白糖:买入浅虚值看涨期权
作者:张育涛 柳锐  2017/9/28 21:42:25  来源:原创  浏览:368

  9月,国际糖市多空交织,原糖低位徘徊,郑糖大幅回落。预计郑糖企稳后将再次上攻,推荐买入看涨期权。
  原糖延续底部振荡
  全球食糖主产国巴西压榨时间已经过半,市场对于该国2017/2018年度丰产预期早已淡化,随着新糖大量生产,其原糖出口数据更值得关注。巴西甘蔗行业协会Unica9月26日称,9月上半月该国中南部地区压榨甘蔗4544万吨,较上年同期增加19.95%;糖产量增至310万吨,乙醇产量增至21亿公升;用于榨糖的甘蔗比例为48%。8月巴西出口食糖276.4585万吨,同比下降7%。截至8月,2017/2018年度巴西累计出口食糖1257.6211万吨,较2016/2017年度同期1210.1832万吨增长4%。印度方面,政府为应对传统节假日期间国内糖价上涨,批准以25%的优惠关税增加进口30万吨原糖。此前,印度政府已经批准免税食糖进口50万吨,但该国开榨时间临近,其再次以优惠关税增加食糖进口的可能性越来越小。
  CFTC最新报告显示,截至9月19日当周,对冲基金及大型投机客持有的原糖期货净空头头寸为19690手,较前周大幅减少19763手。除ICE原糖期货合约换月因素外,经过长时间下跌空头氛围也有所缓解。尽管当前巴西糖进口加工估算小幅贴水ICE11号糖3月合约,但巴西持续的大量新糖出口与来年的丰产预期还将压制其后市价格。
  郑糖仍将偏强运行
  8月开始,国内白糖现货销量好转,销售不仅好于上半年,进度也快于往年,特别是在8月下旬广西甚至出现了量价齐升的良好局面。截至8月底,2016/2017年度全国共生产食糖928.82万吨,累计销售787.5万吨,同比增加60.62万吨,累计销糖率84.78%,同比增加1.25%。
  目前,国内旺季采购尚未结束。主产区现货价格虽然较8月有所下跌,但依然保持在6550元/吨附近,白糖主力1801合约9月以来急剧下行,使得基差走强至350元/吨上方,受此支撑,期货价格继续大幅下挫的可能性很小。当前,距离新糖上市还有一段时间,短期郑糖虽受原糖拖累和抛储压制,但8月以来的偏强行情恐将延续至10月,建议在SR1801合约前低附近布局多单。
  期权以看涨策略为主
  白糖期权持仓头寸限额扩大后,期权市场活跃度得到明显改善。目前1月合约成交量占比超过70%。26日白糖期权整体成交量认沽认购比移动至1.87,反映了当前抛储带来的悲观情绪。
  从波动率来看,白糖60日历史波动率为11.34%,1月平值期权隐含波动率为12.59%,与历史波动率的差值扩大为1.25%。显然,当前隐含波动率处于较为合理的水平,买入期权面临波动率下行的风险较小。
  短期操作应结合白糖后市偏强预期,采用方向性策略滚动买入浅虚值看涨期权,如先买入SR801C6200合约,待其演化为平值后再逢低买入SR801C6300合约。(作者单位:华泰期货)

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