和合期貨：2017年12月14日白糖期權日評
一、白糖期貨期權合約成交情況
12月14日，鄭商所白糖期貨SR1805合約收盤價5959，較前一交易日下跌1.18%，成交量37.9萬手，較昨日增加47514手；白糖期權總成交量37994手，其中主力1805系列期權各合約今日行情見圖表1。
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鄭州商品交易所期權每日行情表(2017-12-14) |
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|
品種代碼 |
昨結算 |
今收盤 |
今結算 |
成交量(手) |
DELTA |
隱含波動率 |
|
SR805C5300 |
759.50 |
0.00 |
691.50 |
0 |
0.9592 |
13.80 |
|
SR805C5400 |
661.50 |
0.00 |
595.00 |
0 |
0.9391 |
12.97 |
|
SR805C5500 |
565.00 |
0.00 |
500.50 |
0 |
0.9090 |
12.27 |
|
SR805C5600 |
470.50 |
0.00 |
409.50 |
0 |
0.8642 |
11.69 |
|
SR805C5700 |
379.50 |
0.00 |
324.00 |
0 |
0.8008 |
11.23 |
|
SR805C5800 |
294.50 |
232.00 |
246.50 |
240 |
0.7147 |
10.88 |
|
SR805C5900 |
219.00 |
165.00 |
179.50 |
378 |
0.6087 |
10.63 |
|
SR805C6000 |
154.00 |
113.00 |
125.00 |
1,036 |
0.4911 |
10.48 |
|
SR805C6100 |
103.50 |
74.00 |
83.50 |
1,054 |
0.3741 |
10.43 |
|
SR805C6200 |
66.00 |
45.50 |
53.50 |
2,838 |
0.2698 |
10.47 |
|
SR805C6300 |
40.50 |
27.50 |
33.50 |
4,488 |
0.1869 |
10.59 |
|
SR805C6400 |
25.00 |
17.00 |
21.00 |
1,868 |
0.1250 |
10.79 |
|
SR805C6500 |
15.50 |
11.00 |
13.00 |
952 |
0.0825 |
11.08 |
|
SR805C6600 |
10.00 |
8.00 |
8.50 |
358 |
0.0552 |
11.43 |
|
SR805C6700 |
6.50 |
5.50 |
5.50 |
222 |
0.0376 |
11.86 |
|
SR805C6800 |
4.50 |
0.00 |
4.00 |
0 |
0.0269 |
12.36 |
|
SR805C6900 |
3.50 |
0.00 |
3.00 |
0 |
0.0199 |
12.92 |
|
SR805C7000 |
3.00 |
5.50 |
2.50 |
6 |
0.0151 |
13.54 |
|
SR805C7100 |
2.50 |
0.00 |
2.00 |
0 |
0.0124 |
14.22 |
|
SR805C7200 |
2.50 |
0.00 |
1.00 |
0 |
0.0075 |
14.22 |
|
SR805C7300 |
1.50 |
0.00 |
0.50 |
0 |
0.0044 |
14.22 |
|
SR805C7400 |
1.00 |
0.00 |
0.50 |
0 |
0.0025 |
14.22 |
|
小計 |
|
|
|
13,440 |
|
|
|
SR805P5300 |
7.50 |
8.50 |
8.00 |
360 |
-0.0431 |
13.80 |
|
SR805P5400 |
9.00 |
13.00 |
11.00 |
210 |
-0.0610 |
12.97 |
|
SR805P5500 |
12.00 |
20.50 |
16.50 |
744 |
-0.0889 |
12.27 |
|
SR805P5600 |
17.50 |
31.50 |
25.50 |
964 |
-0.1316 |
11.69 |
|
SR805P5700 |
26.00 |
50.00 |
39.00 |
2,518 |
-0.1931 |
11.23 |
|
SR805P5800 |
41.00 |
76.50 |
61.00 |
4,938 |
-0.2778 |
10.88 |
|
SR805P5900 |
64.00 |
108.50 |
93.50 |
4,394 |
-0.3829 |
10.63 |
|
SR805P6000 |
98.50 |
157.00 |
138.00 |
1,834 |
-0.5002 |
10.48 |
|
SR805P6100 |
147.00 |
211.00 |
195.50 |
1,356 |
-0.6177 |
10.43 |
|
SR805P6200 |
208.50 |
287.50 |
264.50 |
412 |
-0.7231 |
10.47 |
|
SR805P6300 |
282.50 |
366.50 |
344.00 |
164 |
-0.8077 |
10.59 |
|
SR805P6400 |
366.50 |
457.50 |
431.00 |
50 |
-0.8718 |
10.79 |
|
SR805P6500 |
456.50 |
552.00 |
523.00 |
886 |
-0.9170 |
11.08 |
|
SR805P6600 |
550.50 |
0.00 |
618.00 |
0 |
-0.9471 |
11.43 |
|
SR805P6700 |
647.50 |
0.00 |
715.50 |
0 |
-0.9677 |
11.86 |
|
SR805P6800 |
745.50 |
0.00 |
814.00 |
0 |
-0.9810 |
12.36 |
|
SR805P6900 |
844.50 |
0.00 |
913.50 |
0 |
-0.9905 |
12.92 |
|
SR805P7000 |
944.00 |
0.00 |
1,013.00 |
0 |
-0.9974 |
13.54 |
|
SR805P7100 |
1,044.00 |
0.00 |
1,113.00 |
0 |
-0.9999 |
14.22 |
|
SR805P7200 |
1,144.00 |
0.00 |
1,213.00 |
0 |
-1.0000 |
14.22 |
|
SR805P7300 |
1,244.00 |
0.00 |
1,313.00 |
0 |
-1.0000 |
14.22 |
|
SR805P7400 |
1,344.00 |
0.00 |
1,413.00 |
0 |
-1.0000 |
14.22 |
|
小計 |
|
|
|
18,830 |
|
|
|
SR合計 |
|
|
|
37,994 |
|
|
|
總計 |
|
|
|
37,994 |
|
|
圖表1：白糖期權20171214行情
二、白糖期現(xiàn)貨基本面消息及后市行情研判
今天，鄭糖繼續(xù)增倉放量，大幅下跌，一方面，生產(chǎn)進度加快，供應逐步增加，前期支撐近月合約堅挺的可供糖源不足問題得以緩解；另外政策方面，進口政策后期放開的預期對于價格也有所打壓。且目前投資者聚焦全球供應過剩情況，市場焦點從擔憂頭號產(chǎn)糖國巴西的產(chǎn)量，轉向預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計強勁。因此預計SR1805短期繼續(xù)走弱的概率較大。
三、期權交易策略運用
基于鄭糖期價短期將繼續(xù)走弱的看法，建議看跌期權多單繼續(xù)持有。
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