Morning session notice 早盘提示 Morning session notice 早盘提示 更多精彩内容请关注格林大华期货官方微信 格林大华期货研究院 证监许可【2011】1288 号 2026 年 02 月 27 日星期五 研究员： 王子健 从业资格：F03087965 交易咨询资格：Z0019551 联系方式：17803978037 | 板块 | 品种 | 多（空） | 推荐理由 | 【行情复盘】 | | | | | | | | | | | | | | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 郑棉总成交 | 1028977 | 持仓 | 1198221。结算价 | 5 | 月 | 15450，9 | 月 | 15400，1 | 月 | 15735。 | ICE3 ...

研究所 农产品研发报告 农产品日报 2026 年 02 月 25 日 研究员：王玺圳、刘倩楠 期货从业证号： F03118729、F3013727 投资咨询证号： Z0022817、Z0014425 联系方式： :wangxizhen_qh@chin astock.com.cn 棉花、棉纱日报 第一部分 市场信息 | 期货盘面 | 收盘 | 涨跌幅 | 成交量(手) | 增减幅 | 空盘量 | 增减量 | | --- | --- | --- | --- | --- | --- | --- | | CF01合约 | 15140 | -70 | 472 | -452 | 5,483 | 84 | | CF05合约 | 14610 | -70 | 246,422 | -13325 | 700,704 | -270 | | CF09合约 | 14735 | -70 | 55,110 | -3624 | 169,643 | 4673 | | CY01合约 | 0 | 0 | 0 | 0 | 0 | 0 | | CY05合约 | 20360 | -45 | 6709 | -536 | 11525 | 360 | | CY ...

1. Report Industry Investment Rating - The investment rating for the cotton industry is a bullish and volatile outlook [2] 2. Core View of the Report - Under the influence of the strengthening US dollar index and a bearish market sentiment for commodities, the ICE US cotton futures declined, with the main 03 contract settling at 62.67 cents, a 0.8% drop. As the Zhengzhou cotton price corrected, it entered an oscillation range before the holiday, with a short - term amplitude between 14,500 - 15,000 yuan/ton. Overall, the market's supply - demand imbalance persists, with most transactions being small, demand - driven orders. Market participants are cautiously optimistic about the post - holiday market [2] 3. Summary by Relevant Catalogs 3.1 Market Quotes - ICE 3 - month contract settled at 62.67, down 50 points; 5 - month at 64.40, down 53 points; 7 - month at 66.10, down 45 points, with trading volume of about 90,000 lots. Zhengzhou cotton's total trading volume was 599,538, and the open interest was 994,666. The settlement prices were 14,640 for the May contract, 14,745 for the September contract, and 15,120 for the January contract [2] 3.2 Important Information - On January 29, spinning enterprises in the southern Xinjiang Bazhou region purchased 31 - grade double - 29 machine - picked new cotton with less than 2.7% impurity from Xinjiang warehouses. The contract basis transaction price was 1,150 - 1,250 yuan/ton, and the pick - up price was 16,050 - 16,200 yuan/ton, up 50 - 100 yuan/ton from the previous day [2] - According to US Department of Commerce data, in November 2025, the retail sales of clothing and clothing accessories in the US (seasonally adjusted) were $27.493 billion, a year - on - year increase of 7.54% (the adjusted figure for the same period last year was $25.565 billion) and a month - on - month increase of 0.88% (the previous month was adjusted upwards to $27.254 billion) [2] - From January 16 - 22, the net signing of US 2025/26 - year upland cotton was 46,198 tons, a 51% decrease from the previous week and a 17% decrease from the four - week average; the shipment of upland cotton was 58,287 tons, a 37% increase from the previous week and a 61% increase from the four - week average [2] - So far this year, the Cotton Corporation of India (CCI) has cumulatively purchased about 4.37 million tons of seed cotton, of which 34% is from Telangana. Converted at a lint percentage of 35%, the CCI's cumulative purchase is equivalent to about 1.53 million tons of lint cotton [2] - On January 29, the cotton yarn futures continued to increase in volume and decrease in open interest, with prices rising, and the spot prices slightly increased. Zhengzhou cotton remained stable, while cotton yarn futures rose significantly. In the spot market, most prices were stable with a few increases. Some spinning enterprises raised their quotes by 100 - 300 yuan/ton, while most maintained their quotes, mainly because there was pressure for the prices of medium - and low - count yarns to rise [2] 3.3 Trading Strategy - Hold long positions for the 05 contract below 14,500 yuan/ton and gradually take profits at 15,000 yuan/ton [2]

