和合期貨:2017年12月7日白糖期權(quán)日評
一、白糖期貨期權(quán)合約成交情況
12月7日,鄭商所白糖期貨SR1805合約收盤價6171,較前一交易日上漲0.11%,成交量26.0萬手,較昨日減少60880手;白糖期權(quán)總成交量18380手,其中主力1805系列期權(quán)各合約今日行情見圖表1。
鄭州商品交易所期權(quán)每日行情表(2017-12-07) |
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品種代碼 |
昨結(jié)算 |
今收盤 |
今結(jié)算 |
成交量(手) |
DELTA |
隱含波動率 |
SR805C5300 |
896.00 |
0.00 |
861.00 |
0 |
0.9663 |
15.84 |
SR805C5400 |
797.00 |
0.00 |
762.00 |
0 |
0.9575 |
14.57 |
SR805C5500 |
698.50 |
0.00 |
664.50 |
0 |
0.9435 |
13.47 |
SR805C5600 |
601.50 |
0.00 |
568.00 |
0 |
0.9231 |
12.51 |
SR805C5700 |
506.00 |
0.00 |
474.00 |
0 |
0.8915 |
11.69 |
SR805C5800 |
414.00 |
368.00 |
384.00 |
2 |
0.8446 |
11.00 |
SR805C5900 |
327.00 |
305.50 |
299.50 |
52 |
0.7766 |
10.44 |
SR805C6000 |
247.00 |
234.00 |
223.50 |
158 |
0.6862 |
10.01 |
SR805C6100 |
178.00 |
166.50 |
158.00 |
614 |
0.5753 |
9.68 |
SR805C6200 |
121.50 |
111.50 |
106.50 |
996 |
0.4523 |
9.47 |
SR805C6300 |
79.50 |
69.50 |
67.50 |
2,000 |
0.3325 |
9.36 |
SR805C6400 |
49.50 |
41.50 |
41.00 |
1,190 |
0.2293 |
9.35 |
SR805C6500 |
30.50 |
25.00 |
24.50 |
1,418 |
0.1506 |
9.44 |
SR805C6600 |
18.50 |
16.00 |
14.50 |
784 |
0.0962 |
9.61 |
SR805C6700 |
12.00 |
9.00 |
8.50 |
392 |
0.0606 |
9.88 |
SR805C6800 |
7.50 |
5.50 |
5.50 |
2 |
0.0388 |
10.22 |
SR805C6900 |
5.50 |
0.00 |
3.50 |
0 |
0.0261 |
10.65 |
SR805C7000 |
4.00 |
0.00 |
2.50 |
0 |
0.0184 |
11.15 |
SR805C7100 |
3.50 |
0.00 |
2.00 |
0 |
0.0135 |
11.72 |
SR805C7200 |
3.00 |
0.00 |
1.50 |
0 |
0.0108 |
12.36 |
SR805C7300 |
2.50 |
0.00 |
1.00 |
0 |
0.0062 |
12.36 |
SR805C7400 |
2.50 |
5.00 |
0.50 |
22 |
0.0034 |
12.36 |
小計 |
|
|
|
7,630 |
|
|
SR805P5300 |
7.00 |
3.00 |
8.00 |
138 |
-0.0372 |
15.84 |
SR805P5400 |
8.00 |
5.00 |
9.50 |
2 |
-0.0448 |
14.57 |
SR805P5500 |
9.50 |
9.50 |
11.50 |
26 |
-0.0572 |
13.47 |
SR805P5600 |
12.00 |
15.00 |
15.00 |
244 |
-0.0758 |
12.51 |
SR805P5700 |
16.50 |
21.50 |
20.50 |
832 |
-0.1053 |
11.69 |
SR805P5800 |
24.00 |
31.50 |
29.50 |
2,188 |
-0.1503 |
11.00 |
SR805P5900 |
36.50 |
46.50 |
45.00 |
1,244 |
-0.2164 |
10.44 |
SR805P6000 |
55.50 |
67.00 |
68.00 |
1,518 |
-0.3055 |
10.01 |
SR805P6100 |
86.00 |
102.50 |
101.50 |
1,116 |
-0.4156 |
9.68 |
SR805P6200 |
128.50 |
154.50 |
149.00 |
184 |
-0.5385 |
9.47 |
SR805P6300 |
185.50 |
202.50 |
209.00 |
92 |
-0.6591 |
9.36 |
SR805P6400 |
255.00 |
283.00 |
282.00 |
4 |
-0.7639 |
9.35 |
SR805P6500 |
335.00 |
380.00 |
364.50 |
18 |
-0.8450 |
9.44 |
SR805P6600 |
422.50 |
0.00 |
454.50 |
0 |
-0.9023 |
9.61 |
SR805P6700 |
515.50 |
0.00 |
548.50 |
0 |
-0.9413 |
9.88 |
SR805P6800 |
611.50 |
0.00 |
645.00 |
0 |
-0.9666 |
10.22 |
SR805P6900 |
709.00 |
0.00 |
743.50 |
0 |
-0.9829 |
10.65 |
SR805P7000 |
808.00 |
0.00 |
843.00 |
0 |
-0.9939 |
11.15 |
SR805P7100 |
907.50 |
0.00 |
943.00 |
0 |
-0.9994 |
11.72 |
SR805P7200 |
1,007.00 |
0.00 |
1,043.00 |
0 |
-1.0000 |
12.36 |
SR805P7300 |
1,107.00 |
0.00 |
1,143.00 |
0 |
-1.0000 |
12.36 |
SR805P7400 |
1,207.00 |
0.00 |
1,243.00 |
0 |
-1.0000 |
12.36 |
小計 |
|
|
|
7,606 |
|
|
SR合計 |
|
|
|
18,380 |
|
|
總計 |
|
|
|
18,380 |
|
|
圖表1:白糖期權(quán)20171207行情
二、白糖期現(xiàn)貨基本面消息及后市行情研判
ICE紐約原糖期貨下跌至一個月低位,受累于全球供應(yīng)充裕預期。印度糖廠產(chǎn)量同比大幅增加,歐盟和巴基斯坦出口亦預計強勁。印度糖廠協(xié)會數(shù)據(jù)顯示,10月1日至11月30日,印度糖廠累計產(chǎn)糖395萬噸,較上年同期增逾42%,因甘蔗供應(yīng)增加使得今年開榨的糖廠更多。但預期頭號種植國巴西糖廠將減少甘蔗產(chǎn)糖數(shù)量,貿(mào)易巨頭路易達孚旗下巴西糖及乙醇生產(chǎn)商Biosev稱,預計巴西中南部地區(qū)2018/19年度甘蔗產(chǎn)量將從2017/18年度的5.99億噸降至5.86億噸。因此預計鄭糖1805繼續(xù)震蕩反復的概率較大。
三、期權(quán)交易策略運用
基于鄭糖期價短期繼續(xù)震蕩反復的看法,建議頂部寬跨式套利單繼續(xù)持有。
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