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银河期货棉花、棉纱日报-20250702
Yin He Qi Huo· 2025-07-02 13:54
Group 1: Report Overview - Report Title: Cotton and Cotton Yarn Daily Report, July 2, 2024 [2] - Researcher: Liu Qiannan [2] Group 2: Market Information Futures Market - CF01 contract closed at 13,820 with a gain of 65, trading volume of 53,324 (up 7,010), and open interest of 193,529 (up 2,882) [3] - CF05 contract closed at 13,805 with a gain of 60, trading volume of 945 (down 342), and open interest of 8,232 (up 222) [3] - CF09 contract closed at 13,805 with a gain of 60, trading volume of 182,581 (down 6,222), and open interest of 560,465 (down 2,771) [3] - CY01 contract closed at 20,085 with a loss of 75, trading volume of 2 (up 2), and open interest of 79 (unchanged) [3] - CY05 contract closed at 20,090 with a gain of 40, trading volume of 2 (up 2), and open interest of 2 (unchanged) [3] - CY09 contract closed at 20,075 with a gain of 30, trading volume of 7,387 (up 52), and open interest of 22,405 (up 382) [3] Spot Market - CCIndex3128B was priced at 15,163 yuan/ton, up 9 [3] - Cot A was priced at 78.90 cents/pound, down 1.25 [3] - FC Index:M: CIF was priced at 77.44, down 1.08 [3] - Polyester staple fiber was priced at 7,450 yuan/ton, up 70 [3] - Viscose staple fiber was priced at 12,600 yuan/ton, unchanged [3] Spreads - Cotton inter - month spreads: 1 - 5 spread was 15 (up 5), 5 - 9 spread was 0 (unchanged), 9 - 1 spread was - 15 (down 5) [3] - Cotton yarn inter - month spreads: 1 - 5 spread was - 5 (down 115), 5 - 9 spread was 15 (up 10), 9 - 1 spread was - 10 (up 105) [3] - Cross - variety spreads: CY01 - CF01 was 6,265 (down 140), CY05 - CF05 was 6,285 (down 20), CY09 - CF09 was 6,270 (down 30) [3] - Domestic - foreign spreads: 1% tariff cotton spread was 1,221 (up 169), sliding - scale tariff cotton spread was 582 (up 96), domestic - foreign yarn spread was - 1,505 (down 663) [3] Group 3: Market News and Views Cotton Market News - As of June 23, 2025, India's cotton planting area in the 2025/26 season was 5.466 million hectares, 531,000 hectares lower than the same period last year, with a planting target of 12.95 million hectares [6] - CAI's latest report shows that as of May 31, 2025, compared with last month's assessment, India's 2024/25 cotton balance sheet had an output increase of 170,000 tons, import increase of 100,000 tons, demand decrease of 30,000 tons, export increase of 30,000 tons, and ending inventory increase of 270,000 tons [6] - As of June 29, the cotton planting rate in 15 major US cotton - growing states was 95%, 2 percentage points slower than last year and 3 percentage points slower than the five - year average; the squaring rate was 40%, 1 percentage point slower than last year and 3 percentage points faster than the five - year average; the boll - setting rate was 9%, the same as last year and the five - year average; the good - to - excellent rate was 51%, 1 percentage point higher than last year and 4 percentage points higher than the five - year average [7] Trading Logic - Macro - level uncertainties in Sino - US trade relations and China's trade policies with other countries bring uncertainties to cotton prices. If the US eases its attitude towards China, it may be bullish for cotton prices [8] - On the cotton fundamentals side, China's current low commercial cotton inventory may lead to a supply - tight situation before the new cotton harvest if the current de - stocking rate continues, which could make cotton prices oscillate slightly stronger [8] Trading Strategies - Unilateral: US cotton is expected to oscillate slightly stronger, and Zhengzhou cotton is expected to be slightly stronger in the short term [9] - Arbitrage: Hold a wait - and - see attitude [10] - Options: Sell put options [11] Cotton Yarn Industry News - The pure - cotton yarn market remains weak, with downstream buyers