china futures market weekly report--20191129 · 2019-11-29 · 4.75, trade mine 5680.97 decreased...

1 Clients shall fully understand the “disclaimer” at the end of this report.

China Index Futures Market

Market Overview

CSI300 index futures closed higher this week, with the most active contract IF1912 up

20.60 points, or 0.69% to 3,868.60. The basis of IF1912 was 6.30 points in most time.

The open interest changed -14,824 lots to 87,023 lots.

SSE50 index futures closed higher this week, with the most active contract IH1912 up

9.20 points, or 0.45% to 2,931.40. The basis of IH1912 was 0.92 points in most time.


CSI500 index futures closed higher this week, with the most active contract IC1912 up

15.80 points, or 0.49% to 4,875.80. The basis of IC1912 was -13.46 points in most time.


SWS Futures

Those indexes performance were weak this week. There’s no big support for higher

indexes level. We suggest investors wait and see at this moment from both fundamental

and technical point.

1. US-China trade talk results uncertain. Last Friday, the US put Huawei and ZTE

into banned list again which added more uncertainty between trade talks.

2. No schedule for next MSCI expanding A-shr inclusion factor. By Nov. 26, MSCI

expand A-share inclusion factor to 20%. For next stage expanding, the market need

A shares to solve following difficulties: 1) Access to hedging and derivatives

instruments; 2) Short settlement cycle for China A shares; 3) Trading holiday for

Stock Connect; 4) Availability of Omnibus trading mechanism in Stock Connect.

China Futures Market Weekly Report--20191129

——SWS Futures


CSI300 Index Futures Basis Chart（IF1912 -CSI300）

(20.00)

(15.00)

(10.00)

(5.00)

0.00

5.00

10.00

3,845

3,850

3,855

3,860

3,865

3,870

3,875

3,880

3,885

3,890

3,895

2019/11/25 2019/11/26 2019/11/27 2019/11/28 2019/11/29

Bsis(right) CSI300 IF1912.CFE

Source: Wind, SWS Futures Research Institute

SSE50 Index Futures Basis Chart（IH1912 –SSE50）

(5.00)

(4.00)

(3.00)

(2.00)

(1.00)

0.00

1.00

2.00

2,920

2,925

2,930

2,935

2,940

2,945

2,950

2,955

2019/11/25 2019/11/26 2019/11/27 2019/11/28 2019/11/29

Bsis(right) SSE50 IH1912.CFE


CSI500 Index Futures Basis Chart（IC1912 –CSI500）

(35.00)

(30.00)

(25.00)

(20.00)

(15.00)

(10.00)

(5.00)

0.00

4,820

4,830

4,840

4,850

4,860

4,870

4,880

4,890

4,900

4,910

2019/11/25 2019/11/26 2019/11/27 2019/11/28 2019/11/29

Bsis(right) CSI500 IC1912.CFE



China Treasury Futures Market

Market Overview

The closing price of treasury futures fell this week, with the most active contract T2003

fell 0.14points, or 0.13% to 98.015. TF2003 fell 0.09points, or 0.09% to 99.65. TS2003

fell 0.04points, or 0.04% to 100.275.

SWS Futures Opinion

1. The people's Bank of China's open market has a net return of 360 billion yuan, and

the year-end effect has begun to appear, with the marginal convergence of capital;

2. The Ministry of Finance decided to issue some new special debt quota in 2020 in

advance, which has disturbed the bond market; China and the United States trade

representatives kept communication on the remaining issues of the agreement

negotiation.

3. It is comprehensively expected that the price of short-term treasury bond futures will

continue to maintain the bottom shock. It is recommended to wait for the time being in

operation


Iron ore

Market Overview

1、The iron ore inventory of 45 ports in China was 12383.41, 133.84 lower than that of

last week, and the average daily port discharge volume was 304.35, 1.78 lower. In terms

of component, Australia's 6446.43 decreased by 108.72, Brazil's 3615.66 increased by

4.75, trade mine 5680.97 decreased by 22.88, pellet 642.69 increased by 8.12, refined

powder 879.01 increased by 10.93, block mine 1873.89 decreased by 63.69, and the

number of ships in Hong Kong increased by 1.113 (unit: 10000 tons)

2、According to Mysteel statistics, the total inventory of imported sinter powder of 64

steel plants is 1576.11, the total daily consumption of sinter powder is 59.03, the

inventory consumption ratio is 26.70, the average usable days of imported ore is 26

days, the average proportion of imported ore used in sinter is 88.84%, and the average

molten iron of steel plants without tax is 2316 yuan / ton.

