White sugar
Raw sugar shocks domestic challenge support
Raw sugar fluctuated slightly yesterday, boosted by expectations of a decline in Brazilian sugar production. The main contract peaked at 14.77 cents a pound and fell to 14.54 cents per pound. The final closing price of the main contract rose 0.41% to close at 14.76 cents per pound. The sugar yield in the main sugarcane producing areas in central and southern Brazil will drop to a three-year low in the next year. Due to the lack of replanting, sugarcane yield per unit area will be reduced and ethanol production will be increased. Kingsman estimates that sugar production in central and southern Brazil in 2018-19 is 33.99 million tons. More than 90% of China’s Tangtang production in central and southern Brazil. This level of sugar production means a year-on-year decline of 2.1 million tons and will be the lowest level since 31.22 million tons in 2015-16. On the other hand, the news of the State Reserve’s abandonment of reserve auction was gradually digested by the market. Although the sugar price fell again during the day, it recovered its lost land at the end of the afternoon. Referring to the experience of other varieties, we believe that the selling of reserves will not affect the mid-term trend of the market. For medium and short-term investors, they can wait for the price to stabilize and buy 1801 contract on a bargain. As for option investment, the spot trader can carry out the covered option portfolio operation of rolling selling slightly imaginary call option on the basis of holding spot in the short term. In the next 1-2 years, the operation of the covered option portfolio can be used as an enhancer of spot income. Meanwhile, for value investors, they can also buy virtual call options with exercise prices of 6300 to 6400, When the sugar price rises to make the virtual option become real value, you can close the call option with low exercise price in the early stage and continue to buy a new round of virtual call option (call option with exercise price of 6500 or 6600), and gradually select the opportunity to stop profit when the sugar price reaches more than 6600 yuan / ton.
Cotton and cotton yarn

US cotton continued to fall, domestic cotton pressure callback
Ice cotton futures continued to fall yesterday as concerns about potential damage to cotton caused by Hurricane Maria subsided and the market waited for cotton harvest. The main ICE1 February cotton fell 1.05 cents / pound to 68.2 cents per pound. According to the latest USDA data, in the week of September 14, in 2017 / 18, U.S. cotton net contracted 63100 tons, with a month on month increase of 47500 tons, and a year-on-year increase of 14600 tons; shipment of 41100 tons, a month on month increase of 15700 tons, a year-on-year increase of 3600 tons, accounting for 51% of the estimated export volume (USDA in September), which is 9% higher than the five-year average value. On the domestic side, zhengmian and cotton yarn were under pressure, and the final 1801 contract of cotton was closed The offer was 15415 yuan / ton, down 215 yuan / ton. The 1801 cotton yarn contract closed at 23210 yuan / ton, down 175 yuan / ton. In terms of the rotation of reserve cotton, 30024 tons were delivered on the fourth day of this week, and the actual transaction volume was 29460 tons, with a transaction rate of 98.12%. The average transaction price dropped by 124 yuan / ton to 14800 yuan / ton. On September 22, the planned rotation volume was 26800 tons, including 19400 tons of Xinjiang cotton. Spot prices held steady and rose slightly, with CC index 3128b trading at 15974 yuan / ton, up 2 yuan / ton from the previous trading day. The price index of 32 Combed Yarns was 23400 yuan / ton and that of 40 Combed Yarns was 26900 yuan / ton. In a word, American cotton continued to fall, and domestic new flowers were gradually listed. Zheng cotton was affected by this in the short term and remained volatile in the middle and late period. Investors can gradually buy on bargains after the bad luck of American cotton is digested. At the same time, the recent cotton yarn spot gradually strengthened, we can wait for cotton yarn to stabilize, but also gradually buy on bargain.
Bean meal

