银河期货棉花、棉纱日报-20250923

Group 1: Market Information - Futures market: CF01 contract closed at 13,540 with a decline of 70, trading volume of 241,105 (a decrease of 94,261), and open interest of 532,801 (an increase of 10,524). CY01 contract closed at 19,635 with a decline of 45, trading volume of 228 (an increase of 108), and open interest of 480 (an increase of 18). Other contracts also had corresponding price, volume, and open - interest changes [3]. - Spot market: CCIndex3128B was priced at 15,133 yuan/ton, down 150; CY IndexC32S was 20,615 yuan/ton, down 90. Other spot prices such as Cot A, FC Index, etc., also had price fluctuations [3]. - Spread: Cotton and棉纱 had various spreads, including inter - month spreads, inter - variety spreads, and internal - external spreads. For example, the 1 - 5 month spread of cotton was - 20, down 15; the CY01 - CF01 spread was 6,095, up 25 [3]. Group 2: Market News and Views Cotton Market - Market news: As of September 20, Brazil's cotton harvest progress was 99%, up 2.4 percentage points week - on - week, 0.8% slower than last year. As of September 18, the processing progress was 41%. As of September 21, the boll opening rate of US cotton in 15 major planting states was 60%, 2 percentage points slower than last year; the harvest rate was 12%, the same as the five - year average; the good - to - excellent rate was 47%, 10 percentage points higher than last year [6]. - Trading logic: New cotton is entering the acquisition period. Xinjiang cotton production is expected to increase more than expected, and ginning mills' acquisition enthusiasm is average. There is expected to be no large - scale rush to buy. The acquisition price is expected to be around 6.2 - 6.3 yuan/kg. With the large - scale listing of new cotton, there will be selling hedging pressure on the futures market. The downstream demand has slightly improved, but the improvement is limited, so the peak season performance this year is expected to be average [7]. - Trading strategy: Unilateral: US cotton is expected to fluctuate, and Zhengzhou cotton is expected to fluctuate slightly weaker. It is recommended to trade opportunistically. Arbitrage: Wait and see. Options: Wait and see [8][9][10]. Cotton Yarn Industry - Market news: After the sharp decline of Zhengzhou cotton, the price of pure cotton yarn was stable with a slight decline. The prices of some spinning mills with high quotes dropped by 100 - 200 yuan/ton. The all - cotton grey fabric market was weak. Low - count conventional varieties still had sales, but the increase in custom - woven orders was limited, and the profit margin was small [10][12]. Group 3: Options - Option data: For the option contract CF601C14000.CZC on September 23, 2025, the underlying contract price was 13,540, the closing price was 130, with a decline of 25.7%. Other option contracts also had corresponding price, volatility, and Greek letter data [14]. - Volatility: The 120 - day HV of cotton on that day was 10.5675, with a slight decline compared to the previous day. The implied volatilities of different option contracts were different, such as 12.3% for CF601C14000.CZC [14]. - Option strategy: Wait and see [10][16]