Author | Tian Yaxiong, Futures Research and Development Department of CITIC Construction Investment Corporation
Research assistant Liu Hao
Time of completion of this report | May 6, 2024
Important note: the views and information in this report are for reference only to futures traders who meet the appropriateness regulations of the CSRC. Access restrictions cannot be set for the time being on this platformStaratlasblockchainIf you are not a qualified trader, in order to control the trading risk, please do not click to view or use any information in this report. Sincerely apologize for the inconvenience caused by this, thank you for your understanding and cooperation!
Core viewpoints
The main incremental information during the holiday period is mainly in three aspects: 1, the non-farm data in the United States suggest that the job market data is softening; 2, the price of WTI crude oil has fallen, and the marginal conflict between Palestine and Israel has eased; 3.StaratlasblockchainAt the meeting of the political Bureau of our country, the policy direction of digesting and optimizing the increment of real estate inventory was discussed, and the important tone of "persisting in taking advantage of the situation and avoiding tightening in front and loosening later" was put forward.
Gasoline accounts for about 3% of US CPI, and the fall in crude oil has eased future re-inflationary expectations and a periodic rebound in unemployment. The main directional judgment gathered above is the top expressed by the hawks of the Federal Reserve, that is, the top of the dollar, which is also the top of US bond yields, looming again and more solid than it was in December last year. Using this judgment to trade the exchange rate of the dollar, trading US bonds is of reference significance, but the guidelines for commodities are complicated and confusing.
In the market over the next month or two, the benchmark expectation is that US economic expectations no longer need to be revised up, but it is far from recession; the peak of US re-inflation trading is over, but not an immediate interest rate cut. In this environment, the estimates of US stocks, such as non-ferrous metals, which have the most significant risk preference in the early stage, are facing adjustment. In view of the fact that the current macro expression is larger than the window of industrial expression, when the target with higher valuation can not take enough action, it is the profit of the target with low valuation.
The reversal of long and short arbitrage is mainly in the main pairs of overseas rights and interests-Chinese rights and interests, industrial products of commodities (overseas pricing-domestic pricing), industrial products-agricultural products, considering that American stocks, copper and gold are hardly weakening, so the reversal trading is mainly along the idea of low-priced assets, and then thinks that the domestic black goods JM, CBOT agricultural products and the corresponding domestic oil and oil tend to be multi-matched.
The most gaming target is gold, which has risen in conjunction with the dollar some time ago (based on inflation). The recent fall in gold under deviated non-farm data suggests that bulls in gold are selling in stages, that is, the fact that the marginal selling of the dollar has peaked. Given that inflation is sticky but not enough to return to re-inflationary trading, and the US economy does not fall into an immediate recession, gold is estimated to be in a range of shocks.
The further upward probability of gold in the future depends on the expectation of interest rate cuts that will lead to a trend decline in the US dollar. The 100 mark is an important reference. In the current game, there are mainly two directions: 1, the volatility of AU will decline, expressed by options; 2, the ratio of gold to copper is higher, and the tracking direction believes that the price of US stocks itself has a strong fundamental significance. If the US stock exceeds expectations, the ratio of gold and copper is expected to rise, and the transmission mechanism is that US stocks fall to the weakening of household wealth effect, and then to the decline of inflation expectations and the decline of economic growth.
Logical expression
The overseas incremental information over the past week has mainly focused on US non-farm data for April, which frankly fell short of market expectations. What is worth judging is whether the strong non-farm data in March or the weak non-farm data in April are closer to the current situation in the United States. According to high-frequency indicators, service sector job creation slowed in April, while part-time employment reached a new high, suggesting a cooling of the labour market.
