棉花、棉纱日报-20251110

Group 1: Report Summary - The report is a daily research report on cotton and cotton yarn in the agricultural products industry, dated November 10, 2024 [1] Group 2: Market Information Futures Market - CF01 contract closed at 13,580 with no change, trading volume increased by 45,473 to 204,378, and open interest decreased by 6,107 to 570,172 [2] - CF05 contract closed at 13,580, down 10, trading volume increased by 35,272 to 69,837, and open interest decreased by 1,544 to 256,824 [2] - CF09 contract closed at 13,755, up 10, trading volume increased by 469 to 832, and open interest increased by 143 to 4,253 [2] - CY01 contract closed at 19,865, up 15, trading volume increased by 3,722 to 14,472, and open interest decreased by 75 to 24,967 [2] - CY05 contract closed at 19,860, up 40, trading volume increased by 2 to 4, and open interest remained at 28 [2] - CY09 contract closed at 20,075 with no change, trading volume and open interest remained at 0 and 4 respectively [2] Spot Market - CCIndex3128B was priced at 14,844 yuan/ton, up 24; CY IndexC32S was 20,520 yuan/ton with no change [2] - Cot A was 75.85 cents/pound, FCY IndexC33S was 21,202 yuan/ton, down 15 [2] - (FC Index):M: arrival price was 74.79, down 0.63; Indian S - 6 was 55,800 yuan/ton with no change [2] - Polyester staple fiber was 7,450 yuan/ton, up 70; pure polyester yarn T32S was 10,950 yuan/ton with no change [2] - Viscose staple fiber was 12,950 yuan/ton with no change; viscose yarn R30S was 17,250 yuan/ton with no change [2] Spread - Cotton inter - month spreads: 1 - 5 month spread was 0, up 10; 5 - 9 month spread was - 175, down 20; 9 - 1 month spread was 175, up 10 [2] - Cotton yarn inter - month spreads: 1 - 5 month spread was 5, down 25; 5 - 9 month spread was - 215, up 40; 9 - 1 month spread was 210, down 15 [2] - Cross - variety spreads: CY01 - CF01 was 6,285, up 15; CY05 - CF05 was 6,280, up 50; CY09 - CF09 was 6,320, down 10 [2] - Domestic - foreign spreads: 1% tariff domestic - foreign cotton spread was 1,574, up 105; sliding - scale domestic - foreign cotton spread was 707, up 61; domestic - foreign yarn spread was - 682, up 15 [2] Group 3: Market News and Views Cotton Market - On November 10, 2025, the Xinjiang cotton road transport price index was 0.1827 yuan/ton·km, remaining flat. Transport demand decreased slightly, and capacity resources also decreased [4] - On November 9, 2024, the Xinjiang machine - picked cotton purchase index was 6.25 yuan/kg, remaining flat; the hand - picked cotton purchase index was 6.94 yuan/kg, down 0.01 yuan/kg. The machine - picked cotton purchase price in Kashgar has been falling, and the overall purchase may end in about 10 days [4] - As of the week ending November 7, 2025, the cumulative inspection volume of US upland cotton + Pima cotton was 963,100 tons, accounting for 30.7% of the estimated US cotton production for the 2025/26 season, 22% slower year - on - year. Upland cotton inspection volume was 948,500 tons, with a progress of 33.73%, down 23% year - on - year; Pima cotton inspection volume was 14,600 tons, with a progress of 22%, down 51% year - on - year [4] Trading Logic - In November, with the large - scale listing of new cotton, there may be selling hedging pressure. Although this year's cotton production is a bumper harvest, the expected increase may be less than previously thought. The market has entered the off - season after the peak season. Considering the optimistic results of recent Sino - US trade negotiations, cotton is expected to be slightly stronger in the short term [5] Trading Strategy - Unilateral: US cotton is expected to fluctuate, and Zhengzhou cotton is expected to be slightly stronger [6] - Arbitrage: Wait and see [7] - Options: Wait and see [7] Cotton Yarn Industry - Last Friday night, Zhengzhou cotton continued to fluctuate. Over the weekend, the pure cotton yarn market had little change in trading, with mainly rigid demand. Spinners were reluctant to lower prices due to macro - level benefits and relatively low inventory, and some yarn prices even increased slightly. The supply pressure of new cotton is still high, and the situation of Zhengzhou cotton and terminal demand needs to be monitored [7] - Recently, the grey fabric market has improved. The price of all - cotton grey fabric has increased slightly, but it may decline if cotton prices fall again. Dyeing factories are not busy, with an order backlog of 7 - 10 days [8] Group 4: Options Option Contracts - On November 10, 2025, for the option contract CF601C13400.CZC, the underlying contract price was 13,580, the closing price was 240, down 5.5%, IV was 7.7%, Delta was 0.7228, Gamma was 0.0010, Vega was 12.9673, Theta was - 2.2310, theoretical leverage was 56.5833, and actual leverage was 40.8984 [10] - For the option contract CF601P13000.CZC, the closing price was 20, up 1900%, IV was 10.9%, Delta was - 0.0930, Gamma was 0.0004, Vega was 6.9517, Theta was - 1.6288, theoretical leverage was 679.0000, and actual leverage was 63.1470 [10] - For the option contract CF601P12400.CZC, the closing price was 6, up 500%, IV was 15.2%, Delta was - 0.0247, Gamma was 0.0001, Vega was 2.4170, Theta was - 0.7719, theoretical leverage was 2263.3333, and actual leverage was 55.9043 [10] Volatility - On November 10, 2025, the 30 - day HV of cotton was 7.0401, slightly lower than the previous day. The implied volatilities of CF601 - C - 13400, CF601 - P - 13000, and CF601 - P - 12400 were 7.7%, 10.9%, and 15.2% respectively [10] Option Strategy - The PCR of the main contract of Zhengzhou cotton was 0.7040, and the volume PCR was 0.5921. Both call and put trading volumes increased. The option strategy is to wait and see [11][12]