Group 1: Market Information - The closing prices of CF01, CF05, and CF09 contracts were 14070, 14025, and 13690 respectively, with changes of -5, -5, and -70. The closing prices of CY01, CY05, and CY09 contracts were 20090, 20350, and 20240 respectively, with changes of -5, 0, and 35 [3]. - The CCIndex3128B price was 15336 yuan/ton, up 2; Cot A was 78.20 cents/pound, down 0.70; (FC Index):M: to - port price was 75.95, down 0.62; polyester staple fiber was 7450, up 70; viscose staple fiber was 12900, unchanged [3]. - The CY IndexC32S price was 20760, unchanged; FCY IndexC33S was 21865, down 32; Indian S - 6 was 55800, unchanged; pure polyester yarn T32S was 11030, unchanged; viscose yarn R30S was 17250, unchanged [3]. - The 1 - month to 5 - month cotton spread was 45, unchanged; 5 - month to 9 - month was 335, up 65; 9 - month to 1 - month was - 380, down 65. The 1 - month to 5 - month棉纱 spread was - 260, down 20355; 5 - month to 9 - month was 110, up 20315; 9 - month to 1 - month was 150, up 40 [3]. - The CY01 - CF01 spread was 6020, unchanged; CY05 - CF05 was 6325, up 20355; CY09 - CF09 was 6550, up 105. The 1% tariff internal - external cotton spread was 1439, down 6; the sliding - scale internal - external cotton spread was 788, down 6; the internal - external yarn spread was - 1105, up 32 [3]. Group 2: Market News and Views Cotton Market News - From August 21 to 27, 2025, the weekly rainfall in India's cotton - growing areas (93.6%) was 64.6mm, 18.1mm higher than normal and 66.7mm lower than last year. The cumulative rainfall from June 1 to August 27 was 705.6mm, 78.8mm higher than normal. The cotton growth was good, but there were reports of bollworm disasters in Andhra Pradesh [6]. - As of the week ending August 23, Brazil's (98%) cotton harvest progress was 60.3%, a 11.4 - percentage - point increase from the previous week but 15.8% slower than last year, mainly due to delayed planting in Mato Grosso [6]. - India temporarily waived cotton import tariffs from August 19 to September 30, 2025, and extended the exemption to December 31, 2025 [6]. - In 2025, the total quota for cotton import under the sliding - scale tariff for processing trade was 200,000 tons, issued on a contract - based application [7]. Trading Logic - After the Sino - US talks, tariffs are likely to be extended for 90 days, reducing short - term tariff impacts. China's anti - involution policies have a positive impact on commodities. The cotton supply is tight, and the issuance of sliding - scale tariffs will be a key factor. Demand is expected to improve from August as it shifts from the off - season to the peak season. If demand is lower than expected, it will be negative for Zhengzhou cotton. In the short term, the market is likely to be slightly bullish [8]. Trading Strategy - Unilateral: US cotton is likely to be slightly bullish, and Zhengzhou cotton is expected to be slightly bullish in the short term but with limited upside [9]. - Arbitrage: Wait and see [9]. - Options: Wait and see [10]. Cotton Yarn Industry News - The price of pure - cotton greige fabric was stable, with limited real - order transactions and a lukewarm market. Weaving mills' shipments improved slightly, and they were not fully optimistic about the September peak season [12]. - The trading volume of pure - cotton yarn decreased compared to the previous period, but overall transactions were okay. Spinning mills sold at market prices. Some spinning mills resumed production, increasing the operating rate. There are concerns about large - scale spinning mills' low - price promotions in early September, and yarn prices are expected to be stable in the short term [12]. Group 3: Options - On August 28, 2025, for the CF601C14000.CZC option, the closing price was 356.00, down 4.6%, with an implied volatility (IV) of 10.8%. For the CF601P13600.CZC option, the closing price was 122.00, up 15.1%, with an IV of 10.2%. For the CF601P13400.CZC option, the closing price was 82.00, up 30.2%, with an IV of 10.6% [13]. - The PCR of the main Zhengzhou cotton contract's open interest was 0.7774, and the PCR of the trading volume was 0.5211. The trading volumes of both call and put options increased [14]. - Options strategy: Wait and see [15].

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]