和合期货：2018年1月18日白糖期权日评
一、白糖期货期权合约成交情况
1月18日，郑商所白糖期货SR1805合约收盘价5768，较前一交易日下跌0.29，成交量26.5万手，较昨日减少98746手；白糖期权总成交量20490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(2018-01-18) |
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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 |
501.50 |
0.00 |
486.00 |
0 |
0.9795 |
10.50 |
|
SR805C5400 |
404.50 |
376.50 |
389.00 |
28 |
0.9479 |
10.11 |
|
SR805C5500 |
311.00 |
0.00 |
297.00 |
4 |
0.8872 |
9.88 |
|
SR805C5600 |
225.50 |
200.00 |
213.50 |
310 |
0.7846 |
9.78 |
|
SR805C5700 |
153.00 |
134.00 |
144.00 |
74 |
0.6421 |
9.83 |
|
SR805C5800 |
97.50 |
82.50 |
91.00 |
510 |
0.4816 |
10.00 |
|
SR805C5900 |
59.00 |
49.00 |
55.00 |
1,116 |
0.3334 |
10.29 |
|
SR805C6000 |
35.50 |
28.50 |
32.50 |
2,120 |
0.2174 |
10.71 |
|
SR805C6100 |
21.00 |
16.50 |
19.50 |
2,064 |
0.1395 |
11.23 |
|
SR805C6200 |
13.00 |
11.00 |
12.00 |
1,120 |
0.0891 |
11.86 |
|
SR805C6300 |
8.50 |
8.00 |
7.50 |
876 |
0.0587 |
12.58 |
|
SR805C6400 |
6.00 |
6.00 |
5.50 |
994 |
0.0410 |
13.41 |
|
SR805C6500 |
4.50 |
4.50 |
4.00 |
494 |
0.0303 |
14.32 |
|
SR805C6600 |
4.00 |
4.50 |
3.00 |
20 |
0.0232 |
15.32 |
|
SR805C6700 |
3.50 |
0.00 |
3.00 |
0 |
0.0195 |
16.40 |
|
SR805C6800 |
3.00 |
2.50 |
2.50 |
32 |
0.0169 |
17.56 |
|
SR805C6900 |
3.00 |
0.00 |
2.50 |
0 |
0.0151 |
18.80 |
|
SR805C7000 |
2.00 |
1.50 |
1.50 |
10 |
0.0095 |
18.80 |
|
SR805C7100 |
1.00 |
0.00 |
1.00 |
0 |
0.0059 |
18.80 |
|
SR805C7200 |
0.50 |
0.00 |
0.50 |
0 |
0.0035 |
18.80 |
|
SR805C7300 |
0.50 |
0.00 |
0.50 |
0 |
0.0021 |
18.80 |
|
SR805C7400 |
0.50 |
0.00 |
0.50 |
0 |
0.0012 |
18.80 |
|
小计 |
|
|
|
9,772 |
|
|
|
SR805P5300 |
2.00 |
3.00 |
2.50 |
62 |
-0.0240 |
10.50 |
|
SR805P5400 |
5.00 |
7.00 |
5.50 |
122 |
-0.0523 |
10.11 |
|
SR805P5500 |
11.50 |
15.50 |
13.50 |
1,214 |
-0.1103 |
9.88 |
|
SR805P5600 |
25.50 |
33.50 |
29.50 |
1,004 |
-0.2109 |
9.78 |
|
SR805P5700 |
52.50 |
64.00 |
59.50 |
1,178 |
-0.3523 |
9.83 |
|
SR805P5800 |
96.50 |
114.00 |
106.00 |
1,428 |
-0.5126 |
10.00 |
|
SR805P5900 |
157.50 |
180.00 |
169.50 |
296 |
-0.6612 |
10.29 |
|
SR805P6000 |
233.00 |
252.00 |
246.00 |
152 |
-0.7783 |
10.71 |
|
SR805P6100 |
318.50 |
338.00 |
333.00 |
66 |
-0.8576 |
11.23 |
|
SR805P6200 |
410.50 |
427.00 |
425.00 |
40 |
-0.9096 |
11.86 |
|
SR805P6300 |
505.50 |
536.00 |
520.50 |
44 |
-0.9418 |
12.58 |
|
SR805P6400 |
603.00 |
609.00 |
618.50 |
2 |
-0.9612 |
13.41 |
|
SR805P6500 |
701.50 |
0.00 |
717.00 |
0 |
-0.9733 |
14.32 |
|
SR805P6600 |
800.50 |
0.00 |
816.00 |
0 |
-0.9818 |
15.32 |
|
SR805P6700 |
900.00 |
0.00 |
915.50 |
0 |
-0.9864 |
16.40 |
|
SR805P6800 |
1,000.00 |
0.00 |
1,015.50 |
0 |
-0.9899 |
17.56 |
|
SR805P6900 |
1,099.50 |
0.00 |
1,115.50 |
0 |
-0.9922 |
18.80 |
|
SR805P7000 |
1,199.00 |
0.00 |
1,215.00 |
0 |
-0.9993 |
18.80 |
|
SR805P7100 |
1,299.00 |
0.00 |
1,315.00 |
0 |
-1.0000 |
18.80 |
|
SR805P7200 |
1,399.00 |
0.00 |
1,415.00 |
0 |
-1.0000 |
18.80 |
|
SR805P7300 |
1,499.00 |
0.00 |
1,515.00 |
0 |
-1.0000 |
18.80 |
|
SR805P7400 |
1,599.00 |
0.00 |
1,615.00 |
0 |
-1.0000 |
18.80 |
|
小计 |
|
|
|
5,608 |
|
|
|
SR合计 |
|
|
|
20,490 |
|
|
|
总计 |
|
|
|
20,490 |
|
|
图表1：白糖期权20180118行情
二、白糖期现货基本面消息及后市行情研判
ICE纽约原糖期货周三续跌，继续受全球供应过剩疑虑拖累，且有报道称巴西正考虑取消20%的美国乙醇进口关税，这意味着巴西未来可能进口更多美国乙醇，从而产出更多糖。加之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。
盘面来看，郑糖1805目前跌势完好，在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。
和合期货研发部
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