Group 1: Market Information - Futures: CF01 closed at 15155 with a 10-point increase, CF05 at 14535 (10-point increase), CF09 at 14705 (5-point increase), CY05 at 20515 (unchanged), and CY09 at 20625 (55-point decrease). CY01 had no trading [2]. - Spot: CCIndex3128B was 15819 yuan/ton (-61), Cot A was 74.80 cents/pound, and various other spot prices were provided with their respective changes [2]. - Spreads: Cotton and棉纱跨期 spreads, as well as跨品种 and内外价差, were presented with their corresponding values and changes [2]. Group 2: Market News and Views Cotton Market - On January 21, 2026, the Xinjiang cotton road transport price index was 0.1678 yuan/ton·km, up 0.96% from the previous day. It's expected to fluctuate within a narrow range in the short term [4]. - As of January 15, 2026, Pakistan's 2025/26 new cotton market volume reached 85.1 tons, almost the same as the previous year. Textile mills purchased 75 tons (down 1%), and unsold new cotton was 7.4 tons (down 5%) [4]. - In December 2025, the export of all-cotton grey cloth was 48.85 million meters (up 9.3% year-on-year), and the export value was $45.68 million (up 5.3%). For the whole year of 2025, the cumulative export was 639 million meters (up 23.17%) and the cumulative export value was $613 million (up 9.34%) [5]. Trading Logic - Cotton sales are progressing quickly and are at a high level compared to previous years. Downstream demand for stocking is increasing, but considering the approaching Spring Festival, the market is expected to fluctuate within a range in the short term [6]. Trading Strategy - Unilateral: Both US cotton and Zhengzhou cotton are expected to fluctuate within a range in the short term. - Arbitrage: Hold off on trading. - Options: Hold off on trading [7]. Cotton Yarn Industry - The domestic pure cotton yarn market is sluggish overall, with a differentiation between product categories. High-count combed yarns are in high demand, while low-count yarn prices are stable or decreasing, and regular yarn orders are mediocre [8]. - The all-cotton grey cloth market has continuous transactions, mainly small and scattered orders. Some areas are starting to collect payments, and factories are increasing production to fulfill orders [8]. Group 3: Options - Volatility: On January 19, 2026, the 60-day HV of cotton was 9.2812, slightly higher than the previous day. The implied volatilities of CF605-C-14600, CF605-C-14200, and CF605-P-13800 were 13.3%, 11.3%, and 11.2% respectively [10]. - Strategy: Hold off on trading options [12]. Group 4: Related Attachments - The report includes charts showing various cotton price spreads and basis, such as the 1% tariff on the domestic and international cotton price spread, cotton 1st, 5th, and 9th month basis, CY05-CF05 and CY01-CF01 spreads, and CF9-1 and CF5-9 spreads [14][17][21]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoint of the Report - The fundamentals of pure benzene continue to improve, with port inventories declining from their peak in the first week and downstream提货 demand being boosted. Although the styrene startup rate remains low, the startup rates of non - styrene pure benzene downstream industries have rebounded, and attention should be paid to the sustainability of the improvement in downstream startup rates. Overseas, attention should be paid to the implementation progress of the expected reduction of the US tariff policy on South Korean pure benzene. The domestic pure benzene startup rate remains low. - For styrene, the port inventory is still slightly decreasing at the beginning of the week, and the port basis is slightly strengthening. The recovery rate of styrene startup is still slow, the resumption of production at Bohua is still to be determined, and Zhenhai Liande continues to be shut down. The downstream startup rate has increased, with the EPS startup rate rising above the seasonal level, the PS startup rate declining seasonally, and the ABS startup rate consolidating at a low level. Overall, the weighted downstream startup rate has increased, and the ABS inventory pressure has gradually eased [3]. 