交割博弈对盘面价格的影响或大于基本面

1. Report Industry Investment Rating - The investment rating for propylene is "Bullish" [7] 2. Core Viewpoints of the Report - The impact of delivery games on the futures price may be greater than that of fundamentals [1] - Propylene supply is expected to be loose in October and then become tight in November - December [2] - Propylene demand is expected to maintain a high growth rate in Q4, but the high - demand growth under the involution situation will have limited effect on boosting prices and will indirectly suppress the upper limit of propylene prices [3] - In the first delivery game of propylene futures, a long - position strategy should be adopted [4] - For the unilateral strategy, it is recommended to go long on the PL2601 contract after November; for the cross - variety strategy, it is recommended to narrow the PP - PL spread after the propylene spot price bottoms out in October and the PP - PL spot spread recovers to around 500 - 600 yuan/ton [5] 3. Summary by Directory 3.1 Third - Quarter Market Review - Propylene valuation was weak first and then strong in Q3. From July to early August, propylene prices followed the decline of propane and polypropylene. Since mid - August, due to unexpected maintenance of main devices, the propylene spot price jumped and remained high. Recently, the spread between polypropylene and propylene has slightly recovered [15] - On the first trading day of propylene futures, the listed price was 6,350 yuan/ton. The market thought the spread was too high. The price jumped 200 points in the call auction session. Later, the basis and term structure changed with the "anti - involution" market [17] - Since the listing of propylene futures, the pricing method has been "PP futures -盘面 processing fee". The correlation between the futures and spot processing fees is fair, but the absolute values are quite different [20] 3.2 Supply Side - The short - term supply return has little uncertainty, and device disturbances may increase near delivery. The strong propylene price since mid - August is mainly due to unexpected maintenance and relatively rigid downstream start - up [22] - In Q4, the supply in October is expected to be loose as some devices resume production. For November - December, propylene supply is likely to be tight due to factors such as the peak season of raw materials, potential device maintenance, and the impact of the first delivery on device operations [30][33] - There is basically no new propylene production capacity in Q4. The import volume is expected to decline as the import window closes and some overseas devices have parking plans [38] 3.3 Demand Side - Propylene supply and demand are unlikely to be significantly imbalanced in quantity. The key variable for propylene demand in Q4 is polypropylene, as its consumption accounts for over 60% and its supply growth rate is significantly high this year [40] - The high growth rate of polypropylene supply is mainly due to domestic demand. Although inventory has absorbed some supply, the remaining supply increment can be explained by the growth in major application fields, which shows signs of involution [41][45][47] - Propylene demand is expected to maintain a high growth rate in Q4. However, the high - demand growth under the involution situation is difficult to boost PP prices, which will indirectly suppress propylene prices [60][62] - There are some new production capacities for polypropylene and other downstream products in Q4, but the actual impact on propylene demand depends on the commissioning situation [65] 3.4 Discussion on the First Delivery of Propylene Futures - The economic efficiency of issuing warehouse receipts is not significantly different among different regions. The warehouse receipts for the first delivery are mainly expected to be generated by manufacturers at the warehouses. Theoretically, Donghua Zhangjiagang, Jinneng Chemical, Binhuaxin Material, and Shanghai Yuchi have high abilities to issue warehouse receipts [68][69] - Most manufacturers may have low willingness to issue warehouse receipts due to the low liquidity and open interest of propylene futures. Only Shanghai Yuchi may have a high willingness [73] - Although the delivery rules seem to favor short - positions, a long - position strategy should be adopted in the first delivery game [74] 3.5 Investment Recommendations - From a fundamental perspective, the propylene spot price may first fall and then rise with an overall oscillating trend. Considering the delivery factor, there is a bullish expectation for propylene futures [75] - For the unilateral strategy, it is recommended to go long on the PL2601 contract after November. For the cross - variety strategy, it is recommended to narrow the PP - PL spread after the propylene spot price bottoms out in October and the PP - PL spot spread recovers to around 500 - 600 yuan/ton [75][76]