远月月间价差套利

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生猪:关注二育节奏
Guo Tai Jun An Qi Huo· 2025-05-07 02:30
Report Introduction - The report focuses on the pig industry with a research date of May 7, 2025, and emphasizes the importance of paying attention to the rhythm of secondary fattening [1] Investment Rating - No investment rating is provided in the report Core View - In April, the procurement progress of secondary fattening was more than half - completed, and the sentiment of chasing high - price purchases cooled down. During the holiday, the reduction of group sales was obvious, and the change in spot prices was small. Currently, the price spreads between fat and lean pigs in the north and south are inverted, and the group's piglet sales have decreased. In May, the pen pressure has increased slightly, and a phased de - stocking may start. The macro - sentiment has cooled down, and the capital disturbance has decreased. The trading logic has switched to the industrial logic, and attention should be paid to the arbitrage strategy of the valuation deviation of the far - month inter - month spreads from the normal state. The liquidity of the 11 - 1 reverse spread is gradually increasing, and attention should be paid to stop - loss and take - profit. The short - term support level of the LH2509 contract is 13,000 yuan/ton, and the pressure level is 15,000 yuan/ton [5] Summary by Directory 1. Fundamental Tracking - **Spot Prices**: The spot price of pigs in Henan is 15,000 yuan/ton with a year - on - year increase of 250 yuan/ton; in Sichuan, it is 14,700 yuan/ton with a year - on - year increase of 300 yuan/ton; and in Guangdong, it is 15,590 yuan/ton with no year - on - year change [3] - **Futures Prices**: The prices of the pig futures contracts 2507, 2509, and 2511 are 13,445 yuan/ton, 13,910 yuan/ton, and 13,530 yuan/ton respectively, with year - on - year changes of - 5 yuan/ton, - 20 yuan/ton, and - 80 yuan/ton [3] - **Trading Volume and Open Interest**: The trading volume of the pig futures contracts 2507, 2509, and 2511 is 5,632 lots, 23,428 lots, and 4,524 lots respectively, with decreases of 1,232 lots, 15,573 lots, and 2,279 lots compared to the previous day. The open interest is 31,498 lots, 69,728 lots, and 27,719 lots respectively, with changes of - 1,022 lots, - 3,220 lots, and an increase of 103 lots compared to the previous day [3] - **Price Spreads**: The basis of the pig futures contracts 2507, 2509, and 2511 is 1,555 yuan/ton, 1,090 yuan/ton, and 1,470 yuan/ton respectively, with year - on - year increases of 255 yuan/ton, 270 yuan/ton, and 330 yuan/ton. The 7 - 9 spread is - 465 yuan/ton with a year - on - year increase of 15 yuan/ton, and the 9 - 11 spread is 380 yuan/ton with a year - on - year increase of 60 yuan/ton [3] Trend Intensity - The trend intensity is 0, indicating a neutral view, with the value range of trend intensity being integers in the [- 2,2] interval, where - 2 means the most bearish and 2 means the most bullish [4] Market Logic - The trading logic has shifted to the industrial logic, and attention should be paid to the arbitrage strategy of the valuation deviation of the far - month inter - month spreads from the normal state. The liquidity of the 11 - 1 reverse spread is gradually increasing, and attention should be paid to stop - loss and take - profit. The short - term support level of the LH2509 contract is 13,000 yuan/ton, and the pressure level is 15,000 yuan/ton [5]