和合期货：2017年12月12日白糖期权日评
一、白糖期货期权合约成交情况
12月12日，郑商所白糖期货SR1805合约收盘价6095，较前一交易日下跌0.07%，成交量20.8万手，较昨日减少13.7万手；白糖期权总成交量11090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(2017-12-12) |
||||||
|
品种代码 |
昨结算 |
今收盘 |
今结算 |
成交量(手) |
DELTA |
隐含波动率 |
|
SR805C5300 |
825.50 |
0.00 |
815.00 |
0 |
0.9753 |
14.56 |
|
SR805C5400 |
727.00 |
0.00 |
716.50 |
0 |
0.9635 |
13.56 |
|
SR805C5500 |
629.50 |
0.00 |
619.50 |
0 |
0.9465 |
12.69 |
|
SR805C5600 |
533.50 |
0.00 |
524.00 |
0 |
0.9206 |
11.94 |
|
SR805C5700 |
440.50 |
0.00 |
431.50 |
0 |
0.8812 |
11.30 |
|
SR805C5800 |
352.50 |
337.00 |
344.00 |
28 |
0.8235 |
10.76 |
|
SR805C5900 |
270.50 |
257.50 |
262.50 |
22 |
0.7443 |
10.33 |
|
SR805C6000 |
197.50 |
185.00 |
191.50 |
150 |
0.6419 |
9.99 |
|
SR805C6100 |
137.00 |
122.00 |
132.00 |
514 |
0.5221 |
9.75 |
|
SR805C6200 |
89.50 |
79.00 |
86.50 |
642 |
0.3974 |
9.59 |
|
SR805C6300 |
55.50 |
48.00 |
53.00 |
1,702 |
0.2815 |
9.52 |
|
SR805C6400 |
33.00 |
27.50 |
31.50 |
2,162 |
0.1884 |
9.53 |
|
SR805C6500 |
19.00 |
16.00 |
18.00 |
924 |
0.1183 |
9.61 |
|
SR805C6600 |
10.50 |
9.00 |
10.50 |
30 |
0.0732 |
9.76 |
|
SR805C6700 |
6.00 |
6.00 |
6.00 |
104 |
0.0444 |
9.99 |
|
SR805C6800 |
3.50 |
0.00 |
3.50 |
0 |
0.0271 |
10.28 |
|
SR805C6900 |
2.50 |
0.00 |
2.00 |
0 |
0.0171 |
10.63 |
|
SR805C7000 |
1.50 |
0.00 |
1.50 |
0 |
0.0113 |
11.04 |
|
SR805C7100 |
0.50 |
0.00 |
1.00 |
0 |
0.0077 |
11.52 |
|
SR805C7200 |
0.50 |
0.00 |
0.50 |
0 |
0.0057 |
12.04 |
|
SR805C7300 |
0.50 |
0.00 |
0.50 |
0 |
0.0030 |
12.04 |
|
SR805C7400 |
0.50 |
1.50 |
0.50 |
4 |
0.0015 |
12.04 |
|
小计 |
|
|
|
6,282 |
|
|
|
SR805P5300 |
6.00 |
0.00 |
5.50 |
0 |
-0.0295 |
14.56 |
|
SR805P5400 |
7.50 |
6.00 |
7.50 |
2 |
-0.0395 |
13.56 |
|
SR805P5500 |
10.00 |
8.00 |
10.00 |
44 |
-0.0544 |
12.69 |
|
SR805P5600 |
14.00 |
14.50 |
14.00 |
62 |
-0.0781 |
11.94 |
|
SR805P5700 |
20.50 |
23.50 |
21.50 |
400 |
-0.1153 |
11.30 |
|
SR805P5800 |
32.00 |
33.50 |
33.00 |
1,204 |
-0.1709 |
10.76 |
|
SR805P5900 |
49.50 |
54.50 |
51.50 |
510 |
-0.2484 |
10.33 |
|
SR805P6000 |
75.50 |
86.00 |
79.50 |
800 |
-0.3498 |
9.99 |
|
SR805P6100 |
114.50 |
130.00 |
119.50 |
480 |
-0.4691 |
9.75 |
|
SR805P6200 |
166.00 |
185.00 |
172.50 |
478 |
-0.5940 |
9.59 |
|
SR805P6300 |
231.00 |
247.00 |
238.50 |
106 |
-0.7111 |
9.52 |
|
SR805P6400 |
307.50 |
309.50 |
316.50 |
6 |
-0.8061 |
9.53 |
|
SR805P6500 |
393.00 |
425.00 |
402.00 |
62 |
-0.8789 |
9.61 |
|
SR805P6600 |
484.50 |
0.00 |
494.50 |
0 |
-0.9271 |
9.76 |
|
SR805P6700 |
580.00 |
0.00 |
590.00 |
0 |
-0.9596 |
9.99 |
|
SR805P6800 |
678.00 |
0.00 |
688.00 |
0 |
-0.9808 |
10.28 |
|
SR805P6900 |
777.00 |
0.00 |
787.00 |
0 |
-0.9950 |
10.63 |
|
SR805P7000 |
877.00 |
0.00 |
887.00 |
0 |
-1.0000 |
11.04 |
|
SR805P7100 |
977.00 |
0.00 |
987.00 |
0 |
-1.0000 |
11.52 |
|
SR805P7200 |
1,077.00 |
0.00 |
1,087.00 |
0 |
-1.0000 |
12.04 |
|
SR805P7300 |
1,177.00 |
0.00 |
1,187.00 |
0 |
-1.0000 |
12.04 |
|
SR805P7400 |
1,277.00 |
0.00 |
1,287.00 |
0 |
-1.0000 |
12.04 |
|
小计 |
|
|
|
4,154 |
|
|
|
SR合计 |
|
|
|
11,090 |
|
|
|
总计 |
|
|
|
11,090 |
|
|
图表1：白糖期权20171212行情
二、白糖期现货基本面消息及后市行情研判
ICE纽约原糖期货连续第五日走低，并触及七周低位，投资者聚焦全球供应过剩情况。市场焦点从担忧头号产糖国巴西的产量，转向预期印度和欧盟等其他重要出产地产量上升。尽管清仓显示出巴西注重生产乙醇，但交易商依然对大量的糖供应过剩作出反应。印度糖厂产量同比大幅增加，欧盟和巴基斯坦出口亦预计强劲。但路易达孚旗下巴西糖及乙醇生产商预计巴西中南部地区2018/19年度甘蔗产量将从2017/18年度的5.99亿吨降至5.86亿吨。外盘带动下，预计郑糖1805短期将震荡走弱的概率较大。
三、期权交易策略运用
基于郑糖期价短期将震荡走弱的看法，建议顶部宽跨式套利单获利离场，看跌期权多单轻仓介入。
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