adopting a wait - and - see attitude due to large cotton price fluctuations. Spinning mills are suffering losses, inventory is accumulating, and production cuts are increasing. Short - term yarn prices are expected to be stable or slightly decline [11] - The all - cotton grey fabric market is in the off - season, with small domestic orders. Weaving mills lack confidence in price increases, and the market is expected to remain weak in July [13] Group 4: Options Option Data - On July 2, 2025, the CF509C13800.CZC option had a closing price of 198, a gain of 88.6%, an implied volatility of 9.9%, and other relevant option Greeks [14] - The CF509P13600.CZC option had a closing price of 103, a loss of 34.8%, an implied volatility of 9.9%, and relevant Greeks [14] - The CF509P13000.CZC option had a closing price of 21, a loss of 81.6%, an implied volatility of 12.3%, and relevant Greeks [14] Volatility and Strategy - The 30 - day HV of cotton decreased slightly. The PCR of the main Zhengzhou cotton contract's open interest was 0.9445, and the PCR of trading volume was 0.5684, with both call and put trading volumes decreasing. The option strategy is to sell put options [14][15][16] Group 5: Related Attachments - The report includes graphs such as the 1% tariff domestic - foreign cotton price spread, cotton basis for January, May, and September, CY - CF spreads, and CF inter - month spreads [16][20][21]
银河期货棉花、棉纱日报-20250625
Yin He Qi Huo· 2025-06-25 10:11
Group 1: Report General Information - Report Title: Cotton and Cotton Yarn Daily Report [2] - Report Date: June 25, 2024 [2] - Researcher: Liu Qiannan [2] Group 2: Market Information Futures Market - CF01 closed at 13,625 with a gain of 40, volume of 47,727 (down 5,162), and open interest of 168,678 (up 5,130) [3] - CF05 closed at 13,605 with a gain of 50, volume of 943 (up 265), and open interest of 5,983 (up 264) [3] - CF09 closed at 13,645 with a gain of 35, volume of 234,985 (down 9,877), and open interest of 560,112 (up 18,170) [3] - CY01 closed at 19,990 with a gain of 120, volume of 13 (up 9), and open interest of 46 (up 7) [3] - CY05 closed at 20,055 with a gain of 1,505, volume of 1 (up 1), and open interest of 1 (up 1) [3] - CY09 closed at 19,995 with a gain of 90, volume of 9,169 (up 1,363), and open interest of 21,920 (up 576) [3] Spot Market - CCIndex3128B was at 14,938 yuan/ton, up 44 [3] - Cot A was at 78.40 cents/pound, up 0.85 [3] - FC Index:M: to - port price was at 76.55, up 0.73 [3] - CY IndexC32S was at 20,300, down 770 [3] - FCY IndexC33S was at 21,928, up 59 [3] - Indian S - 6 was at 54,000, unchanged [3] - Polyester staple fiber was at 7,450, up 70 [3] - Pure polyester yarn T32S was at 11,200, down 50 [3] - Viscose staple fiber was at 12,600, unchanged [3] - Viscose yarn R30S was at 17,250, unchanged [3] Spreads - Cotton inter - month spreads: 1 - 5 spread was 20 (down 10), 5 - 9 spread was - 40 (up 15), 9 - 1 spread was 20 (down 5) [3] - Cotton yarn inter - month spreads: 1 - 5 spread was - 65 (down 1,385), 5 - 9 spread was 60 (up 1,415), 9 - 1 spread was 5 (down 30) [3] - Cross - variety spreads: CY01 - CF01 spread was 6,365 (up 80), CY05 - CF05 spread was 6,450 (up 1,455), CY09 - CF09 spread was 6,350 (up 55) [3] - Domestic - foreign spreads: 1% tariff domestic - foreign cotton spread was 1,050 (down 93), domestic - foreign cotton yarn spread was - 1,628 (down 829) [3] Group 3: Market News and Views Cotton Market News - As of June 16, 2025, the cotton planting area in India for the 2025/26 season was 3.125 million hectares, 214,000 hectares higher than the same period last year [6] - As of the week ending June 22, 2025, India's weekly cotton market volume was 174,000 tons, a 501% year - on - year increase; the cumulative market volume for the 2024/25 season was 4.9075 million tons, a 5% year - on - year decrease [6] - As of June 23, 2025, the total cotton inventory