1October 7th, 2 1, 65438, and the benchmark price of live pig futures contract was officially announced by Dashang, with LH2 109, LH21,LH220 1 being 30680 yuan/respectively.

As the first commodity futures variety for live delivery in China, the contract design of live pig futures is bound to be different from the varieties already listed at present.

In order to facilitate reading, the author sorts out the key points and presents them in tabular form (see the table below). At the same time, it also lists the related contents of fresh eggs, the only breeding futures variety in the domestic futures market, for comparison.

As can be seen from the table, except for the differences in trading unit, quotation unit, minimum change price, contract month, etc., the transaction cost, trading limit and margin ratio of live pig futures are stricter than those of eggs, which is basically consistent with the design concept of "strictly controlling risks" of the exchange, that is, to ensure a smooth start at the initial stage of listing and curb overheating of transactions.

02. What is the futures price of live pigs after listing?

2. 1 Find the "anchor point": the benchmark is in Henan, and the first batch of delivery warehouses are in the eastern region.

Generally speaking, in a healthy market environment, the futures price will eventually converge with the spot price at the delivery place, so the spot at the delivery place often becomes the anchor of the futures price. According to the Notice of Dalian Commodity Exchange on Matters Related to the Delivery of Live Pig Futures (Dashangfa [2021] No.9), the delivery areas and areas of live pig futures are set as follows:

I. Delivery area

Henan, Jiangsu, Zhejiang, Anhui, Shandong, Hubei, Hebei, Shanxi, Inner Mongolia, Liaoning, Jilin, Heilongjiang, Shaanxi, Fujian, Jiangxi, Hunan, Guangdong, Guangxi Zhuang Autonomous Region, Chongqing, Sichuan, Guizhou and Yunnan.

Second, regional premium.

The designated delivery warehouses and designated delivery places set up in various regions have the following advantages over those in Henan Province:

(1) 0 yuan/ton, 500 yuan/ton, Zhejiang 1500 yuan/ton, Anhui 100 yuan/ton, 200 yuan/ton, and 500 yuan/ton. The premium in the above delivery areas shall be implemented from the date of listing and trading of live pig futures.

(2) The regional premiums of Hebei Province, Shanxi Province, Inner Mongolia Autonomous Region, Liaoning Province, Jilin Province, Heilongjiang Province, Shaanxi Province, Fujian Province, Jiangxi Province, Hunan Province, Guangdong Province, Guangxi Zhuang Autonomous Region, Chongqing City, Sichuan Province, Guizhou Province and Yunnan Province are announced at the same time when the designated delivery warehouses in this region are established, and they are immediately implemented in the listing contract. "

It can be seen that the deliverable area of live pig futures is very wide, covering most provinces and regions in China. However, the first batch of delivery warehouses are mainly concentrated in six provinces, namely Henan, Jiangsu, Zhejiang, Anhui, Shandong and Hubei, namely the eastern region delineated by the National Regional Prevention and Control Plan for African Classical Swine Fever and Other Major Animal Diseases of the Ministry of Agriculture and Rural Affairs. According to the previous policy of the Ministry of Agriculture and Rural Affairs on regional prevention and control, the whole country is divided into five regions, which are unified in epidemic prevention and control, distribution and resource integration. From 2002 1 April1day, restrictions on pig transportation will be implemented in the eastern region, but the specific measures have not yet been announced. It can be seen that the first delivery warehouse area was chosen for the practical consideration of non-plague prevention and control.

In terms of arbitrage mechanism, futures will anchor the spot price in the cheapest delivery area.

Before the domestic African swine fever vaccine was developed, there was still a certain risk of non-epidemic recurrence in China. Once the non-epidemic situation recurs, the circulation of live pigs will be seriously affected, which will lead to the imbalance between regional supply and demand, which may increase the regional differentiation of spot, and then affect the disk pricing. Therefore, after the listing of live pig futures, it is necessary to focus on the changes in the spot market in the eastern region, and at the same time pay attention to the risk of recurrence of non-epidemic diseases and the resulting mobilization policy interference.

