Part A: Review (2019/2/25-2019/3/1)

From March 4, 2019 to March 8, 2019:the closing price of iron ore futures I1905 contract on Friday was 613 yuan, 12.5 yuan lower than the closing price of the last trading day of last week. The highest price for this week is 646.5 yuan/ton, and

the lowest point is 610 yuan/ton.

This week (2019/3/4-2019/3/8), the total volume of the main contract was 9,799,258 lots, a increase of 773,438 lots from last week. After the close of trading this Friday, the open interest of the main contract was 980,998 lots, a decrease of 113,966 lots from the last trading day of last week.

Notes: The main contract refers to the futures contract with the maximum open interest.

Part B: Transaction Summary

Since 2018/3/26 and up to 2019/3/8 closing, China iron ore futures’ cumulative trading volumes is 427.02 million lots and the cumulative amount of transaction is 21.19 trillion yuan.

Average daily turnover of 1,840,586 lots (2018/3/4-2019/3/8). Open interest declined steadily, with 2,224,492 lots on 2018/3/26 and 1,492,998 lots after the closing of 2019/3/1.

Because DCE raised the delivery quality standards for iron ore futures at the end of 2017, the volume and open interest of iron ore futures showed a downward trend.

Sum of All DCE Iron Ore Future contracts (2018/3/26-2019/3/8)

Graph:Volume (2018/9/3-2019/3/8)	Graph: Open Interest (2018/9/3-2019/3/8)

Graph:I1809 and I1901 and I1905 contracts account for the most share of trading volume and open interest (2018/3/26-2019/3/8)

Graph:Average trading distribution over the day (2018/3/26-2019/3/8)

Graph:Daily Fluctuation Range of I.DCE (2018/3/26-2019/3/8)

We can see that the amplitude of Chinese iron ore future in most of the time is lower than 4%, indicating that Chinese iron ore future did not have excessive fluctuations in the day.

Part C: Correlation Analysis

Graph:Price of 2 Iron Ore futures(in CNY，2018/3/26-2019/3/7)

Graph:Correlation of 2 Iron Ore futures(in CNY，2018/3/26-2019/3/7)

Graph:Price of I.DCE and Iron Ore 62% Fe, CFR North China (Platts) (2018/3/26-2019/3/7)

Graph:Correlation of I.DCE and Iron Ore 62% Fe, CFR North China (Platts) (in CNY，2018/3/26-2019/3/7)

As can be seen from the above table, the correlation between China's iron ore future and domestic major related futures is rather significant. The correlation with Rebar future is 53.68%. The trend of hot rolled coil future is also very close to iron ore future, the correlation is more than 51%. On the one hand, the high correlation will stimulate the continuous influx of arbitrage funds, which will help to enrich and optimize the strategy; On the other hand, it is also a sign that China's iron ore future market is maturing, which is conducive to the function of price discovery. It also has great significance for enterprises to use futures tools for hedging.

I.DCE settle price and USD/CNY (2018/3/26-2019/3/8)

It can be seen that China's iron ore future and the RMB exchange rate are obviously negatively correlated.

Part D: Spread Analysis

Spread(DCE-SGX)(in CNY,2018/3/26-2019/3/7)

Spread (I1812 –I1901) (in CNY,2018/3/26-2018/12/14)	Spread (I1903 –I1905) (in CNY,2018/5/16-2019/3/8)

Platts Iron Ore Price Index(in USD，2010/4/14-2019/3/7)	Grade Spread(in USD，2010/4/14-2019/3/7)

Iron Ore Freight Rate (in USD，2009/1/12-2019/3/7)

Copyright by fangquant.com