纯苯期货首日策略：绝对价格定价合理，关注反套、PX-BZ

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - Pure benzene futures will be listed on the Dalian Commodity Exchange on July 8, 2025, with night trading available. The initial listing contract months are from March to June 2026, and the BZ2603 contract is expected to be the most actively traded and become the main contract [1]. - The listed price of 5900 yuan/ton for the BZ2603 contract is relatively reasonable. The unilateral strategy on the first day should focus on range - bound operations, with an expected trading range of 5800 - 6050 yuan/ton [2][31]. - For the inter - period strategy, after listing, it is likely to be in a Contango structure. Attention should be paid to the opportunity of physical inter - month reverse arbitrage, such as shorting the near - term pure benzene and buying the BZ2603 contract [2]. - In the cross - variety strategy, attention should be paid to buying PX and shorting BZ. The PX - BZ spread presents a mid - to long - term favorable trend, while the downward squeezing space of the EB - BZ spread is relatively limited [3]. Summary by Directory 1. Pure Benzene Futures Valuation - Analysis of Key Elements of Futures Contracts - Contract Details: The trading unit of pure benzene futures is 30 tons/hand, with a minimum price change of 1 yuan/ton. The initial trading margin is 8%, and the daily price limit is 7% (14% on the first listing day). The contract months are from March to June 2026, and the BZ2603 contract is expected to be the main contract [1][8]. - Delivery Standards: The delivery standard for pure benzene futures is the national standard 545, which is in line with spot market practices. The main delivery areas include Jiangsu, Zhejiang, and Shanghai, with different price adjustments for other regions [2]. - Delivery Area Price Adjustments: Fujian and Guangdong have 0 yuan/ton price adjustments; Shandong has - 50 yuan/ton; Tianjin, Hebei, and Anhui have - 120 yuan/ton; and Liaoning has - 200 yuan/ton. On July 7, 2025, 8 designated delivery factories with a total storage capacity of 225,000 tons and 5 designated delivery warehouses were announced [2][14]. - Other Design Features: The contract design follows the mature model of listed varieties, with delivery systems including one - time delivery, rolling delivery, and delivery against futures. It combines factory and warehouse delivery systems, with factory delivery as the main method. The risk control system includes price limits, position limits, etc. [16][17]. 2. Pure Benzene Futures Valuation - Locating the Cheapest Deliverable Goods - Cheapest Deliverable Goods in the Spot Market: Due to the narrowing quality gap between hydrogenated benzene and petroleum benzene, and considering the price adjustments in different regions, all delivery factory goods can be regarded as the "cheapest deliverable goods" [18]. - Theoretical Calculation of the Spot Price of the Lowest Deliverable Goods: Based on factors such as the Brent 2603 contract price, naphtha price, exchange rate, and market expectations, the reasonable price of the BZ2603 contract is around 5800 yuan/ton. If the crude oil price rebounds to 70 - 75 dollars, the upper limit of the pure benzene price is about 6500 yuan/ton; if it drops to 60 dollars, the lower limit is about 5500 yuan/ton [20]. 3. Supply - Demand Pattern of Pure Benzene - In the first half of 2025, the supply - demand pattern of pure benzene was in surplus, but it is expected to gradually improve in the second half. The growth rate of apparent demand in 2023 and 2024 was 17.2% and 12% respectively, and it is expected to be around 8% in 2025. The core reason is that the new installations of downstream industries are decreasing, while the production pressure from upstream ethylene cracking and toluene disproportionation installations remains [28]. - After the listing of pure benzene futures, the willingness to hold near - term positions may weaken, and the long - term price curve is likely to maintain a Contango structure [28]. 4. Investment Outlook for Pure Benzene Futures - Unilateral Strategy on the First Listing Day: The listed price of 5900 yuan/ton is relatively reasonable. It is recommended to operate in a range - bound manner, with an expected trading range of 5800 - 6050 yuan/ton [31]. - Inter - period Strategy on the First Listing Day: Focus on reverse arbitrage opportunities. The current spot port inventory of pure benzene remains at a high level of 170,000 tons. The total arbitrage cost is about 80.2 yuan/ton [32]. - Cross - variety Strategy on the First Listing Day: Focus on the PX - BZ spread arbitrage. The PX mid - term pattern is significantly better than that of pure benzene, while the downward squeezing space of the EB - BZ spread is relatively limited [3][36].