Ruida Futures: Acoustic shock adjustment under long and short interweaving

Hot spot funds flow to thousands of stocks to evaluate stocks to diagnose the latest rating simulation transaction

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In July, due to the resumption of work of some units, the reduction of petrochemical inventories and the strengthening of crude oil and coal, the domestic ban on waste plastics and other good news affected the price volatility. At the end of the month, the spot price quickly rose after the spot price, the downstream demand was poor and the insurance policy was suppressed, and the price appeared. Callback. In August, the number of equipment overhauls decreased, and new capacity was put into production, and downstream on-demand procurement was insufficient. It is expected that market supply pressure will gradually emerge. Before the downstream demand peak season is not opened, it is expected that the market will have a higher probability of short-term correction, and in August, it will show a trend of first suppression and then rise.

First, the fundamental analysis

(1) Supply side

1, inventory

According to the statistics of Zhuochuang, the total domestic PP stocks continued to decline. Petrochemicals are mainly driven by price increases to drive downstream goods, and petrochemical stocks are rapidly digested; port stocks are driven by the market, port stocks are shipped faster, and port stocks are further digested. In terms of traders' inventories, the previous price fell and the downstream stocks were less. Under the market, the downstream active purchasers' trade stocks were digested.

Figure 1. PP inventory chart

Source: Zhuo Chuang Information

2, capacity equipment maintenance

In terms of PP new capacity, PP coal production capacity has increased, and has occupied about 30% of domestic production capacity. 2017 is still a year of relatively concentrated new capacity. If it can be put into production as expected, the domestic PP capacity will increase to 23.39 million tons in 2017, and the annual output in 2017 will be close to 20 million tons. Judging from the planned production time of production capacity, the first half of the plan is expected. In January, Hebei Haiwei installation was put into operation in 200,000 tons/year. Changzhou Fude Energy Chemical Development Co., Ltd. successfully started driving in January; in April, Zhongjing Petrochemical Phase II went smoothly. Put into production; in June, Qingyang Petrochemical's 100,000 tons/year plant successfully produced T30S. In the short term, Shenhua Ning Coal's 600,000 tons of Phase II PP plant has not yet produced pellets and is expected to be released in mid-August.

According to Zhuo Chuang statistics, the loss of domestic polypropylene production equipment in July was about 263,000 tons, which was 4.36% lower than the 275,000 tons in June. In addition to Guangzhou Petrochemical, Shijiazhuang Refinery, Ningxia Petrochemical, Changzhou Fude, Fujian United Laoxian, Zhongtian Hechuang Loop Installation, according to planned parking and overhaul, there were several installations in the month due to faults, including Fuki Petrochemical and Daqing. Refining and Chemical, Shenhua Xinjiang, Fujian New Line, Ningbo Fuji. In addition, Huabei Petrochemical, Liaotong Chemical, and Yangzi Petrochemical caused some equipment to stop due to raw material problems. Therefore, the equipment maintenance in July decreased slightly compared with June. In addition to the long-term parking devices of Shandong Yuhuang, Dagang Petrochemical and Luoyang Petrochemical, other devices currently under maintenance will resume production in August, and it is still uncertain what the maintenance devices will be in August. However, the overall equipment maintenance volume will be greatly reduced in August, and new capacity is expected to be put into operation. It is expected that the market supply pressure will increase significantly.

2017 new polypropylene production plan (10,000 tons / year)

Source: Longzhong Petrochemical

PP device maintenance loss

Source: Zhuo Chuang Information

3. Production

Zhuo Chuang Information estimates that domestic PP production in June 2017 was approximately 1,593,600 tons, an increase of 0.43% from the previous month and an increase of 9.38% from the same period last year.

In July, the maintenance of the equipment declined, and the output will increase slightly.

4. Import

In June 2017, the export volume of primary shape polypropylene (tax code) was about 32,000 tons, a decrease of 17.3% from the previous month and an increase of 18.1% year-on-year. This year, the cumulative export volume was 173,700 tons, an increase of 29.2% year-on-year. In June 2017, the import of polypropylene (tax code) in the primary shape was about 232,000 tons, an increase of 2.2% from the previous month and a decrease of 5.5% from the same period last year. This year's cumulative imports were 1.612 million tons, an increase of 13.3% over the same period last year.

(2) Demand side

The overall operating rate of the domestic polypropylene downstream industry is around 63%. Among them, the plastic knitting industry is 62%, the co-injection injection rate is 63%, and the BOPP operating rate is 63%. A slight decline from the previous period.

Plastic knitting industry: The production of plastic knitting enterprises is around 62%. The orders of plastic knitting enterprises are relatively stable this week, and pp is on the rise, with an increase of 200 yuan/ton. The rise of raw material prices has hit the enthusiasm of downstream enterprises for purchasing. Focusing on digesting stocks and holding a bearish attitude towards the market outlook.

Copolymer injection molding: The operating rate of copolymer injection molding manufacturers is about 63%, and the copolymerization price is relatively stable. Due to the tight supply of individual products and near the end of the month, the merchants' prices are firm, the downstream procurement is cautious, and the transactions are general. In addition, due to the high temperature in summer, the operating rate of the factory fell.

BOPP industry: The operation of the endometrial plant has not changed much; the starting load rate has remained at around 63%. The early Zhejiang Yimei production shutdown device has been opened normally today.

