An Empirical Analysis On The Basis Transaction Of Treasury Bonds

China Financial Futures Exchange had launched a five-year bond futures contract on September 6,2013. On March 20,2015, the China Financial Futures Exchange launched a 10-year bond futures. The five-year treasury bonds futures market did work well. But some datas showed that the basis sometimes showed a trend of expansion. So I found that treasury bonds futures basis trading opportunity was of great significance. Compared with the national debt futures speculation, Basis trading have a lower risk.This paper firstly introduces the concept、 the characteristics and the basic function of national debt futures. In addition, also introduces the elements of bond futures,including CF、 CTD and the theory of pricing.Then this paper mainly introduces the current situation of bond futures, including development history at home and abroad.Then this paper mainly introduces the principle of national debt futures basis trading and it explains why the treasury futures basis trading imply a options. In addition, it gives the formula of total revenue.Finally this paper introduces an empirical analysis of the national debt futures basis trading. It proves that the market has some basis trading opportunities and then reachs the conclusions and policy suggestions.