3、Mysteel investigated 247 steel plants, with the blast furnace operating rate of 78.28%,

a 1.05% increase on a month on month basis, a 1.39% increase on a year-on-year basis;

the blast furnace ironmaking capacity utilization rate of 79.89%, a 1.42% increase on a

month on month basis, a 0.57% increase on a year-on-year basis; the profit margin of

the steel plant of 89.88%, a 2.02% increase on a month on month basis; the daily

average hot metal output of 2234000 tons, a 39800 ton increase on a month on month

basis, a 16000 ton increase on a year basis.

SWS Futures

JMBF at main Shandong ports priced at RMB 588/mt, equivalent to RMB 654 per dry

metric ton and around RMB10/mt higher than IO2001contract.

This week, the iron ore 2001 contract hit the 670 pressure level and then hit the high

and fell back. This week, the port inventory fell. After the sharp rise of steel mills'

profits, there was also room for ore prices to rise. After the rebound of iron ore futures

prices, the enthusiasm of steel mills for replenishment was also driven. However, in the

heating season, the demand for pellet and block ore keeps a good trend, and the demand

for powder ore continues to be weak, so it is suggested to hold the short position

carefully.


Crude Oil

Market Overview

The oil price fluctuated in a narrow range this week, and the domestic oil price was +

2.49 US dollars compared with Brent.

SWS Futures

Crude oil prices fluctuated in a narrow range this week.

1. National development and Reform Commission: the crude oil output in October was

16.19 million tons, up 0.3% year on year; the data of national development and Reform

Commission showed that the crude oil output in October was 16.19 million tons, up

0.3% year on year; the crude oil processing volume was 52.13 million tons, up 4.1%

year on year; the refined oil output was 33.07 million tons, up 5.7% year on year; the

apparent consumption of refined oil was 28.63 million tons, up 1.8% year on year, of

which gasoline was down 4.2% year on year and diesel was up 6.5% year on year.

2. When OPEC meets next month, Russia may ask OPEC to adjust the method of

calculating the country's oil production. Russia has always included condensate in its

crude oil production data, a high-quality light crude refined mainly in the natural gas

production process.

3. OPEC + member countries prefer to extend the production reduction agreement.

Oman Oil Minister publicly said that OPEC + does not need to deepen the production

reduction, and Russia believes that deepening the production reduction will have a

negative impact on Russia. The extension of the production reduction agreement at the

December meeting is more in line with market expectations.

4. Russian crude oil supply is above the target of production reduction. From the

perspective of Russian crude oil supply, Russian crude oil production remained at

11.2-11.3 million barrels / day. The latest news shows that Russia's crude oil production

in the first two weeks of November was 11.25 million barrels / day, higher than Russia's

crude oil production target of 11.191 million barrels / day.


NR

Market Overview

Trend fall.

SWS Futures

1. This week, RU made a sharp correction after the high price, and all latex warehouse

receipts were delivered in November. As expected by the market, a large number of futures

warehouse receipts were cancelled, and the price of futures market fell rapidly after the

good cash. In January, the contract position was significantly reduced, and in May, the

contract position was increased. NR performance was also poor, the trend dropped

significantly. Spot prices followed this week's decline.

2. Domestic demand continues to be weak, automobile production and sales data are poor,

and tire import and export do not perform well. From the demand side, the benefits are not

obvious.

3. The short-term price increase does not have a large basis for reverse supply and demand.

The year-end usually has a high probability of rebound. The domestic full latex cutting stops,

and there are many news of price boost at the end of the year in foreign countries. The

short-term trend will increase momentum consumption in the cancellation and cash of

warehouse receipts and the transfer of main contracts. Whether it continues to be strong in

the later period still needs good cooperation of fundamentals.

4. After a sharp correction, the trend is expected to stabilize next week, and ru05 contract

focuses on 12500 area support.


PTA ZCE Futures

Market Overview

TA01 rebound above 4800.

SWS Futures

PTA weekly view: Short when market rebound.

1. Upstream: Oil price rose, PX price remained around 790 US dollars / ton, and the PX

plant process of Zhejiang Petrochemical will be opened. It is expected to produce PX by

the end of this week, and the first phase will be put into production of 2 million tons /

year.

