PDF《限产压制需求,煤焦弱势运行》

1 月2月3月4月5月6月7月8月9月1-9 月 均值 北京 北京 67.65% 59.09% -32.26% -23.19% 9.26% -28.81% -24.64% -19.15% 1.82% -1.97% 天津 天津 45.95% 68.00% -13.58% 0.00% 17.65% -14.81% -3.77% -9.76% 1.92% 10.19% 河北 石家庄 51.91% 95.77% -3.66% 1.67% 24.07% 17.39% -13.64% 100.00% -16.67% 25.36% 唐山 50.63% 62.71% -17.65% 8.20% 16.00% -30.00% -16.36% 5.88% -18.75% 6.28% 廊坊 40.45% 70.59% -13.70% 13.04% 35.00% -10.20% -8.93% -23.26% 19.51% 14.34% 保定 26.17% 74.70% 10.39% -1.47% 1.54% -1.85% -22.54% 28.95% -8.57% 14.37% 沧州 36.47% 67.86% 1.49% 1.75% 23.91% 8.51% -16.07% -4.88% 11.36% 16.03% 衡水 14.18% 19.78% -22.11% -13.70% 0.00% -1.69% -25.00% -10.71% 12.50% -2.30% 邢台 42.64% 47.56% -28.41% -15.15% 17.65% -3.70% -15.15% 25.64% -4.41% 9.80% 邯郸 55.96% 45.83% -34.67% -3.80% 59.52% 40.82% 18.18% 53.66% 30.36% 27.51% 山西 太原 115.87% 123.08% -14.06% 8.51% 0.00% -4.44% 2.13% 24.32% 25.00% 30.98% 能源化工-动力煤/焦煤/焦炭-月度报告 2017-09-29

4 期货研究报告 阳泉 35.29% 66.67% -1.54% 22.73% -4.08% 16.67% -22.73% -2.13% 80.00% 18.60% 长治 -11.63% 8.86% -22.62% -15.52% -6.67% 4.35% 9.09% 35.14% 20.93% -1.95% 晋城 1.92% 64.29% -34.26% -37.65% -4.88% 57.58% 123.08% 154.55% 140.74% 17.93% 山东 济南 2.38% 2.47% -17.50% -24.39% 0.00% 3.92% -16.39% -11.90% -35.00% -9.83% 淄博 17.76% -1.23% -13.16% -23.68% -5.00% 0.00% -11.11% -4.76% -38.03% -7.73% 济宁 -34.69% -16.49% -26.39% -25.40% 24.49% 10.26% -22.50% -15.79% -30.91% -19.67% 德州 8.46% 8.42% -27.84% -22.08% 10.34% 6.00% -11.11% 0.00% -26.23% -5.79% 聊城 -3.55% 10.64% -25.00% -23.08% 20.97% 0.00% -21.31% -18.00% -34.25% -10.34% 滨州 28.57% 28.99% -9.52% 2.82% 3.17% 5.45% -15.00% -17.78% -32.39% 0.82% 菏泽 -14.18% 0.00% -24.74% -25.61% 24.53% 10.64% -15.22% -17.39% -23.88% -11.45% 河南 郑州 -1.28% 32.53% -2.47% -18.31% 32.65% 11.11% -2.44% 7.50% -24.59% 2.87% 开封 -5.00% 42.67% 1.41% -29.87% 41.86% 15.38% -7.89% 0.00% -21.05% 2.08% 安阳 59.68% 63.75% -16.67% -16.67% 69.23% 19.57% -3.77% 36.84% -11.29% 22.24% 鹤壁 29.31% 29.73% -25.32% -24.62% 2.22% 2.17% -6.82% 40.00% 0.00% 5.71% 新乡 -16.87% -6.67% -36.89% -25.00% -4.08% 11.11% -13.33% 12.82% -20.63% -14.91% 焦作 10.53% 66.67% -12.36% -27.06% 43.59% -12.31% -30.99% 34.15% 11.11% 5.26% 濮阳 26.67% 27.59% 0.00% -9.23% 45.71% 30.30% 3.03% 21.43% -21.82% 13.37% 资料来源:aqistudy,东证衍生品研究院(注:标红为

9 月PM2.5 同比超过 15%的城市)

2、下游双焦库存充足,10 月采购谨慎、预期偏弱 由于我们认为

10 月焦炭现货出现紧缺的概率并不大,下游钢厂的原料库存情况就在很 大程度上影响了市场心态.从双焦库存来看,目前焦化厂焦炭库存虽有累积,但还处于 较低水平,上游库存压力尚不大.不过,经过前期补库,钢厂焦炭库存普遍已经处于较 高的水平.加之限产预期增大,钢厂在采购方面会偏于谨慎.加之钢价出现回调、上游 议价能力削弱,这也是主流钢厂近期提降焦炭价格的主要原因. 焦煤方面,我们则认为下游已经开始逐步呈现库存压力.从可用天数来看,截至

9 月29 日当周,Mysteel 调研的独立焦化和钢厂焦化的炼焦煤库存可用天数已经分别达到 16.22 天和 15.79 天,去年同期则分别为

13 天和

10 天左右,目前下游库存已经处于偏高的水 平.若钢焦企业

10 月开始限产,炼焦煤用量回落,库存可用天数则会出现明显的上升. 因此,我们预计下一步炼焦煤补库需求将逐步趋冷,对焦煤的利空影响相对更为明显. 总体来看,现货层面对于焦煤需求的利空影响相对较大,焦炭方面则处于多空交织的状 态.而即使在前期双焦现货基本面依然平稳的情况下,期价已经出现了大幅的回落.市 场做空双焦的主要逻辑一是在于双焦现货并不紧缺,需求下降的预期影响占据主导;