收盘价涨跌幅成交量(万手）成交额（亿元）30日历史波动率60日历史波动率90日历史波动率SR0055774.000.26%61.53356.9020.09%16.11%14.94%合约月份202005剩余存续期（交易日）31起始交易日期2019-08-12最后交易日期2020-04-03标的代码SR005标的收盘价5774.00持仓量成交量涨跌幅（%）结算价结算价涨跌幅（%）成交量持仓量2,5246926.92%254.005,600.0054.00-9.16%6911,3493,7091,2826.03%183.005,700.0082.50-7.58%8599584,9041,7106.98%126.005,800.00125.00-4.04%5661,3603,0282,3966.94%87.005,900.00185.50-2.82%3981,3086,0542,9398.16%61.006,000.00259.00-4.50%2394173,8731,3038.96%44.506,100.00342.50-3.08%1492593,4006576.67%33.506,200.00431.50-6.70%0215期权杠杆率隐含波动率隐含波动率期权杠杆率17.2317.57%5,600.0016.65%-27.5420.7516.34%5,700.0016.12%-25.1124.0316.28%5,800.0016.48%-21.0527.0716.55%5,900.0017.05%-17.8227.9817.25%6,000.0016.83%-15.5227.2218.00%6,100.0017.91%-13.2026.1618.48%6,200.0013.12%#DIV/0!ThetaVegaGammaDeltaDeltaGammaVegaTheta-1.30496.67000.00100.71465,600.00-0.28380.00106.6711-1.3119-1.48957.58870.00120.60035,700.00-0.39800.00127.5889-1.4925-1.54047.80990.00120.47875,800.00-0.51960.00127.8098-1.5393-1.44917.36870.00110.36105,900.00-0.63730.00117.3683-1.4440-1.24856.24800.00100.25696,000.00-0.74160.00106.2464-1.2394-0.98885.15710.00080.17216,100.00-0.82670.00085.1481-0.9758-0.72293.62640.00060.10876,200.00-0.89040.00063.6128-0.7060五、希腊字母主力月看涨期权行权价格主力月看跌期权主力月成交量认沽认购比率0.4786主力月持仓量认沽认购比率1.6679四、隐含波动率和期权杠杆率主力月看涨期权行权价格主力月看跌期权 申万期权品种策略日报——白糖期货期权一、标的行情二、主力月合约基本信息三、白糖期货期权行情主力月看涨期权行权价格主力月看跌期权2020/2/24星期一 申银万国期货研究所 吴广奇（从业资格号：F3048078；投资咨询号：Z0014024） wugq@sywgqh.com.cn 021-58308720 收盘价涨跌幅成交量(万手）成交额（亿元）30日历史波动率60日历史波动率90日历史波动率M19052661.00-0.15%46.52124.1515.66%12.62%12.27%合约月份202005剩余存续期（交易日）33起始交易日期2019-05-21最后交易日期2020-04-08标的代码M2005标的收盘价2661持仓量成交量涨跌幅（%）结算价结算价涨跌幅（%）成交量持仓量000.00%0.002,350.000.000.00%001,1141220.37%0.002,400.000.00-14.29%7087,677571114-1.13%0.002,450.000.00-21.43%1,1482,8211,303168-3.64%0.002,500.000.00-42.86%3956,3901,08433-8.63%147.002,550.0029.50-42.86%6738,8013,160190-12.44%113.502,600.000.00-35.00%1,76313,1994,9451,175-19.21%84.502,650.000.00-23.97%2,52311,55112,5063,504-25.71%0.002,700.0093.00-17.14%33824,43420,0281,895-27.14%42.502,750.00124.50-6.67%59612,37024,9552,982-25.00%28.502,800.00160.50-3.82%1648,59715,0263,600-7.41%18.502,850.00200.50-0.51%661,45314,1591,70933.33%11.502,900.00243.50-1.24%91,33016,3633,550100.00%7.002,950.00288.50-0.52%22903期权杠杆率隐含波动率隐含波动率期权杠杆率#DIV/0!0.00%2,350.000.00%#DIV/0!9.801321.66%2,400.0017.16%-9.346511.733918.63%2,450.0016.50%-15.580314.216916.41%2,500.0014.79%-26.693817.419814.72%2,550.0013.83%-31.777220.429814.86%2,600.0013.48%-30.264823.748414.56