和合期货：2017年12月21日白糖期权日评
一、白糖期货期权合约成交情况
12月21日，郑商所白糖期货SR1805合约收盘价5977，较前一交易日上涨0.12%，成交量36.1万手，较昨日增加69792手；白糖期权总成交量21382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(2017-12-21) |
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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 |
697.00 |
0.00 |
661.50 |
0 |
0.9693 |
12.93 |
|
SR805C5400 |
599.50 |
0.00 |
564.50 |
0 |
0.9497 |
12.16 |
|
SR805C5500 |
504.50 |
0.00 |
469.50 |
0 |
0.9181 |
11.52 |
|
SR805C5600 |
412.50 |
359.50 |
378.50 |
12 |
0.8689 |
11.02 |
|
SR805C5700 |
325.50 |
281.00 |
293.50 |
54 |
0.7979 |
10.64 |
|
SR805C5800 |
246.00 |
228.00 |
218.00 |
162 |
0.6998 |
10.38 |
|
SR805C5900 |
178.50 |
164.00 |
153.50 |
204 |
0.5816 |
10.23 |
|
SR805C6000 |
122.50 |
113.00 |
104.00 |
1,008 |
0.4540 |
10.19 |
|
SR805C6100 |
81.00 |
74.50 |
67.00 |
1,050 |
0.3337 |
10.25 |
|
SR805C6200 |
51.50 |
46.00 |
42.00 |
2,346 |
0.2333 |
10.41 |
|
SR805C6300 |
32.00 |
29.50 |
26.00 |
1,620 |
0.1572 |
10.65 |
|
SR805C6400 |
20.00 |
17.50 |
16.50 |
1,478 |
0.1052 |
10.99 |
|
SR805C6500 |
12.50 |
12.50 |
10.50 |
390 |
0.0706 |
11.41 |
|
SR805C6600 |
8.00 |
7.00 |
7.00 |
46 |
0.0485 |
11.90 |
|
SR805C6700 |
5.50 |
0.00 |
5.00 |
0 |
0.0343 |
12.48 |
|
SR805C6800 |
4.00 |
0.00 |
4.00 |
0 |
0.0254 |
13.12 |
|
SR805C6900 |
3.00 |
0.00 |
3.00 |
0 |
0.0200 |
13.83 |
|
SR805C7000 |
2.50 |
3.50 |
2.50 |
2 |
0.0163 |
14.61 |
|
SR805C7100 |
2.50 |
0.00 |
2.50 |
0 |
0.0139 |
15.46 |
|
SR805C7200 |
1.50 |
0.00 |
2.00 |
0 |
0.0126 |
16.36 |
|
SR805C7300 |
1.00 |
2.50 |
1.50 |
2 |
0.0080 |
16.36 |
|
SR805C7400 |
0.50 |
1.50 |
1.00 |
6 |
0.0049 |
16.36 |
|
小计 |
|
|
|
8,380 |
|
|
|
SR805P5300 |
6.50 |
5.50 |
5.50 |
20 |
-0.0342 |
12.93 |
|
SR805P5400 |
9.00 |
0.00 |
8.00 |
0 |
-0.0513 |
12.16 |
|
SR805P5500 |
13.00 |
9.50 |
13.00 |
272 |
-0.0805 |
11.52 |
|
SR805P5600 |
21.00 |
16.50 |
22.00 |
634 |
-0.1272 |
11.02 |
|
SR805P5700 |
33.50 |
31.50 |
36.50 |
1,616 |
-0.1963 |
10.64 |
|
SR805P5800 |
53.50 |
52.50 |
60.00 |
2,398 |
-0.2930 |
10.38 |
|
SR805P5900 |
85.00 |
90.00 |
95.00 |
1,928 |
-0.4105 |
10.23 |
|
SR805P6000 |
128.50 |
135.00 |
144.50 |
1,304 |
-0.5380 |
10.19 |
|
SR805P6100 |
186.00 |
190.50 |
207.00 |
392 |
-0.6588 |
10.25 |
|
SR805P6200 |
255.50 |
270.00 |
281.50 |
1,968 |
-0.7606 |
10.41 |
|
SR805P6300 |
336.00 |
368.00 |
365.00 |
6 |
-0.8385 |
10.65 |
|
SR805P6400 |
423.00 |
459.50 |
455.00 |
10 |
-0.8927 |
10.99 |
|
SR805P6500 |
515.50 |
554.00 |
548.50 |
98 |
-0.9297 |
11.41 |
|
SR805P6600 |
611.00 |
0.00 |
645.00 |
0 |
-0.9544 |
11.90 |
|
SR805P6700 |
708.50 |
0.00 |
743.00 |
0 |
-0.9711 |
12.48 |
|
SR805P6800 |
807.50 |
0.00 |
842.00 |
0 |
-0.9822 |
13.12 |
|
SR805P6900 |
906.50 |
0.00 |
941.50 |
0 |
-0.9895 |
13.83 |
|
SR805P7000 |
1,006.00 |
0.00 |
1,041.00 |
0 |
-0.9951 |
14.61 |
|
SR805P7100 |
1,106.00 |
0.00 |
1,141.00 |
0 |
-0.9980 |
15.46 |
|
SR805P7200 |
1,206.00 |
0.00 |
1,241.00 |
0 |
-0.9993 |
16.36 |
|
SR805P7300 |
1,306.00 |
0.00 |
1,341.00 |
0 |
-1.0000 |
16.36 |
|
SR805P7400 |
1,406.00 |
1,450.50 |
1,441.00 |
6 |
-1.0000 |
16.36 |
|
小计 |
|
|
|
10,652 |
|
|
|
SR合计 |
|
|
|
21,382 |
|
|
|
总计 |
|
|
|
21,382 |
|
|
图表1：白糖期权20171221行情
二、白糖期现货基本面消息及后市行情研判
ICE纽约原糖期货周三连涨第三日，触及两周高位，因后续买盘和商品市场普涨提供支撑，追踪19种商品市场的CRB指数连升第五日。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。目前内外盘走势出现分化，郑糖1805仍处于布林轨道下轨，MACD处于0轴下方，绿柱依然有扩散迹象，预计短期延续震荡偏弱的概率较大，但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延续震荡偏弱的看法，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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