Report Industry Investment Rating - Not provided in the document Core Viewpoints - The current dominant factor for iron ore prices is not the fundamentals but the macro - expectations. In the context of continuous inventory accumulation and slow production resumption, the fundamentals cannot support the current high valuation, and there is a lack of support for the price to continue rising. However, after the price drops, steel mills have a rigid demand for replenishing inventory, so there is also support for the price at the lower level [4][7] - The iron ore price has a large divergence from the fundamentals, and the price is significantly over - estimated [5][7] Summary by Directory Chapter 1: Core Contradictions and Strategy Suggestions 1.1 Core Contradictions - Leveraging Factors: There is a structural shortage of medium - grade iron ore delivery products; the steel fundamentals are acceptable with some support from export rush; steel mills currently have decent profits and some room for production increase [5] - Negative Factors: The overall iron ore shipment is moderately high, the floating inventory at sea is high, and the overall spot is not in shortage; despite the price decline, the valuation is still high; the inventory continues to accumulate, with the port inventory exceeding 170 million tons and the accumulation speed exceeding previous years [5] - Market Performance: The iron ore swap price once exceeded $109 per ton during the week, hitting an 18 - month high, but then the price declined along with other risk assets. After the recent surge in non - ferrous metals and other assets, the selling pressure was significant, and assets with large previous gains all corrected. The iron ore price trend, after removing the impact of inventory fundamental factors, is currently close to the CSI 300 index trend again, indicating that the current price is mainly driven by macro factors rather than fundamental factors [5] - Supply - Side Situation: After the end - of - year shipment rush, the seasonality has weakened, but the year - on - year shipment is still at a high level, with a year - on - year growth of 12%. The iron ore shipment is still in excess, which is the main reason for the continuous inventory increase [5] - Demand - Side Situation: The resumption of production in steel mills is slow, with the pig iron output in this period decreasing by 1.5 tons to 2.28 million tons compared with the previous period. The steel outbound volume has been at a high level since December. In December, the steel export volume was 11.301 million tons, a month - on - month increase of 1.32 million tons or 13.2%, and a year - on - year increase of 16.2%. Currently, the rebar production is at a low level, the demand is resilient, and the inventory has not accumulated rapidly. The hot - rolled coil production has marginally increased, but the demand can digest the production increase, and the total inventory of hot - rolled coils has decreased [5][7] - Inventory - Side Situation: The port inventory continues to accumulate, with the inventory of imported ore in 47 ports reaching 17.2887 million tons, a week - on - week increase of 244,260 tons. The inventory continues to accumulate beyond the seasonality, and the divergence between the iron ore price and the fundamentals continues to widen. Steel mills are gradually replenishing raw materials before the Spring Festival, but the replenishment pace is significantly slower than in previous years, and the overall replenishment willingness of steel mills is not strong, mainly for rigid - demand procurement and being cautious about prices [7] 1.2 Industry Customer Operation Suggestions - Price Forecast: The predicted price range is 770 - 820 yuan, with the current at - the - money option IV at 18.90% and the historical volatility percentile at 11.3% [8] - Risk Management Strategies: For inventory management, if there is spot inventory and there is concern about future inventory price decline, the strategies include directly shorting iron ore futures to lock in profits (I2602, short, 25%, entry range: 840 - 850) and selling call options to collect premiums (I2602 - C - 840, 30%, sell at high prices). For procurement management, if there is a need to purchase in the future and there is concern about price increase, the strategies include directly going long on iron ore futures to lock in costs (I2602, long, 30%, entry range: 800 - 810) and selling out - of - the - money put options. If the price falls below the strike price, hold long futures positions (I2602 - P - 810, 40%, sell at high prices) [8] 1.3 Core Data - Black Industry Chain Cost - Profit Table: The pig iron cost per ton decreased by 1.69 yuan week - on - week and 7.65 yuan month - on - month; the blast furnace hot - rolled coil profit per ton decreased by 5 yuan week - on - week and increased by 6 yuan month - on - month; the blast furnace rebar profit per ton decreased by 3 yuan week - on - week and increased by 34 yuan month - on - month; the average - electricity rebar profit of Jiangsu electric furnaces decreased by 52 yuan week - on - week and 21 yuan month - on - month; the steel mill profitability rate increased by 2.17 percentage points week - on - week and 3.9 percentage points month - on - month; the iron - scrap price difference decreased by 21.69 yuan week - on - week and 38 yuan month - on - month [9] - Iron Ore Weekly Shipment Data: The global shipment volume decreased by 328,000 tons week - on - week and 4.116 million tons month - on - month; the Australia - Brazil shipment volume decreased by 1.333 million tons week - on - week and 3.561 million tons month - on - month; the Australian shipment volume decreased by 51,000 tons week - on - week and 1.217 million tons month - on - month; the Brazilian shipment volume decreased by 1.282 million tons week - on - week and 2.345 million tons month - on - month; the non - Australia - Brazil shipment volume increased by 1.005 million tons week - on - week and decreased by 555,000 tons month - on - month [10] - Iron Ore Demand Weekly Data: The daily average port clearance volume decreased by 33,800 tons week - on - week and increased by 64,400 tons month - on - month; the daily average pig iron output decreased by 14,900 tons week - on - week and increased by 14,600 tons month - on - month; the blast furnace operating rate decreased by 0.47 percentage points week - on - week and increased by 0.37 percentage points month - on - month; the blast furnace capacity utilization rate decreased by 0.56 percentage points week - on - week and increased by 0.55 percentage points month - on - month [11] - Iron Ore Inventory Weekly Data: The inventory of imported ore in 45 ports increased by 2.7984 million tons week - on - week and 10.4247 million tons month - on - month; the proportion of traded ore in 45 ports increased by 0.07 percentage points week - on - week and 1.04 percentage points month - on - month; the port congestion days in 45 ports remained unchanged week - on - week and increased by 3 days month - on - month; the number of ships at ports in 45 ports increased by 1 week - on - week and 6 month - on - month; the inventory of imported ore in steel mills increased by 2.7263 million tons week - on - week and 5.3827 million tons month - on - month; the available days of imported ore in steel mills increased by 1.13 days week - on - week and 1.77 days month - on - month [12] Chapter 2: Supply - Global Shipment Analysis: Analyzed the seasonality, year - on - year cumulative difference, and over - seasonality of the global iron ore shipment volume [13] - Four Major Mines Shipment Analysis: Studied the seasonality, year - on - year cumulative difference, over - seasonality, and year - on - year cumulative value of the shipment volume of the four major iron ore mines [15][18] - Non - Mainstream Mines Shipment Analysis: Examined the seasonality, year - on - year cumulative difference, over - seasonality, and year - on - year cumulative value of the non - mainstream mines' shipment volume. The Platts iron ore index leads the non - mainstream shipment by about 5 weeks [21][24] - Arrival and Congestion Analysis: Analyzed the seasonality, year - on - year cumulative value of the arrival volume at 47 ports, the number of ships at ports, port congestion days, and the actual arrival volume [26][29] - Capsize Shipping Analysis: Studied the seasonality of freight prices, the proportion of freight costs, ship speed, and the floating inventory of iron ore [32][38] - Domestic Ore Supply Analysis: Analyzed the seasonality of the daily average output of iron concentrate powder from 186 mine enterprises and the monthly output of 433 mine enterprises [41] Chapter 3: Demand Analysis 3.1 Pig Iron Analysis - Analyzed the seasonality of the daily average pig iron output of 247 steel enterprises, the impact of blast furnace maintenance on pig iron production, and the relationship between pig iron output over - seasonality, year - on - year change, and iron ore prices [45][47][49] 3.2 Steel Mill Profit Analysis - Studied the production profits of rebar and hot - rolled coils, the profitability rate of steel enterprises, and the relationship between various steel product profits and future production [51][55][57] 3.3 Downstream Steel Analysis: Rebar - Analyzed the seasonality of rebar production, consumption, total inventory, short - process production, the proportion of short - process production, the price - cost relationship, and related price spreads [65][66][70] 3.4 Downstream Steel Analysis: Hot - Rolled Coil - Studied the seasonality of hot - rolled coil production, consumption, total inventory, and price spreads [73][74][76] 3.5 Downstream Steel Analysis: Medium - Thick Plate - Analyzed the seasonality of medium - thick plate production, consumption, total inventory, and inventory - sales ratio [78][79] 3.6 Off - Balance - Sheet Steel Analysis - Examined the seasonality of off - balance - sheet steel production estimation, the combined inventory of on - and off - balance - sheet crude steel, and the production, inventory, and apparent demand of various steel products such as H - beams, angle steels, galvanized coils, and others [81][83][87] 3.7 Export Analysis - Analyzed the monthly export volume of steel, the port outbound volume, export orders, and export profits [98][99] Chapter 4: Inventory Analysis 4.1 Port Inventory Analysis - Studied the seasonality of the inventory of imported iron ore in 45 ports, the inventory structure, the relationship between inventory over - seasonality and iron ore prices, the seasonality of different types of ore inventory, and the proportion of different types of ore in the port inventory [101][104][113] 4.2 Other Inventory Analysis - Analyzed the seasonality of the imported iron ore inventory in 247 steel enterprises, the combined inventory of in - plant and floating in - transit iron ore in steel mills, and the estimated inventory turnover days [119][120] Chapter 5: Valuation Analysis 5.1 Basis and Term Structure - Presented the iron ore warehouse receipt price table, including the cheapest spot price, converted futures price, basis of different contracts, and delivery profits. Also analyzed the seasonality of the basis of different contracts and the term structure of iron ore futures [121][122] 5.2 Rebar - Iron Ore Ratio and Hot - Rolled Coil - Iron Ore Ratio - Studied the seasonality of the rebar - iron ore ratio and the hot - rolled coil - iron ore ratio of different contracts [124] 5.3 Coking Coal Ratio Analysis - Analyzed the seasonality of the price difference between coking coal and iron ore of different contracts and the cost - sharing relationship between coking coal and iron ore [126][127] 5.4 Scrap Steel Cost - Effectiveness Analysis - Examined the iron - scrap price difference, the relationship between the iron - scrap price difference and scrap steel consumption, and the scrap steel consumption ratio of pure blast - furnace enterprises [129][131][133]
南华期货铁矿石周报：宏观顶，需求底-20260116
Nan Hua Qi Huo·2026-01-16 12:59