和合期貨：2018年1月22日白糖期權日評
一、白糖期貨期權合約成交情況
1月22日，鄭商所白糖期貨SR1805合約收盤價5769，較前一交易日上漲0.17%，成交量32.4萬手，較前一交易日減少82830手；白糖期權總成交量27026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(2018-01-22) |
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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 |
554.00 |
0 |
0.9967 |
10.65 |
|
SR805C5300 |
450.50 |
0.00 |
455.00 |
0 |
0.9800 |
10.10 |
|
SR805C5400 |
355.00 |
353.50 |
358.00 |
32 |
0.9454 |
9.72 |
|
SR805C5500 |
265.00 |
266.00 |
267.00 |
6 |
0.8758 |
9.51 |
|
SR805C5600 |
185.50 |
193.50 |
185.50 |
154 |
0.7580 |
9.46 |
|
SR805C5700 |
121.00 |
123.50 |
119.50 |
116 |
0.5985 |
9.56 |
|
SR805C5800 |
74.50 |
76.50 |
72.00 |
1,880 |
0.4277 |
9.80 |
|
SR805C5900 |
44.00 |
45.00 |
41.50 |
3,584 |
0.2813 |
10.18 |
|
SR805C6000 |
26.00 |
25.50 |
24.00 |
1,956 |
0.1772 |
10.68 |
|
SR805C6100 |
15.50 |
15.00 |
14.00 |
2,886 |
0.1101 |
11.31 |
|
SR805C6200 |
9.50 |
9.50 |
9.00 |
222 |
0.0707 |
12.05 |
|
SR805C6300 |
6.50 |
6.50 |
6.00 |
470 |
0.0475 |
12.91 |
|
SR805C6400 |
4.50 |
5.50 |
4.50 |
256 |
0.0337 |
13.86 |
|
SR805C6500 |
3.50 |
4.50 |
3.50 |
340 |
0.0257 |
14.92 |
|
SR805C6600 |
3.00 |
4.00 |
3.00 |
30 |
0.0211 |
16.07 |
|
SR805C6700 |
2.50 |
0.00 |
2.50 |
0 |
0.0183 |
17.32 |
|
SR805C6800 |
2.50 |
0.00 |
2.50 |
0 |
0.0166 |
18.64 |
|
SR805C6900 |
2.50 |
0.00 |
1.50 |
0 |
0.0102 |
18.64 |
|
SR805C7000 |
1.50 |
0.00 |
1.00 |
0 |
0.0061 |
18.64 |
|
SR805C7100 |
1.00 |
0.50 |
0.50 |
120 |
0.0035 |
18.64 |
|
SR805C7200 |
0.50 |
0.00 |
0.50 |
0 |
0.0020 |
18.64 |
|
SR805C7300 |
0.50 |
0.50 |
0.50 |
80 |
0.0011 |
18.64 |
|
SR805C7400 |
0.50 |
0.00 |
0.50 |
0 |
0.0006 |
18.64 |
|
小計 |
|
|
|
12,132 |
|
|
|
SR805P5200 |
7.00 |
1.50 |
1.00 |
262 |
-0.0102 |
10.65 |
|
SR805P5300 |
3.00 |
2.00 |
2.00 |
296 |
-0.0233 |
10.10 |
|
SR805P5400 |
7.50 |
6.00 |
5.50 |
196 |
-0.0546 |
9.72 |
|
SR805P5500 |
17.50 |
12.00 |
14.00 |
1,176 |
-0.1215 |
9.51 |
|
SR805P5600 |
37.50 |
27.00 |
32.50 |
2,170 |
-0.2375 |
9.46 |
|
SR805P5700 |
72.50 |
57.00 |
66.00 |
1,878 |
-0.3961 |
9.56 |
|
SR805P5800 |
125.00 |
108.50 |
117.50 |
606 |
-0.5669 |
9.80 |
|
SR805P5900 |
194.00 |
175.00 |
187.00 |
318 |
-0.7139 |
10.18 |
|
SR805P6000 |
275.50 |
258.50 |
269.00 |
302 |
-0.8193 |
10.68 |
|
SR805P6100 |
364.50 |
363.00 |
358.50 |
2 |
-0.8879 |
11.31 |
|
SR805P6200 |
459.00 |
0.00 |
453.00 |
0 |
-0.9290 |
12.05 |
|
SR805P6300 |
555.50 |
554.00 |
550.00 |
10 |
-0.9538 |
12.91 |
|
SR805P6400 |
653.50 |
652.50 |
648.50 |
6 |
-0.9690 |
13.86 |
|
SR805P6500 |
752.50 |
0.00 |
747.50 |
0 |
-0.9783 |
14.92 |
|
SR805P6600 |
852.00 |
0.00 |
847.00 |
0 |
-0.9840 |
16.07 |
|
SR805P6700 |
951.50 |
0.00 |
946.50 |
0 |
-0.9874 |
17.32 |
|
SR805P6800 |
1,051.50 |
0.00 |
1,046.50 |
0 |
-0.9898 |
18.64 |
|
SR805P6900 |
1,151.50 |
0.00 |
1,146.00 |
0 |
-0.9982 |
18.64 |
|
SR805P7000 |
1,251.00 |
0.00 |
1,246.00 |
0 |
-1.0000 |
18.64 |
|
SR805P7100 |
1,351.00 |
0.00 |
1,346.00 |
0 |
-1.0000 |
18.64 |
|
SR805P7200 |
1,451.00 |
0.00 |
1,446.00 |
0 |
-1.0000 |
18.64 |
|
SR805P7300 |
1,551.00 |
0.00 |
1,546.00 |
0 |
-1.0000 |
18.64 |
|
SR805P7400 |
1,651.00 |
0.00 |
1,646.00 |
0 |
-1.0000 |
18.64 |
|
小計 |
|
|
|
7,222 |
|
|
|
SR合計 |
|
|
|
27,026 |
|
|
|
總計 |
|
|
|
27,026 |
|
|
圖表1：白糖期權20180122行情
二、白糖期現(xiàn)貨基本面消息及后市行情研判
ICE紐約原糖期貨周五反彈，但周線下跌6.6%，創(chuàng)去年8月以來最大周度跌幅，受全球供應充裕預期，原糖期貨前一交易日觸及三個半月低位。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。在此背景下，預計鄭糖1805短期繼續(xù)下挫的概率較大。
三、期權交易策略運用
基于鄭糖期價短期繼續(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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