和合期貨：2017年12月13日白糖期權(quán)日評
一、白糖期貨期權(quán)合約成交情況
12月13日，鄭商所白糖期貨SR1805合約收盤價6030，較前一交易日下跌1.07%，成交量33.1萬手，較昨日增加12.3萬手；白糖期權(quán)總成交量36590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(2017-12-13) |
||||||
|
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 |
815.00 |
0.00 |
759.50 |
0 |
0.9652 |
14.53 |
|
SR805C5400 |
716.50 |
0.00 |
661.50 |
0 |
0.9531 |
13.41 |
|
SR805C5500 |
619.50 |
0.00 |
565.00 |
0 |
0.9325 |
12.45 |
|
SR805C5600 |
524.00 |
0.00 |
470.50 |
0 |
0.9014 |
11.65 |
|
SR805C5700 |
431.50 |
0.00 |
379.50 |
0 |
0.8544 |
10.99 |
|
SR805C5800 |
344.00 |
282.50 |
294.50 |
94 |
0.7857 |
10.47 |
|
SR805C5900 |
262.50 |
207.00 |
219.00 |
74 |
0.6913 |
10.09 |
|
SR805C6000 |
191.50 |
144.50 |
154.00 |
466 |
0.5762 |
9.83 |
|
SR805C6100 |
132.00 |
95.00 |
103.50 |
1,164 |
0.4501 |
9.70 |
|
SR805C6200 |
86.50 |
57.50 |
66.00 |
1,734 |
0.3297 |
9.67 |
|
SR805C6300 |
53.00 |
34.50 |
40.50 |
9,968 |
0.2282 |
9.76 |
|
SR805C6400 |
31.50 |
21.00 |
25.00 |
3,520 |
0.1521 |
9.95 |
|
SR805C6500 |
18.00 |
12.50 |
15.50 |
810 |
0.1002 |
10.24 |
|
SR805C6600 |
10.50 |
9.00 |
10.00 |
620 |
0.0663 |
10.62 |
|
SR805C6700 |
6.00 |
5.50 |
6.50 |
338 |
0.0452 |
11.10 |
|
SR805C6800 |
3.50 |
7.50 |
4.50 |
74 |
0.0321 |
11.66 |
|
SR805C6900 |
2.00 |
4.50 |
3.50 |
32 |
0.0237 |
12.30 |
|
SR805C7000 |
1.50 |
0.00 |
3.00 |
0 |
0.0192 |
13.02 |
|
SR805C7100 |
1.00 |
4.00 |
2.50 |
2 |
0.0159 |
13.82 |
|
SR805C7200 |
0.50 |
0.00 |
2.50 |
0 |
0.0139 |
14.68 |
|
SR805C7300 |
0.50 |
4.50 |
1.50 |
62 |
0.0086 |
14.68 |
|
SR805C7400 |
0.50 |
3.50 |
1.00 |
42 |
0.0053 |
14.68 |
|
小計 |
|
|
|
19,000 |
|
|
|
SR805P5300 |
5.50 |
5.50 |
7.50 |
84 |
-0.0380 |
14.53 |
|
SR805P5400 |
7.50 |
8.00 |
9.00 |
4 |
-0.0485 |
13.41 |
|
SR805P5500 |
10.00 |
10.00 |
12.00 |
20 |
-0.0671 |
12.45 |
|
SR805P5600 |
14.00 |
18.00 |
17.50 |
540 |
-0.0961 |
11.65 |
|
SR805P5700 |
21.50 |
29.50 |
26.00 |
854 |
-0.1410 |
10.99 |
|
SR805P5800 |
33.00 |
46.00 |
41.00 |
1,158 |
-0.2079 |
10.47 |
|
SR805P5900 |
51.50 |
71.50 |
64.00 |
1,456 |
-0.3008 |
10.09 |
|
SR805P6000 |
79.50 |
110.50 |
98.50 |
1,992 |
-0.4152 |
9.83 |
|
SR805P6100 |
119.50 |
160.00 |
147.00 |
1,164 |
-0.5412 |
9.70 |
|
SR805P6200 |
172.50 |
224.00 |
208.50 |
552 |
-0.6623 |
9.67 |
|
SR805P6300 |
238.50 |
296.50 |
282.50 |
342 |
-0.7654 |
9.76 |
|
SR805P6400 |
316.50 |
382.00 |
366.50 |
58 |
-0.8435 |
9.95 |
|
SR805P6500 |
402.00 |
477.00 |
456.50 |
126 |
-0.8980 |
10.24 |
|
SR805P6600 |
494.50 |
0.00 |
550.50 |
0 |
-0.9347 |
10.62 |
|
SR805P6700 |
590.00 |
0.00 |
647.50 |
0 |
-0.9586 |
11.10 |
|
SR805P6800 |
688.00 |
0.00 |
745.50 |
0 |
-0.9745 |
11.66 |
|
SR805P6900 |
787.00 |
0.00 |
844.50 |
0 |
-0.9855 |
12.30 |
|
SR805P7000 |
887.00 |
0.00 |
944.00 |
0 |
-0.9919 |
13.02 |
|
SR805P7100 |
987.00 |
0.00 |
1,044.00 |
0 |
-0.9967 |
13.82 |
|
SR805P7200 |
1,087.00 |
0.00 |
1,144.00 |
0 |
-0.9987 |
14.68 |
|
SR805P7300 |
1,187.00 |
0.00 |
1,244.00 |
0 |
-1.0000 |
14.68 |
|
SR805P7400 |
1,287.00 |
0.00 |
1,344.00 |
0 |
-1.0000 |
14.68 |
|
小計 |
|
|
|
8,350 |
|
|
|
SR合計 |
|
|
|
36,590 |
|
|
|
總計 |
|
|
|
36,590 |
|
|
圖表1：白糖期權(quán)20171213行情
二、白糖期現(xiàn)貨基本面消息及后市行情研判
ICE紐約原糖期貨續(xù)跌至數(shù)月低位，受主要種植國巴西貨幣走低打壓，且技術(shù)面變?nèi)跻嘣鎏硎袌龅膲毫?，因價格連續(xù)第六日下跌，且跌穿了位于14美分的心理支撐位。目前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。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。盤面來看，鄭糖1805合約今天破位下跌，且增倉放量，預(yù)計短期繼續(xù)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繼續(xù)走弱的看法，建議看跌期權(quán)多單繼續(xù)持有。
免責(zé)聲明：本文涉及信息數(shù)據(jù)及觀點僅供參考，不構(gòu)成買賣之依據(jù)。使用前請核實，風(fēng)險自負。
和合期貨研發(fā)部
聯(lián)系電話：0351-7342668/7342558
公司網(wǎng)址：http://wanglaohao.cn