Strong performance of US soybean exports
CBOT soybeans rose slightly yesterday, closing at 970.6 cents / PU, but the overall still in the range box shock. The weekly export sales report was positive. In the latest week, the export sales volume of U.S. beans was 2338000 tons, far higher than the market forecast of 1.2-1.5 million tons. Meanwhile, USDA announced that private exporters sold 132000 tons of soybeans to China. At present, the market is playing a game between high yield and strong demand. As of last Sunday, the harvest rate was 4%, and the excellent and good rate was 1% to 59% lower than a week ago. The negative effect of high yield is expected, and the continued strong demand will support the price. Compared with the previous, we are relatively optimistic about the market. In addition, with the U.S. production landing, the later focus will gradually shift to South America soybean planting and growth, and the speculation theme will increase. There was little change in the domestic side. Soybean stocks in ports and oil factories fell last week, but they were still at a high level in the same period of history. Last week, the start-up rate of the oil plant increased to 58.72%, and the daily average trading volume of soybean meal increased from 115000 tons a week ago to 162000 tons. The soybean meal inventory of the oil plant had decreased for six consecutive weeks before, but recovered slightly last week, rising from 824900 tons to 837700 tons as of September 17. The oil plant is expected to continue to operate at a high level this week due to the huge profits and the preparation before the national day. This week, the volume of transaction and delivery on spot increased significantly. Yesterday, the transaction volume of soybean meal was 303200 tons, the average transaction price was 2819 (+ 28), and the delivery volume was 79400 tons. It is expected that soybean meal will continue to follow the U.S. soybean on one side, and the basis will remain stable at the current level for the time being
Soybean oil fat

Commodity inferior oil adjustment
U.S. soybeans generally fluctuated and rose slightly yesterday, subject to strong export demand of U.S. beans. After a short period of market adjustment, strong US demand will also limit the increase in the end of the balance sheet inventory and warehouse to consumption ratio, and the price may remain weak until the low point of seasonal harvest. Ma pan fell yesterday. The output in September, including the later period, is expected to recover quickly. From 1 to 15 of the 9th, Ma palm export increased by 20% month on month, and the export volume to India and the subcontinent declined. This round of Malay’s rise has been relatively high. Once the output recovers in the later stage, Ma pan will have a large adjustment. The domestic fundamentals have not changed too much. The inventory of palm oil is 360000 tons, and the soybean oil is 1.37 million tons. The stock preparation for festivals has entered the later stage, and the transaction volume has gradually decreased. In the later stage, the arrival of palm oil in Hong Kong gradually increases, and the pressure gradually emerges. Commodity futures continued to fall yesterday, the short atmosphere continued, and the oil followed the weakening. In operation, it is suggested to wait and see the market atmosphere. After the risk is released completely, we can consider the intervention of vegetable oil with strong fundamentals. In addition, the basis of palm oil decreased after the continuous rise, and the relative value of bean oil was also at a relatively high level. In the later stage, the yield recovery rate was faster, and Mapan was also in the process of adjustment. In terms of arbitrage, timely intervention in the price spread of bean palm or vegetable palm can be considered.
Corn and starch

Futures prices rebounded slightly
The domestic corn spot price was stable and fell, among which the purchase price of corn deep processing enterprises in North China continued to fall, while that of other regions remained stable; the spot price of starch was generally stable, and some manufacturers reduced their quotations by 20-30 yuan / ton. In terms of market news, the starch inventory of 29 deep-processing enterprises + ports that Tianxia granary focuses on tracking has risen to 176900 tons from 161700 tons last week; on September 21, the sub loan and sub repayment plan was to trade 48970 tons of temporary storage corn in 2013, and the actual transaction volume was 48953 tons, with an average transaction price of 1335 yuan; the contracted sales plan of China National Grain Storage Company Limited planned to trade 903801 tons of temporary storage corn in 2014, with an actual transaction volume of 755459 tons and an average transaction price of 1468 yuan 。 Corn and starch prices fluctuated in the early trading and increased slightly in the end. Looking forward to the later stage, considering the high prices of the production and marketing areas corresponding to the far-term price of corn, it is not conducive to the actual demand and replenishment demand of new corn. Therefore, we maintain a bearish judgment; as for starch, considering the impact of environmental protection inspection or weakening, there will be new production capacity before and after the listing of new corn in the later stage. We expect that the long-term supply and demand will tend to improve. Combined with the expectation of corn price and the potential subsidy policy for deep processing, we also believe that the future price of starch is also overestimated. In this case, we suggest that investors may continue to hold the corn / starch blank sheet or starch corn price spread arbitrage portfolio in the early January, and take the late August high as the stop loss.
egg

