Group 1: Report Overview - Report Title: Cotton and Cotton Yarn Daily Report [2] - Report Date: May 21, 2024 [2] - Researcher: Liu Qiannan [2] Group 2: Market Information Futures Market - CF01 contract closed at 13490 with a gain of 30, trading volume of 25,867 (up 12918), and open interest of 113,404 (up 3936) [3] - CF05 contract closed at 13495 with a gain of 15, trading volume of 441 (up 357), and open interest of 407 (up 331) [3] - CF09 contract closed at 13440 with a gain of 45, trading volume of 248,577 (up 134197), and open interest of 574,399 (down 1339) [3] - CY01 contract closed at 19685 with no change, trading volume of 12, and open interest of 19 [3] - CY05 contract closed at 18550 with no change, trading volume of 0, and open interest of 0 [3] - CY09 contract closed at 19710 with a gain of 55, trading volume of 220 (down 3), and open interest of 1203 (down 8) [3] Spot Market - CCIndex3128B was 14550 yuan/ton, down 16 [3] - CY IndexC32S was 20520 yuan/ton, down 550 [3] - Cot A was 77.60 cents/pound, up 0.85 [3] - FCY IndexC33S was 21787 yuan/ton, down 113 [3] - (FC Index):M: to - port price was 75.34 cents/pound, up 0.70 [3] - Indian S - 6 was 54200 rupees/candy, down 100 [3] - Polyester staple fiber was 7450 yuan/ton, up 70 [3] - Pure polyester yarn T32S was 11200 yuan/ton, unchanged [3] - Viscose staple fiber was 12800 yuan/ton, unchanged [3] - Viscose yarn R30S was 17250 yuan/ton, unchanged [3] Spreads - Cotton inter - month spreads: 1 - 5 spread was - 5 (up 15), 5 - 9 spread was 55 (down 30), 9 - 1 spread was - 50 (up 15) [3] - Cotton yarn inter - month spreads: 1 - 5 spread was 1135 (unchanged), 5 - 9 spread was - 1160 (down 55), 9 - 1 spread was 25 (up 55) [3] - Cross - variety spreads: CY01 - CF01 was 6195 (down 30), CY05 - CF05 was 5055 (down 15), CY09 - CF09 was 6270 (up 10) [3] - Domestic - foreign spreads: 1% tariff domestic - foreign cotton spread was 764 (down 165), sliding - scale duty domestic - foreign cotton spread was 78 (down 106), domestic - foreign yarn spread was - 1267 (down 437) [3] Group 3: Market News and Views Cotton Market News - As of the week ending May 17, 2025, the average temperature in US cotton - growing areas (92.9% of production) was 75.66°F, 2.64°F higher than the same period last year; average rainfall was 0.71 inches, 0.56 inches lower. In Texas, the average temperature was 78.44°F, 3.06°F higher, and average rainfall was 0.01 inches, 1.24 inches lower [6] - As of the week ending May 18, 2025, India's weekly cotton arrivals were 2.9 million tons, a 26% year - on - year decline. The cumulative arrivals in the 2024/25 season were 456.1 million tons, a 7% year - on - year decline. The CAI's cumulative arrivals reached 92% of the 24/25 season's predicted production, 3% faster than the same period last year [6] - As of the week ending May 18, 2025, in Texas cotton - growing areas (78.1% of area), the weighted average of above - ground soil moisture (very short + short) was 54%, 17 percentage points higher than the same period last year; the weighted average of underground soil moisture (very short + short) was 59%, 10 percentage points higher. The cotton planting progress was 35%, 1 percentage point higher than last year and 5 percentage points higher than the normal level [6] Trading Logic - The market fundamentals have not changed much, but the macro - level is relatively optimistic. Affected by this, Zhengzhou cotton is expected to maintain a volatile and slightly upward trend [7] Trading Strategies - Unilateral: US cotton is expected to be slightly upward - trending, and Zhengzhou cotton is expected to be upward - trending under macro - influence [8] - Arbitrage: Hold off [9] - Options: Hold off [10] Cotton Yarn Industry News - The atmosphere in the cotton grey fabric market has been weakening. Although previous orders are still in production, new orders are insufficient. The loom factory's operating rate is stable at 5 - 60%. Recent shipments are average, and inventory has decreased slightly, with the current inventory hovering around 32 days. Pay attention to price fluctuations in the grey fabric market after the overnight rise in Zhengzhou cotton [10] - Zhengzhou cotton has been slightly upward - trending this week. The trading volume in the pure cotton yarn market has been acceptable, but prices have remained stable. Downstream demand is weakening, and confidence is insufficient. Spinning mills' inventories are low, and cash flow is okay, so the short - term willingness to limit production is low. The operating rate is expected to remain stable. If cotton prices do not change much, it is difficult for yarn prices to break through upward [10] Group 4: Options - On May 21, 2025, for the CF509C13400.CZC option, the underlying contract price was 13440, the closing price was 294, up 8.5%, IV was 10.4%, Delta was 0.5318, Gamma was 0.0006, Vega was 26.2513, Theta was - 2.3093, theoretical leverage was 45.7143, and actual leverage was 24.3109 [12] - For the CF509P12600.CZC option, the underlying contract price was 13440, the closing price was 60, up 3.4%, IV was 12.5%, Delta was - 