On the other hand, the price of WIT crude oil fell. Gasoline accounts for about 3% of CPI weights in the United States, and the high frequency of changes makes gasoline price fluctuations contribute more to CPI fluctuations. The decline in WTI crude prices over the past period of time has eased future re-inflationary expectations to a considerable extent, superimposed by a rebound in unemployment, and we understand that the Fed's hawkish expression may have peaked. In other words, the top of the dollar and Treasury yields are back and are expected to be more persuasive than the top in December, and marginal trading opportunities have emerged on the dollar and Treasuries.
But for other large categories of assets, this guidance is complicated and confusing. We understand that the benchmark forecast for the market over the next month or two may be that there will be no significant upward revision in the US economy, but it is also far from the point of trading recession. Us re-inflationary trading has passed its peak, but the prerequisites for falling inflation to trigger interest rate cuts have not yet been reached, as is roughly the case with the trading environment for some time to come. After a highly consistent trading window from February to April, the market has returned to a relatively chaotic trading environment, and assets such as US stocks and non-ferrous metals, such as US stocks and non-ferrous metals, may face a wave of adjustment. Considering that the current macro expression still takes precedence over industrial expression, we believe that the early actions on the top species on the list of dragons and tigers can be insufficient or imply that the undervalued mark is expected to open room for bullish trading. In other words, a window of long-short arbitrage reversal is emerging, which is mainly concentrated in overseas markets and Chinese markets, such as overseas-denominated industrial products and domestic-denominated industrial products. In addition, considering that it is difficult for assets such as gold, copper and US stocks to weaken in the short term, we understand that reverse trading is mainly around bargain-seeking and long-low valuation assets, such as domestic black commodities and domestic oil and oil varieties linked to CBOT agricultural products tend to be more mixed.
众多资产中最具博弈性特征的仍然是黄金。过去一段时间黄金与美元共同上行，4月较差的非农数据打压美元指数，但黄金却并未出现上涨。此外，目前主流预期认为9至11月可能会开启降息，6月开启降息的概率不足10%。在这一环境下如何去评估黄金？我们在之前的报告中指出，黄金上行主要是计价美国再通胀以及美元信用的空心化。目前再通胀预期减弱，围绕这一逻辑的交易也出现回撤，导致黄金上涨动能不足。另一方面，尽管美元指数边际性回落没有刺激黄金大幅走高，但我们理解后续如果能够看到美元指数向下跌破100关口，黄金将继续具备上涨潜力。
整体来看，未来几个月再通胀交易不再那么激烈，但通胀预期仍具粘性，同时美国经济也没有即刻转到衰退阶段，共同使得黄金交易处于相对混沌的时期。未来黄金进一步的上行依赖于新一轮降息预期的领先到来或者衰退交易的盛行，但这些短期内很难看到，因此黄金可能将陷入震荡区间。
由此衍生出的一种表达是金价波动率会下降，通过双卖期权做空波动率将是理想的策略之一。另一种表达是，由于低频的经济数据难以满足交易的需要，对市场的预测可能还是要落在价格本身上，尤其是美股的价格。我们在此前报告中提到过，权益类资产在美国居民财富中占比较大，如果后续美股出现更大幅度的下跌，将导致美国居民财富效应减弱，并最终传导至经济增速下行预期的形成，使得市场往衰退交易方向做表达，在此背景下，我们理解金铜比有望走高。
各品种观点汇总
