Position trading Position trading means that speculators predict that there will be a rising or falling market in the future, establish corresponding positions at present, and hedge at the end of the future market. This is the strategy used by most professional investors. This trading strategy is characterized by long duration, mainly based on the judgment of fundamental trends, and is one of the most common trading strategies.
Day trading refers to the strategy that speculators only pay attention to the market changes of the day, open positions earlier and end trading before the closing of the day. This is a strategy used by a few non-professional speculators. This kind of transaction is short-term and is often used by primary traders or news groups.
Trading on the daily trading day means that speculators observe the market at any time, even if the fluctuation is not big, they actively participate in it, buy or sell it quickly, and the amount of each transaction is huge, earning meager profits. This strategy is characterized by fast turnover and low profit. Generally, it is a procedural quantitative investment method or a trader operation method. In the treasury bond futures market, unreasonable relationships include the price relationship of the same futures contract in different markets, the price relationship in different delivery months, and the price relationship between different treasury bond futures.
According to these three different price relationships, arbitrage can be divided into cross-market arbitrage, cross-period arbitrage and cross-variety arbitrage.
1. Cross-market arbitrage At present, there are many types and quantities of treasury bonds issued and traded in different markets in China's financial market. Basically, every national debt can be listed and traded in the inter-bank market and the exchange market every year, but there are not many varieties that are actively traded in the exchange. Cross-market arbitrage occurs from time to time, not frequently. At present, treasury bonds futures are only listed on CICC (China Financial Futures Exchange), instead of the treasury bonds futures introduced by 1994, which are listed on Beijing, Shanghai and Shenzhen exchanges. As of February 20 12, there were 136 bonds listed in both the inter-bank market and the exchange market, with a total scale of 4.26 trillion, of which only 2 1 bonds (7 bonds), 02 bonds (3 bonds), 02 bonds (13 bonds) and 03 bonds. Treasury bonds issued in the future are basically not traded on exchanges, so it is difficult to achieve cross-market arbitrage.
Taking the 9203 treasury bond futures listed on 1995 as an example, this paper introduces the cross-market arbitrage strategy.
This is an example of the national debt issued by 1992 being listed and traded together in Beijing and Shanghai. To illustrate this strategy, it will be listed in units of sheets in the future. As can be seen from Table 2, although the profit on June 24th of 1995 reached 2.25 yuan, it is also a good time to close the position, but if there is no such closing time after opening the position, don't worry, you can make a stable net profit/kloc during the delivery period (65438+ 10/65438).
2. Intertemporal arbitrage The so-called intertemporal arbitrage is to establish equal trading positions in different months of the same futures variety, and finally end the transaction through hedging or delivery to obtain income. The simplest intertemporal arbitrage is to buy recent futures and sell forward futures. For example, the treasury bond futures varieties TF 1203 and TF 1209 are currently being simulated. These two varieties are five-year treasury bonds futures, with a face value of 1 10,000 and coupon rate 3%. The delivery dates are March and September respectively, with a difference of half a year.
If we currently buy the 1203 contract and sell the 1209 contract, we will make a profit of 0.39 yuan at that time; We paid 100 yuan when the national debt 1203 contract expired in March, and then we got 100 yuan when the national debt 1209 contract expired in September, with a total profit of 0.39 yuan for half a year. This is an arbitrage strategy that does not calculate the time cost (opportunity cost), which is the most basic principle, but it does not conform to the actual arbitrage operation.
At present, the inter-bank pledged repo rate is relatively high, with 1 month repo rate of 4.6% and half-year repo rate of around 5.2%. If all cash flows can be repurchased or reverse repurchased, and assuming that the repo rate remains unchanged before maturity, the above transactions will have higher opportunity costs. The correct investment strategy should be as follows:
By March 8th, the loss was 0.39× (1+4.6%12) = 0.3915, and by September 14, the profit was100× (1). It can also be understood that if the first method is used, the opportunity cost is 2.2085+0.39 15=2.6 yuan. Of course, in many cases, investors will not wait until the delivery date to make a profit. On the basis of forecasting the direction of unilateral market, investors can hedge through the change of price difference. For example, in Table 5, in the process of declining yield, the future price increase will accelerate, and hedging income can be obtained through reverse hedging.
