和合期货：2018年1月9日白糖期权日评
一、白糖期货期权合约成交情况
1月9日，郑商所白糖期货SR1805合约收盘价5864，较前一交易日下跌0.17%，成交量31.2万手，较昨日增加86696手；白糖期权总成交量17140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(2018-01-09) |
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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 |
570.00 |
0.00 |
567.00 |
0 |
0.9810 |
11.38 |
|
SR805C5400 |
472.50 |
0.00 |
469.50 |
0 |
0.9566 |
10.88 |
|
SR805C5500 |
378.00 |
0.00 |
375.50 |
0 |
0.9133 |
10.52 |
|
SR805C5600 |
290.00 |
282.00 |
287.00 |
106 |
0.8420 |
10.30 |
|
SR805C5700 |
212.00 |
198.50 |
209.00 |
60 |
0.7356 |
10.22 |
|
SR805C5800 |
147.00 |
138.00 |
144.00 |
10 |
0.6010 |
10.25 |
|
SR805C5900 |
97.50 |
92.50 |
95.00 |
772 |
0.4578 |
10.41 |
|
SR805C6000 |
62.50 |
57.50 |
60.00 |
726 |
0.3277 |
10.67 |
|
SR805C6100 |
39.00 |
35.50 |
37.50 |
2,642 |
0.2239 |
11.04 |
|
SR805C6200 |
25.00 |
22.00 |
23.50 |
1,222 |
0.1504 |
11.51 |
|
SR805C6300 |
16.00 |
14.50 |
15.50 |
568 |
0.1015 |
12.07 |
|
SR805C6400 |
11.00 |
10.50 |
10.50 |
772 |
0.0699 |
12.73 |
|
SR805C6500 |
7.50 |
7.50 |
7.50 |
226 |
0.0499 |
13.48 |
|
SR805C6600 |
5.50 |
6.00 |
5.50 |
2 |
0.0368 |
14.30 |
|
SR805C6700 |
4.50 |
5.00 |
4.50 |
70 |
0.0294 |
15.21 |
|
SR805C6800 |
4.00 |
0.00 |
4.00 |
0 |
0.0237 |
16.19 |
|
SR805C6900 |
3.50 |
0.00 |
3.50 |
0 |
0.0209 |
17.24 |
|
SR805C7000 |
3.00 |
0.00 |
3.50 |
0 |
0.0189 |
18.36 |
|
SR805C7100 |
3.00 |
0.00 |
3.00 |
0 |
0.0175 |
19.54 |
|
SR805C7200 |
3.00 |
2.00 |
2.00 |
2 |
0.0118 |
19.54 |
|
SR805C7300 |
2.00 |
0.00 |
1.50 |
0 |
0.0076 |
19.54 |
|
SR805C7400 |
1.50 |
0.00 |
1.00 |
0 |
0.0048 |
19.54 |
|
小计 |
|
|
|
7,178 |
|
|
|
SR805P5300 |
2.50 |
3.50 |
2.50 |
66 |
-0.0233 |
11.38 |
|
SR805P5400 |
5.50 |
6.00 |
5.50 |
138 |
-0.0446 |
10.88 |
|
SR805P5500 |
11.00 |
12.00 |
11.50 |
202 |
-0.0850 |
10.52 |
|
SR805P5600 |
22.50 |
24.00 |
22.50 |
320 |
-0.1541 |
10.30 |
|
SR805P5700 |
44.00 |
45.50 |
44.00 |
1,552 |
-0.2588 |
10.22 |
|
SR805P5800 |
78.50 |
79.50 |
78.50 |
1,286 |
-0.3926 |
10.25 |
|
SR805P5900 |
128.50 |
129.50 |
128.50 |
250 |
-0.5356 |
10.41 |
|
SR805P6000 |
192.50 |
196.00 |
193.00 |
208 |
-0.6663 |
10.67 |
|
SR805P6100 |
269.00 |
275.50 |
270.00 |
116 |
-0.7712 |
11.04 |
|
SR805P6200 |
354.00 |
364.50 |
355.50 |
258 |
-0.8461 |
11.51 |
|
SR805P6300 |
445.00 |
0.00 |
447.00 |
0 |
-0.8967 |
12.07 |
|
SR805P6400 |
539.50 |
0.00 |
542.00 |
0 |
-0.9301 |
12.73 |
|
SR805P6500 |
636.00 |
0.00 |
639.00 |
0 |
-0.9518 |
13.48 |
|
SR805P6600 |
734.00 |
0.00 |
737.00 |
0 |
-0.9666 |
14.30 |
|
SR805P6700 |
833.00 |
822.00 |
836.00 |
4 |
-0.9753 |
15.21 |
|
SR805P6800 |
932.00 |
0.00 |
935.00 |
0 |
-0.9822 |
16.19 |
|
SR805P6900 |
1,032.00 |
0.00 |
1,035.00 |
0 |
-0.9859 |
17.24 |
|
SR805P7000 |
1,131.50 |
0.00 |
1,134.50 |
0 |
-0.9888 |
18.36 |
|
SR805P7100 |
1,231.50 |
0.00 |
1,234.50 |
0 |
-0.9906 |
19.54 |
|
SR805P7200 |
1,331.00 |
0.00 |
1,334.00 |
0 |
-0.9983 |
19.54 |
|
SR805P7300 |
1,431.00 |
0.00 |
1,434.00 |
0 |
-1.0000 |
19.54 |
|
SR805P7400 |
1,531.00 |
0.00 |
1,534.00 |
0 |
-1.0000 |
19.54 |
|
小计 |
|
|
|
4,400 |
|
|
|
SR合计 |
|
|
|
17,140 |
|
|
|
总计 |
|
|
|
17,140 |
|
|
图表1：白糖期权20180109行情
二、白糖期现货基本面消息及后市行情研判
ICE纽约原糖期货周一大幅下挫，投机客卖出导致价格在第一分钟的交易中下跌，稍后激发了自动卖盘指令，同时指数基金的买盘不振。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。盘面看，郑糖1805明显仍处于弱势之中，预计短期继续震荡下行的概率较大。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震荡下行的看法，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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