期权日报：豆粕波动率低位震荡 白糖隐含波动率回落

本报告中所有观点仅供参考，请务必阅读正文之后的免责声明。 期权日报 2017年12月22日星期五 广发期货期权日报 联系信息 蔡志成 期货从业资格：F036917 投资咨询资格：Z0013053 邮箱：caizhicheng@gf.com.cn 陈俊州 期货从业资格：F3039003 邮箱：chenjunzhou@gf.com.cn 张逸星 期货从业资格：F3040653 邮箱：zhangyixing@gf.com.cn 豆粕指数 2000.00 002200.00 002400.00 002600.00 002800.00 003000.00 003200.00 003400.00 003600.00 002016-01-182016-02-182016-03-182016-04-182016-05-182016-06-182016-07-182016-08-182016-09-182016-10-182016-11-182016-12-182017-01-182017-02-182017-03-182017-04-182017-05-182017-06-182017-07-182017-08-182017-09-182017-10-182017-11-182017-12-18DCE豆粕 白糖指数 5000.00 005500.00 006000.00 006500.00 007000.00 007500.00 002016-01-182016-02-182016-03-182016-04-182016-05-182016-06-182016-07-182016-08-182016-09-182016-10-182016-11-182016-12-182017-01-182017-02-182017-03-182017-04-182017-05-182017-06-182017-07-182017-08-182017-09-182017-10-182017-11-182017-12-18CZCE白糖 相关报告 2017.11.9 《基于 2017 年第[12]号的期权策略研究》 2017.11.13 《基于期权的主动型资管产品设计》 2017.11.2《基于研报的期权策略分析》 2017.11.2《套利策略期权复制究》 2017.11.2《场外期权事件驱动型策略研究》 2017.10.30《研究策略应用回测》 2017.5.2《主动型资管产品设计方案》 豆粕波动率低位震荡 白糖隐含波动率回落 发展研究中心 期权研究小组 电 话：020-85580051 E-Mail：liuqingli@gf.com.cn 期权策略 M1805： 持有牛市看涨期权组合(Buy m1805C2800&Sell m1805P2950) SR1805： 中长线持有卖出SR1805P5800,卖出SR1805C6300勒式期权组合 豆粕m1805变化m1805_optionm1805(O/F)m_optionm_999(O/T)收盘价2,790-14成交量770,66018,086345884.49%4526676.41%持仓量1,916,4282,90624990213.04%32091877.87%PC_Ratio（VOL）PC_Ratio（OI）期权主力合约0.800.80期权（Total）0.840.84研判交易区间IV白糖SR1805变化sr1805_optionsr1805(O/F)sr_optionsr_999(O/T)收盘价5,9777成交量361,16869,928190325.27%2138289.01%持仓量442,26809788622.13%13858670.63%PC_Ratio（VOL）PC_Ratio（OI）期权主力合约1.270.80期权（Total）1.100.79研判交易区间IV5800-6300IV（C）整体略高于IV（P），IV（ATM）处于10%-11%2700-3000IV（C）整体略高于IV（P），IV（ATM）处于12%-13% 广发期货有限公司提醒广大投资者：期市有风险 入市需谨慎 期权日报 目录 1．豆粕期权主力合约T型报价 ..................................................... 1 2．豆粕期权合约PC_Ratio ............................................................ 1 3．豆粕期权Greeks及波动率 ....................................................... 2 4．白糖期权主力合约T型报价 ..................................................... 3 5．白糖期权合约PC_Ratio ............................................................ 3 6．白糖期权Greeks及波动率 ....................................................... 4 免责声明 ............................................................................................ 6 广发期货有限公司提醒广大投资者：期市有风险 入市需谨慎 Page 1 期权日报 1． 豆粕期权主力合约T型报价 持仓量成交量收盘价涨跌幅（%）购<行权价>沽涨跌幅（%）收盘价成交量持仓量64020355-1.802,450-16.673202,1466284306-2.552,500-41.674324,42473842252-6.332,550-47.626343,7462,696584208-7.962,600-45.71108285,8501,094306167-10.722,650-35.71181,12414,6705,580142132-12.622,700-26.19312,32425,2984,7681,026100-15.612,750-13.33522,70616,23610,0822,58877-15.852,800-6.06784,18015,42421,5402,48460-13.772,8501.831122,0809,10812,8722,23447-6.932,9004.961486744,81612,6363,314384.172,9507.371905602,32825,5741,4583018.003,0007.192316281,52411,1701,3942335.293,0503.1126521,00421,5042,7141968.183,1003.32312608706,10891614100.003,1505.1936526530 数据来源: Wind资讯 广发期货发展研究中心 2．豆粕期权合约PC_Ratio 合约月份看涨合约成交量看跌合约成交量PC_Ratio（VOL）看涨合约持仓量看跌合约持仓量PC_Ratio（OI）201801000020180310166400.63709066480.942018051925415,3340.801386861112160.8020180700163413620.832018085000.00151213900.9220180942304,5981.0925136254061.0120181180640.804024361.08合计24630206360.841744601464580.84 数据来源: Wind资讯 广发期货发展研究中心 广发期货有限公司提醒广大投资者：期市有风险 入市需谨慎 Page 2 期权日报 3．豆粕期权Greeks及波动率 ivrhothetavegagammadelta购<行权价>沽deltagammavegathetarhoiv20.02%-0.2268-0.03180.68310.00040.97792450-0.02710.00030.9233-0.0539-0.005912.95%18.13%-0.3234-0.07131.53280.00060.94972500-0.05130.00051.7029-0.0907-0.012012.01%14.30%-0.3618-0.12262.33050.00090.90852550-0.08930.00082.4031-0.1389-0.022911.31%13.80%-0.3575-0.18133.57240.00120.85182600-0.14350.00123.6219-0.1944-0.040010.90%13.19%-0.3263-0.24054.45560.00150.77832650-0.21530.00154.4686-0.2503-0.065711.00%13.20%-0.2784-0.29135.22430.00180.69042700-0.30210.00185.2264-0.2977-0.100211.08%13.02%-0.2263-0.32515.94570.00200.59172750-0.40000.00205.9464-0.3280-0.144111.61%13.44%-0.1753-0.33676.08170.00210.48892800-0.50280.00216.0818-0.3360-0.196011.89%13.99%-0.1296-0.32575.89380.00200.38852850-0.60350.00205.8928-0.3215-0.251912.72%14.74%-0.0916-0.29545.41370.00180.29642900-0.69640.00185.4036-0.2876-0.306313.25%15.50%-0.0622-0.25194.30550.00150.21692950-0.77720.00164.2833-0.2407-0.353114.12%16.08%-0.0407-0.20263.45190.00120.15263000-0.84330.00133.4161-0.1881-0.385614.48%16.57%-0.0256-0.15432.62840.00090.10303050-0.89510.00102.5553-0.1366-0.395911.47%17.19%-0.0155-0.11151.89680.00070.073100-0.93410.00071.7652-0.0908-0.373610.99%17.47%-0.0091-0.07671.29710.00050.043150-0.96260.00051.0842-0.0531-0.311114.71%m1805数据来源: Wind资讯 广发期货发展研究中心 图1: 豆粕看涨期权Volatility smiles 图2: 豆粕看跌期权Volatility smiles 0.08000.10000.12000.14000.16000.18000.20000.22002450250025502600265027002750280028502900295030003050310031503200m1801m1805m1809 0.08000.09000.10000.11000.12000.13000.14000