投资咨询业务资格： 证监许可【2012】669号 能源化工 研究员： 胡佳鹏 021-60812977 hujiapeng@citicsf.com 从业资格号：F3039655 投资咨询号：Z0013196 许俐 0755-83212745 xuli@citicsf.com 从业资格号：F0271452 投资咨询号：Z0012283 桂晨曦 021-60812997 guichenxi@citicsf.com 从业资格号：F3023159 投资咨询号：Z0013632 李青 021-60819914 liqing@citicsf.com 从业资格号：F3056728 投资咨询号：Z0014122 联系人： 杨家明 021-80365287 yangjiaming@citicsf.com 从业资格号：F3046931 颜鑫 021-80365289 yanxin@citicsf.com 从业资格号：F3048534 中信期货研究|能源化工专题（原油） 油品持仓周报 – 基金净多持仓原油增仓成品减仓 报告摘要 多单空单净多多单空单净多总持仓现值4143374865436568318.4%2.2%16.2%2253759周变化26508-7113336212.4%-0.1%2.5%-168089季度值现值3180803237828570216.1%1.6%14.5%1975009周变化12486-6165186510.6%-0.3%0.9%6498季度值现值3180803180809708775.6%75.6%23.1%420515周变化1248612486-1163.2%3.2%0.0%-1282季度值现值2897333690-47177.5%8.8%-1.2%384627周变化-12072468-3675-0.6%0.3%-0.9%13940季度值现值8912418698704269.6%2.0%7.6%930176周变化-21010409-10619-0.4%1.1%-1.5%36122季度值NymexWTINymexRBOBNymexULSDICEGasoilICEBrent统计日期管理基金持仓管理基金持仓占总持仓比2019/4/2 2019 4-8 中信期货研究|能源化工专题报告（原油） 2 / 20 目录 报告摘要 ...................................................................................................................................................................... 1 1. 总成交持仓 ........................................................................................................................................................ 3 2. ICE Brent .......................................................................................................................................................... 4 3. Nymex WTI ....................................................................................................................................................... 6 4. Nymex RBOB ................................................................................................................................................... 8 5. Nymex ULSD .................................................................................................................................................. 10 6. ICE gasoil ....................................................................................................................................................... 12 7. INE SC ............................................................................................................................................................. 14 8. SHFE FU ........................................................................................................................................................... 16 9. SHFE BU ........................................................................................................................................................... 18 免责声明 .................................................................................................................................................................... 20 中信期货研究|能源化工专题报告（原油） 3 / 20 1. 总成交持仓 数据来源：Bloomberg 中信期货研究部2000000220000024000002600000280000040506070809018/03/2318/04/2318/05/2318/06/2318/07/2318/08/2318/09/2318/10/2318/11/2318/12/2319/01/2319/02/2319/03/23Brent期价总持仓（右轴）180000020000002200000240000026000002800000405060708018/03/2318/04/2318/05/2318/06/2318/07/2318/08/2318/09/2318/10/2318/11/2318/12/2319/01/2319/02/2319/03/23WTI期价总持仓（右轴）30000035000040000045000050000015017019021023025018/03/2318/04/2318/05/2318/06/2318/07/2318/08/2318/09/2318/10/2318/11/2318/12/2319/01/2319/02/2319/03/23ULSD期价总持仓（右轴）00.20.40.60.811.2405060708018/03/2318/04/2318/05/2318/06/2318/07/2318/08/2318/09/2318/10/2318/11/2318/12/2319/01/2319/02/2319/03/23WTI期价成交持仓比（右轴）00.20.40.60.8110015020025018/03/2318/04/2318/05/2318/06/2318/07/2318/08/2318/09/2318/10/2318/11/2318/12/2319/01/2319/02/2319/03/23RBOB期价成交持仓比（右轴）00.20.40.60.8115017019021023025018/03/2318/04/2318/05/2318/06/2318/07/2318/08/2318/09/2318/10/2318/11/2318/12/2319/01/2319/02/2319/03/23ULSD期价成交持仓比（右轴）00.20.40.60.840506070809018/03/2318/04/2318/05/2318/06/2318/07/2318/08/2318/09/2318/10/2318/11/2318/12/2319/01/2319/02/2319/03/23Brent期价成交持仓比（右轴）30000035000040000045000050000055000010015020025018/03/2318/04/2318/05/2318/06/2318/07/2318/08/2318/09/2318/10/2318/11/2318/12/2319/01/2319/02/2319/03/23RBOB期价总持仓（右轴） 中信期货研究|能源化工专题报告（原油） 4 / 20 2. ICE Brent（美元/桶） 2019/2/52019/1/292019/1/222019/1/152019/1/82019/1/12018/12/252018/12/182018/12/112018/12/42018/11/272018/11/202018/11/132018/11/62018/10/302018/10/23本报告持仓情绪指数 = 管理基金(当期净多持仓 - 五年最小净多持仓)/(五年最大净多持仓-五年最小净多持仓)持仓情绪指数可用于衡量市场做多情绪，数值越高做多热情越高数据来源：ICE 中信期货研究部020406080100120-300000-200000-100000010000020000030000040000050000060