和合期货：2018年1月17日白糖期权日评
一、白糖期货期权合约成交情况
1月17日，郑商所白糖期货SR1805合约收盘价5785，较前一交易日下跌0.52，成交量36.4万手，较昨日增加19.7万手；白糖期权总成交量38806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(2018-01-17) |
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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 |
518.50 |
0.00 |
501.50 |
0 |
0.9840 |
10.41 |
|
SR805C5400 |
421.00 |
391.00 |
404.50 |
8 |
0.9555 |
9.98 |
|
SR805C5500 |
327.00 |
310.00 |
311.00 |
122 |
0.9007 |
9.71 |
|
SR805C5600 |
240.50 |
216.50 |
225.50 |
476 |
0.8058 |
9.59 |
|
SR805C5700 |
165.50 |
145.50 |
153.00 |
514 |
0.6684 |
9.62 |
|
SR805C5800 |
107.00 |
92.00 |
97.50 |
950 |
0.5070 |
9.78 |
|
SR805C5900 |
65.50 |
56.50 |
59.00 |
2,018 |
0.3539 |
10.08 |
|
SR805C6000 |
39.00 |
33.00 |
35.50 |
4,332 |
0.2335 |
10.50 |
|
SR805C6100 |
23.00 |
19.50 |
21.00 |
1,866 |
0.1499 |
11.04 |
|
SR805C6200 |
14.50 |
11.50 |
13.00 |
3,442 |
0.0971 |
11.69 |
|
SR805C6300 |
9.50 |
8.50 |
8.50 |
1,216 |
0.0648 |
12.44 |
|
SR805C6400 |
6.50 |
6.50 |
6.00 |
574 |
0.0456 |
13.30 |
|
SR805C6500 |
5.00 |
5.00 |
4.50 |
336 |
0.0337 |
14.25 |
|
SR805C6600 |
4.00 |
5.50 |
4.00 |
40 |
0.0267 |
15.30 |
|
SR805C6700 |
3.50 |
0.00 |
3.50 |
0 |
0.0222 |
16.43 |
|
SR805C6800 |
3.00 |
0.00 |
3.00 |
0 |
0.0198 |
17.65 |
|
SR805C6900 |
3.00 |
0.00 |
3.00 |
0 |
0.0183 |
18.94 |
|
SR805C7000 |
3.00 |
0.00 |
2.00 |
0 |
0.0117 |
18.94 |
|
SR805C7100 |
2.00 |
0.00 |
1.00 |
0 |
0.0072 |
18.94 |
|
SR805C7200 |
1.00 |
0.00 |
0.50 |
0 |
0.0044 |
18.94 |
|
SR805C7300 |
0.50 |
0.00 |
0.50 |
0 |
0.0025 |
18.94 |
|
SR805C7400 |
0.50 |
0.50 |
0.50 |
48 |
0.0015 |
18.94 |
|
小计 |
|
|
|
15,942 |
|
|
|
SR805P5300 |
2.00 |
2.50 |
2.00 |
68 |
-0.0202 |
10.41 |
|
SR805P5400 |
4.50 |
6.00 |
5.00 |
318 |
-0.0454 |
9.98 |
|
SR805P5500 |
10.50 |
14.00 |
11.50 |
1,602 |
-0.0972 |
9.71 |
|
SR805P5600 |
23.50 |
30.00 |
25.50 |
2,660 |
-0.1899 |
9.59 |
|
SR805P5700 |
48.50 |
57.50 |
52.50 |
3,142 |
-0.3261 |
9.62 |
|
SR805P5800 |
89.00 |
105.00 |
96.50 |
4,026 |
-0.4871 |
9.78 |
|
SR805P5900 |
147.00 |
169.50 |
157.50 |
1,922 |
-0.6405 |
10.08 |
|
SR805P6000 |
220.00 |
243.00 |
233.00 |
418 |
-0.7619 |
10.50 |
|
SR805P6100 |
303.50 |
326.50 |
318.50 |
266 |
-0.8469 |
11.04 |
|
SR805P6200 |
394.50 |
0.00 |
410.50 |
0 |
-0.9014 |
11.69 |
|
SR805P6300 |
489.50 |
520.50 |
505.50 |
10 |
-0.9354 |
12.44 |
|
SR805P6400 |
586.50 |
0.00 |
603.00 |
0 |
-0.9562 |
13.30 |
|
SR805P6500 |
684.50 |
720.00 |
701.50 |
2 |
-0.9694 |
14.25 |
|
SR805P6600 |
783.50 |
0.00 |
800.50 |
0 |
-0.9777 |
15.30 |
|
SR805P6700 |
883.00 |
0.00 |
900.00 |
0 |
-0.9832 |
16.43 |
|
SR805P6800 |
983.00 |
0.00 |
1,000.00 |
0 |
-0.9862 |
17.65 |
|
SR805P6900 |
1,082.50 |
0.00 |
1,099.50 |
0 |
-0.9883 |
18.94 |
|
SR805P7000 |
1,182.50 |
0.00 |
1,199.00 |
0 |
-0.9974 |
18.94 |
|
SR805P7100 |
1,282.00 |
0.00 |
1,299.00 |
0 |
-1.0000 |
18.94 |
|
SR805P7200 |
1,382.00 |
0.00 |
1,399.00 |
0 |
-1.0000 |
18.94 |
|
SR805P7300 |
1,482.00 |
0.00 |
1,499.00 |
0 |
-1.0000 |
18.94 |
|
SR805P7400 |
1,582.00 |
0.00 |
1,599.00 |
0 |
-1.0000 |
18.94 |
|
小计 |
|
|
|
14,434 |
|
|
|
SR合计 |
|
|
|
38,806 |
|
|
|
总计 |
|
|
|
38,806 |
|
|
图表1：白糖期权20180117行情
二、白糖期现货基本面消息及后市行情研判
ICE纽约原糖期货周二急跌逾4%，至三个半月低位，受累于预期全球供应过剩，以及巴西雷亚尔兑美元走软。主要出口国泰国收成创纪录，进一步加剧了2017/18年度将会出现的供应过剩局面。加之USDA的1月供需报告带来的利空效应依然存在。
盘面来看，郑糖1805今日继续放量下跌，在目前基本面整体偏向利空的情况下，预计短期继续下挫的概率较大。
三、期权交易策略运用
基于郑糖期价短期继续下挫的看法，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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