和合期货:2017年12月19日白糖期权日评
一、白糖期货期权合约成交情况
12月19日,郑商所白糖期货SR1805合约收盘价5968,较前一交易日下跌0.43%,成交量25.5万手,较昨日减少17556手;白糖期权总成交量13542手,其中主力1805系列期权各合约今日行情见图表1。
郑州商品交易所期权每日行情表(2017-12-19) |
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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 |
691.50 |
0.00 |
682.00 |
0 |
0.9672 |
13.33 |
SR805C5400 |
594.00 |
0.00 |
585.00 |
0 |
0.9478 |
12.57 |
SR805C5500 |
499.00 |
486.50 |
490.00 |
4 |
0.9174 |
11.93 |
SR805C5600 |
408.00 |
405.00 |
399.00 |
4 |
0.8711 |
11.40 |
SR805C5700 |
322.00 |
293.00 |
313.50 |
24 |
0.8048 |
10.99 |
SR805C5800 |
244.00 |
232.50 |
236.00 |
146 |
0.7145 |
10.68 |
SR805C5900 |
177.00 |
167.50 |
170.00 |
148 |
0.6031 |
10.48 |
SR805C6000 |
122.00 |
116.50 |
116.50 |
1,076 |
0.4804 |
10.37 |
SR805C6100 |
80.50 |
75.50 |
76.00 |
658 |
0.3599 |
10.35 |
SR805C6200 |
51.00 |
47.50 |
48.50 |
1,008 |
0.2556 |
10.41 |
SR805C6300 |
31.00 |
28.50 |
29.50 |
1,916 |
0.1731 |
10.56 |
SR805C6400 |
18.50 |
17.50 |
18.00 |
642 |
0.1139 |
10.79 |
SR805C6500 |
11.50 |
10.50 |
11.50 |
538 |
0.0747 |
11.09 |
SR805C6600 |
7.00 |
8.00 |
7.00 |
30 |
0.0493 |
11.46 |
SR805C6700 |
4.50 |
8.00 |
4.50 |
34 |
0.0331 |
11.90 |
SR805C6800 |
3.00 |
0.00 |
3.00 |
0 |
0.0228 |
12.40 |
SR805C6900 |
2.00 |
1.50 |
2.50 |
2 |
0.0169 |
12.97 |
SR805C7000 |
1.00 |
0.00 |
2.00 |
0 |
0.0129 |
13.59 |
SR805C7100 |
0.50 |
0.00 |
1.50 |
0 |
0.0104 |
14.28 |
SR805C7200 |
0.50 |
0.00 |
1.00 |
0 |
0.0061 |
14.28 |
SR805C7300 |
0.50 |
0.00 |
0.50 |
0 |
0.0035 |
14.28 |
SR805C7400 |
0.50 |
0.00 |
0.50 |
0 |
0.0020 |
14.28 |
小计 |
|
|
|
6,230 |
|
|
SR805P5300 |
5.50 |
7.00 |
6.00 |
30 |
-0.0360 |
13.33 |
SR805P5400 |
8.00 |
0.00 |
9.00 |
0 |
-0.0531 |
12.57 |
SR805P5500 |
13.00 |
13.50 |
14.00 |
116 |
-0.0811 |
11.93 |
SR805P5600 |
21.50 |
25.50 |
22.50 |
424 |
-0.1251 |
11.40 |
SR805P5700 |
35.00 |
40.00 |
36.50 |
508 |
-0.1895 |
10.99 |
SR805P5800 |
56.50 |
63.50 |
58.50 |
1,022 |
-0.2783 |
10.68 |
SR805P5900 |
88.50 |
100.50 |
91.50 |
1,196 |
-0.3888 |
10.48 |
SR805P6000 |
133.00 |
148.50 |
137.50 |
1,330 |
-0.5113 |
10.37 |
SR805P6100 |
190.50 |
206.00 |
196.00 |
368 |
-0.6323 |
10.35 |
SR805P6200 |
260.00 |
277.50 |
267.50 |
198 |
-0.7378 |
10.41 |
SR805P6300 |
340.00 |
364.50 |
348.50 |
120 |
-0.8221 |
10.56 |
SR805P6400 |
427.00 |
0.00 |
436.50 |
0 |
-0.8836 |
10.79 |
SR805P6500 |
519.50 |
556.00 |
529.50 |
8 |
-0.9253 |
11.09 |
SR805P6600 |
615.00 |
0.00 |
625.00 |
0 |
-0.9536 |
11.46 |
SR805P6700 |
712.50 |
0.00 |
723.00 |
0 |
-0.9726 |
11.90 |
SR805P6800 |
811.50 |
0.00 |
821.50 |
0 |
-0.9858 |
12.40 |
SR805P6900 |
911.00 |
0.00 |
921.00 |
0 |
-0.9944 |
12.97 |
SR805P7000 |
1,011.00 |
0.00 |
1,021.00 |
0 |
-0.9990 |
13.59 |
SR805P7100 |
1,111.00 |
0.00 |
1,121.00 |
0 |
-1.0000 |
14.28 |
SR805P7200 |
1,211.00 |
0.00 |
1,221.00 |
0 |
-1.0000 |
14.28 |
SR805P7300 |
1,311.00 |
0.00 |
1,321.00 |
0 |
-1.0000 |
14.28 |
SR805P7400 |
1,411.00 |
0.00 |
1,421.00 |
0 |
-1.0000 |
14.28 |
小计 |
|
|
|
5,320 |
|
|
SR合计 |
|
|
|
13,542 |
|
|
总计 |
|
|
|
13,542 |
|
|
图表1:白糖期权20171219行情
二、白糖期现货基本面消息及后市行情研判
CFTC数据显示,截至12月12日当周,投机客转为持有87486手ICE原糖期货及期权净空头头寸,之前一周为持有923手净多头头寸。目前一方面,3月/5月合约价差走阔表明存在近期实货需求,鼓励了市场的多头;但另一方面,3月合约价格疲弱被认为是对全球供应充裕作出的反应,2017/18年度全球糖产量预计将增长8%至1.92亿吨,受欧洲和泰国产量增加提振。因此预计郑糖1805短期走势继续偏弱的概率较大,不过在快速下行之后,风险有所释放,后期及时关注春节备货能否给糖价带来支撑。
三、期权交易策略运用
基于郑糖期价短期走势继续偏弱的看法,建议看跌期权多单继续适量持有。
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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