Spot prices continue to fall
According to Zhihua data, the price of eggs in the whole country continued to fall, with the average price in the main producing areas falling by 0.04 yuan / Jin and the average price in the main sales areas falling by 0.13 yuan / Jin. Trade monitoring shows that traders are easy to receive goods and slow to move goods. The overall trade situation is slightly improved compared with the previous day. Traders’ inventory is low, and continues to rise slightly compared with the previous day. Traders’ bearish expectations are weakened, especially in East China and southwest China Bearish expectations are strong. The price of eggs continued to decline in the morning, rebounded gradually in the afternoon, and closed up sharply. In terms of closing price, the contract in January rose by 95 yuan, the contract in May increased by 45 yuan, and the contract in September was nearly due. From the analysis of the market, we can see that the spot price of eggs has continued to fall sharply in the near future as scheduled, and the decline of futures price is relatively less than that of spot price, and the forward price discount has turned into a premium, which indicates that the market expectation has changed, that is, from the expectation reflecting the drop of spot price high point in the past to the expectation of rising before the Spring Festival in the later period. From the perspective of the market performance, the market may be expected to be about 4000 as the bottom area of January price. In this case, it is recommended that investors wait and see.
Live pig

Keep falling
According to the data of zhuyi.com, the average price of live pigs was 14.38 yuan / kg, 0.06 yuan / kg lower than the previous day. The price of pigs continued to fall without discussion. We received news this morning that the purchase price of slaughtering enterprises dropped by 0.1 yuan / kg. The price in Northeast China has broken through 7, and the main price is 14 yuan / kg. The price of pigs in East China decreased, and the price of pigs in other regions except Shandong was still above 14.5 yuan / kg. Henan in Central China led the decline, down 0.15 yuan / kg. The two lakes are temporarily stable, and the mainstream price is 14.3 yuan / kg. In South China, the price fell by 0.1 yuan / kg, the mainstream price of Guangdong and Guangxi was 14.5 yuan / kg, and Hainan was 14 yuan / kg. Southwest fell 0.1 yuan / kg, Sichuan and Chongqing 15.1 yuan / kg. The legend of gold, silver and ten is just like this. There is no favorable support for the short-term price. It is a fact that there is an increase in sales. Slaughtering enterprises take advantage of the situation and the increase is not obvious. It is expected that the price of pigs will continue to fall.
Energization
steam coal

Port spot deadlock, high price callback
Under the pressure of news such as poor overall black atmosphere and policy based supply guarantee, the dynamic coal futures sharply reversed yesterday, with the main contract 01 closing at 635.6 in the night trading, and the price difference between 1-5 narrowed to 56.4. In terms of spot market, affected by the upcoming 19th National Congress of the Communist Party of China, some open-pit mines in Shaanxi and Shanxi have stopped production and reduced production. Although the restrictions on initiating explosive devices have been lifted in Inner Mongolia, the supply of producing areas is still tight, and the price of coal at pithead continues to rise. In terms of ports, the price of coal at the port is still at a high level. Due to the high cost and the consideration of long-term market risks, traders are not enthusiastic about loading goods, and the acceptance degree of downstream companies for the current high price is not high. The Qinhuangdao 5500 kcal steam coal + 0-702 yuan / ton.

On the news, the national development and Reform Commission recently issued a notice on ensuring the transportation of coal, electricity, oil and gas, saying that all provinces, autonomous regions and cities and relevant enterprises should strengthen the dynamic monitoring and analysis of coal production and transportation demand, timely discover and coordinate to solve outstanding problems in supply, and strive to ensure stable coal supply before and after the 19th National Congress of the Communist Party of China.

The inventory of northern ports rebounded, with an average daily shipment volume of 575000 tons, daily average railway transfer in volume of 660000 tons, port inventory of + 8-5.62 million tons, inventory of Caofeidian port of – 30 to 3.17 million tons, and inventory of Jingtang Port of SDIC + 4 to 1.08 million tons.

Yesterday, the daily consumption of power plants rebounded. The six major coastal power groups consumed 730000 tons of coal, with a total of 9.83 million tons of coal in stock and 13.5 days of coal storage.

