和合期货：2018年1月24日白糖期权日评
一、白糖期货期权合约成交情况
1月24日，郑商所白糖期货SR1805合约收盘价5792，较前一交易日上涨0.61%，成交量43.8万手，较前一交易日增加20.9万手；白糖期权总成交量38204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(2018-01-24) |
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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 |
|
SR805C5200 |
563.00 |
0.00 |
602.00 |
0 |
0.9964 |
11.72 |
|
SR805C5300 |
463.50 |
0.00 |
502.50 |
0 |
0.9859 |
10.75 |
|
SR805C5400 |
366.00 |
414.50 |
404.50 |
22 |
0.9639 |
10.02 |
|
SR805C5500 |
273.00 |
320.50 |
309.00 |
44 |
0.9182 |
9.52 |
|
SR805C5600 |
189.50 |
218.50 |
221.00 |
184 |
0.8288 |
9.22 |
|
SR805C5700 |
122.00 |
140.00 |
145.50 |
288 |
0.6861 |
9.13 |
|
SR805C5800 |
72.50 |
82.00 |
87.50 |
2,254 |
0.5084 |
9.23 |
|
SR805C5900 |
41.50 |
45.00 |
50.00 |
2,834 |
0.3383 |
9.52 |
|
SR805C6000 |
23.50 |
24.00 |
27.50 |
3,722 |
0.2091 |
9.97 |
|
SR805C6100 |
14.00 |
13.50 |
15.50 |
1,340 |
0.1269 |
10.59 |
|
SR805C6200 |
9.00 |
8.50 |
9.50 |
2,372 |
0.0788 |
11.37 |
|
SR805C6300 |
6.00 |
6.00 |
6.50 |
520 |
0.0523 |
12.29 |
|
SR805C6400 |
4.50 |
4.50 |
4.50 |
410 |
0.0371 |
13.35 |
|
SR805C6500 |
3.50 |
4.00 |
4.00 |
374 |
0.0296 |
14.55 |
|
SR805C6600 |
3.00 |
3.50 |
3.50 |
8 |
0.0245 |
15.87 |
|
SR805C6700 |
3.00 |
2.50 |
3.50 |
24 |
0.0222 |
17.32 |
|
SR805C6800 |
1.50 |
0.00 |
2.00 |
0 |
0.0132 |
17.32 |
|
SR805C6900 |
1.00 |
1.50 |
1.00 |
10 |
0.0076 |
17.32 |
|
SR805C7000 |
0.50 |
1.00 |
0.50 |
6 |
0.0042 |
17.32 |
|
SR805C7100 |
0.50 |
0.00 |
0.50 |
0 |
0.0023 |
17.32 |
|
SR805C7200 |
0.50 |
0.00 |
0.50 |
0 |
0.0012 |
17.32 |
|
SR805C7300 |
0.50 |
0.00 |
0.50 |
0 |
0.0006 |
17.32 |
|
SR805C7400 |
0.50 |
0.00 |
0.50 |
0 |
0.0003 |
17.32 |
|
小计 |
|
|
|
14,412 |
|
|
|
SR805P5200 |
0.50 |
0.00 |
1.00 |
0 |
-0.0101 |
11.72 |
|
SR805P5300 |
1.50 |
2.50 |
1.50 |
390 |
-0.0182 |
10.75 |
|
SR805P5400 |
4.50 |
5.00 |
3.50 |
240 |
-0.0374 |
10.02 |
|
SR805P5500 |
11.00 |
9.50 |
8.50 |
1,584 |
-0.0805 |
9.52 |
|
SR805P5600 |
27.50 |
21.00 |
20.00 |
5,152 |
-0.1676 |
9.22 |
|
SR805P5700 |
59.00 |
46.00 |
44.00 |
2,504 |
-0.3090 |
9.13 |
|
SR805P5800 |
109.50 |
88.00 |
85.50 |
1,154 |
-0.4862 |
9.23 |
|
SR805P5900 |
177.50 |
142.00 |
147.50 |
1,642 |
-0.6568 |
9.52 |
|
SR805P6000 |
259.50 |
225.50 |
224.50 |
2,446 |
-0.7870 |
9.97 |
|
SR805P6100 |
349.50 |
307.00 |
312.50 |
264 |
-0.8707 |
10.59 |
|
SR805P6200 |
444.00 |
0.00 |
406.00 |
16 |
-0.9204 |
11.37 |
|
SR805P6300 |
541.00 |
0.00 |
502.50 |
0 |
-0.9485 |
12.29 |
|
SR805P6400 |
639.50 |
0.00 |
601.00 |
2 |
-0.9650 |
13.35 |
|
SR805P6500 |
738.50 |
0.00 |
700.00 |
0 |
-0.9736 |
14.55 |
|
SR805P6600 |
838.00 |
0.00 |
799.50 |
0 |
-0.9795 |
15.87 |
|
SR805P6700 |
938.00 |
0.00 |
899.00 |
0 |
-0.9824 |
17.32 |
|
SR805P6800 |
1,037.00 |
0.00 |
998.00 |
0 |
-0.9937 |
17.32 |
|
SR805P6900 |
1,137.00 |
0.00 |
1,098.00 |
0 |
-1.0000 |
17.32 |
|
SR805P7000 |
1,237.00 |
0.00 |
1,198.00 |
0 |
-1.0000 |
17.32 |
|
SR805P7100 |
1,337.00 |
0.00 |
1,298.00 |
0 |
-1.0000 |
17.32 |
|
SR805P7200 |
1,437.00 |
0.00 |
1,398.00 |
0 |
-1.0000 |
17.32 |
|
SR805P7300 |
1,537.00 |
0.00 |
1,498.00 |
0 |
-1.0000 |
17.32 |
|
SR805P7400 |
1,637.00 |
0.00 |
1,598.00 |
0 |
-1.0000 |
17.32 |
|
小计 |
|
|
|
15,394 |
|
|
|
SR合计 |
|
|
|
38,204 |
|
|
|
总计 |
|
|
|
38,204 |
|
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图表1：白糖期权20180124行情
二、白糖期现货基本面消息及后市行情研判
ICE纽约原糖期货周二跌至逾两年最低水准，受全球供应过剩沉重打压。且最新数据显示，全球最大的糖进口国中国2017年进口229万吨糖，较上年下降25.2%，为2010年以来最低。目前国际糖市整体仍处于全球供应充裕预期中，印度2017/18市场年度糖产量料达2610万吨，较上次预估高出近4%。但连续下跌之后，国内春节备货或将给糖价带来一定支撑，郑糖1805今天跳空高开，放量反弹，预计短期震荡加剧的概率较大。
三、期权交易策略运用
基于郑糖期价短期震荡加剧的看法，建议看跌期权多单减持，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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