2015 Cotton Futures Fund Attention Further Decline

Generally speaking, the market generally reflects the expectation, and the intervention is more direct.

The downward trend is more obvious, the current price differentials are falling down, and the performance between the contracts is near strong and weak. 2015 years have been showing this pattern, and cotton intertemporal arbitrage opportunities are more obvious.

At the beginning of the year, the 1601 contract was stronger than the 1509 and 1505 contracts, and it was a positive market. Then, the price of the 1505 contract was low, and it was in a period of no longer. The State Reserve did not throw away the stock, which led to its rapid rise. The current price difference rose to the delivery cost. A better current arbitrage opportunity appeared, the warehouse receipt increased and the upstream was blocked.

In terms of performance between contracts,

Influence, far month contract is still weak, January contract warehouse receipts pressure is not relatively strong, January contract is close to delivery, the market space and time has been insufficient, but 1605 may contract may exist to pull up the opportunity, 1605 and the new 1701 contract or between the band to do more opportunities.

But near March, there was a chance of shorting the two spreads.

It is also difficult to get a better performance if 1609 are not out of stock. On the contrary, there may be a good chance for 1701 yuan. In this case, a period of time before throwing the store can be considered, and it can also be considered as a close sell operation, and it can also be supported from the trend of the price difference in 9-1 years. Generally speaking, there will be a drop in the price difference in the middle of 3-5 months.

Arbitrage should be adjusted at any time according to the fundamentals and price differentials. This is for reference only.

With the 1505 month contract delivery, 1605 listing and dropping in July, the price has been threatened and dropped. In 2016, the dumping is expected to be carried out in March, so the 5 month contract performance is even weaker. Under the premium situation, the 1601 contract warehouse receipts pressure is relatively small, so it is still relatively strong. At present, cotton is still against the market, indicating that the overall market outlook is not optimistic.

There is concern about the short selling of funds. If there is no obvious theme in many markets, arbitrage will continue to perform well in 2016.