2. Unit: PTA unit operation rate is 86%. The 2.5 million ton PTA unit of Hengli

Petrochemical is expected to be put into operation before the end of December, and the

new 1.2 million ton PTA unit of Zhongtai chemical is expected to be put into operation

on December 20.

3. Cost: Processing cost: 4160 yuan / ton, PTA spot processing fee: 670 yuan / ton.

4. Polyester: the operation rate of polyester plant is still 90%. Terminal retail data and

exports are declining. The cash flow of terminal grey fabric in November was ok, but

the inventory devaluation was serious. After the “double 11”, the production will be cut

down during the Spring Festival holiday, so it was difficult to recover the inventory.

5. Inventory: PTA social inventory last week was 1.2 million tons (- 0.5).

6. Comprehensive: Short term PTA supply and demand are acceptable, and the market is

rebounding.


TA905 Futures Basis Chart（PTA Spot-TA01）


PTA Processing Fees Chart（PTA Spot- PX Spot）


PX Processing Fees Chart（[PX Spot-Naphtha Spot-300]×Exchange Tate）



股指期货

市场回顾

股指周评：本周股指震荡偏弱势，走势上易受利空消息影响市场情绪较为脆弱。

当前并无较大的利好让指数上一台阶，预计仍以中性偏震荡为主，策略上以防御

为主，操作上可以观望为主。

申万观点

1、中美贸易谈判第一阶段协议暂不明朗。11月 22日美国又对中兴和华为下禁令，

中美第一阶段贸易协议或会推迟，两国贸易担忧再起。

2、MSCI 表示 A 股下一步扩容尚无时间表。MSCI 于 11 月 26 日收盘后将 A 股大盘

纳入因子从 15%提升至 20%，当日外资流入 214.30 亿元。在考虑未来进一步扩容

前，A股仍需解决四大问题：1）风险对冲和衍生品工具的获取；2）中国 A股较短

的结算周期；3）陆股通交易假期安排；4）在陆股通中可以使用综合交易机制。


国债期货

市场回顾

央行公开市场净回笼 3600 亿元，加上临近年末，资金面边际收敛；财政部决定提

前下达 2020 年部分新增专项债务额度，对债市有所扰动；中美贸易代表就协议磋

商剩余事项保持沟通，综合预计短期国债期货价格再度上行动力不足，大概率维

持震荡偏弱走势，操作上建议暂时观望。

申万观点

1、本周央行暂停公开市场操作，净回笼 3600 亿元，加上临近年末，3 个月 Shibor

持续上行至 3%上方，资金面边际收敛，年末效应开始显现；

2、受非洲猪瘟高发影响生猪出栏有所加快，价格继续回落，不过阶段性猪肉供需

失衡将继续存在，短期将继续带动 CPI 上行，货币政策宽松空间受限；

3、财政部决定提前下达 2020 年部分新增专项债务额度，基础设施项目最低资本

金比例下调，财政政策也将更加积极，将对债市形成扰动；

4、中美贸易代表保持通话，同意就第一阶段协议磋商的剩余事项保持沟通，达成

第一阶段贸易协议符合双方利益，关注进展情况；

5、综合预计短期国债期货价格再度上行动力不足，大概率维持震荡偏弱走势，操

作上建议暂时观望。


铁矿周评

市场回顾

1、全国 45 个港口铁矿石库存为 12383.41 较上周降 133.84；日均疏港量 304.35

降 1.78。分量方面，澳矿 6446.43 降 108.72，巴西矿 3615.66 增 4.75，贸易矿

5680.97 降 22.88，球团 642.69 增 8.12，精粉 879.01 增 10.93，块矿 1873.89

降 63.69；在港船舶数量 113 增 1（单位：万吨）

2、 Mysteel 统计 64 家钢厂进口烧结粉总库存 1576.11；烧结粉总日耗 59.03；库存

