大宗商品研究所 农产品研发报告 投资咨询证号： Z0014425 联系方式： 农产品日报 2024 年 08 月 26 日 研究员：刘倩楠 期货从业证号： F3013727 :liuqiannan_qh@chinas tock.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 | 14100 | -20 | 152,809 | -94563 | 508,064 | 3455 | | CF05合约 | 14055 | -20 | 7,115 | -2272 | 54,851 | 526 | | CF09合约 | 13780 | -20 | 22,825 | -14052 | 56,606 | -13737 | | CY01合约 | 20160 | 5 | 49 | -81 | 380 | 0 | | CY05合约 | 20395 | 0 | 1 | -4 | 6 | 0 | | CY09合约 | 20080 | - ...

大宗商品研究所 农产品研发报告 农产品日报 2024 年 08 月 21 日 研究员：刘倩楠 期货从业证号： F3013727 投资咨询证号： Z0014425 联系方式： :liuqiannan_qh@chinas tock.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 | 14030 | -25 | 145,497 | -137731 | 481,950 | 3484 | | CF05合约 | 14005 | -35 | 5,618 | -11691 | 54,311 | 863 | | CF09合约 | 13770 | -30 | 23,693 | -21059 | 96,107 | -9010 | | CY01合约 | 20055 | -30 | 54 | -86 | 373 | -23 | | CY05合约 | 20290 | 20290 | 1 | 1 | 4 | 0 | | CY09合约 | 2 ...

Group 1: Report Overview - Report Title: Cotton and Cotton Yarn Daily Report - Date: August 20, 2024 - Researcher: Liu Qiannan [2] Group 2: Market Information Futures Market - CF01 contract closed at 14,055, down 45; trading volume was 283,228 lots, an increase of 136,381 lots; open interest was 478,466 lots, a decrease of 10,082 lots [3] - CY01 contract closed at 20,085, down 55; trading volume was 140 lots, an increase of 15 lots; open interest was 396 lots, an increase of 24 lots [3] Spot Market - CCIndex3128B was 15,240 yuan/ton, up 6; CY IndexC32S was 20,700 yuan/ton, unchanged [3] - Cot A was 79.30 cents/pound, up 0.15; FCY IndexC33S was 22,045 yuan/ton, down 88 [3] Spreads - Cotton inter - month spread: 1 - 5 month spread was 15, down 5; 5 - 9 month spread was 240, down 20; 9 - 1 month spread was - 255, up 25 [3] - Yarn inter - month spread: 1 - 5 month spread was 20,085, down 55; 5 - 9 month spread was - 20,045, up 50; 9 - 1 month spread was - 40, up 5 [3] - Cross - variety spread: CY01 - CF01 was 6,030, down 10; CY05 - CF05 was - 14,040, up 40; CY09 - CF09 was 6,245, down 30 [3] - Domestic - foreign spread: 1% tariff domestic - foreign cotton spread was 1,300, up 41; sliding - scale domestic - foreign cotton spread was 660, up 28; domestic - foreign yarn spread was - 1,345, up 88 [3] Group 3: Market News and Views Cotton Market News - As of August 16, Brazil's cotton harvest progress was 48.9% (98% of the area), a 9.9 - percentage - point increase from the previous week, 16.3% slower than last year [6] - As of August 16, 2025, India's 2025/26 cotton planting area was 10.696 million hectares, a 3.7% year - on - year decrease [6] - As of July 31, 2025, CAI's assessment of India's 2024/25 cotton balance sheet showed an increase in beginning inventory by 150,000 tons, demand by 100,000 tons, exports by 20,000 tons, and ending inventory by 30,000 tons compared to the previous month [7] Trading Logic - Macro: After recent China - US talks, tariffs are likely to be extended for 90 days, and China's anti - involution policies have a positive impact on commodities [8] - Fundamentals: Supply is tight, and the issuance of sliding - scale tariff quotas is a key factor; demand is expected to improve from the off - season to the peak season in August, but if it falls short of expectations, it will be negative for Zhengzhou cotton [8] - Overall: The short - term market is likely to be slightly bullish and volatile [8] Trading Strategies - Unilateral: US cotton is likely to be slightly bullish and volatile, and Zhengzhou cotton is expected to be slightly bullish and volatile in the short term with limited upside [9] - Arbitrage: Wait and see [10] - Options: Sell put options [11] Cotton Yarn Industry News - Pure - cotton yarn market: Recent transactions are fair, spinning mills' inventory has decreased slightly, but profit margins have not improved significantly, with inland spinning mills' cash - flow losses at around 500 yuan/ton; short - term yarn prices are expected to be stable [13] - Cotton gray fabric market: Demand has not improved continuously, weaving mills' shipment speed is average, and traders' purchasing enthusiasm is low; inventory is slowly decreasing [13] Group 4: Options Option Data - On August 20, 2025, for CF601C14000.CZC, the underlying contract price was 14,055, the closing price was 363, down 7.9%, IV was 10.7%, Delta was 0.5385, etc. [15] - The 120 - day HV of cotton was 10.2651, with a slight increase from the previous day; the implied volatility of CF601 - C - 14000 was 10.7%, CF601 - P - 13600 was 10.4%, and CF601 - P - 13400 was 10.4% [15] Option Strategies - The PCR of the main contract of Zhengzhou cotton was 0.7956 for open interest and 0.8463 for trading volume; both call and put trading volumes increased [16] - Recommendation: Sell put options [17]

