Arbitrage opportunities between the hottest cotton

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Arbitrage opportunities between cotton and PTA appear

when studying arbitrage opportunities of cross variety contracts, we usually consider the internal relationship between the two varieties and whether there is a good correlation. The stronger the correlation between varieties, the smaller the investment risk of cross variety arbitrage opportunities. In addition to the direct links expressed to investors, such as soybeans, soybean meal, soybean oil, etc., the proportion of exports to emerging countries will also be greatly increased. Another common one is alternative arbitrage, and the relationship between cotton and PTA futures belongs to the latter

theoretical basis

cotton and polyester staple fiber are the two main cotton spinning raw materials in China, and there is a substitution relationship between them. Generally, textile enterprises produce products according to orders, and the cotton blending ratio is specified by orders. Textile enterprises have little choice, but it does not rule out that in the case of a specific price difference, some enterprises can appropriately adjust the proportion of polyester staple and cotton in spinning raw materials according to their own conditions

correlation analysis: the author has made statistics and correlation analysis on the prices of cotton and polyester staple in recent three years, and the correlation between the two is as high as 0.865, which is also the basic condition for the substitution between the two major cotton spinning raw materials

cotton textile raw materials

price difference/price ratio: from the normal price difference, 328 grade cotton should be yuan/ton higher than the polyester short price in the same period, and the price ratio is more than 10%-20%. Generally, when the price ratio exceeds 20%, part of the market demand will turn to polyester short, thereby reducing the proportion of cotton; When the price is lower than 10%, part of the market demand will turn to cotton, thereby increasing the proportion of cotton consumption. The changes in the prices of cotton and polyester staple directly affect the changes in the price difference and price ratio, and then affect the demand for cotton or polyester staple, which eventually leads to the return of the prices of cotton and polyester staple to the relatively reasonable price difference or price ratio range of PE and PP

from the price trend of cotton and polyester staple fiber in recent three years, the current price difference of 5000 yuan/ton and the price ratio exceeding nearly 60% are obviously in an unreasonable range, and the return of the price difference is a long-term trend

PTA can replace polyester staple fiber to participate in cross commodity arbitrage operation

PTA (purified terephthalic acid) is the main raw material for the production of polyester staple fiber, and the consumption accounts for more than 80% of the production cost of polyester staple fiber. At the same time, the correlation between PTA and polyester staple fiber price fluctuations has also reached 80%, which makes PTA become a main channel for textile enterprises to avoid polyester price risks

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