和合期货:2017年12月28日白糖期权日评
一、白糖期货期权合约成交情况
12月28日,郑商所白糖期货SR1805合约收盘价5938,较前一交易日上涨0.24%,成交量25.7万手,较昨日减少60350手;白糖期权总成交量17270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(2017-12-28) |
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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 |
647.50 |
637.00 |
640.00 |
6 |
0.9825 |
11.85 |
SR805C5400 |
549.50 |
541.00 |
542.00 |
2 |
0.9620 |
11.31 |
SR805C5500 |
454.00 |
0.00 |
447.00 |
0 |
0.9288 |
10.88 |
SR805C5600 |
363.00 |
349.50 |
356.00 |
24 |
0.8744 |
10.57 |
SR805C5700 |
279.50 |
271.00 |
272.00 |
12 |
0.7946 |
10.37 |
SR805C5800 |
206.00 |
204.50 |
199.00 |
8 |
0.6854 |
10.27 |
SR805C5900 |
145.00 |
137.50 |
138.50 |
54 |
0.5579 |
10.27 |
SR805C6000 |
98.00 |
89.50 |
92.00 |
624 |
0.4265 |
10.35 |
SR805C6100 |
64.50 |
56.00 |
59.50 |
2,420 |
0.3090 |
10.53 |
SR805C6200 |
41.00 |
35.00 |
37.50 |
1,278 |
0.2134 |
10.79 |
SR805C6300 |
26.00 |
23.00 |
23.50 |
958 |
0.1449 |
11.13 |
SR805C6400 |
17.00 |
15.00 |
15.00 |
814 |
0.0974 |
11.55 |
SR805C6500 |
11.00 |
9.00 |
10.00 |
310 |
0.0661 |
12.03 |
SR805C6600 |
7.50 |
7.00 |
7.00 |
80 |
0.0461 |
12.59 |
SR805C6700 |
5.00 |
3.50 |
5.00 |
2 |
0.0331 |
13.21 |
SR805C6800 |
4.00 |
0.00 |
3.50 |
0 |
0.0246 |
13.89 |
SR805C6900 |
3.00 |
3.50 |
3.00 |
6 |
0.0196 |
14.64 |
SR805C7000 |
2.50 |
3.00 |
2.50 |
6 |
0.0159 |
15.44 |
SR805C7100 |
2.00 |
0.00 |
2.00 |
0 |
0.0136 |
16.29 |
SR805C7200 |
2.00 |
0.00 |
1.50 |
0 |
0.0084 |
16.29 |
SR805C7300 |
1.50 |
0.00 |
1.00 |
0 |
0.0052 |
16.29 |
SR805C7400 |
1.00 |
0.00 |
0.50 |
0 |
0.0032 |
16.29 |
小计 |
|
|
|
6,604 |
|
|
SR805P5300 |
2.50 |
2.50 |
3.00 |
20 |
-0.0230 |
11.85 |
SR805P5400 |
4.50 |
7.00 |
5.50 |
20 |
-0.0402 |
11.31 |
SR805P5500 |
9.50 |
10.50 |
10.00 |
436 |
-0.0704 |
10.88 |
SR805P5600 |
18.00 |
18.50 |
19.00 |
474 |
-0.1221 |
10.57 |
SR805P5700 |
34.00 |
34.50 |
34.50 |
1,074 |
-0.2000 |
10.37 |
SR805P5800 |
60.00 |
60.50 |
61.00 |
1,260 |
-0.3078 |
10.27 |
SR805P5900 |
98.50 |
99.50 |
100.00 |
836 |
-0.4346 |
10.27 |
SR805P6000 |
151.00 |
155.50 |
152.50 |
446 |
-0.5661 |
10.35 |
SR805P6100 |
216.50 |
210.00 |
219.50 |
176 |
-0.6843 |
10.53 |
SR805P6200 |
292.50 |
294.00 |
296.50 |
1,924 |
-0.7812 |
10.79 |
SR805P6300 |
377.00 |
371.50 |
382.50 |
2 |
-0.8514 |
11.13 |
SR805P6400 |
467.00 |
0.00 |
473.50 |
0 |
-0.9010 |
11.55 |
SR805P6500 |
561.00 |
0.00 |
568.00 |
0 |
-0.9345 |
12.03 |
SR805P6600 |
657.50 |
0.00 |
665.00 |
0 |
-0.9567 |
12.59 |
SR805P6700 |
755.50 |
0.00 |
763.00 |
0 |
-0.9719 |
13.21 |
SR805P6800 |
854.00 |
0.00 |
862.00 |
0 |
-0.9824 |
13.89 |
SR805P6900 |
953.50 |
0.00 |
961.50 |
0 |
-0.9892 |
14.64 |
SR805P7000 |
1,053.00 |
0.00 |
1,061.00 |
0 |
-0.9946 |
15.44 |
SR805P7100 |
1,153.00 |
0.00 |
1,161.00 |
0 |
-0.9976 |
16.29 |
SR805P7200 |
1,253.00 |
0.00 |
1,261.00 |
0 |
-1.0000 |
16.29 |
SR805P7300 |
1,353.00 |
0.00 |
1,361.00 |
0 |
-1.0000 |
16.29 |
SR805P7400 |
1,453.00 |
0.00 |
1,461.00 |
0 |
-1.0000 |
16.29 |
小计 |
|
|
|
6,668 |
|
|
SR合计 |
|
|
|
17,270 |
|
|
总计 |
|
|
|
17,270 |
|
|
图表1:白糖期权20171228行情
二、白糖期现货基本面消息及后市行情研判
ICE纽约原糖期货周三续升,因空头回补,但CFTC数据显示,截至12月19日当周,投机客增持ICE原糖期货期权净空仓8073手。今年糖价势将创2011年以来最大年度跌幅,因预期欧盟和亚洲供应增加。12月上半月巴西中南部主产区的糖厂共压榨甘蔗1044.5万吨,同比增44.5%。且之前多家机构预计2017/18年度全球糖产量将增长8%至1.92亿吨。但指数基金调整资金组合可能会给糖价带来一定支撑。中国11月糖进口量同比增加16.69%,不过今年前11个月糖进口同比下滑24.22%。目前内外盘走势出现分化,郑糖1805连续震荡偏弱走势,整体依然处于布林通道下轨,MACD处于0轴下方,预计短期继续震荡偏弱的概率较大,后期需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
基于郑糖期价短期继续震荡偏弱的看法,建议看跌期权多单适量持有,标的破6000止盈离场。
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