和合期貨:2017年12月12日白糖期權(quán)日評
一、白糖期貨期權(quán)合約成交情況
12月12日,鄭商所白糖期貨SR1805合約收盤價6095,較前一交易日下跌0.07%,成交量20.8萬手,較昨日減少13.7萬手;白糖期權(quán)總成交量11090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(2017-12-12) |
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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 |
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 |
小計 |
|
|
|
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 |
小計 |
|
|
|
4,154 |
|
|
SR合計 |
|
|
|
11,090 |
|
|
總計 |
|
|
|
11,090 |
|
|
圖表1:白糖期權(quán)20171212行情
二、白糖期現(xiàn)貨基本面消息及后市行情研判
ICE紐約原糖期貨連續(xù)第五日走低,并觸及七周低位,投資者聚焦全球供應(yīng)過剩情況。市場焦點從擔(dān)憂頭號產(chǎn)糖國巴西的產(chǎn)量,轉(zhuǎn)向預(yù)期印度和歐盟等其他重要出產(chǎn)地產(chǎn)量上升。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)計強勁。但路易達(dá)孚旗下巴西糖及乙醇生產(chǎn)商預(yù)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。外盤帶動下,預(yù)計鄭糖1805短期將震蕩走弱的概率較大。
三、期權(quán)交易策略運用
基于鄭糖期價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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