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Tag Archives: 股指期货,交易
股指期货贴水和短线投机的关系探析
股指期货最近大幅贴水,这种异象其实是一个很好的交易机会,只要卖掉现货,买入股指期货,最多可以拿到年化10%的增强收益,这个贴水的原因很多市场的人也在分析。 最根本的肯定是资金利息,F=S*e^{rT},如果资金利息很高的话,那么股指期货升水是大概率事件,但如果资金利率很低,股指期货倾向于是贴水的。因为资金利息很高,那么持有股票的成本就比较高。而如果不考虑资金利息,一般而言,持有股票有更多的好处,包括税收和其他的,因此不太愿意持有股指期货,那么市场要给这些持有股指期货的一些补偿。 利率是宏观事件,只能解释长期的东西: 美国从2008年开始,利率大幅下调,开始低于股息率。同年,升水天数大幅减少,从2007年的92%下降到68%。之后的2009年至2013年11月15日的1228个交易日,只有13个交易日为正基差,其余都是负基差,负基差天数占到99% 其次就是市场参与者普遍看到的,比如市场情绪和升贴水关系,还有股指期货流动性和升贴水关系,这个就不多说了。 今天我有一个观点,我认为国内股指期货升贴水主要是和短线投机有关,短线投机力量决定了股指期货的升贴水。我理解,股指期货长期持仓基本上都是套保交易者,这些人都是空头仓位。而多头仓位基本上都是短线投机。从贴水深度上也支持这个解释,越远贴水越多(升水越少),当然由于套保者在股指期货里面做很多展期和跨期交易,导致各个月份年化贴水不会很夸张。 短线投机力量的代理变量我用的是成交/持仓,升贴水用的是合成贴水,得到如下图: 我希望得到的结论是成交/持仓这个指标,如果这个指标高,说明投机力量活跃,然后贴水应该减少,如果这个指标趋势走高,贴水应该增加,但是从图上,和我的结论是相反的,没搞明白为啥。