市多整体上看，当前位置债市需保持谨慎。央行强调继续推动社会综合融资成4.10-16.1-15.645.546.142.342.32.房地产：深圳市高质量发展工作推进会议指数，按照“以更硬作风推进新一轮城中村改造。系统构建政府主导的城中村改造“1+N”政策体超过抵押物价值的80%。个人住房公积金贷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级指标最新值1日变化5日变化基差IF当月-2.67-0.803.16IC当月-17.1414.69-47.77IH当月0.122.95-2.33IM当月-29.1342.95-56.29跨期价差IF01-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指数PE对比指数PE对比沪深300中小板综指中证1000沪深300中小板综指中证1000上证指数上证50中小板综指中证500上证50-右创业板指数三板成指三板做市沪深300-右中证1000-右中证50030%5050上证指数-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融资余额沪深30017000160001500014000130001200011000100009000800070002022-11-072023-03-072023-07-072023-11-074300353035303900370025350020330031005502700250035302520502023-12-292024-01-112024-01-232024-02-022024-02-22图表10：跨期价差-IF6040200-20-40-60-80-100-120-140-160 IF当月-沪深300IF次月-沪深300IF下季-沪深300IFIF下季-沪深3002023-12-292024-01-112024-01-232024-02-022024-02-22IF次月-IF当月IF当季-IF次月IF当季-IF当月IF下季-IF次月IF当季-IF当月IF下季-IF当季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当月-100500-50-100-150-200-250-300-350-400IC当月-中证500IC当季-中证500IC次月-中证500IC下季-中证5002023-12-292024-01-112024-01-232024-02-022024-02-22IC次月-IC当月IC当季-IC次月IC当季-IC当月IC下季-IC次月IC次季-IC当月IC下季-IC当季0-50-100-150-200-2502023-12-262024-01-052024-01-162024-01-252024-02-052024-02-2240200-20-40-60-80IH当月-上证50IH当季-上证50IH次月-上证50IH下季-上证502023-12-292024-01-112024-01-232024-02-022024-02-22IH次月-IH当月IH当季-IH次月IH当季-IH当月IH下季-IH次月IH次季-IH当月IH下季-IH当季0-10-20-30-40-50-60-702024-01-292024-02-012024-02-062024-02-192024-02-2图表16：跨期价差-IM1000-100-200-300-400-500IM当月-中证1000IM当季-中证1000IM次月-中证1000IM下季-中证10002023-12-262024-01-052024-01-162024-01-252024-02-052024-02-22IM次月-IM当月IM当季-IM次月IM当季-IM当月IM下季-IM次月IM次季-IM当月IM下季-IM当季0-50-100-150-200-250-300-3502024-01-292024-02-012024-02-062024-02-192024-02-22申万一级行业最新1日5日23日农林牧渔2587.620.66% 4.16%-6.煤炭3314.195.04%10.26%14.化工3076.65 1.15% 7.94%-7.钢铁2070.35 3.88%0%有色金属3938.94 1.25% 5.81%-4.3138.43 2.04% 9.05%-6.家用电器7040.700.29%6%食品饮料19132.450.38%6%纺织服装1443.130.67% 8.47%-8.轻工制造1901.04 1.22%10.79%15%医药生物7427.170.48%-6.公用事业2223.95 4.86%交通运输2045.080.66% 4.99%3%房地产2060.280.12% 8.83%-2.商业贸易1802.96 1.16% 8.30%-7.休闲服务7473.0012.15%-9.综合2167.29 1.20%9.59%85%建筑材料4419.360.47% 5.89%-4.建筑装饰1816.76 8.22%-2.电气设备6111.50 4.47%-9.国防军工1175.78 1.38% 6.46%-7.计算机3567.713.69%15.10%-5.传媒583.17 2.14%14.27%-1.通信2245.93 3.18%14.12%7%银行3278.790.10% 4.99%12.非银金融1467.72汽车4973.83 6.93%-6.