和合期货：2018年1月4日白糖期权日评
一、白糖期货期权合约成交情况
1月4日，郑商所白糖期货SR1805合约收盘价5858，较前一交易日下跌0.80%，成交量49.7万手，较昨日增加26.6万手；白糖期权总成交量52714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(2018-01-04) |
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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 |
604.50 |
0.00 |
558.00 |
0 |
0.9832 |
10.74 |
|
SR805C5400 |
507.00 |
0.00 |
460.00 |
0 |
0.9588 |
10.22 |
|
SR805C5500 |
412.00 |
348.00 |
365.50 |
56 |
0.9156 |
9.85 |
|
SR805C5600 |
322.00 |
271.00 |
277.00 |
12 |
0.8426 |
9.62 |
|
SR805C5700 |
239.50 |
198.50 |
198.50 |
264 |
0.7321 |
9.52 |
|
SR805C5800 |
168.50 |
138.00 |
134.50 |
756 |
0.5912 |
9.54 |
|
SR805C5900 |
112.00 |
91.00 |
86.00 |
3,060 |
0.4419 |
9.68 |
|
SR805C6000 |
71.50 |
59.50 |
53.50 |
2,442 |
0.3090 |
9.94 |
|
SR805C6100 |
44.00 |
35.50 |
32.50 |
3,030 |
0.2058 |
10.30 |
|
SR805C6200 |
27.00 |
23.00 |
20.00 |
3,240 |
0.1349 |
10.76 |
|
SR805C6300 |
16.50 |
15.00 |
12.50 |
1,288 |
0.0885 |
11.32 |
|
SR805C6400 |
11.00 |
10.50 |
8.50 |
2,798 |
0.0599 |
11.97 |
|
SR805C6500 |
7.50 |
7.00 |
6.00 |
632 |
0.0428 |
12.70 |
|
SR805C6600 |
5.50 |
5.50 |
4.50 |
124 |
0.0320 |
13.52 |
|
SR805C6700 |
4.00 |
4.50 |
3.50 |
72 |
0.0250 |
14.42 |
|
SR805C6800 |
3.50 |
0.00 |
3.00 |
0 |
0.0210 |
15.39 |
|
SR805C6900 |
3.00 |
3.50 |
3.00 |
172 |
0.0184 |
16.44 |
|
SR805C7000 |
3.00 |
5.00 |
3.00 |
10 |
0.0167 |
17.55 |
|
SR805C7100 |
3.00 |
0.00 |
3.00 |
0 |
0.0156 |
18.74 |
|
SR805C7200 |
2.00 |
1.00 |
2.00 |
26 |
0.0105 |
18.74 |
|
SR805C7300 |
1.00 |
0.00 |
1.00 |
0 |
0.0068 |
18.74 |
|
SR805C7400 |
0.50 |
0.00 |
0.50 |
0 |
0.0043 |
18.74 |
|
小计 |
|
|
|
17,982 |
|
|
|
SR805P5300 |
4.00 |
3.00 |
2.50 |
96 |
-0.0219 |
10.74 |
|
SR805P5400 |
6.00 |
5.00 |
5.00 |
140 |
-0.0429 |
10.22 |
|
SR805P5500 |
11.00 |
10.50 |
10.50 |
1,170 |
-0.0829 |
9.85 |
|
SR805P5600 |
20.50 |
23.00 |
21.50 |
2,048 |
-0.1533 |
9.62 |
|
SR805P5700 |
38.00 |
45.00 |
42.50 |
5,454 |
-0.2620 |
9.52 |
|
SR805P5800 |
66.00 |
81.00 |
77.50 |
7,812 |
-0.4020 |
9.54 |
|
SR805P5900 |
109.00 |
133.50 |
129.00 |
1,796 |
-0.5511 |
9.68 |
|
SR805P6000 |
167.50 |
200.00 |
195.50 |
1,792 |
-0.6847 |
9.94 |
|
SR805P6100 |
239.50 |
279.00 |
273.50 |
616 |
-0.7893 |
10.30 |
|
SR805P6200 |
322.00 |
374.00 |
361.00 |
3,844 |
-0.8619 |
10.76 |
|
SR805P6300 |
411.50 |
459.00 |
453.50 |
168 |
-0.9103 |
11.32 |
|
SR805P6400 |
505.50 |
563.50 |
549.00 |
32 |
-0.9409 |
11.97 |
|
SR805P6500 |
602.00 |
0.00 |
646.50 |
0 |
-0.9601 |
12.70 |
|
SR805P6600 |
699.50 |
0.00 |
745.00 |
0 |
-0.9726 |
13.52 |
|
SR805P6700 |
798.50 |
0.00 |
844.00 |
0 |
-0.9812 |
14.42 |
|
SR805P6800 |
898.00 |
0.00 |
943.50 |
0 |
-0.9864 |
15.39 |
|
SR805P6900 |
997.50 |
0.00 |
1,043.50 |
0 |
-0.9899 |
16.44 |
|
SR805P7000 |
1,097.50 |
1,151.00 |
1,143.50 |
4 |
-0.9923 |
17.55 |
|
SR805P7100 |
1,197.00 |
1,253.00 |
1,243.00 |
2 |
-0.9940 |
18.74 |
|
SR805P7200 |
1,297.00 |
0.00 |
1,343.00 |
0 |
-0.9998 |
18.74 |
|
SR805P7300 |
1,397.00 |
0.00 |
1,443.00 |
0 |
-1.0000 |
18.74 |
|
SR805P7400 |
1,497.00 |
1,556.00 |
1,543.00 |
6 |
-1.0000 |
18.74 |
|
小计 |
|
|
|
24,980 |
|
|
|
SR合计 |
|
|
|
52,714 |
|
|
|
总计 |
|
|
|
52,714 |
|
|
图表1：白糖期权20180104行情
二、白糖期现货基本面消息及后市行情研判
ICE纽约原糖期货周三从五周高位回落，投资者重新聚焦偏空的基本面，倍受关注的商品分析公司Green Pool周三报告称，将2017/18年全球糖市供应过剩规模预估上调至1043万吨，之前预估为980万吨。且巴西12月出口1526213吨原糖，低于11月的1834579吨，更低于上年同期的2087582吨。目前内外盘走势分化，郑糖1805明显仍处于弱势之中，今天继续下跌，且增仓放量，预计短期继续下行的概率较大，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下行的看法，建议看跌期权多单继续持有，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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