20230606-银河期货-国债期货每日数据跟踪_16页

Summary of Financial Derivatives Research: June 6, 2023 Daily Tracking Report

Overall Overview

The report tracks data for key CFE contracts on June 6, 2023. Key areas include volume/price movements, basis data, roll-over status, and cross-product analysis. Overall, trading activity saw mixed changes in volume,持仓, and net positions across brokers. Basis analysis provides scenarios for convergence, and roll-over costs are low, with shift near completion.

Volume and Price Data (Summary)

• TCFE:主力合约 T2309CFE closed at 10162元, up 0.015元. Total volume increased slightly, holdings rose; net long positions from major seats +8505 hands.

• TFCFE:主力合约 TF2309CFE closed at 101895元, up 0.0095元. Volume and holdings mixed; net positions show slight changes.

• TSCFE:主力合约 TS2309CFE closed at 101275元, up 0.0065元. Volume and holdings increased; net long slightly negative.

• TLCFE:主力合约 TL2309CFE closed at 9707元, up 0.015元. Volume and holdings decreased moderately.

Basis Data Summary

• Basis values reported: TCFE +0.038元 (yield 2.735%), TFCFE +0.026元 (yield 2.445%), TSCFE +0.009元 (yield 2.235%), TLCFE +0.063元 (yield 3.136%). Scenarios show potential basis convergence or divergence based on yield changes.

Roll-over Data

• All contracts show low to moderate roll-over costs (e.g., TCFE 0.87%, TSCFE 0.21%), with completion degrees high (80-95%), indicating near completion.

Cross-Product Data

• Limited information, with most sections empty or not detailed.

Key Observations

• Volume and price changes were mixed, with TCFE and TSCFE showing more activity.
• Basis analysis emphasizes convergence risks under different yield scenarios.
• Low roll-over costs suggest smooth transitions, but net positions vary by contract.