3. Summary According to the Directory 3.1 Pure Benzene and EB Basis Structure, Inter - period Spread - Pure benzene: The main contract basis is - 77 yuan/ton (+105), and the spot - M2 spread is - 175 yuan/ton (+15 yuan/ton) [1]. - Styrene: The main contract basis is 142 yuan/ton (+47 yuan/ton) [1]. 3.2 Pure Benzene and Styrene Production Profits, Domestic and Foreign Spreads - Pure benzene: The CFR China processing fee is 178 US dollars/ton (+20 US dollars/ton), the FOB South Korea processing fee is 180 US dollars/ton (+23 US dollars/ton), and the US - South Korea spread is 154.0 US dollars/ton (-6.0 US dollars/ton) [1]. - Styrene: The non - integrated production profit is 386 yuan/ton (-78 yuan/ton), and it is expected to gradually compress [1]. 3.3 Pure Benzene and Styrene Inventories, Startup Rates - Pure benzene: The port inventory is 29.70 tons (-2.70 tons), and the startup rate is not mentioned in the text [1]. - Styrene: The East China port inventory is 93,500 tons (-7,100 tons), the East China commercial inventory is 58,900 tons (-1,000 tons), and the startup rate is 70.9% (-0.1%) [1]. 3.4 Styrene Downstream Startup and Production Profits - EPS: The production profit is 78 yuan/ton (+145 yuan/ton), and the startup rate is 54.05% (+7.34%) [2]. - PS: The production profit is - 322 yuan/ton (+45 yuan/ton), and the startup rate is 57.40% (-1.50%) [2]. - ABS: The production profit is - 978 yuan/ton (-55 yuan/ton), and the startup rate is 69.80% (+0.00%) [2]. 3.5 Pure Benzene Downstream Startup and Production Profits - Caprolactam: The production profit is - 990 yuan/ton (-45), and the startup rate is 77.17% (+2.95%) [1]. - Phenol - acetone: The production profit is - 919 yuan/ton (+0), and the startup rate is 89.00% (+3.50%) [1]. - Aniline: The production profit is 1171 yuan/ton (+262), and the startup rate is 73.26% (+11.95%) [1]. - Adipic acid: The production profit is - 921 yuan/ton (-41), and the startup rate is 65.30% (-2.30%) [1]. 3.6 Strategy - Unilateral: Consider cautiously buying on dips and hedging for EB2602 and BZ2603 [4]. - Basis and inter - period: None [4]. - Cross - variety: None [4].

1. Report Industry Investment Rating No information provided regarding the industry investment rating. 2. Core View of the Report The report presents a daily summary of futures arbitrage data for various commodities on January 21, 2026, including power coal, energy chemicals, black metals, non - ferrous metals, agricultural products, and stock index futures, covering aspects such as basis, inter - period spreads, and inter - commodity spreads. 3. Summary by Directory 3.1 Power Coal - Basis data from January 14 - 20, 2026, shows a change from - 100 yuan/ton to - 112 yuan/ton [1][2] 3.2 Energy and Chemicals - **Energy Commodities**: Basis data for fuel oil, crude oil, and asphalt from January 14 - 20, 2026, with values like 0.1410, - 0.58, etc. [7] - **Chemical Commodities**: - Basis: Data for rubber, methanol, PTA, etc., on different dates from January 14 - 20, 2026, e.g., rubber basis changed from - 310 yuan/ton to - 320 yuan/ton [9] - Inter - period spreads: For 5 - month minus 1 - month, 9 - month minus 1 - month, and 9 - month minus 5 - month of rubber, methanol, etc. For example, rubber's 5 - month minus 1 - month is - 645 yuan/ton [10] - Inter - commodity spreads: Spreads like LLDPE - PVC, LLDPE - PP on different dates from January 14 - 20, 2026 [10] 3.3 Black Metals - Basis: Data for rebar, iron ore, coke, and coking coal from January 14 - 20, 2026, e.g., rebar basis on January 20 is 159.0 yuan/ton [20] - Inter - period spreads: For rebar, iron ore, etc., including 5 - month minus 1 - month, 9 - month (10) minus 1 - month, and 9 - month (10) minus 5 - month [19] - Inter - commodity spreads: Spreads like rebar/iron ore, rebar/coke on different dates from January 14 - 20, 2026 [19] 3.4 Non - ferrous Metals - **Domestic Market**: Basis data for copper, aluminum, zinc, etc., from January 14 - 20, 2026, e.g., copper basis on January 20 is - 740 yuan/ton [27] - **London Market**: LME spreads, Shanghai - London ratios, CIF prices, domestic spot prices, and import profit and loss for