和合期货：2018年1月10日白糖期权日评
一、白糖期货期权合约成交情况
1月10日，郑商所白糖期货SR1805合约收盘价5877，较前一交易日上涨0.22%，成交量22.2万手，较昨日减少89894手；白糖期权总成交量17390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(2018-01-10) |
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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 |
567.00 |
0.00 |
574.00 |
0 |
0.9809 |
11.60 |
|
SR805C5400 |
469.50 |
0.00 |
476.50 |
0 |
0.9583 |
10.99 |
|
SR805C5500 |
375.50 |
0.00 |
381.50 |
0 |
0.9185 |
10.55 |
|
SR805C5600 |
287.00 |
0.00 |
292.50 |
0 |
0.8504 |
10.27 |
|
SR805C5700 |
209.00 |
218.50 |
213.00 |
408 |
0.7465 |
10.13 |
|
SR805C5800 |
144.00 |
148.00 |
146.50 |
76 |
0.6125 |
10.13 |
|
SR805C5900 |
95.00 |
98.00 |
96.00 |
448 |
0.4669 |
10.26 |
|
SR805C6000 |
60.00 |
60.00 |
60.00 |
1,370 |
0.3329 |
10.52 |
|
SR805C6100 |
37.50 |
37.50 |
37.00 |
1,160 |
0.2264 |
10.89 |
|
SR805C6200 |
23.50 |
23.00 |
23.50 |
690 |
0.1513 |
11.38 |
|
SR805C6300 |
15.50 |
15.50 |
15.00 |
1,174 |
0.1019 |
11.98 |
|
SR805C6400 |
10.50 |
11.00 |
10.50 |
746 |
0.0704 |
12.68 |
|
SR805C6500 |
7.50 |
8.00 |
7.50 |
302 |
0.0507 |
13.47 |
|
SR805C6600 |
5.50 |
5.50 |
5.50 |
196 |
0.0380 |
14.36 |
|
SR805C6700 |
4.50 |
4.50 |
5.00 |
220 |
0.0309 |
15.34 |
|
SR805C6800 |
4.00 |
5.00 |
4.00 |
28 |
0.0258 |
16.40 |
|
SR805C6900 |
3.50 |
0.00 |
4.00 |
0 |
0.0227 |
17.55 |
|
SR805C7000 |
3.50 |
0.00 |
4.00 |
0 |
0.0211 |
18.77 |
|
SR805C7100 |
3.00 |
0.00 |
2.50 |
0 |
0.0137 |
18.77 |
|
SR805C7200 |
2.00 |
1.00 |
1.50 |
28 |
0.0088 |
18.77 |
|
SR805C7300 |
1.50 |
0.50 |
1.00 |
40 |
0.0057 |
18.77 |
|
SR805C7400 |
1.00 |
1.00 |
0.50 |
36 |
0.0036 |
18.77 |
|
小计 |
|
|
|
6,922 |
|
|
|
SR805P5300 |
2.50 |
0.00 |
3.00 |
0 |
-0.0233 |
11.60 |
|
SR805P5400 |
5.50 |
5.50 |
5.50 |
46 |
-0.0430 |
10.99 |
|
SR805P5500 |
11.50 |
10.00 |
10.50 |
286 |
-0.0801 |
10.55 |
|
SR805P5600 |
22.50 |
20.00 |
21.00 |
1,224 |
-0.1459 |
10.27 |
|
SR805P5700 |
44.00 |
39.00 |
41.00 |
970 |
-0.2481 |
10.13 |
|
SR805P5800 |
78.50 |
71.00 |
74.00 |
764 |
-0.3812 |
10.13 |
|
SR805P5900 |
128.50 |
118.00 |
122.50 |
330 |
-0.5267 |
10.26 |
|
SR805P6000 |
193.00 |
184.50 |
186.50 |
288 |
-0.6611 |
10.52 |
|
SR805P6100 |
270.00 |
256.50 |
263.00 |
156 |
-0.7687 |
10.89 |
|
SR805P6200 |
355.50 |
344.00 |
348.50 |
88 |
-0.8453 |
11.38 |
|
SR805P6300 |
447.00 |
0.00 |
440.00 |
0 |
-0.8963 |
11.98 |
|
SR805P6400 |
542.00 |
0.00 |
535.00 |
0 |
-0.9295 |
12.68 |
|
SR805P6500 |
639.00 |
0.00 |
632.00 |
0 |
-0.9509 |
13.47 |
|
SR805P6600 |
737.00 |
0.00 |
730.00 |
0 |
-0.9651 |
14.36 |
|
SR805P6700 |
836.00 |
0.00 |
829.00 |
0 |
-0.9734 |
15.34 |
|
SR805P6800 |
935.00 |
0.00 |
928.50 |
0 |
-0.9796 |
16.40 |
|
SR805P6900 |
1,035.00 |
0.00 |
1,028.00 |
0 |
-0.9835 |
17.55 |
|
SR805P7000 |
1,134.50 |
0.00 |
1,128.00 |
0 |
-0.9856 |
18.77 |
|
SR805P7100 |
1,234.50 |
0.00 |
1,227.00 |
0 |
-0.9957 |
18.77 |
|
SR805P7200 |
1,334.00 |
0.00 |
1,327.00 |
0 |
-1.0000 |
18.77 |
|
SR805P7300 |
1,434.00 |
0.00 |
1,427.00 |
0 |
-1.0000 |
18.77 |
|
SR805P7400 |
1,534.00 |
0.00 |
1,527.00 |
0 |
-1.0000 |
18.77 |
|
小计 |
|
|
|
4,152 |
|
|
|
SR合计 |
|
|
|
17,390 |
|
|
|
总计 |
|
|
|
17,390 |
|
|
图表1：白糖期权20180110行情
二、白糖期现货基本面消息及后市行情研判
ICE纽约原糖期货周二连续第五日下跌，受压于美元走坚和全球供应充裕预期。目前国际糖市基本面供过于求起主导作用，预期产量相对乐观，各个机构不断上调未来的过剩值，加上消费端缺乏亮点，供需矛盾将越发加剧。国内现货方面，柳州中间商新糖报价6140-6210元/吨，较前一日下调了30元/吨，总体市场成交一般。郑糖1805今日小幅反弹，但缩量减仓，整体来看仍处于偏弱势之中，预计短期窄幅震荡的概率较大。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
基于郑糖期价短期窄幅震荡的看法，建议看跌期权多单适量减持，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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