Report Summary 1. Report Industry Investment Rating There is no information provided regarding the report industry investment rating. 2. Core View of the Report - Short - term market利多 factors for Zhengzhou cotton (郑棉) are relatively clear. It is expected that the downward space of Zhengzhou cotton is limited, and it will probably maintain a slightly stronger oscillating trend. The future trend of US cotton is likely to be slightly stronger in oscillation, while Zhengzhou cotton is expected to maintain a slightly stronger oscillating trend in the short term but with limited upward space [8][9]. 3. Summary by Relevant Catalogs Market Information - **Futures Market**: For cotton futures, CF01 closed at 14100 with a decline of 25, CF05 at 14080 with a decline of 5, and CF09 at 13820 with a decline of 10. For cotton yarn futures, CY01 closed at 20140 with a decline of 25, CY05 at 20330 with no change, and CY09 at 20095 with a decline of 25. Volume and open - interest changes varied among contracts [3]. - **Spot Market**: CCIndex3128B was priced at 15243 yuan/ton with an increase of 27, Cot A at 79.15 cents/pound with a decline of 0.25. Different yarn and fiber products also had their respective price changes [3]. - **Spreads**: Cotton and cotton yarn inter - month spreads and cross - variety spreads showed different changes. For example, the 1 - 5 month spread of cotton was 20 with a decline of 20, and the CY01 - CF01 spread was 6040 with no change [3]. Market News and Views - **Cotton Market News** - As of August 17, the budding rate of US cotton in 15 major cotton - growing states was 97%, 1 percentage point slower than last year and 4 percentage points faster than the five - year average. The boll - setting rate was 73%, 10 percentage points slower than last year and 7 percentage points slower than the five - year average. The boll - opening rate was 13%, 5 percentage points slower than last year and 3 percentage points slower than the five - year average. The good - quality rate was 55%, 13 percentage points higher than last year and 10 percentage points higher than the five - year average [6]. - As of the week ending August 16, the total harvesting progress of Brazilian cotton was 48.9%, an increase of 9.9 percentage points from the previous week but 16.3% slower than last year. The Brazilian National Commodity Supply Company (CONAB) slightly reduced the production forecast for the 2024/25 season to 3.935 million tons [6][7]. - **Trading Logic**: Macroscopically, after the China - US talks, tariffs are likely to be extended for 90 days, weakening the short - term tariff impact. The domestic anti - involution policy has a positive impact on commodities. Fundamentally, the cotton supply is still tight, and the key factor for supply is whether additional sliding - scale tariff quotas will be issued. In August, demand is expected to improve from the off - season to the peak season. If demand fails to meet expectations, it will have a negative impact on Zhengzhou cotton [8]. - **Trading Strategies** - **Single - side**: It is expected that the future trend of US cotton will be slightly stronger in oscillation, and Zhengzhou cotton will maintain a slightly stronger oscillating trend in the short term but with limited upward space [9]. - **Arbitrage**: Adopt a wait - and - see approach [10]. - **Options**: Sell put options [11]. - **Cotton Yarn Industry News** - The Zhengzhou cotton market has been oscillating recently. The overall market of pure - cotton yarn has improved but is still mediocre. There is resistance to price increases, and market confidence is average. Spinning mills focus on sales, with inland spinning mills operating at low capacity, stable overall operation, and slightly reduced inventory [13]. - The overall demand for all - cotton gray fabrics has not been fully released. Although some report an improvement compared to July, most fabric mills say sales are still slow, with few actual orders. The production enthusiasm of some local fabric mills has slightly recovered, and the operating rate has increased, but it is expected to be difficult to further recover [13]. Options - **Option Data**: The implied volatility of CF601C14000.CZC was 10.2%, CF601P13600.CZC was 10.3%, and CF601P13400.CZC was 10.3%. The 120 - day historical volatility (HV) of cotton increased slightly compared to the previous day [15]. - **Option Strategy Suggestion**: The position PCR of the main contract of Zhengzhou cotton was 0.7849, and the trading volume PCR was 0.7600. Both the trading volumes of call and put options increased. The option strategy is to sell put options [16][17].

