FangQuant › Daily Morning

Daily Market Review on Specified Futures Products 2020.08.28

Fang submitted 2020-08-28 09:46:22

Crude oil

According to the weather forecast, Laura is different from Harvey before. Although it is expected to be a Level 3 hurricane at the time of landing, the sustained rainfall it brings is expected to be significantly weaker than Harvey, and the market expects it to be more of a wind disaster. Rather than flooding, Harvey’s previous major damage was mainly caused by secondary disasters such as waterlogging caused by continuous rainfall. Therefore, Laura’s impact on the refinery is expected to be smaller than Harvey’s. In addition, in the near future, concerns about China’s increasing exports of refined oil products from August to September are gradually heating up. Facing the domestic diesel storage capacity rate of more than 70%, the main refineries have generally increased their export plans and export efforts, and even some inland refineries that never export also began to export by fire. Although Hurricane Laura brought a short-term boost to the US refined oil market, the surplus of refined oil is increasing globally.

Strategy: Neutral and bearish relatively, reverse cash and carry arbitrage strategy on Brent, long the sixth lines and short the first line

Risk: Supply disruption caused by sudden geopolitical events. The dollar continues to depreciate sharply. The impact of the hurricane exceeded expectations

Iron Ore

The position on I2009 contract decreased by 3,146 lots and closed at ¥912.5 per ton, the position on I2101 contract increased by 2,953 lots and closed at ¥819.5 per ton.

Important Information

1. In July, the national industrial enterprises above designated size achieved a total profit of 589.51 billion yuan, a year-on-year increase of 19.6%, and the growth rate was 8.1 percentage points faster than that in June. From January to July, the national industrial enterprises above designated size achieved a total profit of 3102.29 billion yuan, a year-on-year decrease of 8.1%, and the rate of decline narrowed by 4.7 percentage points from January to June.

2. After research and decision, the control measures stipulated in the "Anyang City Environmental Pollution Prevention and Control Headquarters Office on the Implementation of Coordinated Emission Reduction of VOCs and NOx" issued on the 25th from 14:00 on August 27 to 14:00 on 29 will be continuously implemented (Among them: 1. Anyang Iron and Steel Group Co., Ltd. shall not discharge more than 7 tons of pollutants daily; 2. The sintering machine of Henan Yaxin Iron and Steel Group Co., Ltd shall cease production from August 28 0:00 to August 29 8:00).

3. In terms of spot, the PB powder in Rizhao Port is ¥875 per ton, and the Yandicoogina powder in Rizhao Port is equivalent to ¥966 per ton.

Trading Strategy

1. Arbitrage: This week, the port inventory has accumulated slightly, and the pressure on the port has continued to increase slightly. The overall inventory has increased by about 1 million tons. In terms of structure, the coarse powder inventory has rebounded from a low level in the past two weeks. The demand for pig iron has slightly decreased, and there is a significant decline in the port volume, affected by the typhoon closure of some ports. Iron ore demand basically remained at a high level, mainly due to the pick-up in supply. Brazilian shipments resumed. Recently, shipments from Australia have also been higher year-on-year. The overall supply and demand are gradually loosening. The low profits of steel mills also suppressed iron ore, and the fourth quarter still has a heating season and production restriction is possible, the overall supply and demand of iron ore weakened, It is recommended to long 01 hot rolled coils and short 01 iron ore.

2. Option strategy: It is recommended to switch from shorting the strangle option to longing put seagull options, that is, sell i2101-C-870 and i2101-p-730, and buy i2101-p-810.


Hanbang has suspended production temporarily again, while the production and sales of polyester fell.

The inventory in August turn to be flat from quick accumulation. In September, if Yisheng overhauls were not realized, the inventory will continue to accumulate in September; if Yisheng overhauls were realized, the inventory will be flat. In terms of the unilateral strategy, it is advised to be neutral and bearish relatively; for the strategy across varieties, it is estimated that there will be an accumulation in the inventory of PTA in September, but the willingness of the upstream factory to maintain and control should still be judged based on the change in processing fees; for strategy across period, the inventory are still high and the warehouse receipt pressure is still there, the 9-1 reverse cash and carry arbitrage strategy was under pressure and close to the rolling window at -200. It is estimated that there will be a slight accumulation in inventory in September and October, and the 1-5 cash and carry arbitrage strategy may rebound with TA overhauls, and after overhauls, the inventory accumulation expectation will return and it is advised to remain the 1-5 reverse cash and carry arbitrage strategy. It is advised to focus on PTA factory inspection and fulfillment wishes, and the downstream restocking space and improvement of demand.

Natural Rubber

RU: The main force contract of RU01 fell by 20 or 0.16% and closed at 12,595. The main force contract of JRU01 rose by 2.8 or 1.56% and closed at 182.5. Yunnan WF closed at 11,400 to 11,600 yuan per ton, Hainan SCRWF closed at 11550 to 11,700 yuan per ton, the second standard rubber closed at 10,700 to 10,800 yuan per ton, and Thailand’s RSS3 closed at 14,000 to 14,050 yuan per ton.

NR: The main force contract of NR11 was flat with the previous day and closed at 9,675. The main force contract of TF12 rose by 0.6 or 0.44% closed at 138.4. The quoted price for Qingdao rubber in USD rose by $5 to $10 per ton. The CIF of STR20 in October was $1,430 per ton. The CIF of SMR20 was $1,380 to $ 1,390 per ton. The CIF of mixed rubber from Thailand in December was $1,415 to $1,425 per ton.

TireWorld News: Recently, the General Administration of Customs released tire export data for July this year: In July, China's rubber tire exports amounted to 620,000 tons, a month-on-month increase of 140,000 tons and a year-on-year increase of 2.6%. In July, rubber tire exports amounted to 9.656 billion yuan, an increase of 2.177 billion yuan from the previous month, and a decrease of 3.4% year-on-year. China's tire export volume increased significantly from the previous month and showed a positive year-on-year growth, which will promote the recovery of the rubber market.

The domestic processing plants in Yunnan area are restricted by limited raw materials, and the start-up is not high. The purchase price of latex is 10,000 to 10,300 yuan per ton, and the premium for the cup lump is maintained at a low position, about 200 yuan per ton. According to the latest statistics from Zhuo Chuang, domestic all-steel operation rate was 75.0%, a week-on-week (relative) increase in output of 0.9%, and a year-on-year (relative) increase in production of 7.7%. The export of some production lines has exceeded the same period of last year, which has a great support for the operation

Futures Operation Advice: For the main RU01 contract, it is advised to wait and see and pay attention to the pressure at the recent high level. (For reference only)

Currently no Comments.