copper, aluminum, etc., on January 20, 2026 [31] 3.5 Agricultural Products - Basis: Data for soybeans No.1, soybeans No.2, soybean meal, etc., from January 14 - 20, 2026, e.g., soybeans No.1 basis on January 20 is - 178 yuan/ton [35] - Inter - period spreads: For soybeans No.1, soybeans No.2, etc., including 5 - month minus 1 - month, 9 - month minus 1 - month, and 9 - month minus 5 - month [35] - Inter - commodity spreads: Spreads like soybeans No.1/corn, soybeans No.2/corn on different dates from January 14 - 20, 2026 [35] 3.6 Stock Index Futures - Basis: Data for CSI 300, SSE 50, CSI 500, and CSI 1000 from January 14 - 20, 2026, e.g., CSI 300 basis on January 20 is 10.28 [46] - Inter - period spreads: For CSI 300, SSE 50, etc., including next - month minus current - month, next - quarter minus current - quarter [48]

| 股指期货价差日报 | 投资咨询业务资格:证监许可【2011】1292号 | 叶倩宁 | Z0016628 | | | | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 2026年1月21日 | 最新值 | 品种 | 历史1年分位数 | 全历史分位数 | 较前一日变化 | | | | | | | | | | | | F期现价差 | -10.28 | -4.42 | 68.00% | 38.0096 | 4.75 | H期配分去 | 3.09 | 91.30% | 83.20% | 期现价差 | | | | | | | IC期现价差 | 22.94 | 97.50% | 1.00 | 86,1096 | IM期现价差 | -25.52 | 28.00% | -61.95 | 75.00% | 次月-当月 | -2.00 | 2.20 | 89.30% | 55.60% | | | 零月-当月 | -36.60 | 44.2 ...

Report Summary 1) Report Industry Investment Rating No industry investment rating is provided in the report. 2) Core Viewpoints - This week, the domestic LPG market was greatly affected by geopolitical factors, rising first and then falling, with a slight upward shift in the weekly center. The 02-03 and 3-4 spreads form reverse spreads, and the follow - up needs to focus on the situation of warehouse receipts. Overall, the internal and external valuations are high, the supply - demand pattern of the external market is expected to weaken, while the domestic valuation is neutral [1]. 3) Summary by Relevant Content Daily Data - From January 14 to January 20, 2026, the prices of LPG in South China, East China, and Shandong, as well as related products such as propane CFR South China, propane CIF Japan, CP forecast contract price, Shandong ether - after carbon four, and Shandong alkylation oil, showed different degrees of changes. The daily changes on January 20 were - 60, - 50, 0, - 4, 0, - 2, 0, - 20, - 27, - 12 respectively [1]. Daily Viewpoint - On Tuesday, the futures market dropped significantly. The 02 - 03 spread was 90 (+3), the 03 - 04 spread was - 279 (-12), and the 02 - 04 spread was - 189 (-9). On Monday night at 10 o'clock, the FEI and CP paper - cargo prices rose slightly to 529.45 US dollars [1]. Weekly Viewpoint - This week, the domestic market was greatly affected by geopolitical factors, rising first and then falling, with a slight upward shift in the weekly center. The 02 basis was 138 (-41), the 02 - 03 spread was 70 (+15), and the 03 - 04 spread was - 250 (-58). The price of civil gas increased, with Shandong at 4440 (+40), East China at 4523 (+56), and South China at 5035 (+195). The cheapest deliverable was Shandong ether - after carbon four at 4340 (-50). The warehouse receipts were 5977 lots (-241). The FEI and CP spreads rose, the MB spread fell, the oil - gas ratio weakened, and FEI strengthened compared with CP and MB. The internal and external PG - FEI was 73.6 (-11.9), and PG - CP was 69.6 (-8). The arrival discount of propane in East China, China was 77 (-2), and the FOB discounts of propane from AFEI, the Middle East, and the United States were 37.75 (+3.75), 29 (-1), and 50.8 US dollars (+9.12) respectively. The freight increased, with the US Gulf - Japan at 139 (+7). The FEI - MOPJ spread was - 27 (week - on - week +12). The PDH profit was significantly repaired but still poor. The port inventory decreased by 4.9%, the arrival of ships increased by 2.7%, and the overall shipment increased significantly. The refinery storage capacity rate decreased by 0.66 pct, and the external supply decreased by 0.19%. The PDH operating rate was 73.07% (-2.54 pct), and there were expectations of multiple plant shutdowns in February, with the PDH operating rate expected to continue to decline [1].