2.2 rely on "imagination": the listing contract is far away, and we should pay more attention to the expected changes.

According to the announcement of Dashang Institute, the pig futures listed on the first day are LH2 109, LH21,LH220 1, and the contract in the latest month is LH2 109, which corresponds to the spot price after 8 months. Since live pigs are living commodities, the constraint of spot arbitrage mechanism is relatively unobvious, which also means that market transactions will depend more on the "imagination" of investors, that is, after the listing of live pig futures, the futures price will depend more on the market's expectation of future supply and demand than on the reality of current spot market supply and demand. According to the statistics of the Ministry of Agriculture and Rural Affairs, the number of fertile sows in China has increased from 438+00 in 2009 for 14 months, and has now recovered to 90% of the normal level, and it is expected to return to the normal year level at the end of the first quarter. The increase in the number of fertile sows means that the overall supply will develop in a loose direction in the future.

In addition, the production data of sow feed and piglet feed of feed industry association can also provide clues for speculating future supply changes. Because there are few imports and exports of feed in China, the production of feed can be roughly regarded as downstream consumption. From the perspective of sow feed output, since June 2020, the growth rate of sow feed output has increased significantly, suggesting that the growth of sow stock has accelerated. According to the breeding time of pigs, the supply of commercial pigs will also increase by August 20021year. Therefore, for the September contract, it will also face some new supply pressure. Judging from the piglet feed output, the output increased rapidly in September, which means that the supply of slaughter pigs increased greatly in June 5438+ 10, while the increase of piglet feed decreased sharply in June 5438+00 and June 5438+065438+ 10, which means that the supply of live pigs may slow down in February and March, that is, the supply pressure on the live pig market in the first quarter is not great.

As the overall production capacity of pigs is recovering, the supply of pigs tends to increase in the future, and the general direction of pig prices is downward. It is expected that there will be a higher discount after the futures are listed. From the perspective of investment, it is important to pay attention to whether there will be expected differences. It is suggested to follow the changes in the following aspects: first, although the fertile sows are recovering well at present, more than 40% of the fertile sows are ternary sows, and their production performance is low, which limits the recovery speed of pig supply in the future; Second, the early weather cooling once led to an increase in the morbidity and mortality of piglets in some northern producing areas, which may lead to a decrease in staged supply; Third, the current cost curve of pig industry is more divergent than before the epidemic, and the marginal cost affects the speed and depth of pig price decline.

03. What are the potential trading opportunities after the listing of live pig futures?

3. 1 unilateral opportunity

The price of live pigs has obvious periodicity. Historically, the price of live pigs has a three-year cycle. During this period, due to the influence of environmental protection policies or epidemic situation, the duration of the pig cycle may be extended or shortened, but the cycle will not disappear. The current pig cycle began in March of 20 19, and reached an all-time high of 20 1 19 in June, after which the price fluctuated downwards. Since June 20, 2009, the domestic pig production capacity has generally recovered, the supply will continue to increase in the later period, and the supply and demand environment tends to be relaxed, which means that the high point of June 20, 200911is the peak of this pig cycle, and the downward trend of pig prices has become the main theme. For the upcoming LH2 109, LH2 1 1 and LH220 1 contracts, they will still be in the down cycle, and it is normal that there will be a large discount on the spot after listing.

At present, the domestic pig spot market is still in the peak season of demand support before the Spring Festival. In addition, due to the recent detection of COVID-19 positive in frozen products, the original demand for frozen products was partly transferred to the demand for fresh meat, thus pushing up the price of pigs.

However, with the decrease of post-holiday demand, the supply of live pigs has gradually recovered, and it is expected that the pig price will weaken in the later period.

Judging from the three rounds of decline after the high point of the current pig cycle, the decline range of each round is between 8- 1 1 yuan/kg. At present, the price of pigs in Henan Province is 36.4 yuan/kg. With reference to the last round of decline, the pig price in the later period should be at least below 28 yuan.