China’s coastal coal freight index rose 0.01% to 1172 yesterday
On the whole, the important meetings from September to October and the environmental protection / security inspection of production areas may continue to restrict the supply release. Although the daily consumption of downstream power plants has decreased, it is still at a high level, and the spot support is strong. For the futures market, contract 01 corresponds to the heating peak season, but there is pressure to put in replacement capacity in time, and the high pressure appears. We should pay attention to the overall atmosphere of the surrounding market, the drop rate of daily consumption and the release of advanced production capacity.
PTA

Polyester production and marketing in general, PTA weak operation
Yesterday, the overall atmosphere of commodities was not good, PTA was weak, and the main 01 contract closed at 5268 in the night trading, and the price difference between 1-5 expanded to 92. Market transactions have a large volume, mainstream suppliers mainly purchase spot goods, some polyester factories have received orders, the market basis continues to shrink. Within the day, the main spot and 01 Contract negotiated the transaction basis at discount 20-35, warehouse receipt and 01 contract offer at discount 30; during the day, 5185-5275 was picked up, 5263-5281 was delivered to the transaction, and 5239 warehouse receipt was traded.

Yesterday, PX quotation fell back in shock, and CFR offered at 847 USD / T (- 3) overnight in Asia, and processing fee was around 850. PX reported 840 USD / T in October and 852 USD / T in November. In the future, domestic PX may be de stocked, but it is not expected to be out of stock.

In terms of PTA plant, the overhaul time of a set of PTA plant with an annual output of 1.5 million tons in Jiangsu Province has been extended by about 5 days; the first ship PX of PTA enterprise in Huabin No.1 production line has arrived in Hong Kong recently, but the storage tank matters have not been fully implemented, and it is conservatively expected to start in November; a PTA enterprise in Fujian Province has signed a restructuring agreement, and the start-up process may be accelerated by then, and the preliminary plan is to resume the start-up of part of the production capacity in the fourth quarter.

On the downstream side, the overall production and sales of Jiangsu and Zhejiang polyester yarn were still in general yesterday, with an average estimated at 60-70% at around 3:30 p.m.; the sales of direct spinning polyester were average, and the downstream just needed replenishment, most of the production and sales were around 50-80%.

Overall, PTA plant maintenance from September to October, combined with polyester low inventory and high load, short-term supply and demand structure is still supported. However, for futures contract 01, the support of PX at the cost side was weak in the fourth quarter. Under the pressure from November to December of its own new and old devices, it was difficult to maintain the high processing costs, and PTA callback pressure remained. We should pay attention to the overall atmosphere of the commodity market, the downstream polyester production and sales & inventory changes and international oil prices.
Tianjiao

Shanghai Rubber 1801 may stabilize in the short term
As for the recent decline (1) 1801 price spread efficient regression, the data from August was lower than the long expectation, verifying the weak demand of short positions (2) the supply side plate weakened. (3) In the rubber industry, the majority of short positions in the disk configuration, non-standard sets, the three trend to the same, resulting in 11 trading days return to 800 points. 2. In the short term, I think 14500-15000 will stay and rebound to see the whole industrial product and black.

PE?

Before the festival, the demand for goods preparation still needs to be released, and the internal and external hanging upside down is expanding & the macro and commodity atmosphere turns weak, and there is still pressure in the short term

On September 21, the LLD ex factory price of Sinopec in North China, East China, central China, PetroChina, East China, South China, Southwest China and Northwest China was reduced by 50-200 yuan / ton, and the low-end market price in North China fell back to 9350 yuan / ton (coal chemical industry). At present, l1801 liter of water in North China was spot sold to 170 yuan / T. the ex factory price of petrochemical plants was reduced in a large area. There were more traders to ship goods at inverted market price, and the downstream receiving intention was general, However, the demand for low-cost goods has increased, and the pressure on the spot side still remains; in addition, on September 20, the CFR Far East low-end price equivalent to RMB 9847 / T, the external market hanging upside down to 327 yuan / T, and the spot price is still upside down to 497 yuan / T. the potential external support will continue to affect the import volume in October; in terms of the price difference of related products, the price difference between hd-lld and ld-lld is 750 yuan / T and 650 yuan / T respectively, and the related products to the plate Face pressure continues to ease, non-standard arbitrage opportunities are still less. Overall, from the perspective of price spread, the potential support of external markets has been strengthened, the pressure on related products has continued to ease, and the pressure on the spot side has gradually eased with the fall of prices. Although the sharp fall in futures prices continues to restrain short-term demand due to the US Federal Reserve’s scale reduction and the weakening of the overall commodity atmosphere, the demand for goods ready for the holidays is likely to be released.