0.1381, Gamma was 0.0003, Vega was 14.6065, Theta was - 1.5477, theoretical leverage was 224.0000, and actual leverage was 30.9344 [12] - For the CF509P12200.CZC option, the underlying contract price was 13440, the closing price was 37, down 31.5%, IV was 14.6%, Delta was - 0.0818, Gamma was 0.0002, Vega was 10.0139, Theta was - 1.2280, theoretical leverage was 363.2432, and actual leverage was 29.7133 [12] - The 120 - day HV of cotton was 10.6122, with volatility slightly lower than the previous day. The implied volatility of CF509 - C - 13400 was 10.4%, CF509 - P - 12600 was 12.5%, and CF509 - P - 12200 was 14.6% [12][13] - The PCR of the main contract of Zhengzhou cotton was 0.8761, and the volume PCR of the main contract was 0.6430. The trading volumes of both call and put options increased, indicating a significant bearish sentiment in the market [13] - Options strategy: Hold off [14] Group 5: Related Attachments - The report includes charts of 1% tariff domestic - foreign cotton spreads, cotton 1 - month, 5 - month, 9 - month basis, CY05 - CF05, CY01 - CF01 spreads, CF9 - 1 spreads, and CF5 - 9 spreads [15][21][23][25]

Group 1: Report Overview - Report Name: Cotton and Cotton Yarn Daily Report [2] - Date: May 15, 2024 - Researcher: Liu Qiannan Group 2: Market Information Futures Market - CF01 contract closed at 13,490, down 45; volume was 23,577, down 6,329; open interest was 103,064, up 2,346 [3] - CF05 contract closed at 13,165, down 45; volume was 1,878, down 1,453; open interest was 27,255, down 1,347 [3] - CF09 contract closed at 13,415, down 30; volume was 210,352, down 19,764; open interest was 572,790, up 266 [3] - CY01 contract closed at 19,710, up 210; volume was 1, up 1; open interest was 10, up 1 [3] - CY05 contract closed at 18,550, down 100; volume was 2, up 2; open interest was 156, up 2 [3] - CY09 contract closed at 19,655, down 40; volume was 302, up 56; open interest was 1,245, down 48 [3] Spot Market - CCIndex3128B was 14,484 yuan/ton, up 100; CY IndexC32S was 20,520, down 550 [3] - Cot A was 78.00 cents/pound, down 0.25; FCY IndexC33S was 21,899, up 75 [3] - (FC Index):M: arrival price was 75.47, down 0.40; Indian S - 6 was 54,400, unchanged [3] - Polyester staple fiber was 7,450, up 70; pure polyester yarn T32S was 11,100, unchanged [3] - Viscose staple fiber was 12,800, unchanged; viscose yarn R30S was 17,250, unchanged [3] Spreads - Cotton inter - month spreads: 1 - 5 month was 325, unchanged; 5 - 9 month was - 250, down 15; 9 - 1 month was - 75, up 15 [3] - Cotton yarn inter - month spreads: 1 - 5 month was 1,160, up 310; 5 - 9 month was - 1,105, down 60; 9 - 1 month was - 55, down 250 [3] - Cross - variety spreads: CY01 - CF01 was 6,220, up 255; CY05 - CF05 was 5,385, down 55; CY09 - CF09 was 6,240, down 10 [3] - Domestic - foreign spreads: 1% tariff cotton spread was 628, up 143; sliding - scale tariff cotton spread was - 34, up 132; cotton yarn spread was - 1,379, down 625 [3] Group 3: Market News and Views Cotton Market News - As of May 11, 2025, India's weekly cotton listing volume was 31,000 tons, down 27% year - on - year; cumulative listing volume in 2024/25 was 453.2 million tons, down 7% year - on - year [6] - On May 15, 2025, Xinjiang cotton road transport price index was 0.1301 yuan/ton·km, down 0.08% month - on - month [6] - As of May 14, 9:00 PM, 2024, 1,096 cotton processing enterprises in China had processed 30,097,936 bales of cotton, weighing 6.7964 million tons [6] Trading Logic - The Sino - US Geneva economic and trade talks reached a consensus. The US will modify the ad - valorem tariffs on Chinese goods. The 24% tariff will be suspended for 90 days, and the remaining 10% will be retained [7] Trading Strategies - Unilateral: US cotton is expected to oscillate slightly stronger, and Zhengzhou cotton is expected to be stronger due to macro - factors [8] - Arbitrage: Wait and see [8] - Options: Wait and see [8] Cotton Yarn Industry News - Zhengzhou cotton is strong. Pure cotton yarn prices are stable to strong, but due to weak downstream demand, price increases are difficult, and trading volume has declined [8] - The all - cotton grey fabric market remains sluggish. Weaving mills' inventories are slightly increasing, with an average of 33 days. Some dyeing mills have insufficient orders, and orders are expected to decline further [8] Group 4: Options Option Data - On May 15, 2025, for CF509C13400.CZC, the underlying contract price was 13,415, closed at 312, up 16.9%, IV was 11.2% [10] - For CF509P12600.CZC, the underlying contract price was 13,415, closed at 83, down 12.6%, IV was 13.3% [10] - For CF509P12200.CZC, the underlying contract price was 13,415, closed at 51, down 23.9%, IV was 15.1% [10] Volatility and Strategy - Cotton's 120 - day HV was 10.6252, slightly increasing. CF509 - C - 13400's implied volatility was 11.2%, CF509 - P - 12600's was 13.3%, and CF509 - P - 12200's was 15.1% [12] - Zhengzhou cotton's main contract's PCR of open interest was 0.8770, and PCR of trading volume was 0.5611. Trading volumes of both calls and puts decreased [12] - Option strategy: Wait and see [13]