From the seasonal point of view, the low price of domestic pigs will generally appear in April and May, and the high price will generally be in 65438+ 10 and August and September. When the pig cycle goes up or down rapidly, the seasonal law will be relatively weak or even broken. Because the 202 1 live pig market is still in the downward cycle, there will be more new supply in August and September, and the seasonal law will be weaker than in previous years. Considering the periodicity and seasonality, we think that the reasonable price of LH2 109 contract should be lower than the benchmark price of 30,680 yuan/ton. Therefore, as far as the unilateral investment strategy of pig futures after listing is concerned, we tend to short the current listing price and above, and the lower target range is between 26,000-28,000 yuan/ton.

3.2 Intertemporal opportunities

Because the price of live pigs has obvious cyclical and seasonal characteristics, the monthly spread of live pig futures after listing will also fluctuate around these two factors. Judging from the first batch of listed contracts, there are only three contracts, namely LH2 109, LH2 1, LH220 1, corresponding to September,1,1respectively. From the seasonal point of view, the general price in June 5438+ 10 is slightly higher than that in September and higher than that in June 1 1. However, as the whole hog market is in the period of capacity expansion, it is expected that the supply pressure corresponding to LH220 1 will be higher than that of LH2 109, which may overwhelm the influence of seasonal factors. Therefore, from the perspective of intertemporal price difference, we suggest paying more attention to the positive set of LH 2109-LH 21165438. As for the spread of LH2 109-LH220 1 and lh21-lh2201,at present, it is difficult to grasp the winning percentage of both positive and negative sets.

3.3 Cross-variety opportunities

At present, the futures varieties related to pigs that have been listed are corn, soybean meal and eggs. Among them, pigs, corn and soybean meal constitute the upstream and downstream relationship of the industrial chain. From the point of view of pig breeding cost, feed cost accounts for about 60% of pig price cost (it is rough data, depending on the cost of buying piglets or autotrophic piglets). In the feed formula, corn accounts for 60% and soybean meal accounts for 20%. However, both eggs and pork are protein foods, and there is a certain substitution relationship in theory.

A. Cross-variety opportunities between pigs and corn, pigs and soybean meal

Judging from the historical changes of the price comparison between pigs and corn, pigs and soybean meal, the trend of pig prices is basically the same, indicating that the fluctuation of pig prices and feed raw material prices is different. Therefore, we should pay more attention to the fluctuation direction of the price comparison between pigs and corn, pigs and soybean meal. With the recovery of domestic pig production capacity, the breeding profit will shrink in the general direction, corresponding to the reduction of the price ratio of pig/corn and pig/soybean meal, which means that from the trend point of view, after the pig futures are listed, we can consider buying empty pigs with soybean meal or empty pigs with corn to arbitrage the breeding profit. Because the price fluctuation of pigs, corn and soybean meal is quite different, it is necessary to pay attention to the rhythm when carrying out arbitrage trading of pigs, corn and soybean meal, and try to choose the time when the basis of corn and soybean meal is relatively high and the basis of pig futures is relatively low.

B. pigs and eggs

From the historical trend of egg, pig and egg/pig price comparison, the trend change of egg/pig price comparison is also obviously affected by pig price. But at the same time, in the trend of egg/pig price ratio, it also shows very strong short-term volatility, which is mainly due to the short cycle and stronger volatility of the egg industry. Therefore, although it can be predicted that the egg/pig price will tend to rise in the future based on the recovery of pig production capacity, due to the large short-term fluctuation of eggs, more attention should be paid to the short-term rhythm of eggs when trading egg/pig prices. At present, the contract price of eggs in September is more than 4500 yuan, which gives a good breeding profit. Judging from the mentality of farmers, the willingness to fill files after the Spring Festival is still strong. It is expected that the supply will recover quickly in the later period, and the market may overestimate the risk. Therefore, it is not recommended to trade eggs/pigs across varieties at present.