From the perspective of supply and demand, PetroChina’s inventory continued to fall to around 700000 tons yesterday, and petrochemicals continued to sell profits to inventory before the festival. In addition, the centralized release of early hedging consolidation spot, coupled with the recent weakening of macro and commodity atmosphere, increased short-term pressure. However, these negative effects will be gradually digested in the early price decline. In addition, there is a demand for goods preparation before the festival in the downstream in the near future After stabilizing, the demand probability will appear. In addition, the internal and external inversion will be expanded, the pressure on non-standard products will be relieved, and the spot pressure will gradually be digested by the market, and there will still be a probability that the demand will pick up again in the later period (stock up before the festival). Therefore, it is suggested that we should wait for the opportunity of light warehouse trial before the festival and hold the short positions carefully in the early stage. It is estimated that the main l1801 price range is 9450-9650 yuan / ton.

PP?

Macro and commodity atmosphere weakened, device restart pressure & price differential support, stock demand, PP cautious bias

On September 21, the ex factory prices of domestic Sinopec North China, South China and PetroChina South China regions were reduced by 200 yuan / ton, the low-end market price in East China continued to fall to 8500 yuan / ton, the price rise of pp1801 on East China spot narrowed to 110 yuan / T, the futures price was under pressure, traders increased the unpacking shipment, the downstream bargains just needed to purchase, the low price source was digested, and the spot pressure was relieved The low-end price continued to rebound to 8100 yuan / ton, the powder support price was around 8800 yuan / ton, and the powder had no profit, so the alternative support would be gradually reflected. In addition, on September 20, the CFR Far East low-end external price RMB price dropped slightly to 9233 yuan / ton, pp1801 was inverted to 623 yuan / ton, and the current stock was inverted to 733 yuan / ton. The export window has been opened, and the external support continues to strengthen. From the perspective of price spread, the basis remains relatively low, the supply of goods is solidified, and the spot is backward, which suppresses the market. In the near future, traders have also increased their shipping efforts, and the short-term pressure has increased. However, with the price correction, the aftermarket pressure can be gradually alleviated, and the downstream willingness to receive goods has rebounded. In addition, both the panel and the spot have continued to hang upside down on the external market by a large margin, and the panel is also near Powder instead of support, the overall action can be weakened, and the price differential support is also strengthened.

From the perspective of supply and demand, the maintenance rate of PP plant was temporarily stabilized to 14.55% and the drawing ratio was temporarily stabilized to 28.23% yesterday. However, Shenhua Baotou, Shijiazhuang Refinery and Haiwei Petrochemical Co., Ltd. have plans to restart in the near future. In addition, new production capacity will be released gradually (Ningmei phase III, Yuntianhua (600096, In addition, at present, the basis is still low, and the supply of goods fixed in the 01 contract has gradually returned to the spot. However, this part of the pressure has been digested with the fall of price. Recently, the demand for plastic knitting has been rising at a low level. The overall demand for seasonality has not been proved. In addition, there is a demand for goods preparation before the 11th Festival. At present, PP will still be the pressure on the spot side Continue to digest the game between the seasonal rebound of demand and digestion, so the short-term disk or cautiously short-term, focusing on the support of demand recovery, internal and external upside down and powder substitution. It is estimated that today’s pp1801 price range is 8500-8650 yuan / ton.
methanol

MEG fell, olefin profit low & Discount spot, production area tight, methanol short cautious

Spot: on September 21, the spot price of methanol rose and fell with each other, of which, the low-end price of Taicang was 2730 yuan / ton, the spot price of Shandong, Henan, Hebei, Inner Mongolia and southwest China was 2670 (- 200), 2700 (- 200), 2720 (- 260), 2520 (- 500 freight) and 2750 (- 180 freight) yuan / ton, and the low-end price of deliverable goods in production area was 2870-3020 yuan / ton, and the production and marketing arbitrage window was completely closed 01 pairs of Taicang continued to hang upside down to 32 yuan / ton. Considering the continuous closing of the arbitrage window of production and marketing, this undoubtedly has indirect support for port spot and disk;

Internal and external price difference: on September 20, CFR China spot RMB price fell again to 2895 yuan / ton (including 50 port miscellaneous charges), ma801 inverted external price to 197 yuan / T, East China spot inverted external price to 165 yuan / T, and external market support for domestic spot and disk was strengthened.

