Group 1: Report General Information - Report Name: Cotton, Cotton Yarn Daily Report [2] - Date: August 13, 2024 [2] - Researcher: Liu Qiannan [2] Group 2: Market Information Futures Market - CF01 contract closed at 14130, up 150, with a trading volume of 359,282 hands (an increase of 175,100) and an open interest of 455,926 (an increase of 42,969) [3] - CF05 contract closed at 14090, up 180, with a trading volume of 19,441 hands (an increase of 10,428) and an open interest of 38,510 (an increase of 6,918) [3] - CF09 contract closed at 13830, up 95, with a trading volume of 131,743 hands (an increase of 35,958) and an open interest of 179,148 (a decrease of 32,545) [3] - CY01 contract closed at 20165, up 185, with a trading volume of 301 hands (an increase of 95) and an open interest of 385 (an increase of 57) [3] - CY05 contract closed at 20345, up 275, with a trading volume of 13 hands (an increase of 10) and an open interest of 6 (an increase of 1) [3] - CY09 contract closed at 20115, up 120, with a trading volume of 389 hands (a decrease of 117) and an open interest of 1112 (a decrease of 188) [3] Spot Market - CCIndex3128B was priced at 15,188 yuan/ton, up 27 [3] - Cot A was priced at 78.20 cents/pound, up 0.20 [3] - (FC Index):M: arrival price was 76.05 cents/pound, up 0.10 [3] - Polyester staple fiber was priced at 7,450 yuan/ton, up 70 [3] - Viscose staple fiber was priced at 12,900 yuan/ton, unchanged [3] - CY IndexC32S was priced at 20,620 yuan/ton, down 20 [3] - FCY IndexC33S was priced at 22,149 yuan/ton, up 19 [3] - Indian S - 6 was priced at 54,000 yuan/ton, unchanged [3] - Pure polyester yarn T32S was priced at 11,030 yuan/ton, unchanged [3] - Viscose yarn R30S was priced at 17,250 yuan/ton, unchanged [3] Spreads - Cotton inter - month spreads: 1 - 5 spread was 40, down 30; 5 - 9 spread was 260, up 85; 9 - 1 spread was - 300, down 55 [3] - Cotton yarn inter - month spreads: 1 - 5 spread was - 180, down 90; 5 - 9 spread was 230, up 155; 9 - 1 spread was - 50, down 65 [3] - Cross - variety spread: CY01 - CF01 spread was 6035, up 35; CY05 - CF05 spread was 6255, up 95; CY09 - CF09 spread was 6285, up 25 [3] - Domestic - foreign spreads: 1% tariff domestic - foreign cotton spread was 1413, down 23; sliding - scale tariff domestic - foreign cotton spread was 714, down 12; domestic - foreign cotton yarn spread was - 22149, down 20639 [3] Group 3: Market News and Views Cotton Market News - In the US cotton main production areas (accounting for 92.9% of the output), the average temperature was 82.14°F, 3.25°F lower than the same period last year, and the average rainfall was 0.72 inches, 0.11 inches higher than the same period last year. In Texas, the average temperature was 86.22°F, 1.17°F lower than the same period last year, and the average rainfall was 0.4 inches, 0.18 inches higher than the same period last year. The cotton growth rate was slightly behind, but the growth quality was good [6] - According to the latest USDA production and sales forecast, in August, the global cotton output was adjusted down by 390,000 tons to 25.39 million tons, the total consumption decreased by 30,000 tons to 25.69 million tons, and the ending inventory decreased by 740,000 tons to 16.09 million tons [6] - The estimated US cotton planting area in August was 9.28 million acres, a decrease of 840,000 acres from the previous month. The abandonment rate increased by 6.26%, and the yield per acre increased by 53 pounds to 862 pounds [6] Trading Logic - Macroeconomically, after the recent China - US talks, the current tariffs are expected to be extended by 90 days with a high probability, and the short - term impact of tariffs may be weakened. China's anti - involution policies have a certain positive impact on commodities. Fundamentally, the current cotton supply is still tight, and whether the market will issue additional sliding - scale tariff quotas in the future will be the main influencing factor on the supply side. In August, demand will gradually shift from the off - season to the peak season, and demand is expected to improve. If demand fails to meet expectations, it will have a certain negative impact on Zhengzhou cotton. Overall, short - term market bullish factors are relatively clear, and it is expected that the downward space of Zhengzhou cotton is limited, and it will probably maintain a slightly stronger oscillating trend [7] Trading Strategies - Unilateral: It is expected that the future trend of US cotton will probably be slightly stronger in oscillation, and Zhengzhou cotton is expected to maintain a slightly stronger oscillating trend in the short term, but the upward space is relatively limited [8] - Arbitrage: Wait and see [9] - Options: Sell put options [10] Cotton Yarn Industry News - This week, Zhengzhou cotton rebounded. With the approaching peak season, the pure cotton yarn market has slightly improved, with fewer low - price resources and a slightly higher trading center. However, market operations are still cautious, and downstream fabric mills and traders have not made large - scale replenishment. It is expected that yarn prices will remain stable in the short term [10] - The overall demand for all - cotton grey fabrics has not been significantly released. Only some areas reported a slight improvement in demand compared with July. Fabric mills said they were actively clearing inventories, and the growth rate of grey fabric inventory has decreased. Fabric mills reported an increase in samples, but most real orders have not been placed. Prices are mainly stable, and real - order prices are still negotiated based on quantity. Continuously monitor market dynamics [10] Group 4: Options Option Contract Information - On August 13, 2025, the CF601C14000.CZC option contract had a closing price of 396.00, up 34.7%, with an implied volatility of 10.2% [14] - The CF601P13600.CZC option contract had a closing price of 131.00, down 24.3%, with an implied volatility of 10.3% [14] - The CF601P13400.CZC option contract had a closing price of 82.00, down 31.7%, with an implied volatility of 10.3% [14] Volatility and Strategy - Today, the 120 - day HV of cotton was 10.2534, and the volatility slightly increased compared with the previous day. The implied volatility of CF601 - C - 14000 was 10.2%, that of CF601 - P - 13600 was 10.3%, and that of CF601 - P - 13400 was 10.3% [14] - Today, the position PCR of the main Zhengzhou cotton contract was 0.7270, and the trading volume PCR of the main contract was 0.2862. The trading volumes of both call and put options increased. The option strategy is to sell put options [15][16]
银河期货棉花、棉纱日报-20250813
Yin He Qi Huo·2025-08-13 14:44