棉花、棉纱日报-20260107

Group 1: Report Overview - The report is an agricultural product R & D report focusing on cotton and cotton yarn, dated January 7, 2026 [1] Group 2: Market Information Futures Market - CF01 contract closed at 15,200, up 245; CF05 at 15,035, up 180; CF09 at 15,225, up 185; CY01 at 20,250 (unchanged); CY05 at 20,880 (unchanged); CY09 at 20,695 (unchanged) [2] - CF01 trading volume was 10,135 hands, an increase of 672; CF05 was 618,089 hands, an increase of 223,930; CF09 was 73,247 hands, an increase of 40,596; CY01 was 32 hands (unchanged); CY05 was 61 hands (unchanged); CY09 was 1 hand (unchanged) [2] - CF01 open interest was 68,415, a decrease of 8,049; CF05 was 925,465, an increase of 9,611; CF09 was 95,727, an increase of 17,291; CY01 was 378 (unchanged); CY05 was 171 (unchanged); CY09 was 14 (unchanged) [2] Spot Market - CCIndex3128B was 15,784 yuan/ton, up 169; Cot A was 74.70 cents/pound; FCY IndexC33S was 21,059 yuan, up 101; Indian S - 6 was 55,800 (unchanged); polyester staple fiber was 7,450 yuan, up 70; pure polyester yarn T32S was 11,080 (unchanged); viscose staple fiber was 12,730 yuan (unchanged); viscose yarn R30S was 17,320 (unchanged) [2] Spread Market - Cotton inter - month spreads: 1 - 5 spread was 165, up 65; 5 - 9 spread was - 190, down 5; 9 - 1 spread was 25, down 60. Cotton yarn inter - month spreads: 1 - 5 spread was - 630 (unchanged); 5 - 9 spread was 185 (unchanged); 9 - 1 spread was 445 (unchanged) [2] - Cross - product spreads: CY01 - CF01 was 5,050, down 245; CY05 - CF05 was 5,845, down 180; CY09 - CF09 was 5,470, down 185. Internal - external spreads: 1% tariff internal - external cotton spread was 2,900, up 116; sliding - scale internal - external cotton spread was 1,883, up 107; internal - external cotton yarn spread was 241, down 41 [2] Group 3: Market News and Views Cotton Market News - On January 7, 2026, the Xinjiang cotton road transport price index was 0.1789 yuan/ton·km, unchanged from the previous day. Short - term price index is expected to be relatively stable [4] - U.S. upland cotton inspection volume was 259.9 tons, with 85.94% progress, a year - on - year decrease of 11%; Pima cotton inspection volume was 68,500 tons, with 83.3% progress, 22% slower year - on - year. Weekly deliverable ratio was 77.5%, quarterly deliverable ratio was 82.5%, 1.4 percentage points higher year - on - year [4] - As of January 3, Brazil's 2025/26 cotton planting was 31.2% complete, a 6.1 - percentage - point increase from the previous period, 0.1 percentage points faster year - on - year, and 0.3 percentage points slower than the three - year average [4] Trading Logic - The rumored reduction in Xinjiang's cotton planting area in 2026 is being confirmed. Cotton sales progress is fast, and factors like improved Sino - U.S. relations and expansion of Xinjiang textile mills' production capacity support the cotton price. However, due to the rapid rise on Friday, there may be short - term correction risks [5] Trading Strategies - Unilateral: U.S. cotton is expected to trade in a range, while Zhengzhou cotton is expected to be bullish with short - term correction risks [6] - Arbitrage: Hold off on trading [6] - Options: Hold off on trading [8] Cotton Yarn Industry News - In the pure - cotton yarn market, trading was average, with traders and downstream weavers making purchases based on demand. Yarn prices continued to rise, especially for medium - and high - count yarns. Air - spun and low - count yarns lagged in price increases and had higher inventory pressure. Mainland textile mills' operating rates continued to decline, while Xinjiang mills' high operating rates supported cotton consumption. As January approaches the holiday, orders are scarce, and weavers are stocking up, with a high probability of early holidays if the market doesn't improve [8] - The pure - cotton grey fabric market remained weak, with most manufacturers cautious about post - holiday performance. Orders for the new year are few, and the overall trading atmosphere is thin. Weavers are eager to sell, with price increases subject to negotiation based on order volume. The market trend is weaker than last year [8] Group 4: Options Option Data - On November 24, 2025, for CF601C13400.CZC, the underlying contract price was 13,585.00, the closing price was 183.00, up 71.0%, IV was 6.7%, Delta was 0.7924, Gamma was 0.0012, Vega was 8.9763, theoretical leverage was - 2.5396, and actual leverage was 58,823.8 [10] - For CF601P13000.CZC, the underlying contract price was 13,585.00, the closing price was 7.00, down 75.9%, IV was 11.4%, Delta was - 0.0470, Gamma was 0.0000, Vega was 3.0820, theoretical leverage was - 1.2967, and actual leverage was 91,213.6 [10] - For CF601P12400.CZC, the underlying contract price was 13,585.00, the closing price was 2.00, down 83.3%, IV was 17.3%, Delta was - 0.0106, Gamma was 0.0001, Vega was 0.8840, theoretical leverage was - 0.5394, and actual leverage was 72,000.5 [10] Volatility Analysis - The 10 - day HV of cotton the previous day was 6.4492, with a slight increase in volatility. The implied volatility of CF601 - C - 13400 was 6.7%, CF601 - P - 13000 was 11.4%, and CF601 - P - 12400 was 17.8% [10] Option Strategy - The previous day, the PCR of the main Zhengzhou cotton contract's open interest was 0.7339, and the PCR of trading volume was 0.6421. Both call and put trading volumes decreased today. The option strategy is to hold off on trading [11][12] Group 5: Related Attachments - The report includes charts such as the internal - external cotton price spread under 1% tariff, cotton basis for January, May, and September, CY05 - CF05 and CY01 - CF01 spreads, and CF9 - 1 and CF5 - 9 spreads [14][17][21][22]