Cost: the coal price of Ordos (600295, diagnosis unit) and 5500 dakakou coal in Jining of Shandong Province was 391 and 640 yuan / ton yesterday, and the cost corresponding to panel surface was 2221 and 2344 yuan / ton. In addition, the methanol cost of Sichuan Chongqing gas head was 1830 yuan / ton in East China, and that of coke oven gas in North China was 2240 yuan / ton in East China;

Emerging demand: in terms of disk processing fee, PP + MEG fell again to 2437 yuan / ton, still at a relatively high level. However, the disk and spot processing costs of pp-3 * ma fell again to 570 and 310 yuan / T. yesterday, Meg’s disk fell sharply, increasing the pressure brought by PP in disguise;

On the whole, futures prices continued to fall sharply yesterday, mainly due to the reduction of MEG and the Federal Reserve, resulting in a sharp downward trend in the overall commodity atmosphere. In addition, PP still faces pressure of new production capacity, device restart and disk solidification spot outflow in the short term. However, there are signs of gradual easing of fundamental pressure, and the spot price is still firm, with the expansion of disk covered spot, and the planned parking of Brunei devices As well as the positive support after the confirmation of the maritime administration documents, the inventory of East China ports also fell at a high level this week. It is cautious to be short in the short term, and it is not recommended to chase short. It is estimated that the daily price range of ma801 is 2680-2750 yuan / ton.
crude oil

Market focus OPEC jmmc monthly meeting

Market news and important data

WTI crude oil futures for November closed down $0.14, or 0.28%, to $50.55/barrel. Brent’s November crude oil futures rose $0.14, or 0.25%, to $56.43/barrel. NYMEX October gasoline futures closed at $1.6438/gallon. NYMEX October heating oil futures closed at $1.8153/gallon.

2. It is reported that the production reduction supervision meeting is expected to be held in Vienna at 4:00 p.m. Beijing time on Friday, hosted by Kuwait and attended by officials from Venezuela, Algeria, Russia and other countries. The meeting will discuss issues such as extending the production reduction agreement and monitoring exports to assess the implementation rate of the reduction, Reuters reported. However, the OPEC representative said that at present, all countries have not reached a consensus on the extension of the production reduction agreement, and everything remains to be discussed.

Russian energy minister: OPEC and non OPEC countries will discuss the issue of crude oil export regulation at the Vienna meeting. According to market news, OPEC Technical Committee suggested that ministers of oil producing countries should supervise crude oil exports as a supplement to the production reduction agreement.

4. Goldman Sachs: it is expected that the OPEC talks will not extend the oil production reduction agreement, but it is too early to make a conclusion. It is believed that the OPEC oil production reduction supervision committee will not propose to extend the production reduction agreement this week. The current strong fundamentals support Goldman’s reiteration of its expectation that oil distribution will rise to $58 / barrel by the end of the year.

Tankertracker: OPEC crude oil exports are expected to decline by 140000 B / D to 23.82 million B / D as of October 7.

L. investment logic

Recently, the market has focused on the monthly jmmc meeting of OPEC, and several issues that the market pays more attention to are: 1. Whether the production reduction agreement will be extended; 2. How to strengthen the implementation and supervision of the production reduction agreement, and whether the export indicators will be monitored; 3. Whether Nigeria and Libya will join the production reduction team. In general, due to the significant de stocking of oil this year, OPEC may not consider extending the production reduction agreement at the current time point, but it is not ruled out that an interim meeting will be held in the first quarter of next year to extend the production reduction. We estimate that the jmmc meeting today will focus on how to strengthen the supervision and implementation of production reduction. However, there are still many technical problems to be solved in the supervision of export volume. At present, the production of Nigeria and Libya has not been fully restored to normal level, so the probability of production reduction may not be large.
asphalt

Commodity market overall down, spot shipment of asphalt improved
Overview of Views:
The overall commodity futures market showed a downward trend yesterday, with coking coal and ferrosilicon falling by more than 5%, chemical products generally falling, methanol by more than 4%, rubber and PVC by more than 3%. The specific asphalt futures maintained a downward trend during the day trading. The closing price of the main contract 1712 yesterday afternoon was 2438 yuan / ton, which was 34 yuan / ton lower than yesterday’s settlement price, with a decrease of 1.38% 5500 hands. This downturn is more affected by the overall atmosphere of the commodity market, and there is no further deterioration of asphalt fundamentals.

