test


Member ID:
Password: 
Stay logged in for 30 days
Forget Your Password?
close

login CCFGroup App

Insight | Time:Jan 11 2017 2:42PM
Analysis on PTA arbitrage opportunity
 
Text size


Jan PTA output is assessed to 3.03 million tons. Based on polyester output estimation of 3.15 million tons, PTA import volume of 38 KT and export of 50 KT, PTA inventory may increase by 220 KT by the end of Jan. However, major suppliers kept purchasing spot PTA cargos and polyester plants will join bidding when PTA prices dip, supporting PTA prices.

Figure 1. Profits of polyester products
yuan/mt fiber chip bottle chip POY150/48 FDY150/96 DTY150/48 PSF
2017-1-10 241.3 91.3 461.3 931.3 485 221.3
2017-1-9 212.9 62.9 432.9 947.9 485 207.9
2017-1-6 238.5 88.5 543.5 1073.5 435 283.5
2017-1-5 251.3 176.3 541.3 1076.3 435 301.3
2017-1-4 173.1 98.1 468.1 1013.1 430 238.1
2017-1-3 60.6 -39.4 340.6 875.6 420 100.6
2016-12-30 83.2 -16.8 383.2 898.2 400 123.2
2016-12-29 178.3 78.3 478.3 993.3 400 218.3
2016-12-28 200.6 50.6 485.6 1000.6 415 180.6
2016-12-27 295.8 145.8 620.8 1130.8 425 285.8


Profits of polyester products widely increased in Jan, 2017. Based on lucrative profits, the turnaround scale of polyester plants this year was much smaller than that of the previous year. In 2016, about 7-8 million mt/yr of polyester units were shut during Chinese New Year and the number narrowed to about 6.4 million mt/yr this time. Given low inventory and good profits, polyester plants were willing to store PTA stocks when prices are favorable.

Figure 2. Futures-spot margin on Jan 10, 2017
Unit: yuan/mt Jan-17 Feb-17 Mar-17 Apr-17 May-17
Spot price 5,200 5,200 5,200 5,200 5,200
Futures settlement price 5,210 5,274 5,292 5,322 5,338
Transaction costs 0.8 0.8 0.8 0.8 0.8
Delivery charge 2 2 2 2 2
Testing charge 4.2 4.2 4.2 4.2 4.2
In-N-Out warehouse charge 24 24 24 24 24
Warehouse charge 3.5 18.5 32.5 49 63
Interest 4.84 25.61 45 67.88 87.3
VAT=(Futures Price-spot price)*17% 1.7 12.58 15.64 20.74 23.46
Local tax=(Futures Price+spot price)*0.1% 10.41 10.47 10.49 10.52 10.54
Total costs of delivery 51.45 98.16 134.63 179.14 215.3
Futures-spot margin -41.45 -24.16 -42.63 -57.14 -77.3


According to future-spot spread table, the total delivery costs of PTA futures May contract was 215.3yuan/mt and future-spot spread was -77.3yuan/mt so it was undesirable to buy spot cargos and sell futures barges.



Currently TA1709-TA1705 was about 78yuan/mt so theoretically it is preferable to sell May contract and buy Sep contract as PTA inventory is expected to increase in Jan and crude oil prices are challenged by high daily export of more than 3.5 million barrel/day by Iraq and rising crude oil output in the U.S.

Nevertheless, the restarting schedule of Yuandong and Xianglu is unfixed and crude oil production deal only lasts for six months, therefore, the Sep contract has great uncertainties. Generally speaking, PTA futures May contract is more likely to be bullish than bearish while “sell May, buy Sep” operation may be ideal for the short term.
Related Articles
Yisheng/Hengli maintain steady PTA offers
PTA futures market daily (May 23, 2017)
PTA market daily (May 23, 2017)
ZCE PTA futures for Sep delivery closed 24 higher
PTA market daily (May 22, 2017)
PTA futures market daily (May 22, 2017)
ZCE PTA futures for Sep delivery closed 44 higher
PTA ticks up in the morning
Yisheng and hengli revise PTA offers up
PTA market weekly (May 15-19, 2017)
 
Research
Influence forecast of CPL capacity expansion in second half ...
Will Chinese domestic cotton yarn emerge with uncompetitive ...
Polyester industrial chain pattern and change
Analysis of changes on China's MEG market structure
Will Indian cotton yarn price dip?
Changes in China's MEG inventory structure in 2016
 
 

浙公网安备 33010902000742号