投资咨询业务资格：证监许可【2012】669号 中信期货研究|⾦融衍⽣品策略⽇报 2025-10-17 股指期权⽅⾯，昨日标的市场乐观情绪继续，但整体略有分化，中小 盘弱于大盘。期权市场成交额103.62亿元，相较前一日下降14.01%，其中 50、300相关品种流动性逆势上升。从成交占比来看，50ETF、300ETF日内 认购也相对积极，但是从比值PCR来看，认购交易虚值程度有所下行，原 因或在于午后回撤导致日内平仓止盈较多，同时带动持续低位的偏度有所 升高。前一日提到仍旧乐观的卖方情绪今日也在大盘品种上持续回升，中 期观点无太大变化，仍是看好市场不出现急跌，因此操作层面可继续备兑 或日内双卖。 国债期货⽅⾯，周四收盘表现分化，30年期主力合约涨0.42%，10年 期主力合约涨0.06%，5年期主力合约跌0.01%，2年期主力合约跌0.01%， 银行间主要利率债收益率多数下行，曲线整体走平。昨日，央行公开市场 操作单日净回笼3760亿元，DR007加权平均利率小幅上行至1.42%附近，但 资金面整体仍维持偏宽松，对债市有所支撑。昨日，权益市场缩量震荡， 整体赚钱效应较弱，风险偏好下行对债市长端有所支撑。此外 ...

Group 1 - The bond market has shown resilience in September, but some ultra-long bond yields have slightly increased against the trend, with "bond switching" becoming a key factor driving market movements [1][2] - As of September 4, the yield on the 10-year government bond (active bond 250011) rose by 0.75 basis points to 1.755%, while the 30-year government bond (active bond 2500002) increased by 1.15 basis points to 2.0085% [1] - The trading volume of the ultra-long government bond "25 Ultra Long Special Government Bond 06" has surged, with nearly 900 trades over three consecutive days, indicating a shift in market focus towards new bonds [2][3] Group 2 - The process of "bond switching" typically involves a shift in market pricing towards newly issued bonds due to their interest rate advantages and improved liquidity, leading to a decline in trading volume of older bonds [3] - The issuance schedule for the 30-year ultra-long special government bonds is relatively fast, with three more issuances planned in September and October, suggesting a potential for higher cost-effectiveness in pre-switch configurations [3] - The trading behavior indicates that the main sellers of ultra-long bonds are insurance funds and mutual funds, while banks and brokerages are the primary buyers, reflecting a strategic shift in market participation [3][6] Group 3 - Market sentiment appears to be at a short-term turning point, influenced by the "stock-bond seesaw" effect, with overall bond market performance being strong despite the rapid rise in long-end bond yields at the end of the trading day [6] - Future fluctuations in ultra-long bond rates may require stronger consensus expectations, potentially driven by a systemic weakening of market risk appetite or additional monetary easing from the central bank [6] - If the stock market continues its consolidation phase, the bond market is expected to remain within a volatile range, while a stock market recovery could test the upper limits of current bond market fluctuations [6]

Report Industry Investment Rating No relevant content provided. Core Viewpoints - On August 22, 2025, key - term treasury bonds were newly issued after the levy of coupon VAT. The coupon rate of 10Y25 Treasury Bond 16 (2516) is 1.83%, and that of 30Y25 Ultra - long Special Treasury Bond 06 (25T6) is 2.15%. Whether 2516 and 25T6 can become active bonds is the key to the rationality of their issuance pricing [1][7]. - For 30Y treasury bonds, there are three possibilities for the next active bond: 25 Ultra - long Special Treasury Bond 02 may remain active throughout the year; the active bond may switch to 25T6; or it may switch to 25 Treasury Bond 02. If 25T6's actual issuance scale is close to the estimated scale, it is likely to become the next active bond and has investment value [2][10]. - For 10Y treasury bonds, 25 Treasury Bond 11 may remain active for some time due to market investment habits, but 2516 has the possibility of quickly switching to the active bond. If it switches successfully, it has certain cost - effectiveness with an implied tax rate of 3.77% when priced with reference to the active bond [3][16]. Summary by Relevant Catalog 1.1 Subsequent 30Y Treasury Bond Active Bond Possibility Analysis - **Estimated Scale of 25T6**: According to the issuance plan, 25T6 will have three more consecutive issuances in September and October. Assuming 20Y and 50Y consecutive issuances are based on the recent issuance scale of 35 billion yuan, 25T6's total scale may reach 317 billion yuan, higher than 25 Ultra - long Special Treasury Bond 05 but slightly lower than 25 Ultra - long Special Treasury Bond 02 [8]. - **Estimated Scale of 25 Treasury Bond 02**: In 2025, 25 Treasury Bond 02 will have two consecutive issuances in November and December. Assuming each issuance is 78 billion yuan, its final scale is expected to reach 273 billion yuan, less than the estimated scale of 25T6 [9]. - **Next 30Y Treasury Bond Active Bond Possibility**: Since 2020, most 30Y treasury bonds can remain active for over 150 days after becoming active bonds, and generally become active within 60 days after the first issuance. The average proportion of the issuance scale when becoming an active bond to the final scale is 54%. There are three possibilities for the next active bond: 25 Ultra - long Special Treasury Bond 02 may remain active, in which case 25T6 may have low value; the active bond may switch to 25T6, which has high cost - effectiveness; or it may switch to 25 Treasury Bond 02, but the probability is low. If 25T6's actual scale is close to the estimated one, it is likely to become the next active bond [2][10]. 1.2 Subsequent 10Y Treasury Bond Active Bond Possibility Analysis - **Historical 10Y Treasury Bond Active Bond Situation**: Since 2020, 10Y treasury bonds generally remain active for about three months after becoming active bonds and usually become active within one month after issuance. Since 2024, the issuance scale has become an important factor affecting whether a 10Y treasury bond can become an active bond [15]. - **Estimated Scale of 2516**: If 2516 is issued consecutively based on the current issuance scale, its final scale is expected to be 462.03 billion yuan, slightly lower than the current active bond 25 Treasury Bond 11, but still a large - scale 10Y treasury bond [15]. - **Possibility of 2516 Becoming Active Bond**: 25 Treasury Bond 11 may remain active for some time due to market investment habits, but 2516 has the possibility of quickly switching to the active bond. After the first consecutive issuance, if it switches successfully, it has certain cost - effectiveness with an implied tax rate of 3.77% when priced with reference to the active bond [3][16].

[Table_IndNameRptType]2 固定收益 固收周报 今年个券博弈的五个新规律 ——利率周记（6 月第 3 周） 报告日期： 2025-06-17 [Table_Author] 首席分析师：颜子琦 执业证书号：S0010522030002 电话：13127532070 邮箱：yanzq@hazq.com [Table_Author] 研究助理：洪子彦 执业证书号：S0010123060036 电话：15851599909 邮箱：hongziyan@hazq.com 主要观点： 敬请参阅末页重要声明及评级说明 证券研究报告 [Table_Report] [Table_CompanyRptType] 固收周报 ⚫[Table_Summary] 债市震荡+重交易，关注个券利差变化的三个新特征 今年以来，债市更加重交易。在十年国债 1.65%的背景下，资本利得占综合收 益比例较往年明显增加，债市交易的重要性提升。 在当前震荡市环境下，寻找个券的利差机会被投资者愈加重视。在以往的趋 势性行情中，同一期限段的活跃券、次活跃券以及次次活跃券收益率走势通常 整体大幅变动，其相对利差的变化影响较小，趋势性行情下博 ...