豆粕：南里奥格兰德州大豆收割进度76% ，强降雨之下，Safras称该州400-500万吨大豆产量处于风险中。据报道阿根廷罢工仍在持续。基金持仓大幅增加，净多头也在增加，说明做多力量在显著增加，空头回补或再度触发上周行情。本周持续关注美豆种植进度和巴西的产情。我们上调豆粕震荡区间3350-3600，区间逢低做多为主。
油脂：1、巴西南里奥格兰德州强降雨引发担忧，当地机构预估可能带来200-300万吨大豆产量损失，并对物流运输带来影响，美豆及美豆粕空头回补引发假期盘面大幅反弹。然而，在偏差的生柴需求及原油、棕榈油走弱拖累下，美豆油不仅未获得美豆上涨的外溢，反而在积极的买粕空油套利下有所走低。2、SPPOMA预计马棕4月产量环比增加3staratlasblockchain.76%，船运机构预估的同期出口环比减6staratlasblockchain.15%-11.46%，开斋节后棕榈油产量恢复及出口走弱态势明显。按此预估，马棕4月末库存有小降空间，但预计库存拐点很快将在5月出现。3、在地缘局势缓和及库存增加的背景下，长假期间原油价格跌逾5%，人民币汇率也在美联储降息预期提前预期下出现明显升值，预计将对油脂市场带来拖累。短期油脂延续调整对待，预计油脂与粕类走势将进一步分化，前期油粕比空单可继续持有。预计豆油09主要运行区间7250-7800，棕榈油09主要运行区间7000-7700。
菜系：欧洲菜系价格小幅反弹，有利于后期全球菜系供给压力消化，但当前加拿大周度出口数据表现依旧偏弱，短期内供给预期仍然较为宽松。节内美国非农数据偏弱，市场降息预期修正，叠加南美洪涝灾害题材，菜系或受益于相关事件，存在回升空间。从节内消费表现来看，菜油库存下降幅度有限，数量仍居于高位，菜粕需求随华南暴雨减弱影响有望改善，关注水产投料情况，但在原油价格回落背景下，菜油短期内上方空间有限。整体以区间思路对待，菜粕09区间（2500，2900），菜油09区间（8200，8650）。
花生：1．五一节内需求表现一般，地区报价涨跌互现，整体到货量稳中偏弱，部分油厂开始停收，后期需求动能不足，贸易商交投氛围清淡。2．油厂榨利弱势运行，终端补库驱动不强，前期采购基本满足刚需用量，当前主产区天气表现尚可，花生种植预期良好，远端供应预期相对宽松。缺乏利多题材背景下，预计花生仍将震荡偏弱运行。逢高沽空对待，pk10合约9250附近的空单可持有，注意下方支撑位8800。
豆一：4月大豆现货价格呈现北稳南弱格局，集团收购支撑产地报价，终端需求疲软压制销区价格走势。随着集团收购结束，交易逻辑切换至基本面定价，豆价由集团收购回归市场。目前终端需求偏差仍然是制约豆价上行的主要原因，叠加国储重启拍卖削弱后市供应偏紧预期，国产大豆供大于求格局未发生根本性变化。5月农户忙于春耕，预计产销区大豆购销活跃度有所下降，市场缺乏新的交易题材，盘面短期预计在4600-4700区间震荡，若后续无政策利好释放，中长期豆价中枢仍有向下风险。盘面预计日内受美盘带动或出现反弹，整体观望为主，寻找后续逢高沽空机会。
生猪：全国各地生猪价格先跌后涨，较节前保持稳定。市场进入降重去库阶段，前期压栏二育大猪加速出栏，供给压力再现，标肥价差快速走低。从以往季节性规律来看，节后价格调整概率较大，可能出现进一步杀预期升水情况。产能去化的结果终将体现在价格。官方数据口径下2022年12月到2024年3月，能繁母猪累计降幅9.1%。从历史复盘来看，每轮产能去化过程中能繁去化幅度均在8%以上，8%~10%的去化足以支撑新的一轮周期开始。预计LH09合约短期在17000~17800之间运行。空单择机逢低止盈，多头等待市场充分调整，关注09合约逢低做多机会。
鸡蛋：主产区现货价格节日期间略有上涨。5月6日主产区均价3.34元/斤，较30日+0.02元/斤；主销区均价3.68元/斤，较30日+0.07元/斤。4月存栏延续增长趋势，供给偏多局面预计延续，近月合约维持偏空看法，空单适当持有，短期谨慎追空。远月合约预期驱动，短期不易证伪，淘汰量明显走强后，关注市场预期驱动下的逢低试多机会，注意止盈止损。JD09参考区间3800~3950元/500kg，近月空单持有。
Corn: the purchase price of Beigang is low, the enterprise buys 2280-2330 yuan / ton, the highest is 2350, the holiday arrival fluctuates between 30 cars and 116cars, 54 cars this morning. In terms of deep processing, the northeast is mainly stable, and an enterprise during the holiday has reduced 10 yuan; the arrival of goods in North China has moved down compared with last week, with the morning surplus fluctuating between 91 and 1009 vehicles, with 433 vehicles in the morning, a decrease of 265.The purchase prices of enterprises in North China have strengthened, with 16 enterprises fluctuating from + 10 to + 20. In the starch market, North China maintains rigid demand, the transaction price moves down to less than 2900, the low price of South China port still exists, weak adjustment, downstream start-up and decline. The current corn fundamentals to maintain the trend of weak shocks, pay attention to the stabilization of the wheat market and large enterprises to receive goods on the reaction to the market. Starch needs to consider the main weak and vice strong situation, according to the volume and price of the main products to judge the change of maintenance willingness of deep processing enterprises. You can consider the operation of the shock box market, for starch in the profit repair to do the gradual formation of the logic of contraction, pay attention to the corn price stage after the bottom for the profit compression.