消费比 26.70，进口矿平均可用天数 26 天，烧结矿中平均使用进口矿配比

88.84%；钢厂不含税平均铁水成 2316 元/吨。

3、 Mysteel 调研 247 家钢厂高炉开工率 78.28%，环比增 1.05%，同比增 1.39%；

高炉炼铁产能利用率 79.89%，环比增 1.42%，同比增 0.57%；钢厂盈利率 89.88%，

环比增 2.02%；日均铁水产量 223.40 万吨，环比增 3.98 万吨，同比增 1.6 万吨。

申万观点

山东主要港口的金布巴粉价格为 588 元/公吨，相当于每干吨 654 元，比 IO 2001

合约高 10 元/吨左右。

本周铁矿 2001 合约触及 670 压力位后冲高回落。本周港口库存回落，钢厂利润大

幅飙升后为矿价也带来上涨空间，铁矿期货价格反弹之后，也带动钢厂补库积极

性。但进入采暖季，球团及块矿需求维持较好的态势，粉矿需求持续偏弱，策略

建议空单谨慎持有。


原油周评

市场回顾

油价窄幅震荡，国内油价相比布伦特+2.49 美元。

申万观点

本周原油价格整体窄幅震荡。

1、发改委：10 月份原油产量 1619 万吨同比增长 0.3%；发改委数据显示，10 月份原油产

量 1619 万吨，同比增长 0.3%；原油加工量 5213 万吨，同比增长 4.1%；成品油产量 3307

万吨，同比增长 5.7%；成品油表观消费量 2863 万吨，同比增长 1.8%，其中汽油同比下降

4.2%，柴油同比增长 6.5%。

2、在下月 OPEC 开会时，俄罗斯可能会要求 OPEC 调整计算该国石油产量的方法。俄罗斯

在其原油产量数据中一直包括凝析油——一种主要在天然气生产过程中提炼出的高品质轻质

原油。

3、OPEC+成员国更希望延长减产协议，阿曼油长更是公开表示 OPEC+不需要深化减产，且

俄罗斯认为深化减产会对俄罗斯造成负面影响，12 月会议上延长减产协议更符合市场预期。

4、俄罗斯原油供应处于减产目标之上。从俄罗斯的原油供应来看，俄罗斯原油产量保持在 1120

—1130 万桶/天。最新消息显示，俄罗斯 11 月前两周原油产量为 1125 万桶/日，高于俄罗斯

原油产量目标 1119.1 万桶/天。


20 号胶周评

市场回顾

走势回落。

申万观点

1、本周沪胶冲高后大幅回调，全乳胶 11 月仓单出库，如市场预期，大量期货仓单注销，期

货市场利好兑现后价格迅速滑落。1 月合约大幅减仓，5 月合约增仓。20 号胶表现亦不佳，走

势明显回落。现货本周跟随下跌。

2、国内需求持续偏弱，汽车产销数据不佳，轮胎进出口也没有好的表现，从需求端来看，利

好并不明显。

3、短期价格上涨并未出现较大的供需反转依据，年底通常反弹概率较高，国内全乳胶停割，

国外年末价格提振消息也较多，短期走势在仓单注销兑现及主力合约转移中上涨动能消耗，

后期是否继续强势仍需基本面利好配合。

4、大幅回调后下周走势预计企稳，RU05 合约关注 12500 一带支撑。


PTA 周观点

远月空单操作。

市场回顾

本周 PTA2001 合约冲高回落

申万观点

1、上游：油价上涨，PX 价格较上周上涨 6 美金至 796 美金/吨附近，浙江石化 PX

装置流程打通，近期预计产出 PX，一期一条线投产 200 万吨/年。

2、装置：PTA 装置开工率 90%。新凤鸣另外一条 110 万吨 PTA 装置开车。蓬威石

化 90 万吨装置近期降负至五成运行。亚东石化 75 万吨装置昨日重启，目前负荷

正常。

逸盛海南 200 万吨装置 11 月 25 日升温，目前负荷正常。

嘉兴石化 150 万吨装置 11 月 25 日升温，目前负荷正常。恒力石化 250 万吨 PTA

装置预计 12 月底前投料、中泰化学 120 万吨 PTA 新装置预计 12 月 20 日投产。

3、成本：加工成本 4220 元/吨，PTA 现货加工费 510 元/吨，处于大部分装置的成

本线水平。

4、聚酯：聚酯装置开工率下滑至 88%。聚酯库存低位，产销周均偏高可达 80%以

上。

5、库存：上周 PTA 社会库存 122 万吨(-2)。

6、综合：PTA 装置开工回升，聚酯负荷下行，抛空远月操作为主。


分析师：林新杰

从业资格号：F3032999

投资咨询号：Z0014722

电话：021-50586279

邮箱：[email protected]

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china futures market weekly report--20191129 · 2019-11-29 · 4.75, trade mine 5680.97 decreased...

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