和合期貨：2018年1月23日白糖期權日評
一、白糖期貨期權合約成交情況
1月23日，鄭商所白糖期貨SR1805合約收盤價5757，較前一交易日下跌0.21%，成交量22.9萬手，較前一交易日減少95418手；白糖期權總成交量18720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(2018-01-23) |
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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 |
|
SR805C5200 |
554.00 |
0.00 |
563.00 |
0 |
0.9989 |
10.54 |
|
SR805C5300 |
455.00 |
0.00 |
463.50 |
0 |
0.9854 |
9.91 |
|
SR805C5400 |
358.00 |
0.00 |
366.00 |
26 |
0.9553 |
9.48 |
|
SR805C5500 |
267.00 |
269.50 |
273.00 |
88 |
0.8929 |
9.24 |
|
SR805C5600 |
185.50 |
188.50 |
189.50 |
100 |
0.7794 |
9.16 |
|
SR805C5700 |
119.50 |
118.50 |
122.00 |
322 |
0.6175 |
9.25 |
|
SR805C5800 |
72.00 |
69.50 |
72.50 |
1,082 |
0.4402 |
9.50 |
|
SR805C5900 |
41.50 |
40.00 |
41.50 |
2,486 |
0.2870 |
9.90 |
|
SR805C6000 |
24.00 |
23.00 |
23.50 |
1,478 |
0.1787 |
10.44 |
|
SR805C6100 |
14.00 |
13.00 |
14.00 |
1,228 |
0.1102 |
11.11 |
|
SR805C6200 |
9.00 |
8.50 |
9.00 |
2,304 |
0.0707 |
11.90 |
|
SR805C6300 |
6.00 |
6.50 |
6.00 |
436 |
0.0479 |
12.82 |
|
SR805C6400 |
4.50 |
5.00 |
4.50 |
72 |
0.0345 |
13.86 |
|
SR805C6500 |
3.50 |
4.00 |
3.50 |
244 |
0.0271 |
15.00 |
|
SR805C6600 |
3.00 |
0.00 |
3.00 |
0 |
0.0224 |
16.24 |
|
SR805C6700 |
2.50 |
0.00 |
3.00 |
0 |
0.0201 |
17.59 |
|
SR805C6800 |
2.50 |
0.00 |
1.50 |
0 |
0.0120 |
17.59 |
|
SR805C6900 |
1.50 |
0.00 |
1.00 |
0 |
0.0069 |
17.59 |
|
SR805C7000 |
1.00 |
0.00 |
0.50 |
0 |
0.0039 |
17.59 |
|
SR805C7100 |
0.50 |
0.00 |
0.50 |
0 |
0.0021 |
17.59 |
|
SR805C7200 |
0.50 |
1.00 |
0.50 |
36 |
0.0011 |
17.59 |
|
SR805C7300 |
0.50 |
1.00 |
0.50 |
40 |
0.0006 |
17.59 |
|
SR805C7400 |
0.50 |
0.00 |
0.50 |
0 |
0.0003 |
17.59 |
|
小計 |
|
|
|
9,942 |
|
|
|
SR805P5200 |
1.00 |
1.00 |
0.50 |
2 |
-0.0081 |
10.54 |
|
SR805P5300 |
2.00 |
3.00 |
1.50 |
338 |
-0.0187 |
9.91 |
|
SR805P5400 |
5.50 |
5.00 |
4.50 |
658 |
-0.0454 |
9.48 |
|
SR805P5500 |
14.00 |
11.50 |
11.00 |
446 |
-0.1049 |
9.24 |
|
SR805P5600 |
32.50 |
27.50 |
27.50 |
738 |
-0.2164 |
9.16 |
|
SR805P5700 |
66.00 |
59.50 |
59.00 |
2,192 |
-0.3772 |
9.25 |
|
SR805P5800 |
117.50 |
110.50 |
109.50 |
760 |
-0.5544 |
9.50 |
|
SR805P5900 |
187.00 |
180.00 |
177.50 |
146 |
-0.7082 |
9.90 |
|
SR805P6000 |
269.00 |
263.00 |
259.50 |
54 |
-0.8178 |
10.44 |
|
SR805P6100 |
358.50 |
352.50 |
349.50 |
200 |
-0.8878 |
11.11 |
|
SR805P6200 |
453.00 |
443.50 |
444.00 |
30 |
-0.9289 |
11.90 |
|
SR805P6300 |
550.00 |
541.50 |
541.00 |
24 |
-0.9533 |
12.82 |
|
SR805P6400 |
648.50 |
639.50 |
639.50 |
6 |
-0.9681 |
13.86 |
|
SR805P6500 |
747.50 |
738.50 |
738.50 |
12 |
-0.9766 |
15.00 |
|
SR805P6600 |
847.00 |
0.00 |
838.00 |
0 |
-0.9822 |
16.24 |
|
SR805P6700 |
946.50 |
0.00 |
938.00 |
0 |
-0.9851 |
17.59 |
|
SR805P6800 |
1,046.50 |
0.00 |
1,037.00 |
0 |
-0.9958 |
17.59 |
|
SR805P6900 |
1,146.00 |
0.00 |
1,137.00 |
0 |
-1.0000 |
17.59 |
|
SR805P7000 |
1,246.00 |
0.00 |
1,237.00 |
0 |
-1.0000 |
17.59 |
|
SR805P7100 |
1,346.00 |
0.00 |
1,337.00 |
0 |
-1.0000 |
17.59 |
|
SR805P7200 |
1,446.00 |
0.00 |
1,437.00 |
0 |
-1.0000 |
17.59 |
|
SR805P7300 |
1,546.00 |
0.00 |
1,537.00 |
0 |
-1.0000 |
17.59 |
|
SR805P7400 |
1,646.00 |
0.00 |
1,637.00 |
0 |
-1.0000 |
17.59 |
|
小計 |
|
|
|
5,606 |
|
|
|
SR合計 |
|
|
|
18,720 |
|
|
|
總計 |
|
|
|
18,720 |
|
|
圖表1：白糖期權20180123行情
二、白糖期現貨基本面消息及后市行情研判
ICE紐約原糖期貨周一尾盤轉跌，因巴西雷亞爾兌美元下滑。且投機客上周將原糖期貨期權凈空倉增加兩倍多，投資者的空倉持有量目前可能接近最近一段時間幾次達到的峰值。加之目前仍處于全球供應充裕預期中，印度糖廠協(xié)會當日預計，該國2017/18市場年度糖產量料達2610萬噸，較上次預估高出近4%，因良好的季風降雨推高甘蔗單產。因此預計鄭糖1805繼續(xù)下挫的概率較大。
三、期權交易策略運用
基于鄭糖期價繼續(xù)下挫的看法，建議看跌期權多單繼續(xù)持有，標的破20日均線止盈離場。
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