Apple: the Apple market is mainly suppressed by spot pessimism: due to the shrinking sales window, more fruit growers left in the cold storage are still selling at reduced prices. The result is continued loosening of prices and losses of some practitioners, thus suppressing industrial sentiment. The price reduction promotion of cold storage fruit farmers' goods takes a certain period of time to make room for good goods, but as the 05 contract is gradually approaching the delivery month, we think that the impact of the lack of good goods in cold storage may be initially realized at the end of 05. there is even the possibility that it can not be reflected in 05. Local apple production in the new season needs to pay attention to the recent evolution of the weather, the production areas began to reflect the differentiation of fruit-setting, and the supply-side contradictions of contracts such as 10 and 11 are not too fierce for the time being. Pessimism on the spot side is still pervasive, mainly wait-and-see.
White sugar: 1. The price of raw sugar remains volatile during the festival. When the ICE05 contract expires, the delivery volume is about 1.67 million tons, the fourth highest in history, and a large number of deliveries are interpreted as bearish signals by the market. 2. India's accelerated harvest, ethanol policy update is expected to increase the flow of 800000 tons, whether there will be new exports is still uncertain 3. At present, under the stimulation of high profits, Brazil's 24xue 25 crushing season has been squeezed ahead of schedule, but there is too much rain in April, and the actual number of sugar mills actually opened has not reached the number expected by UNICA; 4. The progress of domestic production and marketing has slowed down but is basically the same as last year. In terms of imported sugar, according to recent shipping reports, there is only one additional ship to China, so the pressure on short-term spot is not very obvious. 09 fluctuation range of 6100-6300 yuan / ton, mainly wait and see.
Cotton: 1. During the May Day holiday, ICE American cotton fell below 75 cents / lb to a new low of nearly a year and a half, and the main rebound closed at 77.92 cents / lb. 2. As of May 2, the inventory of ICE deliverable No. 2 cotton contract has dropped to 186110 bales. 3.USDA 's latest export weekly report shows that in the week ended April 25, cotton export sales in the United States increased by 97400 bales in the current year, 45% lower than the previous week and 20% lower than the previous four-week average. This year's cotton supply peak has passed, and the market is more demand-oriented. Pay attention to the progress of demand recovery and the weather and cotton planting progress in new flower producing areas. Short-term affected by the decline in the outer disk, the price is on the negative side.
