8.20: positive regression of spiral price difference beware of snail high callback-Shanghai Metals Market

Hot Keywords

  • Nickel market
  • Silicon
  • Market commentary
  • zinc
  • Copper
  • Aluminium
  • Inventory data
  • Nickel
  • Zinc
  • Production data
  • Morning comments
  • MMi Iron Ore Port Index
  • Customs data
  • Silicon metal
  • Nickel pig iron

8.20: positive regression of spiral price difference beware of snail high callback

Translation 05:53:50PM Aug 20, 2018 Source:SMM
The content below was translated by Tencent automatically for reference.

The hot roll opened strongly today, and the intra-day spiral price difference returned positively, shrinking to-72 from-139 the previous trading day. According to the historical futures data since January 1, 2015, the volume spiral price difference is below zero in 60 of the 887 trading days, the lowest down to-172 in May 2017, The longest low will last for 26 trading days from May to June 2017. Logically, it is considered that the regression of coil price difference is a high probability event. In view of the recent hot volume trend passive, the current trend generally follows the industrial chain, not as scorched snail out of the independent market. The expected price difference is mainly slow repair. The original position continues to be held in the bottom position. (in order to prevent the error effect caused by the difference in the main month change time of the RB\ HC contract, the default spiral price difference here is to align the contract with the month change contract.)

Intra-day trend: thread main contract Friday night performance is strong, by noon suspected Jiangsu production limit news surface influence (see SMM steel for details), after the opening of the afternoon thread significantly pulled up, today closed a solid positive line. At the end of the day, the bulls made a profit and left the market.

Viewpoint: at the fundamental level, the supply-side production limit news occurs frequently, and the demand-side peak season is expected to be strong, as mentioned before, high disk profits may become the norm. RB1901 showed a bright eye last week, continuously breaking through the upper resistance, the daily average spread upward, the post-trend can be expected. It is worth noting that before today's partial repair, the coil screw price difference has been on the verge of historical low, under the premise of assuming that the coil screw price difference is repaired, the thread may be difficult to break through directly, violent pull up, next week the trend is expected to high shock, slow upward.

Strategy: tomorrow RB1901 contract range (4275, 4459), do long, focus on 4352 of the day. It is recommended that the previous holding long-term single profit bag, lock the income, in order to prevent the risk of high pullback. The HC1901 contract looks at the range (4137, 4410), and the I1901 contract looks at the range (495517). Long volume screw price difference combination is recommended to continue to hold the bottom position. Thread 01-05 contract anti-arbitrage price spread as of today's closing at 266, higher than 95% of the sample, it is recommended to pay attention to the day, every high light position to try to reverse set.

Arbitrage tracking:

Disk profit: steel mill plate profit is 1424, the last trading day is 1323.75, compared with yesterday to continue to pull up. Boosted by today's news, the main thread rose sharply in the afternoon, the raw material side followed the main, as predicted before, the disk profit continued to rise. In operation, it is recommended that the position of long futures disk profit should be held in the early stage to prevent the risk of pullback.

The coking panel profit was 2.0, up from 2.08 on the last trading day. Overall, the weak pattern of Jiaoqiang coal continues. It is expected that the future high coking disk profit will become the norm, here does not support the mean return. In terms of operation, it is recommended that the callback be long. At present, it is recommended that light positions do long coking disk profits. The risk point is that environmental protection continues to ferment and coking coal increases.

The raw material ratio of finished products is 8.68, compared with 8.52 on the last trading day. Today's thread with the intraday news side boost sharply pulled up, by contrast, iron ore is more to follow the industrial chain behavior. In view of the high market profits, high coke prices and RMB depreciation factors brought about by rising costs, here that there is no trend of decline at the mining end. The ratio of snail to ore is dominated by high concussion. In operation, it is not recommended to catch up at present. In the early stage, it is recommended to take a long position to stop the profit.

Disclaimer: this information comes from a statistical arbitrage model based on historical data, and all conclusions are based on reliable and publicly available information. The SMM quantification team is not responsible for any losses that may be caused by all information. We recommend that investors independently evaluate specific investments and strategies. Investors are also encouraged to seek advice from professional financial advisers. This information does not provide a tailored investment strategy.