大宗商品研究所 农产品研发报告 农产品日报 2024 年 08 月 13 日 研究员：刘倩楠 期货从业证号： F3013727 投资咨询证号： Z0014425 联系方式： :liuqiannan_qh@chinas tock.com.cn 大宗商品研究所 农产品研发报告 第二部分 市场消息及观点 【棉花市场消息】 1、美棉主产区（92.9%产量占比）平均气温 82.14℉，同比低 3.25℉；平均降雨量为 0.72 英寸，同比高 0.11 英寸。德克萨斯州棉花主产区平均气温 86.22°F，同比低 1.17℉；平均降雨量 0.4 英寸，同比高 0.18 英 寸。美棉主产区和得克萨斯州夏季气温偏低，降水则小幅偏多。干旱情况良好，美棉生长优良率同比偏高， 但生长进度略滞后。 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 | 14130 | 150 | 359,282 | 175100 | 455,926 | 42969 | ...

Group 1: Report Overview - Report Title: Cotton and Cotton Yarn Daily Report [2] - Date: July 15, 2024 [2] - Researcher: Liu Qiannan [2] Group 2: Market Information Futures Market - CF01 closed at 13820 with a 5-point increase, volume of 59,553 hands (up 21286), and open interest of 215,751 (up 1145) [3] - CF05 closed at 13785 with a 5-point decrease, volume of 1,874 hands (up 958), and open interest of 10,369 (up 132) [3] - CF09 closed at 13850 with a 25-point decrease, volume of 207,411 hands (up 68734), and open interest of 546,688 (down 11044) [3] - CY01 closed at 20035 with a 35-point decrease, volume of 21 hands (down 15), and open interest of 92 (up 1) [3] - CY05 closed at 0 with no change, volume of 0 hands, and open interest of 2 (no change) [3] - CY09 closed at 20050 with a 70-point decrease, volume of 7077 hands (up 1693), and open interest of 21168 (down 1042) [3] Spot Market - CCIndex3128B was at 15302 yuan/ton, up 36 [3] - Cot A was at 78.05 cents/pound, down 0.40 [3] - (FC Index):M: arrival price was at 76.62, down 0.30 [3] - Polyester staple fiber was at 7450 yuan/ton, up 70 [3] - Viscose staple fiber was at 12600 yuan/ton, no change [3] Spreads - Cotton inter - month spreads: 1 - 5 spread was 35 (up 10), 5 - 9 spread was - 65 (up 20), 9 - 1 spread was 30 (down 30) [3] - Cotton yarn inter - month spreads: 1 - 5 spread was 20035 (down 35), 5 - 9 spread was - 20050 (up 70), 9 - 1 spread was 15 (down 35) [3] - Cross - variety spreads: CY01 - CF01 was 6215 (down 40), CY05 - CF05 was (13785) (up 5), CY09 - CF09 was 6200 (down 45) [3] - Domestic - foreign spreads: 1% tariff domestic - foreign cotton spread was 1508 (up 77), sliding - scale tariff domestic - foreign cotton spread was 822 (up 53), domestic - foreign cotton yarn spread was - 1589 (down 14) [3] Group 3: Market News and Views Cotton Market News - As of the week ending July 12, Brazil's cotton harvest progress was 13.6% (up 6.3 percentage points week - on - week, 3.1 percentage points slower than last year) [6] - As of July 13, the budding rate of US cotton in 15 major planting states was 61% (1 percentage point slower than last year and the five - year average), the boll - setting rate was 23% (3 percentage points slower than last year, 1 percentage point slower than the five - year average), and the good - to - excellent rate was 54% (9 percentage points higher than last year, 8 percentage points higher than the five - year average) [6] - CONAB's July 2024/25 Brazilian cotton production forecast was 393.8 million tons (up 2.5 million tons from the previous month), with planted area at 2.0838 million hectares and yield at 126 kg/mu [6] Trading Logic - US cotton may be slightly weak in the short term but has potential upside due to possible trade negotiations and weather factors [7] - Zhengzhou cotton may face limited upside due to average downstream demand and potential additional sliding - scale tariff quotas, despite low current supply [7] Trading Strategy - Unilateral: US cotton is expected to be slightly bullish and range - bound, while Zhengzhou cotton is expected to be bullish and range - bound in the short term [8] - Arbitrage: Hold off [9] - Options: Sell put options [9][15] Cotton Yarn Industry News - The all - cotton