0902｜Z券交易员抢购保护以防范国z收益率飙升

Bloomberg

https://www.bloomberg.com/news/articles/2026-09-01/bond-traders-snap-up-protection-against-soaring-treasury-yields

Traders are scrambling to shield their portfolios against further losses in Treasuries, as worries over the budget deficit and inflation push yields toward multiyear highs.

交易员们正争相对冲投资组合，以防范美国国债的进一步亏损，因为对预算赤字和通胀的担忧推

动收益率升至多年高位。

Investors have shelled out millions of dollars over recent sessions on Treasury options that would benefit if yields continued climbing. Standouts include a Monday Treasury Options Trade Targets Long-End Yields Rising to 5.7% that took a $6.5 million position targeting the 30-year yield rising to as high as 5.7% by the end of November. The yield on the long bond stood at around 5.25% on Tuesday, less than 10 basis points off a 19-year peak reached last month.

最近几个交易日，投资者在美国国债期权上投入数百万美元，这些期权将在收益率持续攀升时获益。引人注目的交易包括周一的一笔美国国债期权交易，其目标是长端收益率升至 5.7%，该交易以 650 万美元的头寸押注 30 年期收益率在 11 月底前升至 5.7%。周二，长期国债收益率报在 5.25% 左右，距上月触及的 19 年高点不到 10 个基点。

“Right now, it’s difficult to see a change in fortune for bonds,” said David Roberts, head of fixed income at Nedgroup Investments. “Certainly, a long-term solution to the Iranian situation would help.”

"目前看来，债券命运很难逆转，"Nedgroup Investments 固定收益主管 David Roberts 表示，“当然，伊朗问题的长期解决方案会有所帮助。”

Other positions established on Monday, New Risk in SOFROptions Favors Upside Protection: Open Interest in CME open interest data, covered scenarios targeting 10-year yields trading up to around 4.85% and 5-year yields rising to 4.6% over the coming weeks. The 10-year yield hit 4.8% during Tuesday’s session, its highest since 2025.

周一建立的其他头寸包括，SOFR 期权出现了新的风险，倾向于上行保护：从 CME 未平仓数据看，涵盖的情景包括未来几周 10 年期收益率升至约 4.85%、5 年期收益率升至 4.6%。周二交易时段，10 年期收益率触及 4.8%，为 2025 年以来最高。

The rush to hedge comes on the back of a global slide in bond prices, which are being squeezed by a range of catalysts including ongoing fiscal challenges and a war-fueled oil price surge that has further stored inflation fears. Investors have been particularly keen to avoid longer-dated tenors, which are more sensitive to inflation risks: The 30-year yield has averaged 4.96% year-to-date, on track for the highest annual level since 2004, according to Bloomberg data.

这轮对冲热潮的背景是，全球债券价格下跌，而债券价格正受到一系列因素的挤压，包括持续的财政挑战，以及战争推动的油价飙升进一步加剧了通胀担忧。投资者尤其热衷于回避对通胀风险

更敏感的较长年期债券：据彭博数据，30 年期收益率今年迄今平均为 4.96%，有望创下 2004 年以来最高年度水平。

Meanwhile, Germany’s 30-year yields touched the highest since 2011 on Tuesday, and the equivalent UK rate rose to a level last seen in 1998 while Australian peers set a fresh record high, in data going back to 2016.

与此同时，德国 30 年期收益率周二触及 2011 年以来最高水平，英国同期限收益率升至 1998 年以来高位，而澳大利亚同期限收益率则创下 2016 年有数据以来的历史新高。

Investor unease over bond prices has persisted even after Treasury Secretary Scott Bessent announced expanded buybacks last month in an effort to keep yields contained. Options skew on long-bond futures, which is favoring puts, shows that traders are starting to pay a higher premium for hedging a bond market selloff over a rally.

