和合期货：2018年1月11日白糖期权日评
一、白糖期货期权合约成交情况
1月11日，郑商所白糖期货SR1805合约收盘价5872，较前一交易日下跌0.09%，成交量22.4万手，较昨日增加1732手；白糖期权总成交量10120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(2018-01-11) |
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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 |
574.00 |
0.00 |
574.00 |
0 |
0.9834 |
11.47 |
|
SR805C5400 |
476.50 |
0.00 |
476.00 |
0 |
0.9617 |
10.84 |
|
SR805C5500 |
381.50 |
0.00 |
380.50 |
0 |
0.9237 |
10.38 |
|
SR805C5600 |
292.50 |
0.00 |
291.00 |
0 |
0.8557 |
10.09 |
|
SR805C5700 |
213.00 |
198.50 |
211.00 |
2 |
0.7515 |
9.95 |
|
SR805C5800 |
146.50 |
135.50 |
144.00 |
82 |
0.6149 |
9.95 |
|
SR805C5900 |
96.00 |
93.50 |
93.00 |
238 |
0.4657 |
10.08 |
|
SR805C6000 |
60.00 |
58.00 |
58.00 |
714 |
0.3292 |
10.35 |
|
SR805C6100 |
37.00 |
35.50 |
35.50 |
780 |
0.2213 |
10.75 |
|
SR805C6200 |
23.50 |
22.00 |
22.00 |
1,044 |
0.1470 |
11.26 |
|
SR805C6300 |
15.00 |
14.50 |
14.50 |
552 |
0.0984 |
11.88 |
|
SR805C6400 |
10.50 |
10.50 |
10.00 |
596 |
0.0679 |
12.61 |
|
SR805C6500 |
7.50 |
7.00 |
7.00 |
58 |
0.0491 |
13.44 |
|
SR805C6600 |
5.50 |
6.50 |
5.50 |
20 |
0.0369 |
14.36 |
|
SR805C6700 |
5.00 |
0.00 |
4.50 |
0 |
0.0304 |
15.38 |
|
SR805C6800 |
4.00 |
0.00 |
4.00 |
0 |
0.0256 |
16.49 |
|
SR805C6900 |
4.00 |
0.00 |
4.00 |
0 |
0.0228 |
17.68 |
|
SR805C7000 |
4.00 |
1.50 |
4.00 |
4 |
0.0214 |
18.95 |
|
SR805C7100 |
2.50 |
1.00 |
2.50 |
2 |
0.0139 |
18.95 |
|
SR805C7200 |
1.50 |
0.00 |
1.50 |
0 |
0.0090 |
18.95 |
|
SR805C7300 |
1.00 |
0.00 |
1.00 |
0 |
0.0058 |
18.95 |
|
SR805C7400 |
0.50 |
0.00 |
0.50 |
0 |
0.0036 |
18.95 |
|
小计 |
|
|
|
4,092 |
|
|
|
SR805P5300 |
3.00 |
2.50 |
2.50 |
64 |
-0.0212 |
11.47 |
|
SR805P5400 |
5.50 |
4.50 |
4.50 |
128 |
-0.0399 |
10.84 |
|
SR805P5500 |
10.50 |
9.50 |
9.50 |
110 |
-0.0751 |
10.38 |
|
SR805P5600 |
21.00 |
19.00 |
19.50 |
522 |
-0.1407 |
10.09 |
|
SR805P5700 |
41.00 |
38.50 |
39.00 |
914 |
-0.2433 |
9.95 |
|
SR805P5800 |
74.00 |
68.50 |
71.50 |
436 |
-0.3789 |
9.95 |
|
SR805P5900 |
122.50 |
119.50 |
120.00 |
508 |
-0.5279 |
10.08 |
|
SR805P6000 |
186.50 |
184.00 |
184.00 |
70 |
-0.6649 |
10.35 |
|
SR805P6100 |
263.00 |
261.00 |
261.00 |
144 |
-0.7739 |
10.75 |
|
SR805P6200 |
348.50 |
352.00 |
347.50 |
88 |
-0.8497 |
11.26 |
|
SR805P6300 |
440.00 |
0.00 |
439.00 |
0 |
-0.9000 |
11.88 |
|
SR805P6400 |
535.00 |
0.00 |
534.50 |
0 |
-0.9321 |
12.61 |
|
SR805P6500 |
632.00 |
0.00 |
631.50 |
0 |
-0.9526 |
13.44 |
|
SR805P6600 |
730.00 |
0.00 |
730.00 |
0 |
-0.9663 |
14.36 |
|
SR805P6700 |
829.00 |
0.00 |
829.00 |
0 |
-0.9740 |
15.38 |
|
SR805P6800 |
928.50 |
0.00 |
928.50 |
0 |
-0.9798 |
16.49 |
|
SR805P6900 |
1,028.00 |
0.00 |
1,028.00 |
0 |
-0.9833 |
17.68 |
|
SR805P7000 |
1,128.00 |
0.00 |
1,128.00 |
0 |
-0.9851 |
18.95 |
|
SR805P7100 |
1,227.00 |
0.00 |
1,227.00 |
0 |
-0.9952 |
18.95 |
|
SR805P7200 |
1,327.00 |
0.00 |
1,327.00 |
0 |
-1.0000 |
18.95 |
|
SR805P7300 |
1,427.00 |
0.00 |
1,427.00 |
0 |
-1.0000 |
18.95 |
|
SR805P7400 |
1,527.00 |
0.00 |
1,527.00 |
0 |
-1.0000 |
18.95 |
|
小计 |
|
|
|
2,984 |
|
|
|
SR合计 |
|
|
|
10,120 |
|
|
|
总计 |
|
|
|
10,120 |
|
|
图表1：白糖期权20180111行情
二、白糖期现货基本面消息及后市行情研判
ICE纽约原糖期货周三下跌，市场未能延续1月初的升势。国际糖业组织周三称，全球糖价2017年全年挫跌25%，因市场预期糖市在连续两年供应短缺之后转为供应过剩。乌克兰产糖商联盟Ukrtsukor周三称，2017/18年度至今，46家糖厂共加工甜菜1400万吨，目前几乎所有糖厂均完成了本年度的榨糖工作。但郑糖1805近期窄幅震荡重心有所上移，国内春节备货或将给糖价带来一定支撑，预计短期震荡反复的概率较大。
三、期权交易策略运用
基于郑糖期价短期震荡反复的看法，建议看跌期权多单减持，标的破20日均线止盈离场。
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