in Zhangjiagang Free Trade Zone was 40,100 tons, a 0.21% year - on - year decrease [7] Trading Logic - Uncertainties in Sino - US trade relations and China's trade policies with other countries bring uncertainties to cotton prices; if the US eases its attitude towards China, it could be positive for cotton prices [8] - With China's current low commercial cotton inventory, if the destocking speed remains the same, the market may price in the expected tight supply before the new cotton harvest, leading to a slightly bullish and volatile cotton market [8] Trading Strategies - Unilateral: US cotton is expected to be slightly bullish and volatile, and Zhengzhou cotton is expected to be slightly bullish in the short - term [9] - Arbitrage: Wait and see [9] - Options: Wait and see [9] Cotton Yarn Industry News - After the recent rise in cotton prices, the pure cotton yarn market remained quiet with light trading and stable prices due to poor downstream orders and low procurement enthusiasm [9] - The overall market for all - cotton grey fabrics remained sluggish, with no improvement in orders and most weavers pessimistic about the future; some expected inventory to increase in July [9] Group 4: Options Option Contracts - On June 25, 2025, CF509C13400.CZC closed at 340, up 49.8%, with an implied volatility of 9.3% [11] - CF509P12600.CZC closed at 18, down 30.8%, with an implied volatility of 13.6% [11] - CF509P12200.CZC closed at 13, down 13.3%, with an implied volatility of 16.8% [11] Volatility - The 120 - day HV of cotton was 10.3355, slightly lower than the previous day [11] Option Strategy - The PCR of the main Zhengzhou cotton contract's open interest was 0.9324, and the PCR of trading volume was 0.5796, with an increase in both call and put trading volumes [12] - Option strategy: Wait and see [13] Group 5: Related Attachments - Figures include 1% tariff domestic - foreign cotton price spread, cotton January basis, cotton May basis, cotton September basis, CY05 - CF05 spread, CY01 - CF01 spread, CF9 - 1 spread, and CF5 - 9 spread [14][21][26]
棉花、棉纱日报-20250623
Yin He Qi Huo· 2025-06-23 13:29
Group 1: Report Information - Report Title: Cotton and Cotton Yarn Daily Report [2] - Report Date: June 23, 2024 [2] - Researcher: Liu Qiannan [2] Group 2: Market Information Futures Market - CF01 contract closed at 13,500, down 15; trading volume was 35,530 lots, an increase of 5,786 lots; open interest was 154,498 lots, an increase of 58 lots [3] - CF05 contract closed at 13,470, down 25; trading volume was 1,183 lots, an increase of 332 lots; open interest was 5,608 lots, an increase of 492 lots [3] - CF09 contract closed at 13,465, down 30; trading volume was 184,987 lots, an increase of 38,955 lots; open interest was 515,356 lots, a decrease of 9,626 lots [3] - CY01 contract closed at 19,770, unchanged; trading volume was 0 lots; open interest was 37 lots, unchanged [3] - CY05 contract closed at 18,550, unchanged; trading volume was 0 lots; open interest was 0 lots [3] - CY09 contract closed at 19,700, down 35; trading volume was 5,219 lots, a decrease of 931 lots; open interest was 21,159 lots, a decrease of 498 lots [3] Spot Market - CCIndex3128B was 14,894 yuan/ton, up 3 yuan; CY IndexC32S was 20,300 yuan/ton, down 770 yuan [3] - Cot A was 77.55 cents/pound, unchanged; FCY IndexC33S was 21,892 yuan/ton, up 6 yuan [3] - (FC Index):M: arrival price was 75.82 cents/pound, unchanged; Indian S - 6 was 54,000 yuan/ton, unchanged [3] - Polyester staple fiber was 7,450 yuan/ton, up 70 yuan; pure polyester yarn T32S was 11,250 yuan/ton, unchanged [3] - Viscose staple fiber was 12,600 yuan/ton, unchanged; viscose yarn R30S was 17,250 yuan/ton, unchanged [3] Spread - Cotton inter - period spreads: 1 - 5 spread was 30, up 10; 5 - 9 spread was 5, up 5; 9 - 1 spread was - 35, down 15 [3] - Cotton yarn inter - period spreads: 1 - 5 spread was 1,220, unchanged; 