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× (14.6%12) = 0.3915, and by September14, the profit100× (15. It can also be understood that the opportunity cost is 2. 20850. According to the first method, 39438+05 = 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.
Cross-species arbitrage is not easy to do cross-species arbitrage in China, mainly because the correlation between them is not high, such as 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. /kloc-5-year treasury bonds issued in February of 0/5, coupon rate 3. 14%, 100. If it is 3% yield to maturity, the value should be 100.64 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.