European shipping line: the news about the Israeli-Palestinian conflict evolved many times during the May Day holiday, but the Red Sea supply chain crisis that the market bet on before the May Day holiday once again seemed too anxious. The three major alliances have promoted the second round of price increases, which came into effect in mid-May, accompanied by more active measures of capacity control. Even if the larger increase in the announcement can not be fully realized, the center of gravity of freight in May will be stable and strong, and the freight in June, July and August will be boosted by the adjustment of freight and market expectations in mid-May. If the volume is more sufficient, there may also be two or more mid-month price increases in June, July and August. We take a long view of the contracts as a whole and expect that the settlement price of 06 may be slightly higher than that of 04, and the settlement price of 08 will be higher than 06, which may be close to or even break through the 3506 points of SCFIS before the Spring Festival. If you continue to hold long orders in the previous period, you can consider being long in each callback in the undervalued range (06Rom 2500pm 2700bn 08Rd 2300m 2600).
Pulp: in January and March, China imported 854000 tons of coniferous pulp, an increase of 13.9% over the same period last year. The spot supply is relatively loose, but the supply side is still profitable. 2. As the price of raw materials continues to rise, downstream profits are compressed, and some downstream paper enterprises plan to shut down. 3. Suzano announced that the price of eucalyptus pulp in the Asian market increased by US $30 / ton in May 2024, boosting the mentality of the domestic spot market. At present, the contradiction between supply and demand intensifies, supply-side prices continue to rise, but domestic downstream paper enterprises are not willing to undertake, short-term prices are expected to remain high, fluctuating range of 6200-6400 yuan / ton, mainly wait and see in the short term.
(source: Wind, MPOB, Mysteel, ISM, USDA, Louvre, Accor, U.S. Department of Labor)
Researcher: Tian Yaxiong
Futures trading consulting information: Z0012209
Research Assistant: Liu Hao
Futures information: F03103250
Important statement
This Subscription account (WeChat: CFC Agricultural products Research) is the official Subscription account who is established and operated independently by the agricultural products team under the Research and Development Department of CITIC Construction Investment Futures Co., Ltd. (hereinafter referred to as "CITIC Construction Investment").
The views and information in this report are only for reference by futures traders who meet the provisions of the CSRC on appropriateness management, and shall operate accordingly and bear their own responsibility. Citic Construction Investment Futures Co., Ltd. (hereinafter referred to as "CITIC Construction") does not regard subscribers as customers of CITIC Construction Investment as a result of any subscription or receipt of this report.
If the content of this report involves or belongs to a series of interpretations, traders may misunderstand the hypothetical basis, research basis and conclusions due to the lack of understanding of the complete content. Traders are invited to refer to the complete series of reports issued by CITIC Capital, carefully read the attached statements, data sources and risk tips, and pay attention to the key assumptions that can be established in the relevant analysis and prediction. pay attention to the target price and time period of the research basis and conclusions, and accurately understand the research logic.
CITIC does not make any express or implied warranties as to the accuracy, reliability, timeliness and completeness of the information contained in this report. The information and opinions in this report only represent the judgment at the time of the release of the report, and the relevant research views may be changed without notice based on the subsequent reports issued by CITIC.
Sales staff, traders and other professionals of CITIC Construction Capital may make oral or written market comments and / or opinions that are inconsistent with this report based on different assumptions and standards and using different analytical methods. The publication of this report is not a trading decision-making service and under no circumstances constitutes any trading recommendation of the trader receiving the contents of this report. Traders should be fully aware of all kinds of trading risks and carefully consider whether the contents of this report are in line with their own specific conditions, make their own trading decisions and bear their own trading risks. Any decisions made by traders based on the contents of this report have nothing to do with CITIC or the relevant authors.
本报告发布的内容仅为中信建投所有。未经中信建投事先书面许可，任何机构和/或个人不得以任何形式对本报告进行翻版、复制和刊发，如需引用、转发等，需注明出处为“中信建投期货”，且不得对本报告进行任何增删或修改。亦不得从未经中信建投书面授权的任何机构、个人或其运营的媒体平台接收、翻版、复制或引用本报告发布的全部或部分内容。版权所有，违者必究。
全国统一客服电话：400-8877-780
网址：www.cfc108.com