[daily Review of SMM Black Futures] 2019703: continuous disturbance of environmental protection news, differentiation and operation of black varieties

In terms of volume and price: RB1910 closed down 23 yuan / ton to close at 4030 yuan / ton; HC1910 closed down 8 yuan / ton at 3910 yuan / ton; I1909 closed 8.5 yuan / ton higher than the previous trading day, closing at 908.5 yuan / ton; J1909 closed down 8.5 yuan / ton compared with the previous trading day, closing at 2102 yuan / ton. In terms of position data, RB1910 handled 3.49 million transactions, an increase of 25800 to 2.48 million; I1909, 2.44 million, with a decrease of 90400 to 1.63 million; in terms of capital flows, the net inflow of RB1910 funds today was 37.89 million yuan; and the net outflow of I1909 funds was 540 million yuan. Viewpoint: differentiation and operation. Today, the impact of the relaxation of environmental production restrictions is still continuing, the spiral performance is relatively weak, and iron ore is still strong operation, although the intraday diving with steel to 888.5, but quickly recovered the decline within the day, the end of the day closed up. At present, iron ore fundamentals are still strong, even after the previous sharp rally, there is still a large discount, short-term no signs of a turnaround, is still a lot of thinking. Due to the impact of the relaxation of environmental protection and production restrictions, the performance is weak, coupled with the small basis difference, which restricts the price, the market needs to build a rising relay platform, and the probability of short-term shock operation is expected to be large, but there may still be room for upward movement in the later period. In terms of coke, the third round of raising and lowering has already landed, and the disk has basically digested this expectation. After the lifting and lowering, the coke enterprises have been on the verge of profit and loss, and are very resistant to the third round of raising and lowering. At the same time, Shanxi and other places have strong environmental protection expectations. The coke supply will be greatly disturbed in the later period. Shandong's capacity removal policy has also undergone certain changes. Regardless of the capacity pressure reduction or the implementation time of landing, both exceed the market expectations. It is expected that the coke price will gradually rise to the bottom. Strategy: RB1910 contract to see the interval (3950, 4200); I1909 contract to look at the interval (800950), the middle line multiple single holding, short-term can be reduced on the high, after falling back, rolling operation. Arbitrage aspect, do short steel plant profit operation to hold. 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.