Downstream operating rate chart

Source: Longzhong Petrochemical

(3) Current price chart

As of July 28, PP East China spot price 8250 yuan / ton, PP1709 contract price 8178, basis 72. In the early stage, under the stimulus of the domestic ban on foreign garbage entry, the price of the future was rapidly rising, and the spot price was greatly increased. It can be seen from the figure that after the basis difference is reversed, it will soon be re-turned. From the current analysis, the demand for high-priced raw materials in the off-season demand is weak, and the supply is expected to increase in the later period, limiting the upward momentum of the price, and the price fluctuates. Fix the basis. From the domestic and international spreads, the current domestic and international spreads are around 402 yuan / ton, the import and port inventory highs in April, continued to decrease in recent months, and if domestic prices rise in the later period, the import supply may continue to grow.

(4) upstream raw materials

Recently, due to the peak summer travel season in the United States, gasoline and diesel inventories fell and the Saudi energy minister said that OPEC may further reduce production. The United Arab Emirates and Nigeria also have favorable factors such as the willingness to reduce production, and the oil price fluctuated. In terms of market outlook, OPEC's supply still shows signs of increase. US crude oil production and the number of drilling platforms continue to increase, and supply pressure is difficult to ease. On the demand side, the US summer is still at the peak of travel, and crude oil inventories are still expected to continue to be digested. Become the main positive support in the near future. The Fed’s interest rate hike is expected to cool down, and the dollar’s ​​recent performance is sluggish, which is also good for oil prices. Although the OPEC meeting did not restrict Libya and Nigeria's immunity, Nigeria has expressed its support for production cuts. Saudi Arabia and the United Arab Emirates have even pushed down production expectations and released a positive signal. Recent favorable factors prevail, and oil prices are expected to remain strong and volatile.

As of July 27, the mainstream transaction price in Shandong was 7250-7350 yuan / ton, the mainstream in Northeast China was 6800-6900 yuan / ton, the mainstream price in the northwest region was 6850 yuan / ton, and the mainstream in East China was 7000-7100 yuan / ton. . At present, the profit margin of most downstream factories is still acceptable. When there is no equipment change in the supply side, the refinery inventory is low, and the short-term or strong trend has a certain cost support for PP.

(5) Summary

The price of crude oil and propylene in the upstream is higher, which has a certain cost support for PP. In terms of PP supply, the equipment was fully resumed in August, and new capacity was put into production. It is expected that the market supply pressure will gradually become more prominent. In terms of port trade, the domestic price gap will be narrowed again. If domestic prices continue to rise, the import window will gradually open later, and port inventory will be gradually opened. Or increase again. Under the influence of environmental inspection and slowdown of automobile demand, the downstream terminal enterprises have limited new orders. The enterprises are not motivated to get goods, and they are often used according to the production situation. Under the weak demand environment, the resistance to high-priced raw materials is heavier and short-term restrictions. The price rebounds. However, the entry into the gold, nine silver and ten, coupled with the downstream enterprises in the early stage of the weak market, the reserve is not much, it is expected that after the price adjustment, the bargaining enthusiasm will be improved, so August is expected to show first and then the market, it is recommended to take a bargain Do more strategy

In terms of arbitrage, since the PP supply pressure is greater than L, and the demand is greater than PP, the basic surface L is better than PP. It is recommended to adopt the bargaining L-pumping PP strategy.

Second, technical analysis

Technically, the PP1709 contract fell to the middle of the Bollinger Band in the short-term, and gained a small support. The MACD indicator formed a golden cross. The short-term concern was near the support of 8100. If the futures price fell below 8100, it would look further to 7600. The above focus on the pressure around 8800, short-term concern Below the support, the middle line dips to do more ideas.

Arbitrage, L1709-PP1801 contract spread, because PP supply pressure is greater than L and downstream demand L is in the stocking period, it is expected that L trend is stronger than PP, it is recommended to intervene in the vicinity of 1000 to buy L-empty PP arbitrage operation.

Third, trading strategy and risk control

(1) Operation strategy

1, unilateral operation strategy

(1) Position cost: The transaction adopts a batch construction strategy, and the position cost is controlled between 7600-7800 yuan/ton.

(2) Risk control: If the futures price is 7,500 yuan / ton, the partial stop loss will be executed. If the closing price of the futures price is above 7,500 yuan / ton, it is necessary to stop loss processing for all positions.

(3) Position period: The position of this transaction is 1 month, and the market conditions are adjusted according to changes in market conditions.

(4) Take Profit Plan: The current price will run in our strategic direction. The upper position will start to build a position near 7800. The upper target will look at 8600 yuan/ton. If the area continues to break through, then look further at 8900, if it is at 8600 yuan/ After the lack of momentum in the first line of the line, it began to take profits. Depending on the condition of the disc and the technical trend, the trading volume can be rolled and gradually profitable.

(5) Risk-to-reward ratio assessment: The expected risk-to-reward ratio is approximately 1:3

2. Arbitrage operation strategy

Buy L1709 toss PP1709 approach strategy to establish a position strategy

When the L1709 month and PP1709 month contract price difference is located at 1000 yuan / ton open position. Purchasing the L1709 toss PP1709 exit strategy in the same proportion

If the closing price falls below 850 yuan / ton after the opening of the position, the stop loss will appear. Loss: The risk is controlled within 5%. If the profit spreads as expected, it will rise back to 1450 yuan / ton (average price) to close the position

Of course, if the spread reaches the interval of 1,450 yuan / ton, there is still room for expansion under the cooperation of the fundamentals and technical aspects at that time, then you can continue to hold the second target of 1,600 yuan / ton, otherwise all hedges will be profited and close out at around 1450. . Risk and benefit assessment risk-to-benefit ratio: 1:3

(2) Risk warning

1. Poor downstream demand;

2. A large amount of new capacity is put into production;

3. The arbitrage scheme adopts a bottom-up statistical analysis, and its analysis is based on historical trends, and the price may deviate from the conventional trend. 4. Due to the leverage of futures, the risk of futures market is large, and arbitrage is also the case. Risk control and capital control need to be strictly implemented.

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