Author | Yuan master of the circle
Investment Advisory | Z0015860
Edit | Little Master Sister
At 10:00 a.m. on the 15th, the National Bureau of Statistics released macroeconomic statistics for January and February, showing that the national economy recovered better than expected. The news released a steel plate thread hot coil has a certain range of pull-up, but at the same time the stock market has used action to hit the face of the statistics bureau data, and the small partners who do macro research also call this data incomprehensible and will not be understood. It was not until the financial conference of the State Council on the 16th that the leaders personally shouted down to stabilize the hearts of the army, and the disk surface was also raised again.
The macro impact ultimately belongs to the atmosphere, whether the market can continue or not or whether it is hard or not. January and February is the absolute industrial product consumption off-season of the year, the annual gap is not obvious enough, as far as the steel market is concerned, the real test of consumption color still needs 3-5 months of data to verify. With the spread of the epidemic, the superimposed real estate industry still does not see substantial improvement, and the consumption pressure in the later period is still large.
However, with the in-depth study of the current price trends and spot prices of related varieties of black plates, it was found that the current steel mill profits entered the negative range, so we had the idea of long steel mill profits.
According to the data of the steel valley network, the profit per ton of steel in most parts of the country has turned negative on March 11. This is mainly due to the recent continuous rise in raw material prices and the small increase in the price of finished timber.
In the traditional long-process steelmaking process, the profit per ton of steel can be formulated: steel mill profit = steel price - production cost = steel price - raw material cost - other costs = rebar price / hot rolled coil price - coke price - iron ore price - other costs.
According to the industrial ratio, 1 ton of crude steel production requires about 0.45 tons of coke and 1.6 tons of iron ore, because the cost of excluding raw materials does not change much in the short term, and the change in steel mill profits generally comes from changes in raw material costs. Therefore, when we observe the profits of steel mills from the futures disk, we will focus on the "steel-to-mine ratio" and "steel-to-coke ratio".
To make more steel mill profits, it will often start from the long steel-to-mine ratio or steel-to-coke ratio.
Relatively speaking, steel mines will be more closely related to the profits of steel mills than steel mills, after all, iron ore accounts for a higher proportion of steel mill costs. However, at present, the futures disk steel-to-mine ratio is in a relatively moderate position and is not suitable for intervention. This is because the current spot price of iron ore is much higher than the futures price, and the spot end has squeezed the profits of steel mills, but it is not reflected in the futures side. In addition, the domestic steel industry's bargaining power for iron ore has been in a weak position, which has been a long-term pain point in the industry.
So we look at the steel-to-coke ratio and find that the ratio is currently the lowest in 10 years, indicating that the rapid rise in coke prices today has also squeezed the profits of steel mills to a large extent.
In the case of negative profits, steel mills generally have two choices: one is to reduce production, and the other is to negotiate with the upstream.
The former will reduce steel production and reduce the demand for raw materials, which will benefit the price of steel and the price of coke, which in turn will push up the steel coke ratio.
The latter should consider the initiative of upstream and downstream in pricing power.
As far as the current domestic coke industry is concerned, it is divided into steel mills' own coking plants and independent coking plants, which account for about 65% of the coke production. After several years of supply-side reform and concentrated production capacity, the domestic steel industry has occupied the initiative of bargaining in the game with upstream coking plants. It is difficult for steel mills to tolerate negative profits for a long time, they must find a way to suppress the price of raw materials, and in the case of iron ore not moving, they must find soft persimmon pinches to press the price of coke, so it is difficult to maintain a low steel coke ratio for a long time.
Specific operations, it will involve position matching. The general idea is to directly match according to the value of the goods, that is, if I operate with a quota of 1 million, then I directly match 500,000 threads and 500,000 coke, and the value of the goods is equal. This collocation method is the simplest and most direct, but in a few cases, there will be a change in the profit of the steel mill, but the price comparison does not change, the price does not change, and there is no profit in this combination.
However, from the actual experience, doing arbitrage is essentially doing regression. It is like using oscillators in unilateral speculative trading to do operations such as overbought and oversold. This kind of operation often appears when we think that the spread has been in an extreme situation and enters the market, more extreme situations appear, so the operation of arbitrage, we also need to do a good job of risk control, set the corresponding stop loss, stop loss If there is a more extreme situation, you may wish to try again in the case of controlling the risk.