净基差的“双因子”框架

BNOC's Dual Factor Framework

净基差是国债期货套利交易的重要参考指标,很多套利的盈亏均与净基差的变化有关,本文认为转换期权价值是影响净基差的重要因子,但不是影响净基差的唯一因子。本文将净基差与转换期权的这个"差值"定义为"除权后净基差"。"除权后净基差"主要是由市场情绪引起的,因此提出分析净基差的"双因子框架":净基差的变化由转换期权价值和市场情绪共同决定。

Basis net of carry, or BNOC, is an important reference index for treasury futures arbitrage transactions. In many cases, arbitrage profits and losses are related to changes in BNOC. This paper concludes that the conversion option value is an important factor affecting BNOC, though it is not the only factor. The difference between BNOC and the conversion option is defined as ＂ex-dividend BNOC.＂, and this is mainly a reflection of market sentiment. The paper concludes that changes in BNOC are determined by both the conversion option value and market sentiment.