FangQuant › Financial Futures
(1) Index Futures
Rolling Data for Short Hedging during the Statistical Period
The optimal rolling contract is IF2103, and the annualized rolling cost is 2.83% to 3.31%;
The optimal rolling contract is IH2103, and the annualized rolling cost is 0.58% to 1.02%;
The optimal rolling contract is IC2103, and the annualized rolling cost is 8.96% to 9.95%.
Rolling Data for Long Hedging during the Statistical Period
The optimal rolling contract is IF2009, and the annualized rolling cost is 6.24% to 6.97%;
The optimal rolling contract is IH2009, and the annualized rolling cost is 1.90% to 2.63%;
The optimal rolling contract is IC2009, and the annualized rolling cost is 10.92% to 12.72%.
Basis
Annualized discount rate for the next month contract of IF was 5.48% 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 1.65% 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 13.62% last Thursday, which is potential gains for long position and potential losses for short positions.
Market Impact Cost
The market impact cost for the current month contract of IF is 0.279 point to 0519 point;
The market impact cost for the current month contract of IH is 0.306 point to 0.509 point;
The market impact cost for the current month contract of IC is 0.438 point to 0.952 point.
Tick Level Volume Distribution
The volume distribution for the current month contract of IF last Thursday: volume of 1 lot accounted for 14.55%; volume above 2 lots accounted for 62.15%;
The volume distribution for the current month contract of IH last Thursday: volume of 1 lot accounted for 27.30%; volume above 2 lots accounted for 26.12%;
The volume distribution for the current month contract of IC last Thursday: volume of 1 lot accounted for 17.48%; volume above 2 lots accounted for 54.22%.
(2) Treasury Bond Futures
Basis & IRR
The basis for T2009 last Thursday was 0.3281 yuan, the IRR was 0.6258%;
The basis for TF2009 last Thursday was 0.2087 yuan, the IRR was 1.0093%;
The basis for TS2009 last Thursday was 0.0726 yuan, the IRR was 2.1649%.
Expected Value of Delivery Option
The expected value of delivery option for T2009 last Thursday was 0.1893;
The expected value of delivery option for TF2009 last Thursday was 0.1080;
The expected value of delivery option for TS2009 last Thursday was 0.0168.
Curve
As of last Thursday, the Beta1 was -1.2837, and the weekly average was -1.3059.
The spread between 10-year and 5-year contracts was 26.85bp and 3.59bp higher from the previous week, the spread between 5-year and 2-year contracts was 26.00bp and 2.14bp higher from the previous week, and the spread between 10-year and 2-year contracts was 52.85bp and 6.20bp higher from the previous week. Due to the decline in the popularity of the stock market, the suppression of the bond market has weakened, and the bond market has begun to repair the market. The bonds from 2 years to 5 years with the larger decline in the previous period has increased significantly. In the last week, yields of 10-year, 5-year and 2-year bonds declined by 3.95bp, 7.54bp and 10.15bp, respectively.
Tick Level Volume Distribution
The volume distribution for T2009 last Thursday: volume of 1 lot accounted for 17.09%; volume above 10 lots accounted for 6.29%;
The volume distribution for TF2006 last Thursday: volume of 1 lot accounted for 14.80%; volume above 10 lots accounted for 1.73%;
The volume distribution for TS2006 last Thursday: volume of 1 lot accounted for 5.44%; volume above 10 lots accounted for 0.83%.
Sino-US Spread
The spread between 10-year and 1-year US Treasury Bonds last Thursday was 44.29bp and decreased by 3.69bp from the previous week.
The Sino-US spread of 10-year Treasury Bonds was 233.06 bp last Thursday and increased by 0.96bp from the previous week, and both US and Chinese Treasury yields have dropped.
The spread of US 5-year corporate bonds was 128.61bp last Wednesday and decreased by 9.58bp from the previous week; The spread of BB grade corporate bonds was 341.29bp and decreased by 47.72bp from the previous week. Credit spreads remain significantly higher than normal level (90bp、200bp) in January and February this year, and the default risk cannot be ignored.
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