和合期货：2018年1月8日白糖期权日评
一、白糖期货期权合约成交情况
1月8日，郑商所白糖期货SR1805合约收盘价5874，较前一交易日上涨0.12%，成交量22.5万手，较昨日减少88330手；白糖期权总成交量23656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(2018-01-08) |
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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 |
553.00 |
0.00 |
570.00 |
0 |
0.9830 |
11.22 |
|
SR805C5400 |
455.50 |
0.00 |
472.50 |
0 |
0.9581 |
10.78 |
|
SR805C5500 |
362.00 |
0.00 |
378.00 |
0 |
0.9147 |
10.48 |
|
SR805C5600 |
275.00 |
292.00 |
290.00 |
46 |
0.8433 |
10.30 |
|
SR805C5700 |
198.50 |
219.50 |
212.00 |
142 |
0.7373 |
10.24 |
|
SR805C5800 |
136.00 |
150.50 |
147.00 |
452 |
0.6041 |
10.30 |
|
SR805C5900 |
89.50 |
100.50 |
97.50 |
680 |
0.4627 |
10.46 |
|
SR805C6000 |
57.00 |
63.00 |
62.50 |
542 |
0.3335 |
10.73 |
|
SR805C6100 |
36.00 |
40.00 |
39.00 |
1,322 |
0.2300 |
11.10 |
|
SR805C6200 |
23.00 |
24.50 |
25.00 |
786 |
0.1552 |
11.56 |
|
SR805C6300 |
15.50 |
16.50 |
16.00 |
1,110 |
0.1052 |
12.11 |
|
SR805C6400 |
10.50 |
11.00 |
11.00 |
1,350 |
0.0725 |
12.74 |
|
SR805C6500 |
7.50 |
8.00 |
7.50 |
250 |
0.0515 |
13.45 |
|
SR805C6600 |
6.00 |
6.50 |
5.50 |
674 |
0.0377 |
14.24 |
|
SR805C6700 |
5.00 |
5.00 |
4.50 |
72 |
0.0299 |
15.10 |
|
SR805C6800 |
4.00 |
4.00 |
4.00 |
26 |
0.0237 |
16.03 |
|
SR805C6900 |
3.50 |
0.00 |
3.50 |
0 |
0.0206 |
17.02 |
|
SR805C7000 |
3.50 |
0.00 |
3.00 |
0 |
0.0183 |
18.08 |
|
SR805C7100 |
3.50 |
2.00 |
3.00 |
2 |
0.0167 |
19.20 |
|
SR805C7200 |
2.50 |
2.00 |
3.00 |
4 |
0.0156 |
20.38 |
|
SR805C7300 |
1.50 |
0.00 |
2.00 |
0 |
0.0108 |
20.38 |
|
SR805C7400 |
1.00 |
0.00 |
1.50 |
0 |
0.0072 |
20.38 |
|
小计 |
|
|
|
7,458 |
|
|
|
SR805P5300 |
2.50 |
2.00 |
2.50 |
274 |
-0.0218 |
11.22 |
|
SR805P5400 |
5.50 |
5.50 |
5.50 |
168 |
-0.0433 |
10.78 |
|
SR805P5500 |
11.50 |
11.50 |
11.00 |
348 |
-0.0837 |
10.48 |
|
SR805P5600 |
24.50 |
22.00 |
22.50 |
262 |
-0.1528 |
10.30 |
|
SR805P5700 |
47.50 |
42.50 |
44.00 |
1,198 |
-0.2571 |
10.24 |
|
SR805P5800 |
84.50 |
75.50 |
78.50 |
1,334 |
-0.3894 |
10.30 |
|
SR805P5900 |
137.00 |
124.00 |
128.50 |
354 |
-0.5306 |
10.46 |
|
SR805P6000 |
204.00 |
190.50 |
192.50 |
472 |
-0.6604 |
10.73 |
|
SR805P6100 |
282.50 |
267.00 |
269.00 |
460 |
-0.7649 |
11.10 |
|
SR805P6200 |
369.00 |
352.00 |
354.00 |
372 |
-0.8412 |
11.56 |
|
SR805P6300 |
461.00 |
441.00 |
445.00 |
68 |
-0.8929 |
12.11 |
|
SR805P6400 |
556.00 |
540.00 |
539.50 |
120 |
-0.9273 |
12.74 |
|
SR805P6500 |
653.00 |
632.50 |
636.00 |
8 |
-0.9501 |
13.45 |
|
SR805P6600 |
751.00 |
735.50 |
734.00 |
4 |
-0.9656 |
14.24 |
|
SR805P6700 |
850.00 |
0.00 |
833.00 |
0 |
-0.9749 |
15.10 |
|
SR805P6800 |
949.50 |
0.00 |
932.00 |
0 |
-0.9823 |
16.03 |
|
SR805P6900 |
1,049.00 |
0.00 |
1,032.00 |
0 |
-0.9864 |
17.02 |
|
SR805P7000 |
1,148.50 |
0.00 |
1,131.50 |
0 |
-0.9896 |
18.08 |
|
SR805P7100 |
1,248.50 |
0.00 |
1,231.50 |
0 |
-0.9918 |
19.20 |
|
SR805P7200 |
1,348.00 |
0.00 |
1,331.00 |
0 |
-0.9935 |
20.38 |
|
SR805P7300 |
1,448.00 |
0.00 |
1,431.00 |
0 |
-0.9993 |
20.38 |
|
SR805P7400 |
1,548.00 |
0.00 |
1,531.00 |
0 |
-1.0000 |
20.38 |
|
小计 |
|
|
|
5,442 |
|
|
|
SR合计 |
|
|
|
23,656 |
|
|
|
总计 |
|
|
|
23,656 |
|
|
图表1：白糖期权20180108行情
二、白糖期现货基本面消息及后市行情研判
ICE纽约原糖期货周五下跌，美元走强、油价下跌均对价格造成压力。目前投资者重新聚焦偏空的基本面，倍受关注的商品分析公司Green Pool将2017/18年全球糖市供应过剩规模预估上调至1043万吨，之前预估为980万吨。且巴西12月出口1526213吨原糖，低于11月的1834579吨，更低于上年同期的2087582吨。郑糖1805近两个交易日小幅反弹，但缩量减仓，整体明显仍处于弱势之中，预计短期继续下行的概率较大，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下行的看法，建议看跌期权多单继续持有，标的破20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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