Report Summary 1. Report Industry Investment Rating - No information provided 2. Core Viewpoints - No information provided 3. Summary by Relevant Catalogs 3.1. Basis and Calendar Spread - The daily changes of Shandong basis (+80) (non-Jingbo), East China basis (Zhenjiang warehouse), and South China basis (Foshan warehouse) on 1/20 were 3, 3, and 33 respectively [3] - The daily changes of 01 - 03, 02 - 03, and 03 - 06 on 1/20 were 3, 0, and 0 respectively [3] 3.2. BU Main Contract - The price of the BU main contract (02) on 1/20 was 3139, with a daily change of -3 [3] - The trading volume on 1/20 was 166,692, a decrease of 18,207 compared to the previous day [3] - The open interest on 1/20 was 413,904, a decrease of 882 compared to the previous day [3] - The warehouse receipts on 1/20 were 16,110, with no change [3] 3.3. Crude Oil and Asphalt Prices - The price of Brent crude oil on 1/20 was 63.9, with a daily change of -0.2 [3] - The prices of Jingbo, Shandong (non-Jingbo), Zhenjiang warehouse, and Foshan warehouse on 1/20 were 3100, 3100, 3150, and 3130 respectively, among which the price of Foshan warehouse increased by 30 [3] 3.4. Asphalt - Marey Profit - The asphalt - Marey profit data after 1/14 was N/A [3]

1. Report Industry Investment Rating No information about the industry investment rating is provided in the report. 2. Core Views of the Report - The agricultural market shows a complex situation with different trends for various products. In the short - term, many products are expected to be in a state of shock, while in the long - term, the pig cycle is expected to gradually bottom out and recover in the second half of 2026[11]. - Overall, the supply of oilseeds (soybeans and rapeseeds) is relatively abundant, and the annual output of palm oil is high. Although it is about to enter the production - reduction season with a de - stocking trend, the overall situation of the oil market is complex[7]. - The protein meal market is affected by factors such as international soybean supply and domestic demand, and is expected to be in a state of shock[8]. - The corn market is in a state of tight balance, and the price is expected to be in a high - level shock in the short - term[9]. - The rubber market (both natural and synthetic) is expected to be in a state of shock, with different influencing factors[13][16]. - The cotton market is expected to be in a state of shock and gradually strengthen in the medium - to - long - term, while the sugar market is expected to be in a state of shock and weaken[17][18]. - The pulp and double - gum paper markets are expected to be in a state of shock and weaken, and the log market is expected to operate in a short - term range[19][22][23]. 3. Summary by Relevant Catalogs 3.1.行情观点 3.1.1. 油脂 - **观点**: Export expectations drive the rebound of palm oil. The price of palm oil is strong, driving up the prices of soybean and rapeseed oils slightly. The supply of soybeans and rapeseeds is relatively abundant, and the future supply expectations of palm oil, soybean oil, and rapeseed oil are different[7]. - **Logic**: For palm oil, the market expects good export data in Malaysia from January 1 - 20, but the domestic spot inventory is increasing, and the pre - holiday stocking sentiment is insufficient. For soybean oil, the global soybean production and inventory are expected to increase, and the domestic market's acceptance of high prices is decreasing. For rapeseed oil, future supply expectations are turning loose, but the spot is still tight, and the near - end basis is relatively strong[7]. - **Outlook**: Soybean oil is expected to be in a state of shock, palm oil in a state of shock, and rapeseed oil in a state of shock and weaken[7]. 3.1.2. 蛋白粕 - **观点**: Terminal stocking and point - pricing drive the rebound of double - meal prices at low levels[8]. - **Logic**: Internationally, the sowing of Argentine soybeans is nearly finished, and the US soybean demand is supported. The supply of overseas soybeans is expected to increase. Domestically, the low prices of soybean meal and rapeseed meal attract downstream stocking, but the adjustment of tariffs on Canadian rapeseed has a slight negative impact[8]. - **Outlook**: US soybeans, Dalian soybean meal, and rapeseed meal are all expected to be in a state of shock. Rapeseed meal is expected to be weaker than soybean meal[8]. 3.1.3. 玉米及淀粉 - **观点**: Corn is in a state of range - bound shock[8]. - **Logic**: The current fundamentals are in a tight balance. The upstream is reluctant to sell, and the logistics is affected by snow. The downstream feed enterprises have sufficient inventory, and the deep - processing enterprises' pre - holiday stocking has a certain impact on prices. Policy grain auctions also affect the price[9]. - **Outlook**: Corn is expected to be in a state of shock[9]. 3.1.4. 