财通证券：期货｜如何参与曲线形态套利？

Group 1 - The article discusses common arbitrage combinations such as TS2-TF, TS4-T, TF2-T, and T3-TL, which often deviate from the corresponding cash bond yield spread trends due to not achieving duration neutrality, thus failing to immunize against interest rate risk [2][7][20] - It highlights the importance of considering interest rate fluctuations when tracking yield spreads with these arbitrage combinations, suggesting that an ideal approach is to gain potential returns from both yield spreads and unilateral volatility [2][19] - The current duration gaps for various combinations indicate that if interest rates are expected to decline, attention should be paid to opportunities in the 7Y-5Y yield spread narrowing or the 5Y-2Y and 30Y-7Y yield spreads widening [2][20][21] Group 2 - The article emphasizes that the net basis can significantly impact the short-term performance of arbitrage combinations, advising that when constructing these combinations, the overall net basis level should be considered [2][15][17] - It notes that the historical performance of net basis fluctuations has been limited to a range of ±1 yuan, with recent trends showing a convergence to around ±0.5 yuan, indicating a reduced impact on combination value [15][17] - The report suggests that when engaging in curve shape arbitrage, it is crucial to consider both the current yield spread position and the duration gap, as well as the expected direction of future interest rate movements [19][20][26]