机械设备1267.57 1.67% 10.26%-7.2.50E+092.00E+091.50E+091.00E+095.00E+080.00E+00上证50ETF期权沪市300ETF期权深市创业板ETF期权科创50ETF期权中金所300指数期权中金所1000期权中金所50股指期权沪市500ETF期权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图表20：股票股指期权持仓量PCR上证50ETF期权沪市300ETF期权深市创业板ETF期权科创50ETF期权图表21：股票股指期权持仓量PCR中金所300指数期权中证1000股指期权中金所50股指期权沪市500ETF期权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图表22：股票股指期权波动率图表23：股票股指期权波动率60%50%40%30%20%10%0%上证50ETF期权沪市300ETF期权深市创业板ETF期权科创50ETF期权2023-08-212023-10-242023-12-192024-02-2270%60%50%40%30%20%10%中金所300指数期权中证1000股指期权中金所50股指期权沪市500ETF期权2023-08-212023-10-242023-12-192024-02-22图表24：股票股指期权当月隐含波动率微笑图表25：股票股指期权当月隐含波动率微笑上证50ETF期权深市创业板ETF期权沪市300ETF期权科创50ETF期权80.9970.9960.9950.9940.9930.9920.9910.990.9960%90%98%103%110%130%图表26：股票股指期权期限结构3025205上证50ETF期权深市创业板ETF期权沪市300ETF期权科创50ETF期权1个月2个月3个月6个月9个月12个月图表28：股指期权交易情绪指标3,9003,8003,7003,6003,5003,4003,3003,2003,1003,000 沪深300指数成交额PCR/成交量PCR32.521.510.502023-11-212024-02-222023-08-212023-11-212024-02-22中金所300指数期权中证1000股指期权 中金所50股指期权沪市500ETF期权80.9970.9960.9950.9940.9930.9920.9910.990.9960%90%98%103%110%130%图表27：股票股指期权期限结构353025205中金所300指数期权中金所50股指期权中证1000股指期权沪市500ETF期权1个月2个月3个月6个月9个月12个月图表29：股指期权交易情绪指标65006000550050004500400035003000 中证1000指数成交额PCR/成交量PCR4.543.532.521.510.502023-11-212024-02-222023-08-212023-11-212024-02-22图表30：股指期权交易情绪指标图表31：股指期权交易情绪指标27002600250024002300220021002000 上证50指数成交额PCR/成交量PCR2.521.510.502023-08-212023-11-072024-01-170.90.80.70.60.50.40.30.20.10 科创50ETF成交额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基差图表35：5年期国债期货主力CTD基差图表36：5年期国债期货活跃可交割券基差 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图表37：2年期国债期货主力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图表38：2年期国债期货活跃可交割券基差10.80.60.40.20-0.2-0.4210002.IB230011.IB210011.IB230017.IB230003.IB230027.IB2023-11-12023-12-12024-1-12024-2-1图表39：30年期国债期货主力CTD基差图表40：30年期国债期货活跃可交割券基差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与CTD成交量T2406IRR与CTD成交量CTD成交量(亿)IRR FR007.IR230028.IB成交量(亿,右轴) 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与CTD成交量TF2406IRR与CTD成交量CTD成交量(亿)IRR FR007.IR230022.IB成交量(亿,右轴) 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与CTD成交量TS2406IRR与CTD成交量CTD成交量(亿)IRR FR007.IR230027.IB成交量(亿,右轴) 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图表47：30年期国债期货主力IRR与CTD成交量6.05.04.03.02.01.00.0TL2406IRR与CTD成交量CTD成交量(亿)IRRFR007.IR2023-04-012023-07-012023-10-012024-01-01160140120100806040200TL2406活跃券IRR与成交量230023.IB成交量(亿,右轴)IRR2.82.72.72.62.62.52.52.42.42.32.32024-01-042024-01-182024-02-012024-02-15120010008006004002000图表49：股指期债走势对比TF2406TL2406TF2406TL2406 TS2406收盘价沪深300主力(右轴)收盘价收盘价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年跨期价差5年跨期价差 2年跨期价差30年跨期价差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日环比（右）3Y10Y5Y7Y2024-02-222024-02-213.53.503.02.52.01.51.02023-04-262023-07-262023-10-262024-01-26日环比（右）3Y10Y5Y7Y2024-02-222024-02-213.53.503.02.52.01.51.02023-04-2620