greige fabric market has been sluggish, with low sales, high inventory, few orders, and low loom operation rates [11] - The pure - cotton yarn market has seen little change, with stable prices, low downstream purchases, and continued production cuts by inland spinning mills [11] Group 4: Options Option Data - CF509C13800.CZC closed at 180.00 (down 41.9%), with an implied volatility of 9.3% [13] - CF509P13600.CZC closed at 62.00 (down 50.8%), with an implied volatility of 9.7% [13] - CF509P13000.CZC closed at 16.00 (up 23.1%), with an implied volatility of 14.3% [13] Volatility - The 10 - day HV of Zhengzhou cotton was 3.2429, slightly lower than the previous day [13] Option Strategy - The PCR of the main Zhengzhou cotton contract's open interest was 0.9770, and the PCR of trading volume was 0.7034, with increased trading volume for both calls and puts and a rise in bearish sentiment [14] - Recommend selling put options [15]

Group 1: Report Overview - The report is an agricultural product daily report released on July 10, 2024, focusing on cotton and cotton yarn markets [2] Group 2: Market Information Futures Market - CF01 closed at 13810 with a 25-point increase, CF05 at 13790 (20-point increase), CF09 at 13865 (35-point increase), CY01 at 19980 (25-point increase), CY05 at 19915 (no change), and CY09 at 20030 (45-point increase) [3] - Trading volumes and open interest of various contracts showed different changes [3] Spot Market - CCIndex3128B was priced at 15196 yuan/ton with a 3-yuan increase, and Cot A was 78.15 cents/pound with a 0.60-cent decrease [3] - Price changes were also observed in other spot prices such as CY IndexC32S, FCY IndexC33S, etc [3] Price Spreads - Cotton and cotton yarn inter - period spreads and cross - variety spreads had different changes, e.g., the 1 - 5 spread of cotton was 20 with a 5 - point increase [3] Group 3: Market News and Views Cotton Market - As of June 23, 2025, the cotton planting area in India was 5.466 million hectares, 0.531 million hectares lower than the previous year, with a target of 12.95 million hectares [6] - During July 3 - 9, 2025, the weekly rainfall in Indian cotton - growing areas was 85.4mm, higher than normal and last year [6] - As of July 6, 2025, the weekly cotton listing volume in India was 13,000 tons, a 59% year - on - year decline, and the cumulative listing volume for 2024/25 was 4.9356 million tons, a 5% decline [7] - The current cotton commercial inventory and imports are at low levels, but the potential issuance of sliding - scale duty quotas and trade uncertainties may limit the upward space of Zhengzhou cotton [8] Trading Strategies for Cotton - Unilateral: US cotton is expected to be slightly bullish in a range, and Zhengzhou cotton is expected to be slightly bullish in the short term [9] - Arbitrage: Hold a wait - and - see attitude [11] - Options: Sell put options [11] Cotton Yarn Industry - The cotton yarn market is still sluggish with insufficient orders, and prices are expected to remain stable or slightly bullish [10] - The all - cotton grey fabric market is also quiet, with low production willingness of weaving factories [13] Group 4: Options - The 30 - day HV of cotton increased slightly today, and the implied volatilities of different options were 9.1%, 9.7%, and 13.8% respectively [15] - The PCR of the main contract of Zhengzhou cotton showed that the bearish sentiment in the market increased [16] - Option strategy: Sell put options [17] Group 5: Related Attachments - The report includes charts such as the price spread of domestic and foreign cotton under 1% tariff, cotton basis for different months, and spreads between cotton yarn and cotton contracts [18][19][20]