和合期货:2017年12月20日白糖期权日评
一、白糖期货期权合约成交情况
12月20日,郑商所白糖期货SR1805合约收盘价5970,较前一交易日上涨0.03%,成交量29.1万手,较昨日增加36184手;白糖期权总成交量16284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(2017-12-20) |
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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 |
682.00 |
0.00 |
697.00 |
0 |
0.9665 |
13.73 |
SR805C5400 |
585.00 |
0.00 |
599.50 |
0 |
0.9494 |
12.84 |
SR805C5500 |
490.00 |
0.00 |
504.50 |
0 |
0.9221 |
12.11 |
SR805C5600 |
399.00 |
0.00 |
412.50 |
0 |
0.8795 |
11.50 |
SR805C5700 |
313.50 |
330.50 |
325.50 |
2 |
0.8168 |
11.03 |
SR805C5800 |
236.00 |
231.00 |
246.00 |
116 |
0.7314 |
10.68 |
SR805C5900 |
170.00 |
165.00 |
178.50 |
240 |
0.6215 |
10.45 |
SR805C6000 |
116.50 |
110.00 |
122.50 |
510 |
0.4989 |
10.32 |
SR805C6100 |
76.00 |
70.00 |
81.00 |
988 |
0.3767 |
10.31 |
SR805C6200 |
48.50 |
44.00 |
51.50 |
1,728 |
0.2689 |
10.39 |
SR805C6300 |
29.50 |
26.00 |
32.00 |
1,096 |
0.1845 |
10.57 |
SR805C6400 |
18.00 |
16.00 |
20.00 |
1,164 |
0.1228 |
10.84 |
SR805C6500 |
11.50 |
10.50 |
12.50 |
176 |
0.0815 |
11.20 |
SR805C6600 |
7.00 |
6.50 |
8.00 |
74 |
0.0551 |
11.64 |
SR805C6700 |
4.50 |
5.00 |
5.50 |
50 |
0.0384 |
12.16 |
SR805C6800 |
3.00 |
0.00 |
4.00 |
0 |
0.0283 |
12.75 |
SR805C6900 |
2.50 |
3.00 |
3.00 |
60 |
0.0214 |
13.42 |
SR805C7000 |
2.00 |
2.50 |
2.50 |
4 |
0.0173 |
14.15 |
SR805C7100 |
1.50 |
0.00 |
2.50 |
0 |
0.0142 |
14.95 |
SR805C7200 |
1.00 |
0.00 |
1.50 |
0 |
0.0088 |
14.95 |
SR805C7300 |
0.50 |
0.00 |
1.00 |
0 |
0.0053 |
14.95 |
SR805C7400 |
0.50 |
0.00 |
0.50 |
0 |
0.0032 |
14.95 |
小计 |
|
|
|
6,208 |
|
|
SR805P5300 |
6.00 |
3.50 |
6.50 |
10 |
-0.0365 |
13.73 |
SR805P5400 |
9.00 |
7.50 |
9.00 |
4 |
-0.0516 |
12.84 |
SR805P5500 |
14.00 |
11.00 |
13.00 |
186 |
-0.0767 |
12.11 |
SR805P5600 |
22.50 |
18.50 |
21.00 |
360 |
-0.1171 |
11.50 |
SR805P5700 |
36.50 |
32.00 |
33.50 |
1,206 |
-0.1778 |
11.03 |
SR805P5800 |
58.50 |
55.50 |
53.50 |
2,462 |
-0.2617 |
10.68 |
SR805P5900 |
91.50 |
90.00 |
85.00 |
3,238 |
-0.3705 |
10.45 |
SR805P6000 |
137.50 |
134.00 |
128.50 |
632 |
-0.4929 |
10.32 |
SR805P6100 |
196.00 |
193.00 |
186.00 |
462 |
-0.6154 |
10.31 |
SR805P6200 |
267.50 |
256.00 |
255.50 |
324 |
-0.7244 |
10.39 |
SR805P6300 |
348.50 |
329.50 |
336.00 |
106 |
-0.8103 |
10.57 |
SR805P6400 |
436.50 |
0.00 |
423.00 |
0 |
-0.8742 |
10.84 |
SR805P6500 |
529.50 |
528.00 |
515.50 |
28 |
-0.9179 |
11.20 |
SR805P6600 |
625.00 |
0.00 |
611.00 |
0 |
-0.9469 |
11.64 |
SR805P6700 |
723.00 |
0.00 |
708.50 |
0 |
-0.9662 |
12.16 |
SR805P6800 |
821.50 |
0.00 |
807.50 |
0 |
-0.9787 |
12.75 |
SR805P6900 |
921.00 |
0.00 |
906.50 |
0 |
-0.9877 |
13.42 |
SR805P7000 |
1,021.00 |
0.00 |
1,006.00 |
0 |
-0.9938 |
14.15 |
SR805P7100 |
1,121.00 |
0.00 |
1,106.00 |
0 |
-0.9977 |
14.95 |
SR805P7200 |
1,221.00 |
0.00 |
1,206.00 |
0 |
-1.0000 |
14.95 |
SR805P7300 |
1,321.00 |
0.00 |
1,306.00 |
0 |
-1.0000 |
14.95 |
SR805P7400 |
1,421.00 |
1,402.50 |
1,406.00 |
6 |
-1.0000 |
14.95 |
小计 |
|
|
|
9,024 |
|
|
SR合计 |
|
|
|
16,284 |
|
|
总计 |
|
|
|
16,284 |
|
|
图表1:白糖期权20171220行情
二、白糖期现货基本面消息及后市行情研判
ICE纽约原糖期货周二跳升4.7%,录得两个半月以来的最大单日升幅,巴西国家商品供应公司Conab周二将巴西2017/18榨季甘蔗产量预估下调至6.3559亿吨,较上一榨季下滑3.3%,因这一全球最大产糖国的种植面积下滑。但之前多家机构预计2017/18年度全球糖产量将增长8%至1.92亿吨,受欧洲和泰国产量增加提振。预计郑糖1805短期将在6000附近反复震荡的概率较大,且在近期快速下行之后,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
基于郑糖期价短期将在6000附近反复震荡的看法,建议看跌期权多单适量持有,标的破10日均线止盈离场。
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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