和合期貨:2017年12月11日白糖期權(quán)日評
一、白糖期貨期權(quán)合約成交情況
12月11日,鄭商所白糖期貨SR1805合約收盤價(jià)6099,較前一交易日下跌1.29%,成交量34.5萬手,較昨日增加41996手;白糖期權(quán)總成交量18312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(2017-12-11) |
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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(dòng)率 |
SR805C5300 |
856.50 |
0.00 |
825.50 |
0 |
0.9741 |
14.80 |
SR805C5400 |
758.00 |
0.00 |
727.00 |
0 |
0.9628 |
13.74 |
SR805C5500 |
660.50 |
0.00 |
629.50 |
0 |
0.9468 |
12.81 |
SR805C5600 |
564.00 |
0.00 |
533.50 |
0 |
0.9225 |
12.01 |
SR805C5700 |
470.00 |
0.00 |
440.50 |
0 |
0.8852 |
11.33 |
SR805C5800 |
380.50 |
331.50 |
352.50 |
54 |
0.8300 |
10.76 |
SR805C5900 |
296.50 |
251.50 |
270.50 |
328 |
0.7532 |
10.30 |
SR805C6000 |
221.00 |
180.50 |
197.50 |
834 |
0.6536 |
9.93 |
SR805C6100 |
156.00 |
124.50 |
137.00 |
838 |
0.5345 |
9.67 |
SR805C6200 |
105.00 |
82.00 |
89.50 |
2,256 |
0.4090 |
9.50 |
SR805C6300 |
67.00 |
47.50 |
55.50 |
2,814 |
0.2916 |
9.42 |
SR805C6400 |
41.00 |
29.00 |
33.00 |
1,226 |
0.1953 |
9.42 |
SR805C6500 |
24.50 |
16.50 |
19.00 |
1,374 |
0.1235 |
9.50 |
SR805C6600 |
14.50 |
10.50 |
10.50 |
450 |
0.0761 |
9.66 |
SR805C6700 |
8.50 |
7.00 |
6.00 |
224 |
0.0465 |
9.89 |
SR805C6800 |
5.50 |
0.00 |
3.50 |
0 |
0.0286 |
10.19 |
SR805C6900 |
3.50 |
0.00 |
2.50 |
0 |
0.0182 |
10.55 |
SR805C7000 |
2.50 |
0.00 |
1.50 |
0 |
0.0120 |
10.98 |
SR805C7100 |
2.00 |
0.00 |
0.50 |
0 |
0.0062 |
10.98 |
SR805C7200 |
1.50 |
0.00 |
0.50 |
0 |
0.0030 |
10.98 |
SR805C7300 |
1.00 |
0.00 |
0.50 |
0 |
0.0014 |
10.98 |
SR805C7400 |
0.50 |
0.00 |
0.50 |
0 |
0.0006 |
10.98 |
小計(jì) |
|
|
|
10,398 |
|
|
SR805P5300 |
8.00 |
4.50 |
6.00 |
22 |
-0.0306 |
14.80 |
SR805P5400 |
9.00 |
0.00 |
7.50 |
0 |
-0.0401 |
13.74 |
SR805P5500 |
11.50 |
0.00 |
10.00 |
0 |
-0.0542 |
12.81 |
SR805P5600 |
14.50 |
14.50 |
14.00 |
178 |
-0.0764 |
12.01 |
SR805P5700 |
20.50 |
24.00 |
20.50 |
460 |
-0.1115 |
11.33 |
SR805P5800 |
30.00 |
35.50 |
32.00 |
934 |
-0.1646 |
10.76 |
SR805P5900 |
45.50 |
56.50 |
49.50 |
1,550 |
-0.2396 |
10.30 |
SR805P6000 |
69.50 |
85.00 |
75.50 |
752 |
-0.3381 |
9.93 |
SR805P6100 |
103.50 |
130.50 |
114.50 |
442 |
-0.4566 |
9.67 |
SR805P6200 |
151.50 |
183.00 |
166.00 |
384 |
-0.5823 |
9.50 |
SR805P6300 |
212.50 |
250.00 |
231.00 |
308 |
-0.7007 |
9.42 |
SR805P6400 |
285.50 |
332.00 |
307.50 |
138 |
-0.7988 |
9.42 |
SR805P6500 |
368.50 |
414.00 |
393.00 |
204 |
-0.8733 |
9.50 |
SR805P6600 |
458.50 |
0.00 |
484.50 |
0 |
-0.9240 |
9.66 |
SR805P6700 |
552.50 |
0.00 |
580.00 |
0 |
-0.9572 |
9.89 |
SR805P6800 |
649.50 |
0.00 |
678.00 |
0 |
-0.9791 |
10.19 |
SR805P6900 |
748.00 |
0.00 |
777.00 |
0 |
-0.9936 |
10.55 |
SR805P7000 |
847.00 |
0.00 |
877.00 |
0 |
-1.0000 |
10.98 |
SR805P7100 |
947.00 |
0.00 |
977.00 |
0 |
-1.0000 |
10.98 |
SR805P7200 |
1,047.00 |
0.00 |
1,077.00 |
0 |
-1.0000 |
10.98 |
SR805P7300 |
1,147.00 |
0.00 |
1,177.00 |
0 |
-1.0000 |
10.98 |
SR805P7400 |
1,247.00 |
0.00 |
1,277.00 |
0 |
-1.0000 |
10.98 |
小計(jì) |
|
|
|
5,372 |
|
|
SR合計(jì) |
|
|
|
18,312 |
|
|
總計(jì) |
|
|
|
18,312 |
|
|
圖表1:白糖期權(quán)20171211行情
二、白糖期現(xiàn)貨基本面消息及后市行情研判
ICE紐約原糖期貨周五跌至六周低位,為連續(xù)第四個(gè)交易日下跌,因交易員聚焦全球供應(yīng)充裕及技術(shù)信號(hào)疲弱。盡管清倉顯示出巴西注重生產(chǎn)乙醇,但交易商依然對大量的糖供應(yīng)過剩作出反應(yīng)。印度糖廠產(chǎn)量同比大幅增加,歐盟和巴基斯坦出口亦預(yù)計(jì)強(qiáng)勁。但路易達(dá)孚旗下巴西糖及乙醇生產(chǎn)商預(yù)計(jì)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。外盤帶動(dòng)下,預(yù)計(jì)鄭糖1805短期將震蕩走弱的概率較大。
三、期權(quán)交易策略運(yùn)用
基于鄭糖期價(jià)短期將震蕩走弱的看法,建議頂部寬跨式套利單獲利離場,看跌期權(quán)多單輕倉介入。
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