和合期货：2018年1月15日白糖期权日评
一、白糖期货期权合约成交情况
1月15日，郑商所白糖期货SR1805合约收盘价5815，较前一交易日下跌0.80%，成交量40.1万手，较昨日增加21.5万手；白糖期权总成交量27924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(2018-01-15) |
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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 |
561.00 |
0.00 |
534.00 |
0 |
0.9826 |
11.03 |
|
SR805C5400 |
463.00 |
423.50 |
436.00 |
4 |
0.9576 |
10.47 |
|
SR805C5500 |
368.00 |
0.00 |
342.00 |
0 |
0.9113 |
10.08 |
|
SR805C5600 |
279.00 |
244.00 |
254.50 |
492 |
0.8306 |
9.85 |
|
SR805C5700 |
200.00 |
171.50 |
178.00 |
414 |
0.7089 |
9.78 |
|
SR805C5800 |
134.50 |
109.50 |
117.00 |
902 |
0.5576 |
9.85 |
|
SR805C5900 |
86.00 |
66.50 |
72.50 |
1,334 |
0.4037 |
10.07 |
|
SR805C6000 |
53.00 |
40.00 |
43.50 |
1,216 |
0.2730 |
10.41 |
|
SR805C6100 |
32.00 |
24.50 |
26.50 |
2,126 |
0.1785 |
10.88 |
|
SR805C6200 |
19.50 |
16.00 |
16.00 |
1,234 |
0.1152 |
11.47 |
|
SR805C6300 |
12.50 |
11.00 |
10.50 |
1,126 |
0.0769 |
12.17 |
|
SR805C6400 |
8.50 |
8.00 |
7.50 |
1,124 |
0.0532 |
12.98 |
|
SR805C6500 |
6.00 |
6.50 |
5.50 |
682 |
0.0390 |
13.89 |
|
SR805C6600 |
5.00 |
5.00 |
4.50 |
140 |
0.0308 |
14.89 |
|
SR805C6700 |
4.00 |
4.00 |
4.00 |
54 |
0.0252 |
16.00 |
|
SR805C6800 |
3.50 |
3.50 |
3.50 |
10 |
0.0220 |
17.19 |
|
SR805C6900 |
3.50 |
0.00 |
3.50 |
0 |
0.0203 |
18.46 |
|
SR805C7000 |
3.50 |
1.50 |
2.00 |
6 |
0.0129 |
18.46 |
|
SR805C7100 |
2.00 |
0.00 |
1.00 |
0 |
0.0080 |
18.46 |
|
SR805C7200 |
1.00 |
0.00 |
0.50 |
0 |
0.0048 |
18.46 |
|
SR805C7300 |
0.50 |
0.00 |
0.50 |
0 |
0.0029 |
18.46 |
|
SR805C7400 |
0.50 |
1.00 |
0.50 |
8 |
0.0017 |
18.46 |
|
小计 |
|
|
|
10,872 |
|
|
|
SR805P5300 |
2.50 |
2.50 |
2.50 |
216 |
-0.0215 |
11.03 |
|
SR805P5400 |
4.50 |
5.00 |
5.00 |
534 |
-0.0435 |
10.47 |
|
SR805P5500 |
9.50 |
11.00 |
10.50 |
622 |
-0.0870 |
10.08 |
|
SR805P5600 |
20.50 |
25.00 |
22.50 |
1,160 |
-0.1655 |
9.85 |
|
SR805P5700 |
40.50 |
50.00 |
46.00 |
2,202 |
-0.2857 |
9.78 |
|
SR805P5800 |
75.00 |
91.00 |
84.00 |
2,334 |
-0.4364 |
9.85 |
|
SR805P5900 |
125.50 |
144.00 |
139.50 |
1,230 |
-0.5904 |
10.07 |
|
SR805P6000 |
192.00 |
220.00 |
209.50 |
988 |
-0.7219 |
10.41 |
|
SR805P6100 |
270.50 |
301.00 |
292.00 |
424 |
-0.8177 |
10.88 |
|
SR805P6200 |
358.00 |
394.50 |
381.50 |
576 |
-0.8825 |
11.47 |
|
SR805P6300 |
450.50 |
490.00 |
475.50 |
248 |
-0.9225 |
12.17 |
|
SR805P6400 |
546.00 |
572.00 |
572.00 |
180 |
-0.9478 |
12.98 |
|
SR805P6500 |
644.00 |
680.00 |
670.00 |
6 |
-0.9636 |
13.89 |
|
SR805P6600 |
742.50 |
0.00 |
769.00 |
0 |
-0.9731 |
14.89 |
|
SR805P6700 |
841.50 |
0.00 |
868.50 |
0 |
-0.9798 |
16.00 |
|
SR805P6800 |
941.00 |
0.00 |
968.00 |
0 |
-0.9837 |
17.19 |
|
SR805P6900 |
1,040.50 |
0.00 |
1,068.00 |
0 |
-0.9859 |
18.46 |
|
SR805P7000 |
1,140.50 |
0.00 |
1,167.00 |
0 |
-0.9960 |
18.46 |
|
SR805P7100 |
1,240.00 |
0.00 |
1,267.00 |
0 |
-1.0000 |
18.46 |
|
SR805P7200 |
1,340.00 |
0.00 |
1,367.00 |
0 |
-1.0000 |
18.46 |
|
SR805P7300 |
1,440.00 |
0.00 |
1,467.00 |
0 |
-1.0000 |
18.46 |
|
SR805P7400 |
1,540.00 |
0.00 |
1,567.00 |
0 |
-1.0000 |
18.46 |
|
小计 |
|
|
|
10,720 |
|
|
|
SR合计 |
|
|
|
27,924 |
|
|
|
总计 |
|
|
|
27,924 |
|
|
图表1：白糖期权20180115行情
二、白糖期现货基本面消息及后市行情研判
ICE纽约原糖期货周五触及三周半低点，受累于技术性卖盘和全球供应压力。USDA周五公布的1月供需报告显示，预计美国2017/18年度糖产量将触及纪录高位，因甘蔗产量增加帮助抵消甜菜产量下降的影响。USDA称，预计美国2017/18年度糖产量将达930万短吨（840万吨），略高于上月预期的920万短吨。美国2017/18年度糖库存与使用比预估为14.4%，高于12月预估的14.3%。受此影响，郑糖1805今日再次破位下跌，且增仓放量，预计短期继续走弱的概率较大。
三、期权交易策略运用
基于郑糖期价短期继续走弱的看法，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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