Group 1: Report Industry Investment Rating - No relevant content provided Group 2: Core View of the Report - Cotton sales progress is fast, at a high level compared to the same period in previous years, and downstream备货意愿 has increased, with textile mills starting to place orders gradually. The cotton price is supported by market bullish factors, but it has recently pulled back, and is expected to fluctuate in the short term. For trading strategies, it is recommended to consider building long positions on Zhengzhou cotton at low prices while keeping a wait - and - see attitude for arbitrage and options [8][9] Group 3: Summary by Directory First Part: Market Information - **Futures Market**: CF01 contract closed at 15140 with an increase of 465, CF05 at 14545 with a decrease of 45, and CF09 at 14710 with a decrease of 35. CY01 was at 0 with a decrease of 20250, CY05 at 20570 with a decrease of 45, and CY09 at 0 with a decrease of 20675. Details of trading volume, open interest, and their changes are also provided [2] - **Spot Market**: CCIndex3128B was at 15880 yuan/ton with a decrease of 92, Cot A at 74.80 cents/pound, FC Index:M: to - port price at 72.29 with a decrease of 0.30, etc. [2] - **Price Spread**: In cotton inter - period spreads, the 1 - 5 month spread was 595 with an increase of 510, 5 - 9 month spread was - 165 with a decrease of 10, etc. In yarn inter - period spreads, the 1 - 5 month spread was - 20570 with a decrease of 20205, etc. [2] Second Part: Market News and Views Cotton Market News - **Brazil**: In the 2025/26 season, Brazil is expected to remain dominant in the global cotton market. The total cotton output may decline slightly from the previous record - high year but will still be the second - highest in history. The planting area is expected to increase slightly by 0.7% to 2.1 million hectares, the yield per unit area is expected to decrease by 3.5%, and the total output will be 3.96 million tons, a year - on - year decrease of 2.9%. The domestic available supply is expected to be 6.77 million tons, an increase of 4.5%. Exports are expected to reach 3.06 million tons, a year - on - year increase of 3.98%, and domestic consumption is estimated to be 730,000 tons. As of December 2026, the ending inventory is expected to be 2.98 million tons, an increase of 6.07% compared to December 2025. As of January 6, the contract trading volume of 2025/26 cotton reached 621,520 tons, equivalent to 16% of the estimated national total output, and the pre - sales volume of 2026/27 cotton has reached at least 73,000 tons [4][5] - **USA**: As of the week of January 16, 2026, the cumulative inspection volume of U.S. upland cotton + Pima cotton was 2.7896 million tons, accounting for 94.6% of the estimated annual U.S. cotton output, 8% slower year - on - year. The inspection progress of upland cotton was 94.7%, a year - on - year decrease of 8%, and that of Pima cotton was 90.5%, 19% slower year - on - year. The weekly deliverable ratio was 75.4%, and the quarterly deliverable ratio was 82.1%, 1.3 percentage points higher year - on - year [5] - **China**: On January 19, 2026, the road transportation price index of Xinjiang - bound cotton was 0.1679 yuan/ton·km, a month - on - month increase of 0.66%. It is expected to show a narrow - range overall fluctuation in the short term [6] Trading Logic - The cotton sales progress is fast, and downstream备货意愿 has increased. The cotton price is supported by market bullish factors, but it has recently pulled back, and is expected to fluctuate in the short term [8] Trading Strategy - **Single - side**: It is expected that the U.S. cotton will mostly fluctuate within a range in the short term, and the fundamentals of Zhengzhou cotton are still strong. It is recommended to consider building long positions at low prices. - **Arbitrage**: Wait - and - see. - **Options**: Wait - and - see [9] Cotton Yarn Industry News - **Domestic Market**: The domestic cotton yarn market remains sluggish, with prices generally stable but weak market sentiment. Spinning mills are mainly focused on active sales and inventory digestion. Some spinning enterprises have received downstream restocking orders, but the scale and enthusiasm are lower than in previous years. Most spinning enterprises still face the pressure of insufficient orders. Downstream rigid - demand purchases are mainly for sporadic restocking, and the overall stocking intention is not strong [9] - **Fabric Market**: Cotton fabric traders are cautious in stocking, with general purchase and order - placing volumes, mainly small - batch orders. The orders of weaving factories are average, and although the local operating rate has slightly recovered, the overall operating rate is still at a low level. It is expected that some weaving factories will gradually start their holidays at the end of the month. The inventory of weaving factories is still at a high level, and they prioritize