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银河期货棉花、棉纱日报-20250820
Yin He Qi Huo· 2025-08-20 12:45
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]