和合期货：2017年12月5日白糖期权日评
一、白糖期货期权合约成交情况
12月5日，郑商所白糖期货SR1805合约收盘价6189，较前一交易日上涨0.21%，成交量32.2万手，较昨日增加38798手；白糖期权总成交量23198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(2017-12-05) |
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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 |
847.00 |
0.00 |
894.00 |
0 |
0.9775 |
15.21 |
|
SR805C5400 |
748.00 |
0.00 |
795.00 |
0 |
0.9700 |
14.03 |
|
SR805C5500 |
650.50 |
0.00 |
696.50 |
0 |
0.9579 |
12.99 |
|
SR805C5600 |
554.50 |
586.50 |
599.50 |
2 |
0.9395 |
12.10 |
|
SR805C5700 |
461.00 |
0.00 |
504.50 |
0 |
0.9119 |
11.33 |
|
SR805C5800 |
371.00 |
393.50 |
412.50 |
36 |
0.8701 |
10.68 |
|
SR805C5900 |
288.50 |
338.00 |
325.50 |
90 |
0.8093 |
10.16 |
|
SR805C6000 |
214.00 |
245.00 |
246.00 |
358 |
0.7257 |
9.74 |
|
SR805C6100 |
150.50 |
176.00 |
177.00 |
772 |
0.6179 |
9.43 |
|
SR805C6200 |
100.50 |
119.50 |
120.50 |
1,902 |
0.4953 |
9.22 |
|
SR805C6300 |
63.50 |
74.50 |
78.00 |
1,524 |
0.3709 |
9.11 |
|
SR805C6400 |
37.50 |
46.50 |
48.00 |
1,182 |
0.2601 |
9.09 |
|
SR805C6500 |
22.00 |
26.50 |
28.50 |
448 |
0.1722 |
9.16 |
|
SR805C6600 |
12.00 |
17.50 |
16.50 |
1,526 |
0.1100 |
9.31 |
|
SR805C6700 |
7.00 |
12.00 |
10.00 |
954 |
0.0694 |
9.54 |
|
SR805C6800 |
4.00 |
0.00 |
6.00 |
0 |
0.0440 |
9.85 |
|
SR805C6900 |
2.50 |
3.00 |
4.00 |
8 |
0.0287 |
10.23 |
|
SR805C7000 |
1.50 |
10.00 |
2.50 |
16 |
0.0195 |
10.68 |
|
SR805C7100 |
0.50 |
0.00 |
2.00 |
0 |
0.0137 |
11.20 |
|
SR805C7200 |
0.50 |
0.00 |
1.50 |
0 |
0.0106 |
11.78 |
|
SR805C7300 |
0.50 |
0.00 |
1.00 |
0 |
0.0059 |
11.78 |
|
SR805C7400 |
0.50 |
2.00 |
0.50 |
2 |
0.0031 |
11.78 |
|
小计 |
|
|
|
8,820 |
|
|
|
SR805P5300 |
4.50 |
4.00 |
6.00 |
4 |
-0.0282 |
15.21 |
|
SR805P5400 |
5.50 |
5.00 |
6.50 |
8 |
-0.0344 |
14.03 |
|
SR805P5500 |
8.00 |
7.00 |
8.50 |
200 |
-0.0446 |
12.99 |
|
SR805P5600 |
12.00 |
9.50 |
11.00 |
380 |
-0.0609 |
12.10 |
|
SR805P5700 |
18.00 |
15.50 |
16.00 |
1,092 |
-0.0862 |
11.33 |
|
SR805P5800 |
28.00 |
23.50 |
23.50 |
1,258 |
-0.1257 |
10.68 |
|
SR805P5900 |
44.50 |
37.00 |
36.00 |
3,352 |
-0.1844 |
10.16 |
|
SR805P6000 |
69.00 |
57.00 |
55.50 |
1,052 |
-0.2663 |
9.74 |
|
SR805P6100 |
105.00 |
86.50 |
86.00 |
1,168 |
-0.3730 |
9.43 |
|
SR805P6200 |
154.00 |
131.00 |
128.50 |
888 |
-0.4953 |
9.22 |
|
SR805P6300 |
216.00 |
184.50 |
185.00 |
358 |
-0.6202 |
9.11 |
|
SR805P6400 |
289.50 |
253.00 |
254.00 |
178 |
-0.7323 |
9.09 |
|
SR805P6500 |
373.00 |
345.50 |
334.00 |
26 |
-0.8224 |
9.16 |
|
SR805P6600 |
463.00 |
435.50 |
421.50 |
6 |
-0.8876 |
9.31 |
|
SR805P6700 |
558.00 |
529.00 |
514.50 |
6 |
-0.9314 |
9.54 |
|
SR805P6800 |
655.00 |
0.00 |
611.00 |
0 |
-0.9606 |
9.85 |
|
SR805P6900 |
754.00 |
0.00 |
709.00 |
0 |
-0.9796 |
10.23 |
|
SR805P7000 |
854.00 |
0.00 |
808.00 |
0 |
-0.9925 |
10.68 |
|
SR805P7100 |
954.00 |
0.00 |
908.00 |
0 |
-0.9994 |
11.20 |
|
SR805P7200 |
1,054.00 |
0.00 |
1,008.00 |
0 |
-1.0000 |
11.78 |
|
SR805P7300 |
1,154.00 |
0.00 |
1,108.00 |
0 |
-1.0000 |
11.78 |
|
SR805P7400 |
1,254.00 |
0.00 |
1,208.00 |
0 |
-1.0000 |
11.78 |
|
小计 |
|
|
|
9,976 |
|
|
|
SR合计 |
|
|
|
23,198 |
|
|
|
总计 |
|
|
|
23,198 |
|
|
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纽约原糖期货周一收高，徘徊在六个月高位附近，因数据显示，投机客转为持有原糖期货和期权的少量净多头头寸，但全球第二大出口国泰国正在收割，预计产量增长。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单继续持有。
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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