银河期货棉花、棉纱日报-20250925

Group 1: Report Overview - The report is an agricultural product daily report dated September 25, 2024, focusing on cotton and cotton yarn [2] Group 2: Market Information Futures Market - CF01 contract closed at 13,530 with a decrease of 25, trading volume of 246,394 hands (an increase of 67,330), and open interest of 525,141 (a decrease of 3,151) [3] - CY01 contract closed at 19,680 with a decrease of 30, trading volume of 656 hands (an increase of 229), and open interest of 771 (an increase of 305) [3] Spot Market - CCIndex3128B price was 15,083 yuan/ton, down 50 yuan; CY IndexC32S price was 20,615 yuan, unchanged [3] - Cot A price was 78.15 cents/pound, up 0.30 cents; FCY IndexC33S price was 21,464 yuan, up 22 yuan [3] Price Spreads - Cotton 1 - 5 month spread was -5, down 20;棉纱 1 - 5 month spread was -85, down 19,795 [3] - CY01 - CF01 spread was 6,150, down 5; 1% tariff内外棉价差 was 1,222, up 21 [3] Group 3: Market News and Views Cotton Market - In India, from September 18 - 24, 2025, the weekly rainfall in the main cotton - growing areas (93.6%) was 41.8mm, 8.7mm higher than normal and 15.7mm higher than last year [6] - In the US, the average temperature in the main cotton - growing areas (92.9% output share) was 79.07°F, 2.99°F higher than the same period last year; the average rainfall was 0.48 inches, 0.37 inches lower than last year [6] - This year, Xinjiang cotton output is expected to increase more than expected, while ginning mills' acquisition enthusiasm is average, and large - scale rush to buy is not expected. The expected acquisition price is around 6.2 - 6.3 yuan/kg [7] Trading Logic - As new cotton is gradually being acquired, the market focus is shifting to the new cotton opening price. With the large - scale listing of new cotton, there will be some selling hedging pressure on the futures market [7] - In September, the market's peak season has arrived, but the improvement in downstream demand is limited, so this year's peak season is expected to be average, and its boosting effect on the futures market is also limited [7] Trading Strategies - Unilateral: US cotton is expected to fluctuate mainly, and Zhengzhou cotton is expected to fluctuate slightly weakly. It is recommended to trade opportunistically [8] - Arbitrage: Wait and see [10] - Options: Wait and see [10] Cotton Yarn Industry - Last night, the main contract of Zhengzhou cotton fluctuated to 13,520 yuan/ton, a decrease of 35. Cotton yarn futures declined significantly. The pure cotton yarn market generally remained unchanged, and the peak - season trading was not as good as previous years [9] - The cotton - fabric market lacks stamina, with small orders maintained and large orders scarce. There is price competition, and the price difference between different weavers for regular varieties is about 0.2 - 0.3 yuan/meter [12] Group 4: Options Option Data - On September 25, 2025, for CF601C14000.CZC, the closing price was 111.00, a decrease of 27.0%, with an implied volatility of 11.7% [14] - For CF601P13600.CZC, the closing price was 297.00, an increase of 20.7%, with an implied volatility of 10.6% [14] Volatility and Strategy - Today, the 120 - day HV of cotton was 10.4409, with a slight decrease in volatility. The implied volatility of relevant options varied [14] - The PCR of the main contract of Zhengzhou cotton showed that both call and put trading volumes increased today. The option strategy is to wait and see [15][16]