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Index Futures
(1) Rolling Data for Short Hedging during the Statistical Period:
The optimal rolling contract is IF2012, and the annualized rolling cost is 6.66% to 7.03%;
The optimal rolling contract is IH2012, and the annualized rolling cost is 7.49% to 7.82%;
The optimal rolling contract is IC2012, and the annualized rolling cost is 11.52% to 12.11%.
(2) Rolling Data for Long Hedging during the Statistical Period:
The optimal rolling contract is IF2007, and the annualized rolling return is 13.47% to 15.49%;
The optimal rolling contract is IH2007, and the annualized rolling return is 17.78% to 19.50%;
The optimal rolling contract is IC2007, and the annualized rolling return is 14.05% to 15.25%.
(3) Basis:
Annualized discount rate for the next month contract of IF was 13.88% last Thursday, which is potential gains for long position and potential losses for short positions;
Annualized discount rate for the next month contract of IH was 15.53% last Thursday, which is potential gains for long position and potential losses for short positions;
Annualized discount rate for the next month contract of IC was 18.42% last Thursday, which is potential gains for long position and potential losses for short positions.
(4) Market Impact Cost:
The market impact cost for the current month contract of IF is 0.190 point to 0.207 point;
The market impact cost for the current month contract of IH is 0.187 point to 0.208 point;
The market impact cost for the current month contract of IC is 0.258 point to 0.274 point.
(5) Tick Level Volume Distribution:
The volume distribution for the current month contract of IF last Thursday: volume of 1 lot accounted for 26.70%; volume above 2 lots accounted for 30.16%;
The volume distribution for the current month contract of IH last Thursday: volume of 1 lot accounted for 27.68%; volume above 2 lots accounted for 12.40%;
The volume distribution for the current month contract of IC last Thursday: volume of 1 lot accounted for 25.53%; volume above 2 lots accounted for 34.76%.
Treasury Bond Futures
(1) Basis & IRR:
The basis for T2009 last Thursday was 0.6176 yuan, the IRR was 0.6617%;
The basis for TF2009 last Thursday was 0.6766 yuan, the IRR was 0.5129%;
The basis for TS2009 last Thursday was 0.2785 yuan, the IRR was 1.6733%.
(2) Expected Value of Delivery Option:
The expected value of delivery option for T2009 last Thursday was 0.3344;
The expected value of delivery option for TF2009 last Thursday was 0.3922;
The expected value of delivery option for TS2009 last Thursday was 0.2960.
(3) Curve:
As of last Thursday, the Beta1 was -1.5083, and the weekly average was -1.5856.
As of last Thursday, the spread between 10-year and 5-year Treasury Bonds, 5-year and 2-year Treasury Bonds, 10-year and 2-year Treasury Bonds changed by -9.94bp, -18.02bp, -27.96bp respectively. The curve went flat obviously. Due to the intensive issuance of special bonds, the interest rate of funds returned to the policy interest rate this week, and the yield of short-term treasury bonds rebounded significantly. The yields of 2-year, 5-year, and 10-year treasury bonds rebounded by 38.96, 20.94, and 11.00bp, respectively.
(4) Tick Level Volume Distribution:
The volume distribution for T2009 last Thursday: volume of 1 lot accounted for 17.26%; volume above 10 lots accounted for 5.48%;
The volume distribution for TF2009 last Thursday: volume of 1 lot accounted for 15.77%; volume above 10 lots accounted for 3.04%;
The volume distribution for TS2009 last Thursday: volume of 1 lot accounted for 10.81%; volume above 10 lots accounted for 1.20%.
(5) Sino-US Spread:
The spread between 10-year and 1-year US Treasury Bonds last Thursday was 66.61bp and increased by 13.85bp from the previous week.
The Sino-US spread of 10-year Treasury Bonds was 199.86bp last Thursday and increased by 0.16bp from the previous week, the yields of domestic Treasury Bonds and US Treasury Bonds rebounded by 13.5bp each.
The credit spread of US 5-year corporate bonds decreased by 13.77bp from the previous week to 169345bp; The spread of BB grade corporate bonds decreased by 48.39bp from the previous week to 383.42bp, which remain higher than the level at 90bp and 200bp in January and February this year, and the impact on enterprise credit due to the epidemic cannot be ignored.
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