关于近期债市调整的衍生品视角分析

An Analysis on the Recent Bond Correction from the Perspective of Derivatives

10月以来,受通胀预期增强、中美贸易磋商向好等因素影响,投资者对债券市场看空情绪显现。同时,期现联动关系明显,主要表现为:利率衍生品引导现货市场价格走势;市场波动性由利率衍生品向现货市场传导;国债期货持仓量变动与现货走势关系紧密;交易型机构投资特性放大期现联动。下一步,需密切关注期货高位持仓对后续债市走势的影响。

Since October,impacted by the strengthened inflation expectation and the positive signs in US-China tradenegotiations,bear fears on the bond market has been rising.At the same time,the futures market has been highlycorrelated with the spot market:the interest rate derivatives led the price trend of the spot market;the market volatilitywas transmitted from interest rate derivatives to the spot market;changes in the bond futures positions were closelyrelated to the swings of cash bonds;and the investment activities of trade-based institutions ampli fied the correlationbetween the futures and spot markets.For the next step,we should pay close attention to the large holdings of futures,which may have impacts on the bond market.