The spot market remained stable, with the mainstream transaction prices of 2400-2500 yuan / ton in East China market, 2350-2450 yuan / ton in Shandong market and 2450-2550 yuan / ton in South China market. At present, after the end of the environmental supervision, the downstream road construction is gradually restored. After the end of the environmental supervision in Shandong, the refinery shipment has improved, and the East China region is also gradually recovering. However, at present, there is a lot of rainfall in this area, and the volume has not been released. In North China, traders are more active in preparing goods before the National Day holiday, and the overall shipment situation is good The gas condition is good, and the overall shipment is relatively smooth. At present, the construction period in northern China is nearly one month from the middle to the last ten days of October. The environmental impact on road construction slows down, and there should be rush work in the near future to support the asphalt demand. With the National Day holiday approaching, the situation of centralized stock up in Shandong, Hebei, northeast and other regions has gradually eased the inventory pressure of refineries. On the cost side, the spot asphalt has been in a relative position. After the crude oil price was raised, the theoretical profit of the refinery decreased by 110 yuan to 154 yuan / ton last week, and the space for further downward adjustment of spot price is relatively limited. However, it should be noted that due to the impact of environmental protection factors on the demand side and the air pollution control in winter, the future demand may be less than expected. In addition, by the end of this year, the production capacity of asphalt refining in various regions will be greatly increased, and the production capacity of asphalt refining will be increased substantially.

On the whole, compared with the asphalt demand in the traditional peak season, there is limited space for further sharp decline. It is expected that with the recovery of downstream construction in the future, there will be further growth space.

Strategy suggestions:
2500 yuan price, bargain long, pay attention to the monthly price difference change.

Strategy risk:
The production of asphalt is excessive, and the supply is over released, and the international oil price fluctuates greatly.

Quantitative options
Broad selling of soybean meal can gradually stop winning, and the implied volatility of sugar will rise
Soybean meal options

As the main contract in January, the price of soybean meal futures continued to fluctuate on September 21, and the daily price closed at 2741 yuan / ton. The trading volume and position of the day were 910000 and 1880000, respectively.

The trading volume of soybean meal options remained stable today, with a total turnover of 11300 hands (unilateral, the same below), and a position of 127700. In January, the contract volume accounted for 73% of all contract turnover and the position accounted for 70% of all contract positions. The unilateral position limit of soybean meal option was relaxed from 300 to 2000, and the market transaction activity increased significantly. The ratio of soybean meal put option volume to call option volume was moved to 0.52, and the ratio of put option position to call option position was maintained at 0.63, and the sentiment remained neutral and optimistic. It is expected that the market will maintain a narrow range of oscillation before the national day.

After the release of USDA monthly supply and demand report, implied volatility continued to decline. In January, the exercise price of soybean meal option flat value contract moved to 2750, the implied volatility continued to decline to 16.94%, and the difference between implied volatility and 60 day historical volatility expanded to – 1.83%. After the release of USDA monthly supply and demand report in September, the situation that implied volatility deviates from historical volatility may come to an end, and the disk price is expected to maintain a small fluctuation, and the implied volatility is at a fairly low level. It is suggested that the position of broad-span options (m1801-c-2800 and m1801-p-2600) can be sold step by step to prevent the risk of increased volatility brought about by the weekend. The profit and loss of selling wide span options is 2 Yuan / share.
Sugar options

The price of the main January contract of white sugar futures fell on September 21, and the daily price closed at 6135 yuan / ton. The trading volume of January contract was 470000, and the position was 690000. The trading volume and position remained stable.

Today, the total trading volume of sugar options was 6700 (unilateral, the same below), and the total position was 64700. The unilateral position limit of sugar option was also relaxed from 200 to 2000, and the trading volume and position of option increased significantly. At present, the contract volume in January accounted for 74% and the position accounted for 57%. Today’s total trading volume of sugar options PC_ Ratio moved to 0.66, position PC_ The ratio remained at 0.90, and the activity of white sugar options decreased again_ Ratio’s ability to respond to emotions is limited.