5 - 9 spread was - 1,150, up 35; 9 - 1 spread was - 70, down 35 [3] - Cross - variety spreads: CY01 - CF01 was 6,270, up 15; CY05 - CF05 was 5,080, up 25; CY09 - CF09 was 6,235, down 5 [3] - Domestic - foreign spreads: 1% tariff domestic - foreign cotton spread was 1,154, up 15; sliding - scale tariff domestic - foreign cotton spread was 444, up 15; domestic - foreign yarn spread was - 1,592, down 776 [3] Group 3: Market News and Views Cotton Market News - As of the week ending June 12, 2024/25 US upland cotton weekly signing was 18,900 tons, a weekly increase of 38%, a 23% decrease from the four - week average, and a 56% year - on - year decrease; 2025/26 US upland cotton weekly signing was 62,300 tons, a 146% year - on - year increase [6] - 2024/25 US upland cotton weekly shipments were 46,400 tons, a 13% week - on - week decrease, a 24% decrease from the four - week average, and a 3% year - on - year increase [6] - According to CONAB's June 2024/25 production forecast, Brazil's cotton production is expected to be 3.913 million tons, an increase of 8,000 tons from the previous month [6] - Cotton spot trading was mostly sluggish, with strong market wait - and - see sentiment, and the overall basis remained stable. Downstream acceptance of high basis was not high [7] Trading Logic - Uncertainties in Sino - US trade relations and China's trade policies with other countries bring uncertainties to cotton trends. Currently, China's commercial cotton inventory is at a low level. If the de - stocking rate remains the same, the market may trade on the tight supply of cotton before the new cotton is listed, and cotton prices may fluctuate slightly stronger [8] - Recent international changes are significant. Rising crude oil prices may drive up the prices of all commodities. Iran's Parliamentary National Security and Foreign Policy Commission member Kousari said that the Iranian Parliament has concluded that the Strait of Hormuz should be closed, but the final decision lies with the Iranian Supreme National Security Council [8] Trading Strategies - Unilateral: US cotton is expected to fluctuate slightly stronger, and Zhengzhou cotton is expected to fluctuate strongly in the short term [9] - Arbitrage: Wait and see [9] - Options: Wait and see [9] Cotton Yarn Industry News - The all - cotton fabric market remained sluggish. Weaving mills reported little change in recent orders, mainly small and scattered orders. Overall, production was cut, and the operating rate was low. The transaction price of grey cloth was negotiated according to order volume. Most weaving mills focused on optimizing cash flow [9] - The pure - cotton yarn market remained sluggish. Spinning mills' prices remained stable, and their willingness to reduce prices for sales decreased significantly. The phenomenon of production restrictions and shutdowns among inland spinning mills increased significantly, and the operating rate continued to decline [9] Group 4: Options Option Data - On June 23, 2025, the closing price of CF509C13400.CZC was 222.00, down 23.2%; the closing price of CF509P12600.CZC was 24.00, down 31.4%; the closing price of CF509P12200.CZC was 16.00, up 14.3% [11] - The 120 - day HV of cotton was 10.2915, with slightly lower volatility than the previous day. The implied volatility of CF509 - C - 13400 was 9%, CF509 - P - 12600 was 12.3%, and CF509 - P - 12200 was 15.4% [11] Option Strategies - The PCR of the main contract of Zhengzhou cotton was 0.9702, and the volume PCR of the main contract was 0.6577. The trading volumes of both call and put options increased today [12] - Option strategy: Wait and see [13] Group 5: Related Attachments - Figures include 1% tariff domestic - foreign cotton price spread, cotton January basis, cotton May basis, cotton September basis, CY05 - CF05 spread, CY01 - CF01 spread, CF9 - 1 spread, and CF5 - 9 spread [14][21][26]