和合期货：2017年12月6日白糖期权日评
一、白糖期货期权合约成交情况
12月6日，郑商所白糖期货SR1805合约收盘价6164，较前一交易日下跌0.40%，成交量32.1万手，较昨日减少1080手；白糖期权总成交量14678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(2017-12-06) |
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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 |
894.00 |
0.00 |
896.00 |
0 |
0.9719 |
15.89 |
|
SR805C5400 |
795.00 |
0.00 |
797.00 |
0 |
0.9645 |
14.55 |
|
SR805C5500 |
696.50 |
0.00 |
698.50 |
0 |
0.9541 |
13.38 |
|
SR805C5600 |
599.50 |
0.00 |
601.50 |
0 |
0.9363 |
12.37 |
|
SR805C5700 |
504.50 |
0.00 |
506.00 |
0 |
0.9096 |
11.52 |
|
SR805C5800 |
412.50 |
0.00 |
414.00 |
0 |
0.8690 |
10.81 |
|
SR805C5900 |
325.50 |
323.50 |
327.00 |
46 |
0.8092 |
10.25 |
|
SR805C6000 |
246.00 |
230.00 |
247.00 |
224 |
0.7263 |
9.81 |
|
SR805C6100 |
177.00 |
164.00 |
178.00 |
450 |
0.6188 |
9.50 |
|
SR805C6200 |
120.50 |
107.50 |
121.50 |
692 |
0.4967 |
9.31 |
|
SR805C6300 |
78.00 |
69.00 |
79.50 |
1,182 |
0.3735 |
9.24 |
|
SR805C6400 |
48.00 |
41.50 |
49.50 |
1,342 |
0.2645 |
9.28 |
|
SR805C6500 |
28.50 |
25.50 |
30.50 |
970 |
0.1792 |
9.42 |
|
SR805C6600 |
16.50 |
16.00 |
18.50 |
406 |
0.1174 |
9.65 |
|
SR805C6700 |
10.00 |
11.00 |
12.00 |
180 |
0.0780 |
9.99 |
|
SR805C6800 |
6.00 |
7.00 |
7.50 |
8 |
0.0527 |
10.41 |
|
SR805C6900 |
4.00 |
0.00 |
5.50 |
0 |
0.0367 |
10.92 |
|
SR805C7000 |
2.50 |
5.00 |
4.00 |
2 |
0.0276 |
11.52 |
|
SR805C7100 |
2.00 |
0.00 |
3.50 |
0 |
0.0215 |
12.19 |
|
SR805C7200 |
1.50 |
4.00 |
3.00 |
18 |
0.0180 |
12.94 |
|
SR805C7300 |
1.00 |
5.00 |
2.50 |
42 |
0.0155 |
13.76 |
|
SR805C7400 |
0.50 |
4.50 |
2.50 |
108 |
0.0141 |
14.65 |
|
小计 |
|
|
|
5,670 |
|
|
|
SR805P5300 |
6.00 |
0.00 |
7.00 |
0 |
-0.0326 |
15.89 |
|
SR805P5400 |
6.50 |
4.50 |
8.00 |
10 |
-0.0389 |
14.55 |
|
SR805P5500 |
8.50 |
7.00 |
9.50 |
150 |
-0.0478 |
13.38 |
|
SR805P5600 |
11.00 |
13.00 |
12.00 |
126 |
-0.0638 |
12.37 |
|
SR805P5700 |
16.00 |
15.50 |
16.50 |
54 |
-0.0884 |
11.52 |
|
SR805P5800 |
23.50 |
25.00 |
24.00 |
428 |
-0.1268 |
10.81 |
|
SR805P5900 |
36.00 |
40.00 |
36.50 |
1,240 |
-0.1846 |
10.25 |
|
SR805P6000 |
55.50 |
62.50 |
55.50 |
780 |
-0.2659 |
9.81 |
|
SR805P6100 |
86.00 |
96.00 |
86.00 |
1,052 |
-0.3722 |
9.50 |
|
SR805P6200 |
128.50 |
142.00 |
128.50 |
500 |
-0.4940 |
9.31 |
|
SR805P6300 |
185.00 |
202.00 |
185.50 |
104 |
-0.6176 |
9.24 |
|
SR805P6400 |
254.00 |
273.50 |
255.00 |
36 |
-0.7280 |
9.28 |
|
SR805P6500 |
334.00 |
357.00 |
335.00 |
22 |
-0.8153 |
9.42 |
|
SR805P6600 |
421.50 |
0.00 |
422.50 |
0 |
-0.8797 |
9.65 |
|
SR805P6700 |
514.50 |
0.00 |
515.50 |
0 |
-0.9220 |
9.99 |
|
SR805P6800 |
611.00 |
0.00 |
611.50 |
0 |
-0.9504 |
10.41 |
|
SR805P6900 |
709.00 |
0.00 |
709.00 |
0 |
-0.9694 |
10.92 |
|
SR805P7000 |
808.00 |
0.00 |
808.00 |
0 |
-0.9810 |
11.52 |
|
SR805P7100 |
908.00 |
0.00 |
907.50 |
0 |
-0.9894 |
12.19 |
|
SR805P7200 |
1,008.00 |
0.00 |
1,007.00 |
0 |
-0.9951 |
12.94 |
|
SR805P7300 |
1,108.00 |
0.00 |
1,107.00 |
0 |
-0.9979 |
13.76 |
|
SR805P7400 |
1,208.00 |
0.00 |
1,207.00 |
0 |
-0.9992 |
14.65 |
|
小计 |
|
|
|
4,502 |
|
|
|
SR合计 |
|
|
|
14,678 |
|
|
|
总计 |
|
|
|
14,678 |
|
|
图表1：白糖期权20171206行情
二、白糖期现货基本面消息及后市行情研判
ICE纽约原糖期货周二收盘下跌，受累于全球供应过剩前景，花旗研究表示，2017-18年度全球糖市供应大量过剩将限制2018年上半年价格走势；但预期头号种植国巴西糖厂将减少甘蔗产糖数量，贸易巨头路易达孚旗下巴西糖及乙醇生产商Biosev周二称，预计巴西中南部地区2018/19年度甘蔗产量将从2017/18年度的5.99亿吨降至5.86亿吨。多空交织的情况下，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，建议顶部宽跨式套利单继续持有。
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