生猪 - **观点**: Slaughterhouses' procurement slows down, and the spot and futures prices of live pigs decline[10]. - **Logic**: In the short - term, the early - January slaughter progress is slow, and secondary fattening has re - entered in some areas. In the medium - term, the supply surplus pressure will last until April 2026. In the long - term, the sow capacity began to decline in the third quarter of 2025, and the supply pressure is expected to ease after May 2026. The demand shows a slight weekly increase in slaughter volume, and there is a slight inventory accumulation[11]. - **Outlook**: In the short - term, the market is expected to be in a state of shock. The industry is advised to focus on short - selling hedging opportunities in the first half of the year. The pig cycle is expected to gradually bottom out and recover in the second half of 2026[11]. 3.1.5. 沪胶与20号胶 - **观点**: The natural rubber market is in a state of wide - range shock[12]. - **Logic**: Affected by the overall commodity adjustment trend, the rubber price is in a narrow - range shock, and the fundamentals have not changed much. It is mainly driven by macro factors. The overseas supply is increasing seasonally, and the raw material price is firm, but the downstream buying is weak after the price increase[13]. - **Outlook**: The natural rubber market is expected to be in a state of shock[13]. 3.1.6. 合成橡胶 - **观点**: The price is in a state of correction and adjustment, and the market is in a state of shock[16]. - **Logic**: After the previous price increase, there is no further upward momentum, but the downside space is limited. The mid - term bullish logic remains unchanged, mainly based on the expected improvement of butadiene fundamentals. The price of butadiene has been rising recently[16]. - **Outlook**: The butadiene supply - demand pattern is expected to improve, but there is still pressure in the short - term. It is expected to be in a state of shock and strengthen in the medium - term[16]. 3.1.7. 棉花 - **观点**: The price continues to adjust, and attention should be paid to the lower support[17]. - **Logic**: In the short - term, due to the exhaustion of short - term benefits and the decline in positions, the cotton price has stopped rising. The fundamentals are generally good, but the increase in cotton yarn imports is a marginal negative factor. In the medium - to - long - term, the cotton price is expected to rise based on the expected tight supply and the reduction of cotton - planting area in Xinjiang[17]. - **Outlook**: The cotton market is expected to be in a state of shock and strengthen[17]. 3.1.8. 白糖 - **观点**: The sugar price is under pressure and closes down[18]. - **Logic**: Globally, the sugar market is expected to have a supply surplus in the 25/26 season, and both domestic and international prices are under pressure. In the domestic market, the supply is increasing, and the sugar price is expected to be under pressure during the northern hemisphere's listing period[18]. - **Outlook**: The sugar market is expected to be in a state of shock and weaken[18]. 3.1.9. 纸浆 - **观点**: The price of broad - leaf pulp continues to weaken, and the fundamentals have more concerns[19]. - **Logic**: The fundamentals of pulp have not changed much, with both positive and negative factors. The positive factors include the increase in import costs and the relatively low price difference between needle and broad - leaf pulp. The negative factors include the seasonal decline in demand, abundant supply in the spot market, and the weakening of the broad - leaf pulp price[19]. - **Outlook**: The pulp market is expected to be in a state of shock and weaken[19]. 3.1.10. 双胶纸 - **观点**: There are no major contradictions, and the price is in a low - level shock[20]. - **Logic**: The market is in a low - level shock, with stable production by large - scale paper enterprises and rational stocking by dealers. The demand is weak, and the price increase is difficult to pass on to the downstream[22]. - **Outlook**: The double - gum paper market is expected to be in a state of shock and weaken[22]. 3.1.11. 原木 - **观点**: The price of the log futures contract continues to decline, and the valuation has entered a deep - water area[23]. - **Logic**: The log futures contract has declined with increasing positions, and the short - term is dominated by bears. The valuation has entered a low - value area, and the downward space is relatively limited. The fundamentals have not changed significantly, and the delivery situation has changed. The spot price in the Jiangsu market is rising due to tight supply[23]. - **Outlook**: The log market is expected to operate in a short - term range[23]. 3.2. 品种数据监测 No specific data analysis or summary content is provided in the given text. 3.3. 中信期货商品指数 - On January 20, 2026, the comprehensive index of commodities was 2414.16, a decrease of 0.15%; the commodity 20 index was 2773.48, a decrease of 0.23%; the industrial products index was 2308.47, a decrease of 0.34%[184]. - The agricultural product index on January 20, 2026, was 934.25, with a daily decline of 0.02%, a decline of 1.15% in the past 5 days, an increase of 2.39% in the past month, and an increase of 0.13% since the beginning of the year[186].

