南华煤焦产业风险管理日报-20250730

1. Report Industry Investment Rating - Not provided in the document 2. Core Viewpoints of the Report - Last week, the main coal and coking contracts hit the daily limit continuously, and the short - term price deviated from the fundamentals. The Dalian Commodity Exchange took position - limit measures for coking coal. The market sentiment cooled down significantly at the beginning of the week, but the overall upward trend remained unchanged. The "anti - involution" policy expectation supported commodity prices, and the pre - parade production restrictions provided a floor for the prices of the black series. In the short term, coal and coking prices were likely to rise rather than fall. It was necessary to be vigilant against the callback risk caused by the macro - policy falling short of expectations. In terms of operation, due to the intense capital game, it was recommended to wait and see for unilateral trading, and to focus on the reverse spread of coking coal 9 - 1 for arbitrage [4]. 3. Summary by Relevant Catalogs 3.1 Price Forecast and Strategy - Price Forecast: The monthly price range forecast for coking coal is 1030 - 1300, with a current 20 - day rolling volatility of 32.68% and a historical percentile of 63.87%. For coke, the price range is 1350 - 1800, with a current 20 - day rolling volatility of 25.37% and a historical percentile of 49.13% [3]. - Risk Management Strategy: For the arbitrage scenario of inter - month arbitrage with no spot exposure, it is recommended to short the spread between coking coal contracts 9 - 1 (jm2509&jm2601), with a selling direction and a suggested entry range of (-40, -30) [3]. 3.2 Black Warehouse Receipt Daily Report - Inventory Changes: On July 29, 2025, compared with July 28, 2025, the inventory of rebar increased by 594 tons to 85034 tons; the inventory of hot - rolled coils decreased by 590 tons to 57772 tons; the inventory of iron ore remained unchanged at 3400 hands; the inventory of coking coal decreased by 500 hands to 0 hands; the inventory of coke remained unchanged at 760 hands; the inventory of ferrosilicon decreased by 6 sheets to 22003 sheets; and the inventory of silicomanganese decreased by 454 sheets to 78736 sheets [3]. 3.3 Analysis of Core Contradictions - Market Trend: The short - term price of coal and coking deviated from the fundamentals, but the overall upward trend remained. The "anti - involution" policy expectation and pre - parade production restrictions supported the prices, making them likely to rise. However, there was a risk of callback due to macro - policy falling short of expectations. It was recommended to wait and see for unilateral trading and focus on the reverse spread of coking coal 9 - 1 for arbitrage [4]. 3.4 Interpretation of Bullish and Bearish Factors - Bullish Factors: The expectation of "anti - involution" in coal mines still exists, and the production increase space of mines in the second half of the year may be limited; downstream steel mills have good profits, providing a basis for raw material price increases; the Fourth Plenary Session in October [5]. - Bearish Factors: The import profit of overseas coal has recovered, and there will be pressure on subsequent arrivals; the customs clearance of Mongolian coal has resumed, with more than 1000 trucks per day currently; off - balance - sheet inventory of futures and spot has flowed into the market, putting pressure on spot prices [5]. 3.5 Coal and Coking Prices - Warehouse Receipt Cost and Basis: The document provides the warehouse receipt cost and basis data of coking coal (including different varieties such as Tangshan Mongolian 5) and coke (including different delivery methods and regions). For example, the warehouse receipt cost of Tangshan Mongolian 5 coking coal is 1008, and the main basis is - 109.5 [7]. - Spot Price: The document shows the spot prices of various coal and coking products on July 30, 2025, July 29, 2025, and July 23, 2025, as well as their daily and weekly changes. For example, the ex - factory price of Anze low - sulfur main coking coal is 1450 yuan/ton, with no daily change and a weekly increase of 70 yuan/ton [8]. - Profit: Data on import profits of various types of coal (such as Mongolian coal, Australian coal, and Russian coal), export profits of coke, and coking profits are provided. For example, the import profit of long - term contract Mongolian coal is 368 yuan/ton, with a daily decrease of 28 yuan/ton and a weekly increase of 162 yuan/ton [8].