%2,650.0013.49%-26.242626.043414.68%2,700.0013.20%-22.624425.049815.48%2,750.0014.73%-18.016821.743816.13%2,800.0014.50%-15.225914.371417.70%2,850.0015.70%-12.58918.008419.39%2,900.0011.46%-10.78103.979120.86%2,950.000.00%-9.1596ThetaVegaGammaDeltaDeltaGammaVegaTheta0.00000.00000.00000.00002,350.000.00000.00000.00000.0000-0.02590.23480.00030.99082,400.00-0.01050.00020.2892-0.0357-0.08420.65120.00060.96792,450.00-0.03220.00060.6736-0.0924-0.18451.47380.00130.91892,500.00-0.08030.00121.4860-0.1908-0.31572.39130.00210.83142,550.00-0.16720.00212.3943-0.3201-0.43883.26390.00290.70252,600.00-0.29570.00293.2642-0.4413-0.50493.76570.00330.54442,650.00-0.45360.00333.7657-0.5054-0.48693.67620.00320.38172,700.00-0.61640.00323.6758-0.4853-0.39763.03720.00260.24002,750.00-0.75830.00263.0350-0.3940-0.27752.12350.00180.13482,800.00-0.86400.00182.1168-0.2720-0.16711.25610.00110.06752,850.00-0.93200.00111.2416-0.1597-0.08730.62850.00060.03012,900.00-0.97030.00060.6015-0.0782-0.03990.32060.00030.01202,950.00-0.98960.00030.2613-0.0290五、希腊字母主力月看涨期权行权价格主力月看跌期权主力月成交量看跌看涨比率0.2860主力月持仓量看跌看涨比率0.6389四、隐含波动率和期权杠杆率主力月看涨期权行权价格主力月看跌期权 申万期权品种策略日报——豆粕期货期权一、标的行情二、主力月合约基本信息三、豆粕期货期权行情主力月看涨期权行权价格主力月看跌期权 收盘价涨跌幅成交量(万手）成交额（亿元）30日历史波动率60日历史波动率90日历史波动率CF00513265.00-0.38%23.46155.9827.78%21.91%19.95%合约月份202005剩余存续期（交易日）31起始交易日期2019-05-28最后交易日期2020-04-03标的代码CF005标的收盘价13265.00持仓量成交量涨跌幅（%）结算价结算价涨跌幅（%）成交量持仓量22136-4.13%0.0012,400.000.00-3.51%1392,5993279-5.27%0.0012,600.000.001.18%1372,504576133-5.79%629.0012,800.00131.004.76%1021,401891126-5.02%0.0013,000.000.007.07%1392,883905205-4.71%374.0013,200.00275.007.49%3503,7192,092692-6.57%281.0013,400.00381.006.43%1573,5831,482443-7.34%211.0013,600.00510.009.36%501,5262,113364-8.98%159.0013,800.00657.005.54%1071,367期权杠杆率隐含波动率隐含波动率期权杠杆率11.5319.26%12,400.0018.17%-46.0813.1618.28%12,600.0017.84%-38.4515.0618.05%12,800.0017.68%-31.6317.1918.21%13,000.0017.54%-25.9519.6618.45%13,200.0017.78%-21.2122.8718.49%13,400.0018.05%-17.8025.8718.97%13,600.0019.69%-14.6028.5019.60%13,800.0019.59%-12.99ThetaVegaGammaDeltaDeltaGammaVegaTheta-3.444411.98260.00030.807612,400.00-0.19100.000311.9888-3.4790-4.025414.46400.00030.749212,600.00-0.24930.000314.4690-4.0522-4.512815.90400.00030.683612,800.00-0.31480.000315.9047-4.5316-4.867917.02060.00040.612913,000.00-0.38530.000417.0207-4.8786-5.053317.85060.00040.539313,200.00-0.45890.000417.8506-5.0559-5.064017.86580.00040.465513,400.00-0.53270.000417.8659-5.0585-4.907717.40800.00040.393913,600.00-0.60440.000417.4074-4.8942-4