Report Summary 1. Industry Investment Rating No industry investment rating is provided in the report. 2. Core View The report anticipates that glass prices may remain weakly oscillating in the short - term, suggesting a strategy of shorting on rebounds. It attributes this to the potential contraction of supply due to some production lines' cold - repair plans, but the demand decline in the real - estate sector is expected to be more significant, with the contraction of production capacity possibly falling short of the demand drop. Follow - up attention should be paid to macro - policy changes and production line cold - repair situations [4]. 3. Summary by Directory Market行情回顾 - **期货市场**：The glass futures main contract oscillated downward during the day, showing a short - term weakly oscillating signal. The trading volume decreased by 7.1 million lots compared to the previous day, and the open interest decreased by 6,499 lots. The intraday high was 1,072, the low was 1,055, and the closing price was 1,056, down 34 yuan/ton or 3.12% from the previous settlement price [1]. - **现货市场**：The market in North China was sluggish with weak transactions; in East China, it was stable, with improved shipments in Shandong but restricted shipments in Anhui due to snow; in Central China, there was little fluctuation and weak shipments due to weather; in South China, it was stable, with downstream rush - work but average inventory - stocking willingness [1]. - **基差**：The spot price in North China was 1,020, with a basis of - 36 yuan/ton [1]. Fundamental Data - **供应方面**：As of January 15, the weekly total output of float glass was 1.0523 billion tons, a week - on - week decrease of 0.65% and a year - on - year decrease of 4.28%. The industry average start - up rate was 71.38%, a week - on - week decrease of 0.58%, and the average capacity utilization rate was 75.14%, a week - on - week decrease of 0.49%. There was no production line water - release or ignition this week, but one previously ignited production line started producing glass, and with the load recovery of some production lines, the daily output increased slightly [2]. - **库存方面**：The total inventory of national float glass sample enterprises was 53.013 million heavy boxes, a week - on - week decrease of 2.505 million heavy boxes or 4.51%, and a year - on - year increase of 20.89%. The inventory days were 23 days, a decrease of 1.1 days from the previous period. Currently, the overall inventory of glass enterprises is on a downward trend, and there is still an expectation of further decline [2]. - **需求方面**：The average order days of national deep - processing sample enterprises was 9.3 days, a week - on - week increase of 7.9% and a year - on - year increase of 86.4%. As the Spring Festival approaches, the order trends of deep - processing enterprises in the north and south regions are diverging, with an increase in the executable order days in the south and a decline in the north and central regions [2][3]. - **利润方面**：The weekly average profit of natural - gas float glass was - 164.40 yuan/ton, a week - on - week increase of 22.00 yuan/ton; the weekly average profit of coal - gas float glass was - 69.01 yuan/ton, a week - on - week increase of 4.82 yuan/ton; the weekly average profit of petroleum - coke float glass was 3.93 yuan/ton, a week - on - week increase of 9.71 yuan/ton [3]. Main Logic Summary The long - term losses of glass production lines are accelerating the clearance of some enterprises' production capacity, and there are still cold - repair plans for some production lines before the Spring Festival, so the supply side is expected to contract further. However, the real - estate development investment and funds in place continue to decline year - on - year, and the real - estate demand has not improved. Overall, the real - estate data continues to decline, glass factory orders are limited, and the market's rigid demand is accelerating to weaken at the end of the month. Although there are still cold - repair expectations for a few production lines, the contraction of production capacity may be less than the decline in demand. It is advisable to short on rebounds. Follow - up attention should be paid to macro - policy changes and production line cold - repair situations [4].