At present, the 60 day historical volatility of sugar is 11.87%, and the implied volatility of flat value options in January has turned up to 12.41%. At present, the difference between the implied volatility and the historical volatility of flat value options in January is reduced to 0.54%. The volatility is rising, and the risk of put option portfolio is increasing. It is suggested to hold the position of put wide span option (sell sr801p6000 and sr801c6400) cautiously, and harvest the time value of option. Today, the profit and loss of the sell wide span portfolio (sr801p6000 and sr801c6400) is 4.5 yuan / share.
TB

“Scale reduction” dust settled, cash bond yield rose to China

Market review:
Treasury bond futures fluctuated lower throughout the day, most closed down, and the market sentiment was not high. The five-year main contract tf1712 closed 0.07% lower at 97.450 yuan, with 9179 lots of trading volume, 606 fewer than the previous trading day, and 64582 positions, 164 fewer than the previous trading day. The total number of transactions of the three contracts was 9283, with a decrease of 553, and the total position of 65486 contracts decreased by 135. The 10-year main contract t1712 closed down 0.15% to 94.97 yuan, with a turnover of 35365, an increase of 7621, and a decrease of 74 hands in the position of 75017. The total number of transactions of the three contracts was 35586, an increase of 7704, and a total position of 76789 contracts decreased by 24.

Market analysis:
The US Federal Reserve’s FOMC statement in September showed that the gradual passive scale reduction was started in October this year, while the benchmark interest rate remained unchanged from 1% to 1.25%. It is expected that interest rates will be raised once again in 2017, leading to the market’s lingering fear of monetary tightening in the short term. The yield of US Treasury bonds rose sharply, and the yield of domestic interbank cash bond market was affected by conductivity, and the increase range was expanded. It is expected that the Central Bank of China will lower the central bank’s neutral rate in the fourth quarter, but it will not be affected by China’s central bank’s moderate rate hike.

The basic tone of maintaining stability remains the same as before, and the capital is slowing down day by day: the central bank carried out reverse repurchase operations of 40 billion for 7 days and 20 billion for 28 days on Thursday, and the bid winning interest rates were 2.45% and 2.75% respectively, which were the same as last time. On the same day, there were 60 billion reverse repurchase maturities, which fully offset the maturity of funds. The central bank’s open market hedging matures for two consecutive days, maintaining the stability tone as before. Most of the inter-bank pledge repo interest rates fell, and the funds gradually slowed down. However, after the liquidity pressure eased, there was still no trading enthusiasm in the market, indicating that market funds were still cautious after the start of the Fed’s scale reduction and before the end of quarter MPa assessment.

Strong demand for CDB bonds, weak demand for import and export bank bonds: the bid winning yield of 3-year fixed interest additional bonds of China Development Bank is 4.1970%, the bid multiple is 3.75, the bid winning yield of 7-year fixed interest additional bonds is 4.3486%, and the bid multiple is 4.03. The bid winning yield of 3-year fixed interest additional bond is 4.2801%, bid multiple is 2.26, 5-year fixed interest additional bond is 4.3322%, bid multiple is 2.21, 10-year fixed interest additional bond is 4.3664%, bid multiple is 2.39. The bidding results in the primary market are divided, and the bid winning yields of the two phase bonds of China Development Bank are lower than the valuation of China National Development Bank, and the demand is strong. However, the bid winning yield of the three-phase bonds of the import and export bank is mostly higher than the valuation of China bonds, and the demand is weak.

Operation suggestions:
The US Federal Reserve’s scale shrinking boots have been officially implemented, and the Federal Reserve has shown a stance of “close to the eagle and far from the Dove”. Although the yield of domestic treasury bonds is higher due to the conductive impact of US debt, the main contradiction in the bond market is still liquidity. The central bank has set a stable and neutral liquidity early in the morning. Moreover, affected by China’s economic forecast in the fourth quarter, the central bank will probably not follow the fed to raise interest rates The impact time of overseas conductive risk is limited. Most of the inter-bank pledge repo interest rates fell, and the funds gradually slowed down. However, after the liquidity pressure eased, there was still no trading enthusiasm in the market, indicating that market funds were still cautious after the start of the Fed’s scale reduction and before the end of quarter MPa assessment. Maintain the end of the quarter early debt narrow shock judgment unchanged.

Disclaimer: the information in this report is collated and analyzed by Huatai futures, all of which are from the published data. The information analysis or opinions expressed in the report do not constitute investment suggestions. The investors shall bear the judgment made by the opinions in the report and the possible losses.