Key Words:  Price forecast  daily review 

8.20: positive regression of spiral price difference beware of snail high callback

Translation 05:53:50PM Aug 20, 2018 Source:SMM
The content below was translated by Tencent automatically for reference.

The hot roll opened strongly today, and the intra-day spiral price difference returned positively, shrinking to-72 from-139 the previous trading day. According to the historical futures data since January 1, 2015, the volume spiral price difference is below zero in 60 of the 887 trading days, the lowest down to-172 in May 2017, The longest low will last for 26 trading days from May to June 2017. Logically, it is considered that the regression of coil price difference is a high probability event. In view of the recent hot volume trend passive, the current trend generally follows the industrial chain, not as scorched snail out of the independent market. The expected price difference is mainly slow repair. The original position continues to be held in the bottom position. (in order to prevent the error effect caused by the difference in the main month change time of the RB\ HC contract, the default spiral price difference here is to align the contract with the month change contract.)

Intra-day trend: thread main contract Friday night performance is strong, by noon suspected Jiangsu production limit news surface influence (see SMM steel for details), after the opening of the afternoon thread significantly pulled up, today closed a solid positive line. At the end of the day, the bulls made a profit and left the market.

Viewpoint: at the fundamental level, the supply-side production limit news occurs frequently, and the demand-side peak season is expected to be strong, as mentioned before, high disk profits may become the norm. RB1901 showed a bright eye last week, continuously breaking through the upper resistance, the daily average spread upward, the post-trend can be expected. It is worth noting that before today's partial repair, the coil screw price difference has been on the verge of historical low, under the premise of assuming that the coil screw price difference is repaired, the thread may be difficult to break through directly, violent pull up, next week the trend is expected to high shock, slow upward.

Strategy: tomorrow RB1901 contract range (4275, 4459), do long, focus on 4352 of the day. It is recommended that the previous holding long-term single profit bag, lock the income, in order to prevent the risk of high pullback. The HC1901 contract looks at the range (4137, 4410), and the I1901 contract looks at the range (495517). Long volume screw price difference combination is recommended to continue to hold the bottom position. Thread 01-05 contract anti-arbitrage price spread as of today's closing at 266, higher than 95% of the sample, it is recommended to pay attention to the day, every high light position to try to reverse set.

Arbitrage tracking:

Disk profit: steel mill plate profit is 1424, the last trading day is 1323.75, compared with yesterday to continue to pull up. Boosted by today's news, the main thread rose sharply in the afternoon, the raw material side followed the main, as predicted before, the disk profit continued to rise. In operation, it is recommended that the position of long futures disk profit should be held in the early stage to prevent the risk of pullback.

The coking panel profit was 2.0, up from 2.08 on the last trading day. Overall, the weak pattern of Jiaoqiang coal continues. It is expected that the future high coking disk profit will become the norm, here does not support the mean return. In terms of operation, it is recommended that the callback be long. At present, it is recommended that light positions do long coking disk profits. The risk point is that environmental protection continues to ferment and coking coal increases.

The raw material ratio of finished products is 8.68, compared with 8.52 on the last trading day. Today's thread with the intraday news side boost sharply pulled up, by contrast, iron ore is more to follow the industrial chain behavior. In view of the high market profits, high coke prices and RMB depreciation factors brought about by rising costs, here that there is no trend of decline at the mining end. The ratio of snail to ore is dominated by high concussion. In operation, it is not recommended to catch up at present. In the early stage, it is recommended to take a long position to stop the profit.

Disclaimer: this information comes from a statistical arbitrage model based on historical data, and all conclusions are based on reliable and publicly available information. The SMM quantification team is not responsible for any losses that may be caused by all information. We recommend that investors independently evaluate specific investments and strategies. Investors are also encouraged to seek advice from professional financial advisers. This information does not provide a tailored investment strategy.

Key Words:  Price forecast  daily review