即便美国财政部长 Scott Bessent 上月宣布扩大回购以遏制收益率，投资者对债券价格的担忧依然持续。长期国债期货期权偏斜正偏向看跌期权，

表明交易员开始为对冲债券市场下跌而非上涨支付更高的权利金。

At the same time, September’s Federal Reserve meeting could test Chairman Kevin Warsh’s determination to raise interest rates in the face of stubborn inflation. Traders on Tuesday were pricing in some 17 basis points of tightening at the Fed’s Sept. 15-16 meeting, or odds near 70%, following Warsh’s hawkish speech at Jackson Hole last week.

与此同时，9 月的美联储会议将考验主席 Kevin Warsh 在顽固通胀面前加息的决心。继 Warsh 上周在杰克逊霍尔发表鹰派讲话后，周二交易员已消化美联储 9 月 15-16 日会议约 17 个基点的紧缩预期，即概率接近 70%。

“Bond anxiety will likely persist at the long end, not the short end that the Fed controls,” said Ashok Bhatia, CIO and global head of fixed income at Neuberger Berman.

"债券焦虑很可能持续存在于长端，而不是美联储控制的短端，"Neuberger

Berman 首席投资官兼固定收益全球主管 Ashok Bhatia 表示。

In the cash market, investors are showing more conviction, with neutral positioning dropping to the lowest since September 2025, according to JPMorgan’s latest Treasury client survey. Both outright long and short positions rose over the week.

在现货市场，投资者表现出更强的信心。根据摩根大通最新的美国国债客户调查，中性持仓降至 2025 年 9 月以来最低。当周，直接多头和直接空头头寸均有所增加。

Here’s a rundown of the latest positioning indicators across the rates market:

以下是整个利率市场最新持仓指标概览：

JPMorgan Treasury Client Survey

摩根大通美国国债客户调查

In the week to Aug. 31, outright long and short positions both rose by 2 percentage points, with neutrals dropping 4 percentage points to the fewest since September 2025. Outright long positions are now most since November 2025, with outright short positions most since May 2026.

截至 8 月 31 日当周，直接多头和直接空头头寸均上升 2 个百分点，中性头寸下降 4 个百分点，降至 2025 年 9 月以来最低。直接多头头寸目前为 2025 年 11 月以来最多，直接空头头寸为 2026 年 5 月以来最多。

SOFR期权持仓情况

Across SOFR Sep26, Dec26 and Mar27 options the 96.25 strike was notably active over the past week, equivalent to a yield of 3.75%. There has been a large amount of new call risk added in Sep26 and Dec26 options around the strike, with recent flows including a large buyer of Dec26 96.25/96.3125 call spreads. The 96.3125 strike has also been active in Dec26 calls due to recent trades including outright buying in the strike vs. selling SOFR Mar27 95.875 straddles along with SFRZ6 96.25/96.3125 call spreads.

在 SOFR Sep26、Dec26 和 Mar27 期权中，96.25 行权价在过去一周表现尤为活跃，该行权价相当于 3.75% 的收益率。围绕该行权价，Sep26 和 Dec26 期权新增了大量看涨风险，近期资金流包括一位大额买家买入 Dec26 96.25/96.3125 看涨价差。96.3125 行权价在 Dec26 看涨期权中也很活跃，近期交易包括直接买入该行权价，同时卖出 SOFR Mar27 95.875 跨式组合以及 SFRZ6 96.25/96.3125 看涨价差。

Open interest has extended in the 96.25 strike over the past week, which continues to stand as the most populated given the large amount of risk seen via Sep26 and Dec26 calls. The 96.3125 strike is the second most populated, where a large amount of Sep26 calls open interest remains.

过去一周，96.25 行权价的未平仓合约持续增加，鉴于 Sep26 和 Dec26 看涨期权存在大量风险，该行权价仍是持仓最集中的行权价。96.3125 行权价是持仓第二集中的行权价，其中仍有大量 Sep26 看涨期权未平仓合约。

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