和合期货:2018年1月25日白糖期权日评
一、白糖期货期权合约成交情况
1月25日,郑商所白糖期货SR1805合约收盘价5796,较前一交易日上涨0.07%,成交量21.6万手,较前一交易日减少22.2万手;白糖期权总成交量18942手,其中主力1805系列期权各合约今日行情见图表1。
郑州商品交易所期权每日行情表(2018-01-25) |
||||||
品种代码 |
昨结算 |
今收盘 |
今结算 |
成交量(手) |
DELTA |
隐含波动率 |
SR805C5200 |
602.00 |
0.00 |
603.50 |
0 |
0.9901 |
12.63 |
SR805C5300 |
502.50 |
0.00 |
504.00 |
0 |
0.9797 |
11.43 |
SR805C5400 |
404.50 |
0.00 |
406.00 |
0 |
0.9579 |
10.50 |
SR805C5500 |
309.00 |
319.00 |
311.00 |
4 |
0.9135 |
9.83 |
SR805C5600 |
221.00 |
222.50 |
222.50 |
58 |
0.8277 |
9.39 |
SR805C5700 |
145.50 |
155.00 |
146.00 |
160 |
0.6882 |
9.19 |
SR805C5800 |
87.50 |
83.50 |
87.00 |
942 |
0.5103 |
9.20 |
SR805C5900 |
50.00 |
45.50 |
48.50 |
1,438 |
0.3369 |
9.42 |
SR805C6000 |
27.50 |
24.50 |
26.50 |
1,492 |
0.2051 |
9.83 |
SR805C6100 |
15.50 |
13.50 |
14.50 |
398 |
0.1215 |
10.43 |
SR805C6200 |
9.50 |
8.50 |
8.50 |
1,084 |
0.0749 |
11.20 |
SR805C6300 |
6.50 |
6.50 |
6.00 |
308 |
0.0494 |
12.15 |
SR805C6400 |
4.50 |
5.50 |
4.50 |
246 |
0.0353 |
13.25 |
SR805C6500 |
4.00 |
4.00 |
3.50 |
186 |
0.0283 |
14.51 |
SR805C6600 |
3.50 |
0.00 |
3.50 |
0 |
0.0238 |
15.91 |
SR805C6700 |
3.50 |
0.00 |
1.50 |
0 |
0.0134 |
15.91 |
SR805C6800 |
2.00 |
0.00 |
1.00 |
0 |
0.0073 |
15.91 |
SR805C6900 |
1.00 |
0.00 |
0.50 |
0 |
0.0038 |
15.91 |
SR805C7000 |
0.50 |
0.00 |
0.50 |
0 |
0.0019 |
15.91 |
SR805C7100 |
0.50 |
0.00 |
0.50 |
0 |
0.0009 |
15.91 |
SR805C7200 |
0.50 |
0.00 |
0.50 |
0 |
0.0004 |
15.91 |
SR805C7300 |
0.50 |
0.00 |
0.50 |
0 |
0.0002 |
15.91 |
SR805C7400 |
0.50 |
0.00 |
0.50 |
0 |
0.0001 |
15.91 |
小计 |
|
|
|
6,316 |
|
|
SR805P5200 |
1.00 |
0.00 |
1.50 |
0 |
-0.0146 |
12.63 |
SR805P5300 |
1.50 |
2.00 |
2.50 |
298 |
-0.0233 |
11.43 |
SR805P5400 |
3.50 |
3.50 |
4.50 |
288 |
-0.0429 |
10.50 |
SR805P5500 |
8.50 |
9.00 |
9.00 |
456 |
-0.0850 |
9.83 |
SR805P5600 |
20.00 |
21.50 |
20.50 |
744 |
-0.1688 |
9.39 |
SR805P5700 |
44.00 |
45.00 |
43.50 |
1,174 |
-0.3070 |
9.19 |
SR805P5800 |
85.50 |
88.50 |
84.00 |
1,124 |
-0.4845 |
9.20 |
SR805P5900 |
147.50 |
148.00 |
145.00 |
108 |
-0.6583 |
9.42 |
SR805P6000 |
224.50 |
228.50 |
222.50 |
134 |
-0.7911 |
9.83 |
SR805P6100 |
312.50 |
318.00 |
310.00 |
130 |
-0.8762 |
10.43 |
SR805P6200 |
406.00 |
399.50 |
404.00 |
2 |
-0.9245 |
11.20 |
SR805P6300 |
502.50 |
493.50 |
501.00 |
18 |
-0.9515 |
12.15 |
SR805P6400 |
601.00 |
0.00 |
599.50 |
0 |
-0.9670 |
13.25 |
SR805P6500 |
700.00 |
0.00 |
699.00 |
0 |
-0.9751 |
14.51 |
SR805P6600 |
799.50 |
0.00 |
798.50 |
0 |
-0.9802 |
15.91 |
SR805P6700 |
899.00 |
0.00 |
897.00 |
0 |
-0.9931 |
15.91 |
SR805P6800 |
998.00 |
0.00 |
997.00 |
0 |
-1.0000 |
15.91 |
SR805P6900 |
1,098.00 |
0.00 |
1,097.00 |
0 |
-1.0000 |
15.91 |
SR805P7000 |
1,198.00 |
0.00 |
1,197.00 |
0 |
-1.0000 |
15.91 |
SR805P7100 |
1,298.00 |
0.00 |
1,297.00 |
0 |
-1.0000 |
15.91 |
SR805P7200 |
1,398.00 |
0.00 |
1,397.00 |
0 |
-1.0000 |
15.91 |
SR805P7300 |
1,498.00 |
0.00 |
1,497.00 |
0 |
-1.0000 |
15.91 |
SR805P7400 |
1,598.00 |
0.00 |
1,597.00 |
0 |
-1.0000 |
15.91 |
小计 |
|
|
|
4,476 |
|
|
SR合计 |
|
|
|
18,942 |
|
|
总计 |
|
|
|
18,942 |
|
|
图表1:白糖期权20180125行情
二、白糖期现货基本面消息及后市行情研判
ICE纽约原糖期货周三跌至逾两年新低,受累于全球供应过剩预期,欧盟、巴基斯坦、印度和泰国产量大幅增长,围绕全球供应过剩前景的担忧打压价格。且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。但巴西甘蔗行业组织Unica数据显示,1月上半月,巴西中南部地区糖厂压榨甘蔗166000吨,同比大幅减少86%;同期糖产量为3000吨,同比减少92%。且连续下跌之后,国内春节备货或将给糖价带来一定支撑,郑糖1805出现连续反弹迹象,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,建议看跌期权多单继续减持,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。
和合期货研发部
联系电话:0351-7342668/7342558