棉花、棉纱日报-20260224

Group 1: Report Overview - The report is an agricultural product research report focusing on cotton and cotton yarn, dated February 24, 2026 [1] Group 2: Market Information Futures Market - CF01 contract closed at 15,140, down 70, with a trading volume of 472 lots (down 452) and an open interest of 5,483 lots (up 84) [2] - CF05 contract closed at 14,610, down 70, with a trading volume of 246,422 lots (down 13,325) and an open interest of 700,704 lots (down 270) [2] - CF09 contract closed at 14,735, down 70, with a trading volume of 55,110 lots (down 3,624) and an open interest of 169,643 lots (up 4,673) [2] - CY01 contract closed at 0, with no change, no trading volume, and no open interest [2] - CY05 contract closed at 20,360, down 45, with a trading volume of 6,709 lots (down 536) and an open interest of 11,525 lots (up 360) [2] - CY09 contract closed at 20,600, down 25, with a trading volume of 1 lot (down 4) and an open interest of 32 lots (up 1) [2] Spot Market - CCIndex3128B was priced at 15,967 yuan/ton, down 45 [2] - Cot A was priced at 72.80 cents/pound, compared to 73.20 previously [2] - FC Index:M: arrival price was 71.46, down 0.08 [2] - Polyester staple fiber was priced at 7,450 yuan/ton, up 70 [2] - Viscose staple fiber was priced at 12,600 yuan/ton, with no change [2] Price Spreads - Cotton inter - month spreads: 1 - 5 spread was 530, no change; 5 - 9 spread was - 125, no change; 9 - 1 spread was - 405, no change [2] - Cotton yarn inter - month spreads: 1 - 5 spread was - 20,360, up 45; 5 - 9 spread was - 240, down 20; 9 - 1 spread was 20,600, down 25 [2] - Cross - variety spreads: CY01 - CF01 was - 15,140, up 70; CY05 - CF05 was 5,750, up 25; CY09 - CF09 was 5,865, up 45 [2] - Domestic - foreign spreads: 1% tariff domestic - foreign cotton spread was 2,955, down 15; sliding - scale domestic - foreign cotton spread was 1,991, down 24; domestic - foreign yarn spread was 397, up 25 [2] Group 3: Market News and Views Cotton Market News - As of February 17, the drought index in the main U.S. cotton - producing areas (93.0%) was 212, up 2 month - on - month and 86 year - on - year. The drought index in Texas was 232, up 2 month - on - month and 66 year - on - year. Drought is expected to continue from February to April, intensify in the Midwest, and ease in the eastern regions [4] - As of February 21, Brazil's 2025/26 cotton planting was 99.9% complete, up 3.4 percentage points month - on - month, flat year - on - year, and basically in line with the three - year average [4] - As of the week of February 20, 2026, the cumulative inspection volume of U.S. upland cotton + Pima cotton was 3.0275 million tons, accounting for 99.9% of the estimated annual U.S. cotton output, 5% slower year - on - year. The inspection volume of U.S. upland cotton was 2.9414 million tons, with an inspection progress of 99.9%, down 4% year - on - year; the inspection volume of Pima cotton was 86,100 tons, with an inspection progress of 101.9%, down 16% year - on - year. The weekly deliverable ratio was 77.2%, and the quarterly deliverable ratio was 81.7%, 1.1 percentage points higher year - on - year. The final listed volume is expected to be around 3.03 - 3.05 million tons [5] Trading Logic - The total open interest on the futures market increased by more than 70,000 lots. The overall macro - sentiment during the holiday was positive, with gold, silver, non - ferrous metals, and crude oil rising, which supported cotton prices. Fundamentally, there are no obvious negative factors. According to the USDA annual report, the global cotton output was reduced by 3% (U.S. total output was reduced, and China's was reduced by 9%). The supply is expected to be 25.25 million tons, and consumption is expected to be 26.14 million tons, showing a relatively tight balance. If future consumption continues to increase, there may be a tight - balance situation. As of February 12, U.S. cotton contracts were 105,700 tons, an increase of 53,300 tons month - on - month, and the cumulative contracts were 1.9279 million tons, 7 percentage points lower year - on - year. The technical chart of the current futures market has broken through the previous high, which may attract speculative funds. The futures market is expected to maintain an upward trend [6] Trading Strategies - Unilateral: It is expected that the short - term trend of U.S. cotton will be mainly range - bound, while the technical performance of Zhengzhou cotton is strong. Consider building long positions on dips [7] - Arbitrage: Hold off [8] - Options: Hold off [9] Cotton Yarn Industry News - The trading in the pure cotton yarn market has basically stagnated, with only a small amount of goods being sold in Xinjiang. Some spinning mills have raised their quotes, and inland spinning mills have started to take holidays [11] - As the Spring Festival holiday approaches, the market for all - cotton grey fabric has basically stopped, and traders' stores have closed as they return home. Most fabric mills have also stopped quoting prices, and prices are temporarily stable [11] Group 4: Options Option Data - On January 19, 2026, for the CF605C14600.CZC option, the underlying contract price was 14,545.00, the closing price was 334.00, down 16.9%, with an implied volatility of 13.3% [13] - For the CF605C14200.CZC option, the underlying contract price was 14,545.00, the closing price was 511.00, down 17.7%, with an implied volatility of 11.3% [13] - For the CF605P13800.CZC option, the underlying contract price was 14,545.00, the closing price was 60.00, down 34.1%, with an implied volatility of 11.2% [13] Volatility and Strategy - The 60 - day HV of cotton yesterday was 9.2812, with a slight increase in volatility. The implied volatility of CF605 - C - 14600 was 13.3%, CF605 - C - 14200 was 11.3%, and CF605 - P - 13800 was 11.2% [13] - Yesterday, the PCR of the main Zhengzhou cotton contract's open interest was 0.8667, and the PCR of the main contract's trading volume was 0.4688. The trading volumes of both call and put options decreased today. The option strategy is to hold off [14][15]