Under normal circumstances, if we only pay attention to the arbitrage of two varieties of treasury bonds 1203 and 1209, we may miss the arbitrage opportunity with treasury bonds 1206. In order to make effective use of the arbitrage opportunities among these three varieties, we need to introduce a more complex arbitrage strategy: butterfly intertemporal arbitrage.
If we think that the decline in the yield of treasury bonds from March to September will be realized ahead of schedule, that is, the current market price of treasury bonds 1206 futures contract 98 is undervalued in the price timelines constructed by treasury bonds 1203 and 1209, then we can buy treasury bonds 1209 by selling two futures contracts. From February 15 to February 28th, the national debt 1203 rose by 0. 18 yuan, the national debt 1209 rose by 0.49 yuan, and the national debt 1206 rose by 0.4 yuan. Relatively speaking, the national debt 1206 rose.
3. Cross-species arbitrage At present, it is not easy to do cross-species arbitrage in China, mainly because the correlation between the two is not high, such as the stock market and bonds. Although most of them are seesaw relationships, it is difficult to have a stable arbitrage space. We take Shanghai and Shenzhen 300 (2569,438+074,6.72,0.26%) and 10 treasury bonds as examples to introduce how to do cross-species arbitrage. Most of the time, the Shanghai and Shenzhen 300 Index and the 10-year treasury bond yield trend are consistent, but they are not completely consistent. When there is deviation, it is an opportunity to do cross-species arbitrage. For example, in June 2008 and 20 1 1 month in history, the stock index showed signs of decline, but the yield of 10-year treasury bonds kept rising.
If we think that the economy will continue to decline in the future, then buying the yield of 10-year treasury bonds and selling stock index futures will create certain arbitrage space, and the specific portfolio ratio needs to be determined according to the relationship between them.
We also introduced the arbitrage method between spot treasury bonds and treasury bonds futures. For example, the five-year treasury bonds that have just been issued, and the treasury bond futures that have just started to simulate trading, can be arbitrage in theory. 15 February, coupon rate issued 3. 14% five-year bonds with a par price of 100. If yield to maturity is 3%, the value should be 106. 14 yuan.
It can be seen that it is equivalent to two national bonds with the same interest rate of 3%, which were issued in the current period and September respectively, with one price of 100.64 yuan and the other price of 98.2 1 yuan. On February 15, they sold 120003 by short selling, bought 1209 in the futures market, and delivered 120003 in the futures market on September/4 (of course, according to the conversion ratio), and then repaid it to the bondholders. The whole process can realize a net profit of 2.43 yuan on February 15. Hedging refers to trading the same commodity in the spot market and the futures market in the same amount but in the opposite direction, or avoiding the losses caused by future price changes by constructing different combinations.
Single hedging still uses the newly issued 120003 and the futures variety national debt 1209 which has just started to simulate trading to introduce how to hedge. If investors don't know whether the future interest rate will rise or fall when they buy 120003 on February 5, they need to hedge the interest rate risk and get interest income. Then you can sell the national debt 1209 in the futures market at this time.
If the price of national debt 1209 is higher than 98.57 on March 5, the loss will increase; If it is below, there will be a profit, but compared with just buying 120003, the amount and probability of loss will be greatly reduced.
Portfolio hedging, of course, if the five-year treasury bond spot is not used to construct hedging with it, then treasury bond futures can also quickly correct the portfolio duration. At present, the bond futures margin is 3% of the contract value, and the contract targets are all 5-year bonds with coupon rate of 100. The duration arrangement is as follows:
Assuming that the current yield to maturity is 3%, in order to reduce the duration of the portfolio, the reverse position will quickly achieve the effect through the margin advantage. It can be seen that the combination duration is shortened rapidly because the lever is enlarged by 100/3=33.33 times.