银河期货棉花、棉纱日报-20250821

Group 1: Report Overview - Report Title: Cotton and Cotton Yarn Daily Report [2] - Date: August 21, 2024 [2] - Researcher: Liu Qiannan [2] Group 2: Market Information Futures Market - CF01 contract closed at 14030, down 25; trading volume was 145,497 lots, a decrease of 137,731 lots; open interest was 481,950 lots, an increase of 3,484 lots [3] - CF05 contract closed at 14005, down 35; trading volume was 5,618 lots, a decrease of 11,691 lots; open interest was 54,311 lots, an increase of 863 lots [3] - CF09 contract closed at 13770, down 30; trading volume was 23,693 lots, a decrease of 21,059 lots; open interest was 96,107 lots, a decrease of 9,010 lots [3] - CY01 contract closed at 20055, down 30; trading volume was 54 lots, a decrease of 86 lots; open interest was 373 lots, a decrease of 23 lots [3] - CY05 contract closed at 20290; trading volume was 1 lot; open interest was 4 lots [3] - CY09 contract closed at 20025, down 20; trading volume was 108 lots, a decrease of 86 lots; open interest was 662 lots, a decrease of 38 lots [3] Spot Market - CCIndex3128B was priced at 15,210 yuan/ton, down 33 yuan; CY IndexC32S was 20,700 yuan, unchanged [3] - Cot A was 78.95 cents/pound, down 0.35 cents; FCY IndexC33S was 22,045 yuan, down 88 yuan [3] - (FC Index):M: arrival price was 76.85 cents/pound, down 0.30 cents; Indian S - 6 was 54,000 yuan, unchanged [3] - Polyester staple fiber was 7,450 yuan, up 70 yuan; pure polyester yarn T32S was 11,030 yuan, unchanged [3] - Viscose staple fiber was 12,900 yuan, unchanged; viscose yarn R30S was 17,250 yuan, unchanged [3] Spreads - Cotton inter - month spreads: 1 - 5 spread was 25, up 10; 5 - 9 spread was 235, down 5; 9 - 1 spread was - 260, down 5 [3] - Cotton yarn inter - month spreads: 1 - 5 spread was - 235, down 20,320; 5 - 9 spread was 265, up 20,310; 9 - 1 spread was - 30, up 10 [3] - Cross - variety spread: CY01 - CF01 was 6025, down 5; CY05 - CF05 was 6285, up 20,325; CY09 - CF09 was 6255, up 10 [3] - Domestic - foreign spreads: 1% tariff cotton spread was 1304, up 4; sliding - scale tariff cotton spread was 653, down 7; domestic - foreign yarn spread was - 1345, up 88 [3] Group 3: Market News and Views Cotton Market News - As of the week ending August 18, 2025, India's weekly cotton market volume was 46,000 tons, a year - on - year increase of 401%; the cumulative market volume in the 2024/25 season was 5.1596 million tons, a year - on - year decrease of 4% [6] - From August 14 - 20, 2025, the weekly rainfall in India's major cotton - producing areas (93.6%) was 108.2mm, 60mm higher than normal and 71mm higher than the same period last year [6] - As of July 31, 2025, CAI's assessment of India's 2024/25 cotton balance sheet showed an increase in initial inventory by 150,000 tons, demand by 100,000 tons, exports by 20,000 tons, and ending inventory by 30,000 tons compared to the previous month's assessment [7] Trading Logic - After recent China - US talks, tariffs are likely to be extended by 90 days, with a weakened short - term impact; China's anti - involution policies have a positive impact on commodities [8] - On the supply side, cotton supply remains tight, and the issuance of sliding - scale tariff quotas will be a key factor; on the demand side, demand is expected to improve from the off - season to the peak season in August [8] - In general, the short - term market is likely to maintain a slightly bullish and volatile trend [8] Trading Strategies - Unilateral: US cotton is likely to be slightly bullish and volatile, and Zhengzhou cotton is expected to maintain a slightly bullish and volatile trend in the short term but with limited upward space [9] - Arbitrage: Hold a wait - and - see attitude [10] - Options: Sell put options [11] Cotton Yarn Industry News - The pure cotton yarn market has seen some transactions recently, with increased downstream replenishment purchases, but overall it is still average, and feedback from spinning mills varies [11] - Cotton yarn prices are strong and stable with a slight increase, but there is no obvious increase in downstream orders yet [11] - The demand for cotton grey fabrics has not improved significantly, with no improvement in downstream inquiries and sampling; the shipment speed of weaving factories has not accelerated, and the enthusiasm of traders to purchase has not increased [13] Group 4: Options - As of August 21, 2025, for option contract CF601C14000.CZC, the underlying contract price was 14,030 yuan, the closing price was 338 yuan, up 0.9%, with an implied volatility (IV) of 10.5% [14] - For option contract CF601P13600.CZC, the underlying contract price was 14,030 yuan, the closing price was 138 yuan, down 9.8%, with an IV of 10.1% [14] - For option contract CF601P13400.CZC, the underlying contract price was 14,030 yuan, the closing price was 85 yuan, down 18.3%, with an IV of 10% [14] - The 120 - day historical volatility (HV) of cotton on this day was 10.2496, slightly higher than the previous day [14] - The PCR of the main contract of Zhengzhou cotton was 0.7867, and the volume PCR was 0.6430, with an increase in both call and put trading volumes [15] - Option strategy suggestion: Sell put options [16] Group 5: Related Attachments - Figures include 1% tariff domestic - foreign cotton price spread, cotton January basis, cotton May basis, cotton September basis, CY05 - CF05 spread, CY01 - CF01 spread, CF9 - 1 spread, and CF5 - 9 spread [18][22][25][29]