Cotton is a strategic material related to the national economy and people's livelihood, and it is also the second largest crop after grain. Cotton is a commodity involving agriculture and textile industry. It is the main raw material of textile industry and the daily necessities of the broad masses of people. Cotton yarn, cotton cloth and clothing are also important commodities to earn foreign exchange through export. Polyester fiber, the scientific name of polyethylene terephthalate fiber, is spun into very fine fiber, which is called polyester fiber for short. Its industrial production began at 1953. Because of its good performance and wide application, it has developed rapidly and is the largest chemical fiber in the world. Polyester staple fiber is mainly used for blending with chemical fibers such as cotton, wool, viscose and hemp to make various clothing textiles.
Cotton and polyester staple fiber are two main cotton spinning raw materials in China, and there is a mutual substitution relationship between them. Under normal circumstances, textile enterprises produce products according to orders, and the proportion of cotton distribution is stipulated in orders, so textile enterprises have little choice. However, it is not excluded that some enterprises can appropriately adjust the polyester-cotton ratio in spinning raw materials according to their own conditions when there is a specific price difference. Through the statistics and correlation analysis of spot prices of 20 10 cotton and polyester staple fiber, the R square between them is 0.724, which becomes the basic condition for the substitution of two cotton spinning raw materials.
Figure: Correlation mapping between polyester staple fiber and cotton: Tong Guan futures.
(2), the relationship between polyester and PTA
PTA (purified terephthalic acid) is the main raw material for producing polyester staple fiber, accounting for more than 80% of the production cost of polyester staple fiber. At the same time, the R square of price fluctuation between PTA and polyester staple fiber is 0.934, which makes PTA the main channel for textile enterprises to avoid the price risk of polyester staple fiber.
Figure: Linear correlation between PTA and short spot price of polyester: Tong Guan futures.
(C) the relationship between PTA and cotton
Based on the substitution of cotton and chemical fiber, PTA is negatively correlated with cotton price. For example, in 2007, the correlation coefficient between PTA and chemical fiber was -0.63. From the historical data, the correlation between the two is generally not high, because the influence of cotton price on polyester staple fiber will not take effect until the price difference reaches a certain range, and there is a lag in production adjustment and market reaction. However, the price difference between PTA and cotton has a strong correlation with the price trend of cotton, reaching 0.86 at the R end, which provides an opportunity for PTA and cotton arbitrage.
Figure: The correlation between cotton and PTA futures prices is not high. Figure: Tong Guan Futures
Figure: The correlation between cotton and the price difference between cotton and PTA is obviously strong. Attached Figure: Tong Guan Futures made a regression analysis on the price indexes of cotton and PTA futures on June 5438+1October 5, 2009, and drew the following conclusions:
The above picture shows the deviation of the theoretical price difference between cotton and PTA futures price index on June 5438+1October 5, 2009. As can be seen from the figure, there is a strong positive correlation between cotton and PTA, and the theoretical price difference often deviates under market fluctuations. Arbitrators can seize the opportunity of deviation and conduct cross-species arbitration between them.
The above figure shows the theoretical spread deviation and the better arbitrage interval. Arbitrators can choose arbitrage opportunities that are suitable for their risk tolerance according to the arbitrage deviation value. The red dotted line represents the upper and lower limits of arbitrage. When the theoretical deviation value falls outside the upper and lower limits of arbitrage, it indicates that there is a good arbitrage opportunity. Take the above picture as an example. When the deviation of price difference is above 1200, PTA price is overvalued. At this time, arbitrage can buy cotton and sell PTA for arbitrage. When the spread deviation is less than -850 points, arbitrageurs can buy PTA and sell cotton for arbitrage.
Judging from the current deviation value, PTA futures prices are undervalued. From the regression model, we can carry out cross-species arbitrage operation of buying PTA and selling cotton at this time, and we also need to seek the fundamental support of PTA and cotton:
PTA fundamental analysis:
1 and PX, as of July 19, due to weak demand and lower crude oil market price, the PX market atmosphere in Asia was bearish. FOB Korea quoted $833/ton, MX quoted $720/ton FOB Korea. At present, the price difference between PX and MX is only 1 13 USD/ton. Usually, only when the price difference between them reaches $65438/ton. In addition, from October to June of 65438/kloc-0, the price difference between PX and naphtha in Asian market decreased by nearly 38%, that is, the price difference decreased from 396 USD/ton CFR to 246 USD/ton, and further narrowed to 202.5 USD/ton by June of 19. Usually, manufacturers need a price difference of $250/ton to break even. Due to the profit problem, a set of 250,000-ton PX No.2 Plant, which was shut down for maintenance by PetroChina in Taiwan Province in early May, was originally scheduled to restart in mid-July, but now it is postponed to early September. At the same time, the load of many domestic PX devices is relatively adjusted to a low level, such as Fujia Dahua to 60-70%, Qingdao Lidong to 50-60%, etc. Once the production is reduced and the price is guaranteed, the road of PX price decline will come to an end, and the stability of PX will also have a direct impact on PTA.
2.20 10 there is a strong demand for textiles and clothing in China, and the growth rate of domestic sales may exceed 25%. The growth rate of domestic clothing consumption began to exceed exports in 2007, and has maintained a growth rate of more than 20% since then. With the improvement of the income level of domestic residents and the acceleration of urbanization, the growth momentum of domestic textile and garment sales will continue in the next few years. Under the background that the foreign economic trend is still unclear and the expectation of RMB appreciation is strengthened, the growth of domestic sales will become the main driving force for the development of China's textile and garment industry.
In addition, China's textile and garment exports have maintained a steady recovery pattern. According to the data of the General Administration of Customs from June to June this year, China's textile and garment exports increased by 22. 1% year-on-year, and still maintained a steady upward trend. The remarkable growth of textile export benefits from the consolidation of China's position as a major textile and garment manufacturing base in Southeast Asia. The recovery of downstream demand will strongly boost PTA demand, thus forming a strong support for PTA prices.
Fundamental analysis of cotton:
From the current price difference between CF 1009 contract and CF 1 10 1, it can be seen that the spot price will remain high in the near future until a large number of new cotton is listed, while the cotton output in the United States and Brazil will increase substantially in the future, and cotton in the global market will tend to balance supply and demand, especially in China at1/KLOC. The improvement of supply and demand in 65433 next year will lead to a sharp increase in the premium of recent contract (CF 1009) to about 2000 yuan/ton compared with that of new cotton (CF11). In addition, the warehouse receipts available for delivery in CF 1009 contract are limited, and a large number of speculative short positions will push up the futures price, while the forward contract is relatively passive under long arbitrage (buy 1009, sell11); Therefore, in the short and medium term, there is insufficient motivation for the CF 1 1 contract to rise further.
Figure: Cotton futures CF 1009 and CF110/contract price difference trend. Based on the above analysis, PTA and cotton are currently in the period of weak shock consolidation, and the fundamentals are contrary to the results of regression model, which proves that there are great risks in buying PTA and selling cotton at this time. At this time, investors can have two choices: first, conservative investors can give up this arbitrage opportunity; Second, radical investors can choose to lower their profit targets and set a reasonable stop loss. For example, the original profit target may be set near zero when the spread deviates, and at this time the profit target can be set near -500, so that as long as there is profit, they can close their positions. The specific arbitrage investment scheme will be listed below.