银河期货棉花、棉纱日报-20251021

Group 1: Report General Information - Report Title: Cotton and Cotton Yarn Daily Report [2] - Date: October 21, 2024 [2] - Researchers: Wang Xizhen, Liu Qiannan [2] Group 2: Market Information Futures Market - CF01 contract closed at 13,540 with a gain of 75, trading volume of 245,897 hands (down 43,834), and open interest of 593,229 (up 231) [3] - CY01 contract closed at 19,775 with a gain of 170, trading volume of 13,841 hands (up 161), and open interest of 23,282 (up 1,127) [3] Spot Market - CCIndex3128B price was 14,728 yuan/ton, up 49; CY IndexC32S was 20,470 yuan/ton, up 30 [3] - Cot A was 75.65 cents/pound, up 75.10; FCY IndexC33S was 21,200 yuan/ton, down 18 [3] Spreads - Cotton 1 - 5 month spread was -60, up 5;棉纱 1 - 5 month spread was -20, up 95 [3] - CY01 - CF01 spread was 6,235, up 95; 1% tariff内外棉价差 was 3,273, up 1,901 [3] Group 3: Market News and Views Cotton Market News - As of October 17, 2025, the cumulative inspection volume of US upland cotton + Pima cotton was 376,700 tons, accounting for 12% of the annual US cotton production forecast, 27% slower year - on - year [6] - In September 2025, cottonseed imports were about 75,177.17 tons, down 35.84% year - on - year, with an average import price of about $342.25/ton, down 10.91% year - on - year [6] - In September, total retail sales of consumer goods were 419.71 billion yuan, up 3.0% year - on - year. Retail sales of clothing, footwear, and textiles above the designated size were 123.1 billion yuan, up 4.7% year - on - year [7] Trading Logic - During the festival, as new cotton entered the acquisition period, the market focus shifted to the opening price of new cotton. This year, Xinjiang cotton production was high and ginning mills' acquisition enthusiasm was general, with no large - scale rush to buy [8] - The peak season demand in the market was average, and the improvement in downstream demand was limited, so the peak season performance was not expected to be outstanding [8] Trading Strategies - Unilateral: US cotton is expected to fluctuate, and Zhengzhou cotton is also expected to show a fluctuating trend [9] - Arbitrage: Wait and see [10] - Options: Wait and see [11] Cotton Yarn Industry News - Zhengzhou cotton prices continued to rise, but the cotton yarn market was affected by weak downstream demand. The trading volume was average, and spinners and traders were cautious [11] - The cotton fabric market in October was weaker than in September, with demand remaining sluggish. Winter orders were nearing completion, and spring orders were scarce [13] Group 4: Options Option Data - On October 21, 2025, CF601C13400.CZC closed at 247, up 32.1%, with an implied volatility of 9.3% [15] - CF601P13000.CZC closed at 45, down 29.7%, with an implied volatility of 10.9% [15] Volatility and Strategy - The 120 - day HV of cotton was 8.542, slightly lower than the previous day. The implied volatility of relevant options varied [15] - The PCR of the main Zhengzhou cotton contract's open interest was 0.7255, and the PCR of trading volume was 0.6021. Both call and put trading volumes increased [16] - Option strategy: Wait and see [17]