和合期货：2017年12月4日白糖期权日评
一、白糖期货期权合约成交情况
12月4日，郑商所白糖期货SR1805合约收盘价6175，较前一交易日上涨0.75%，成交量28.3万手，较昨日增加14.2万手；白糖期权总成交量15502手，其中主力1805系列期权各合约今日行情见图表1。
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郑州商品交易所期权每日行情表(2017-12-04) |
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品种代码 |
昨结算 |
今收盘 |
今结算 |
成交量(手) |
DELTA |
隐含波动率 |
|
SR805C5300 |
837.00 |
0.00 |
847.00 |
0 |
0.9828 |
13.89 |
|
SR805C5400 |
738.50 |
0.00 |
748.00 |
0 |
0.9729 |
12.99 |
|
SR805C5500 |
640.50 |
0.00 |
650.50 |
0 |
0.9568 |
12.20 |
|
SR805C5600 |
544.50 |
0.00 |
554.50 |
0 |
0.9330 |
11.51 |
|
SR805C5700 |
451.00 |
0.00 |
461.00 |
0 |
0.8978 |
10.92 |
|
SR805C5800 |
362.00 |
400.50 |
371.00 |
394 |
0.8467 |
10.43 |
|
SR805C5900 |
279.50 |
315.50 |
288.50 |
330 |
0.7729 |
10.02 |
|
SR805C6000 |
206.00 |
237.00 |
214.00 |
398 |
0.6773 |
9.69 |
|
SR805C6100 |
144.50 |
170.50 |
150.50 |
716 |
0.5623 |
9.45 |
|
SR805C6200 |
95.50 |
111.00 |
100.50 |
1,910 |
0.4380 |
9.28 |
|
SR805C6300 |
60.50 |
71.00 |
63.50 |
1,072 |
0.3190 |
9.18 |
|
SR805C6400 |
36.50 |
41.00 |
37.50 |
1,394 |
0.2162 |
9.16 |
|
SR805C6500 |
21.50 |
25.50 |
22.00 |
1,162 |
0.1397 |
9.19 |
|
SR805C6600 |
12.50 |
16.50 |
12.00 |
300 |
0.0852 |
9.30 |
|
SR805C6700 |
7.50 |
10.50 |
7.00 |
134 |
0.0513 |
9.46 |
|
SR805C6800 |
4.50 |
0.00 |
4.00 |
0 |
0.0308 |
9.68 |
|
SR805C6900 |
3.00 |
3.00 |
2.50 |
2 |
0.0186 |
9.95 |
|
SR805C7000 |
2.00 |
0.00 |
1.50 |
0 |
0.0116 |
10.28 |
|
SR805C7100 |
1.50 |
0.00 |
0.50 |
0 |
0.0058 |
10.28 |
|
SR805C7200 |
1.00 |
0.00 |
0.50 |
0 |
0.0027 |
10.28 |
|
SR805C7300 |
0.50 |
0.00 |
0.50 |
0 |
0.0012 |
10.28 |
|
SR805C7400 |
0.50 |
0.00 |
0.50 |
0 |
0.0005 |
10.28 |
|
小计 |
|
|
|
7,812 |
|
|
|
SR805P5300 |
5.50 |
0.00 |
4.50 |
0 |
-0.0242 |
13.89 |
|
SR805P5400 |
7.00 |
4.00 |
5.50 |
6 |
-0.0320 |
12.99 |
|
SR805P5500 |
9.00 |
6.00 |
8.00 |
6 |
-0.0457 |
12.20 |
|
SR805P5600 |
13.00 |
10.00 |
12.00 |
262 |
-0.0668 |
11.51 |
|
SR805P5700 |
19.50 |
15.00 |
18.00 |
392 |
-0.0995 |
10.92 |
|
SR805P5800 |
30.00 |
24.00 |
28.00 |
2,040 |
-0.1482 |
10.43 |
|
SR805P5900 |
47.00 |
40.50 |
44.50 |
1,088 |
-0.2199 |
10.02 |
|
SR805P6000 |
72.00 |
64.00 |
69.00 |
1,264 |
-0.3141 |
9.69 |
|
SR805P6100 |
110.00 |
94.00 |
105.00 |
590 |
-0.4283 |
9.45 |
|
SR805P6200 |
159.50 |
140.00 |
154.00 |
340 |
-0.5527 |
9.28 |
|
SR805P6300 |
224.00 |
197.00 |
216.00 |
166 |
-0.6725 |
9.18 |
|
SR805P6400 |
299.00 |
268.50 |
289.50 |
98 |
-0.7772 |
9.16 |
|
SR805P6500 |
384.00 |
355.00 |
373.00 |
650 |
-0.8562 |
9.19 |
|
SR805P6600 |
474.50 |
0.00 |
463.00 |
0 |
-0.9141 |
9.30 |
|
SR805P6700 |
569.00 |
0.00 |
558.00 |
0 |
-0.9520 |
9.46 |
|
SR805P6800 |
666.50 |
0.00 |
655.00 |
0 |
-0.9770 |
9.68 |
|
SR805P6900 |
765.50 |
0.00 |
754.00 |
0 |
-0.9940 |
9.95 |
|
SR805P7000 |
865.00 |
0.00 |
854.00 |
0 |
-1.0000 |
10.28 |
|
SR805P7100 |
965.00 |
0.00 |
954.00 |
0 |
-1.0000 |
10.28 |
|
SR805P7200 |
1,065.00 |
0.00 |
1,054.00 |
0 |
-1.0000 |
10.28 |
|
SR805P7300 |
1,165.00 |
0.00 |
1,154.00 |
0 |
-1.0000 |
10.28 |
|
SR805P7400 |
1,265.00 |
0.00 |
1,254.00 |
0 |
-1.0000 |
10.28 |
|
小计 |
|
|
|
6,902 |
|
|
|
SR合计 |
|
|
|
15,502 |
|
|
|
总计 |
|
|
|
15,502 |
|
|
图表1：白糖期权20171204行情
二、白糖期现货基本面消息及后市行情研判
ICE纽约原糖期货周五陷于区间震荡，收盘下滑，近期价格未能突破15.50美分阻力位。目前空头关注明年巨大的供应过剩情况，多头则关注OPEC相关消息，以判断生产乙醇相对生产糖的价格收益，巴西甘蔗的产糖配比持续下滑，一直给糖市提供支撑。汽油价格越高，越将带动乙醇需求。因此预计郑糖1805短期继续震荡反复的概率较大。
三、期权交易策略运用
基于郑糖期价短期继续震荡反复的看法，建议目前暂时观望或顶部宽跨式套利适量介入。
免责声明：本文涉及信息数据及观点仅供参考，不构成买卖之依据。使用前请核实，风险自负。
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