和合期货：2018年1月2日白糖期权日评
一、白糖期货期权合约成交情况
1月2日，郑商所白糖期货SR1805合约收盘价5897，较前一交易日下跌0.67%，成交量32.9万手，较昨日增加16.9万手；白糖期权总成交量21686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(2018-01-02) |
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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 |
640.00 |
0.00 |
621.50 |
0 |
0.9852 |
11.61 |
|
SR805C5400 |
542.50 |
0.00 |
523.50 |
0 |
0.9656 |
11.02 |
|
SR805C5500 |
447.00 |
397.00 |
428.00 |
28 |
0.9321 |
10.57 |
|
SR805C5600 |
356.00 |
317.00 |
336.50 |
12 |
0.8763 |
10.24 |
|
SR805C5700 |
271.00 |
238.50 |
253.00 |
84 |
0.7909 |
10.04 |
|
SR805C5800 |
197.00 |
170.00 |
180.50 |
114 |
0.6730 |
9.95 |
|
SR805C5900 |
136.00 |
112.00 |
122.00 |
334 |
0.5354 |
9.98 |
|
SR805C6000 |
89.00 |
69.50 |
79.00 |
1,474 |
0.3980 |
10.11 |
|
SR805C6100 |
56.50 |
43.50 |
49.00 |
1,226 |
0.2781 |
10.34 |
|
SR805C6200 |
35.00 |
26.50 |
30.50 |
2,656 |
0.1880 |
10.67 |
|
SR805C6300 |
22.00 |
17.50 |
19.00 |
2,412 |
0.1239 |
11.09 |
|
SR805C6400 |
14.50 |
11.50 |
12.00 |
1,310 |
0.0820 |
11.59 |
|
SR805C6500 |
9.50 |
8.00 |
8.00 |
228 |
0.0558 |
12.18 |
|
SR805C6600 |
7.00 |
0.00 |
5.50 |
0 |
0.0398 |
12.85 |
|
SR805C6700 |
5.00 |
0.00 |
4.50 |
0 |
0.0298 |
13.59 |
|
SR805C6800 |
4.50 |
0.00 |
3.50 |
0 |
0.0229 |
14.40 |
|
SR805C6900 |
3.50 |
0.00 |
3.00 |
0 |
0.0191 |
15.28 |
|
SR805C7000 |
3.50 |
0.00 |
2.50 |
0 |
0.0162 |
16.23 |
|
SR805C7100 |
3.00 |
0.00 |
2.50 |
0 |
0.0143 |
17.23 |
|
SR805C7200 |
3.00 |
0.00 |
2.50 |
0 |
0.0134 |
18.30 |
|
SR805C7300 |
2.00 |
2.00 |
1.50 |
8 |
0.0086 |
18.30 |
|
SR805C7400 |
1.50 |
0.00 |
1.00 |
0 |
0.0057 |
18.30 |
|
小计 |
|
|
|
9,886 |
|
|
|
SR805P5300 |
4.50 |
3.50 |
2.50 |
20 |
-0.0203 |
11.61 |
|
SR805P5400 |
7.00 |
5.50 |
4.50 |
10 |
-0.0369 |
11.02 |
|
SR805P5500 |
11.50 |
11.00 |
9.00 |
298 |
-0.0673 |
10.57 |
|
SR805P5600 |
20.00 |
20.00 |
17.50 |
324 |
-0.1205 |
10.24 |
|
SR805P5700 |
35.00 |
37.50 |
33.00 |
534 |
-0.2038 |
10.04 |
|
SR805P5800 |
60.00 |
68.00 |
60.50 |
1,362 |
-0.3204 |
9.95 |
|
SR805P5900 |
98.00 |
110.50 |
101.50 |
1,166 |
-0.4574 |
9.98 |
|
SR805P6000 |
150.50 |
171.50 |
157.50 |
890 |
-0.5951 |
10.11 |
|
SR805P6100 |
217.50 |
244.00 |
227.00 |
742 |
-0.7159 |
10.34 |
|
SR805P6200 |
295.50 |
321.50 |
308.00 |
2,498 |
-0.8073 |
10.67 |
|
SR805P6300 |
382.00 |
404.50 |
395.50 |
24 |
-0.8733 |
11.09 |
|
SR805P6400 |
473.50 |
506.00 |
488.50 |
14 |
-0.9172 |
11.59 |
|
SR805P6500 |
569.00 |
615.00 |
584.50 |
2 |
-0.9456 |
12.18 |
|
SR805P6600 |
666.00 |
0.00 |
682.00 |
0 |
-0.9636 |
12.85 |
|
SR805P6700 |
764.50 |
0.00 |
780.50 |
0 |
-0.9754 |
13.59 |
|
SR805P6800 |
863.50 |
0.00 |
880.00 |
0 |
-0.9840 |
14.40 |
|
SR805P6900 |
963.00 |
0.00 |
979.50 |
0 |
-0.9893 |
15.28 |
|
SR805P7000 |
1,062.50 |
0.00 |
1,079.00 |
0 |
-0.9933 |
16.23 |
|
SR805P7100 |
1,162.50 |
0.00 |
1,179.00 |
0 |
-0.9961 |
17.23 |
|
SR805P7200 |
1,262.00 |
0.00 |
1,279.00 |
0 |
-0.9973 |
18.30 |
|
SR805P7300 |
1,362.00 |
0.00 |
1,379.00 |
0 |
-1.0000 |
18.30 |
|
SR805P7400 |
1,462.00 |
0.00 |
1,479.00 |
0 |
-1.0000 |
18.30 |
|
小计 |
|
|
|
7,884 |
|
|
|
SR合计 |
|
|
|
21,686 |
|
|
|
总计 |
|
|
|
21,686 |
|
|
图表1：白糖期权20180102行情
二、白糖期现货基本面消息及后市行情研判
ICE纽约原糖期货周五延续年末升势，但全年下跌逾22%，为2011年以来最大年线跌幅，因预期供应大量过剩。美元指数跌至三个月低位，提振了以美元计价的商品价格，软商品市场也受到提振。不过，利空的供应预期在2017年大部分时间令软商品价格承压。郑糖1805经过几天窄幅震荡后，今天放量下跌，且MACD仍处于0轴下方，预计短期继续震荡走弱的概率较大，后期需及时关注春节备货能否给糖价带来支撑。
三、期权交易策略运用
基于郑糖期价短期继续震荡走弱的看法，建议看跌期权多单适量持有，标的破6000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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