inventory reduction to recover funds [10] Third Part: Options - **Option Contracts**: For example, on January 19, 2026, the CF605C14600.CZC contract had a closing price of 334.00 with a decrease of 16.9%, an implied volatility of 13.3%, etc. - **Volatility**: The 60 - day HV of cotton yesterday was 9.2812, with a slight increase in volatility compared to the previous day. The implied volatility of CF605 - C - 14600 was 13.3%, CF605 - C - 14200 was 11.3%, and CF605 - P - 13800 was 11.2%. - **Option Strategy**: 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. It is recommended to wait and see [12][13][15] Fourth Part: Relevant Attachments - The report provides figures such as the 1% tariff - based price spread between domestic and foreign cotton markets, cotton 1 - month, 5 - month, and 9 - month basis, CY05 - CF05 and CY01 - CF01 spreads, and CF9 - 1 and CF5 - 9 spreads [18][22][26][27]

Group 1: Report Overview - The report is from Green大华 Futures Research Institute on December 30, 2025, written by researcher Wang Zijian [2] Group 2: Market Quotes - ICE 3 - month contract settlement price is 64.35, down 14 points; 5 - month is 65.63, down 15 points; 7 - month is 66.84, down 11 points, with about 35,000 lots traded [2] - Zhengzhou cotton total trading volume is 664,198 lots, open interest is 1,149,796 lots. Settlement prices are 14,530 yuan/ton for January, 14,485 yuan/ton for May, and 14,670 yuan/ton for September [2] Group 3: Important Information - In November, Japan imported 1,701 tons of cotton, a 6.6% decrease from the previous month and a 28.3% decrease from the same period last year. From August 2025 to July 2026, Japan's cumulative cotton imports are about 6,692 tons, a 32.5% decrease year - on - year [2] - From December 12 to 18, 2025, the United States graded and inspected 199,300 tons of cotton in the 2025/26 season, with 83.7% of lint meeting ICE futures delivery requirements. As of the same period, the cumulative graded inspection is 2,424,300 tons, with 82.7% meeting the requirements [2] - On the 19th, the listed volume of Indian cotton in the 2025/26 season was about 42,000 tons of lint. The CCI sold about 72,000 tons through reserve auctions, with a trading volume of 867 tons on that day, and the S - 6 auction base price is stable at 51,300 rupees/candy, equivalent to about 72.50 cents/pound [2] Group 4: Market Logic - ICE US cotton futures rose and then fell. The main 03 contract settled at 64.35 cents, down 0.22%. With the New Year's Day approaching, the market sentiment is cautious. Some long positions in Zhengzhou cotton were closed. Fundamentally, the expected supply pressure eases, the positive impact of the subsidy policy is gradually digested, and the high - level hedging pressure exists, suppressing the upward momentum of Zhengzhou cotton. In the short term, Zhengzhou cotton will maintain a volatile trend [2] Group 5: Trading Strategy - Hold the call option with a strike price of 13,600 yuan/ton for the 05 contract, and partially close the long positions in futures [2]

Core Viewpoint - The cotton futures prices on the Intercontinental Exchange (ICE) continue to decline, with the current price at 63.75 cents per pound, reflecting a decrease of 0.05% from the previous trading session [1]. Group 1: Cotton Futures Market Overview - On November 20, the ICE cotton futures opened at 63.97 cents per pound, reached a high of 64.40 cents, a low of 63.63 cents, and closed at 63.81 cents, marking a decrease of 0.25% [2]. - The latest data from the Commodity Futures Trading Commission (CFTC) indicates that as of October 17, the number of unpriced sell orders for U.S. cotton was 46,720 contracts, a decrease of 372 contracts from the previous week. Unpriced buy orders totaled 111,971 contracts, down by 1,000 contracts [2]. - The ICE cotton futures contract saw a reduction in unpriced contracts for sellers, with 11,129 contracts reported, a decrease of 2,029 contracts from the prior week [2]. Group 2: Export Sales Data - According to the U.S. Department of Agriculture, for the week ending October 2, net sales of U.S. upland cotton for the 2025/2026 marketing year were 199,000 bales, an increase from 155,400 bales the previous week. For the 2026/2027 marketing year, net sales were reported at zero bales, down from 44,100 bales the prior week [2]. - On November 20, the Zhengzhou Commodity Exchange reported 4,650 cotton futures warehouse receipts, an increase of 14 receipts compared to the previous trading day [2].