| 股指期货价差日报 | 投资咨询业务资格:证监许可【2011】1292号 | 叶倩宁 | Z0016628 | | | | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 2026年1月20日 | 品种 | 爰新值 | 较前一日变化 | 历史1年分位数 | 全历史分位数 | | | | | | | | | | | | F期现价差 | -5.86 | 2.82 | 76.20% | 48.80% | -2.97 | H期配分去 | 1.66 | 74.50% | 66.10% | 期现价差 | | | | | | | IC期现价差 | 0.33 | -21.95 | 84.00% | 50.2096 | IM期现价差 | -79.05 | -8.15 | 75.00% | 21.60% | -4.20 | 次月-当月 | 7.00 | 81.90% | 50.90% | | | -44.00 | 零月-当月 | -30.20 ...

Report Summary 1. Report Industry Investment Rating No specific investment rating is provided in the report. 2. Core Views - PX: The valuation follows the cost - end correction, being relatively neutral. Future PX supply is expected to be loose, and the processing fee is maintained at 330 USD/ton. It's advisable to focus on the long - PX short - PTA and long - MX short - PX hedges [7]. - PTA: The PTA processing fee is at a high level. It's recommended to focus on reducing the processing - fee position. Future supply and demand will be weak, and the inventory will accumulate. The unilateral price has limited downside space [8]. - MEG: It is in a range - bound market with limited downside space. Attention should be paid to basis and 5 - 9 calendar spreads. The supply pressure is still large, but the basis and monthly spreads can cover storage costs [8]. 3. Summary of Related Catalogs 3.1 Futures Market Data | Futures | Closing Price | Change | Change Rate | Month - spread Closing Price | Month - spread Change | | ---- | ---- | ---- | ---- | ---- | ---- | | PX Main | 7106 | 20 | 0.28% | 68 | 8 | | PTA Main | 5030 | 12 | 0.24% | 42 | - 2 | | MEG Main | 3755 | - 41 | - 1.08% | - 108 | - 4 | | PF Main | 6398 | - 2 | - 0.03% | - 44 | 0 | | SC Main | 437.4 | - 1.4 | - 0.32% | - 1.2 | 2.3 | [2] 3.2 Spot Market Data | Spot | Price | Change | | ---- | ---- | ---- | | PX CFR China (USD/ton) | 879 | 0 | | PTA East China (CNY/ton) | 4972 | 12 | | MEG Spot | 3638 | - 57 | | Naphtha MOPJ (USD/ton) | 548.5 | 0 | | Dated Brent (USD/barrel) | 67.76 | 1.45 | [2] 3.3 Spot Processing Fee Data | Processing Fee | Price | Change | | ---- | ---- | ---- | | PX - Naphtha Spread | 330.5 | 4.42 | | PTA Processing Fee | 309.31 | - 70.31 | | Staple Fiber Processing Fee | 120.64 | - 21.37 | | Bottle Chip Processing Fee | 149.42 | 47.24 | | MOPJ Naphtha - Dubai Crude Spread | - 4.34 | 0 | [2] 3.4 Fundamental Data - **PX**: On January 19, the PX price remained stable, with an April Asian spot deal at 881. The estimated PX price was 879 USD/ton, unchanged from last Friday. The domestic PX plant operating rate increased to 89.6% [3][7]. - **PTA**: On January 19, the PTA spot price rose to 4970 CNY/ton. The current PTA operating rate is maintained at 76.9%, and the load - increasing space is limited [3][8]. - **MEG**: On January 19, the MEG port inventory in some main ports in East China was about 79.5 tons, a decrease of 0.7 tons from the previous period. The domestic ethylene glycol operating rate was 74.4%, and the coal - based operating rate was 80.2% (+1.6%) [4][8]. 3.5 Device Operation and Sales - **MEG**: An Anhui 300,000 - ton/year syngas - to - ethylene glycol plant recently reduced its load to 80 - 90%. A 360,000 - ton/year ethylene glycol plant in the southwest began maintenance last weekend, expected to last about 10 days [6]. - **Polyester**: Two polyester plants in Xiaoshan with a total capacity of 400,000 tons started maintenance on Saturday, planning to restart on February 12. On January 19, the sales of direct - spun polyester staple fibers were polarized, with an average sales rate of 60% [6]. - **Polyester Yarn**: On January 19, the sales of polyester yarn in Jiangsu and Zhejiang were weak, with an average sales rate of 40 - 50% [6].