年末“期-现”波动的新特征和应对

Group 1 - The report highlights that the bond market experienced significant volatility at the end of 2025, with a notable increase in trading volume contrary to typical year-end trends, indicating a dominant position of short positions and profit-taking strategies [7][8]. - The report identifies two main reasons for the observed market behavior: persistent bearish sentiment and speculative trading strategies that exploit low trading volumes to create market fluctuations [8][9]. - It suggests that in a low-interest-rate and high-volatility environment, such phenomena are likely to increase, recommending two strategies for investors: hedging strategies for those seeking to smooth volatility and reverse trading strategies for those looking to capitalize on price corrections [9][11]. Group 2 - The report discusses the outlook for government bond futures, indicating that the cost-effectiveness of positive spread strategies is currently low due to a significant bearish sentiment, with IRR values for main contracts showing a decline [16]. - It emphasizes the importance of monitoring long-end basis convergence opportunities, as recent market conditions have led to a widening of basis spreads, suggesting potential for mean reversion [19]. - The report notes limited short-term trading opportunities in cross-period strategies due to consistent price movements across contracts, recommending a cautious approach [21]. Group 3 - The report outlines a curve strategy that suggests potential for flat trading opportunities post-holiday, as the long-end and ultra-long-end segments have shown significant declines, indicating a possible rebound [24].