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report analyzes the cotton market at home and abroad, suggesting that the short - term trend of Zhengzhou cotton is expected to be oscillating and slightly stronger due to macro - factors, and the trend of US cotton is also expected to be oscillating and slightly stronger. It also provides corresponding trading strategies for options and futures [7][13][22]. 3. Summary by Relevant Catalogs 3.1 International Market Analysis - **US Cotton Market Outlook**: Due to weather uncertainties and potential increased purchases from countries like Vietnam, the US cotton market is expected to be oscillating and slightly stronger [7]. - **US Cotton Growth**: As of May 11, the cotton planting rate in 15 major US cotton - growing states was 28%, 4% slower than last year and 3 percentage points slower than the five - year average. The drought index in the main production areas and Texas continued to decline [7]. - **US Cotton Sales**: In the week ending May 8, 2024/25 US upland cotton weekly contracts were 2.77 million tons, a week - on - week increase of 86% and a 2% increase from the average of the previous four weeks. Weekly shipments were 7.47 million tons, a week - on - week decrease of 17% and a 5% decrease from the average of the previous four weeks [7]. - **CFTC Position**: As of May 9, the number of un - priced seller contracts on the ON - CALL 2507 contract increased by 146 to 18,566, and the total number of un - priced seller contracts in the 24/25 season also increased by 146 to 18,566, equivalent to 420,000 tons [7]. - **Global Production and Sales Forecast**: According to the latest USDA data in May, the total cotton output in 2025/26 is expected to be 25.65 million tons, a reduction of 710,000 tons compared to 2024/25; total consumption is 25.7 million tons, an increase of 304,000 tons; and the ending inventory is 17.06 million tons, a decrease of 6,000 tons [7]. - **Other Countries' Situations**: As of the week ending May 11, 2025, the weekly cotton listing volume in India was 31,000 tons, a year - on - year decrease of 27%. The cumulative listing volume in the 2024/25 season was 4.532 million tons, a year - on - year decrease of 7% [7]. 3.2 Domestic Market Logic Analysis - **Market Trend**: Zhengzhou cotton's trend was strong this week. Affected by macro factors, it is expected to maintain an oscillating and slightly stronger trend in the short term [13]. - **Supply Side**: As of May 14, 2024, the cumulative public inspection of cotton in the 2024/25 season was 6,796,388 tons, a year - on - year increase of 18.71%. As of May 9, 2025, the total commercial cotton inventory was 3.8223 million tons, a week - on - week decrease of 123,900 tons (a decrease of 3.14%) [13]. - **Demand Side**: It is currently the off - season for market consumption. As of the week ending May 15, the cotton inventory of spinning enterprises in mainstream areas was equivalent to 28.8 days, and the yarn inventory of spinning enterprises in major areas was 29.1 days, a week - on - week decrease of 0.68% [13]. - **Macro Aspect**: During the Sino - US economic and trade high - level talks from May 10 - 11, the US promised to cancel 91% of the tariffs on Chinese goods and modify 34% of the reciprocal tariffs, with 24% of them suspended for 90 days. China also made corresponding adjustments to counter - tariffs [13]. 3.3 Option Strategy - **Volatility Judgment**: The 120 - day HV of cotton yesterday was 10.6252, and the implied volatility of options increased slightly compared to the previous day [20]. - **Option Strategy Recommendation**: It is recommended to wait and see. The implied volatility of CF509 - C - 13400 is 11.2%, and that of CF509 - P - 12600 is 13.3%, and CF509 - P - 12200 is 15.1% [20]. 3.4 Futures Trading Strategy - **Trading Logic**: Due to the substantial progress in the Sino - US economic and trade high - level talks, Zhengzhou cotton is expected to strengthen under macro - level influence [22]. - **Strategies**: - **Unilateral**: The future trend of US cotton is likely to be oscillating and slightly stronger, and Zhengzhou cotton is expected to be strong due to macro - influence [22]. - **Arbitrage**: Short September and long January [22]. - **Options**: Sell call options [22]. 3.5 Weekly Data Tracking - **Internal and External Price Difference**: The report presents the trends of internal and external cotton price differences and the 9 - 1 price difference [24][25]. - **Mid - end Situation**: It shows the operating loads of pure - cotton yarn mills and full - cotton grey fabric mills, as well as the inventory days of yarn and grey fabric [27]. - **Cotton Inventory**: The report shows the historical data of national cotton commercial inventory, spinning enterprise industrial inventory, and reserve inventory [28]. - **Spot - Futures Basis**: It presents the basis data of cotton in different months and the basis of US cotton [30].