能源化工专题（原油）：油品持仓周报–基金净多全面回落

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 – 基金净多全面回落 报告摘要 多单空单净多多单空单净多总持仓现值4452513036541488620.0%1.4%18.7%2223948周变化-8428-4114-4314-0.4%-0.2%-0.2%1496季度值现值3193203819228112815.0%1.8%13.2%2133539周变化-2416410706-34870-1.0%0.5%-1.6%-11109季度值现值31932031932010731479.8%79.8%26.8%400228周变化-24164-24164-8058-1.7%-1.7%-0.5%-21471季度值现值33256328104468.4%8.3%0.1%395250周变化-2881283-15710.0%0.4%-0.4%-3788季度值现值115710833510737512.2%0.9%11.3%950797周变化12696-8555212511.7%-0.8%2.6%-34618季度值ICEBrent统计日期管理基金持仓管理基金持仓占总持仓比2019/5/7NymexWTINymexRBOBNymexULSDICEGasoil 2019 5-13 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2000000220000024000002600000280000040506070809018/04/2718/05/2718/06/2718/07/2718/08/2718/09/2718/10/2718/11/2718/12/2719/01/2719/02/2719/03/2719/04/27Brent期价总持仓（右轴）180000020000002200000240000026000002800000405060708018/04/2718/05/2718/06/2718/07/2718/08/2718/09/2718/10/2718/11/2718/12/2719/01/2719/02/2719/03/2719/04/27WTI期价总持仓（右轴）30000035000040000045000050000015017019021023025018/04/2718/05/2718/06/2718/07/2718/08/2718/09/2718/10/2718/11/2718/12/2719/01/2719/02/2719/03/2719/04/27ULSD期价总持仓（右轴）00.20.40.60.811.2405060708018/04/2718/05/2718/06/2718/07/2718/08/2718/09/2718/10/2718/11/2718/12/2719/01/2719/02/2719/03/2719/04/27WTI期价成交持仓比（右轴）00.20.40.60.8110015020025018/04/2718/05/2718/06/2718/07/2718/08/2718/09/2718/10/2718/11/2718/12/2719/01/2719/02/2719/03/2719/04/27RBOB期价成交持仓比（右轴）00.20.40.60.8115017019021023025018/04/2718/05/2718/06/2718/07/2718/08/2718/09/2718/10/2718/11/2718/12/2719/01/2719/02/2719/03/2719/04/27ULSD期价成交持仓比（右轴）00.20.40.60.840506070809018/04/2718/05/2718/06/2718/07/2718/08/2718/09/2718/10/2718/11/2718/12/2719/01/2719/02/2719/03/2719/04/27Brent期价成交持仓比（右轴）30000035000040000045000050000055000010015020025018/04/2718/05/2718/06/2718/07/2718/08/2718/09/2718/10/2718/11/2718/12/2719/01/2719/02/2719/03/2719/04/27RBOB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） 2019/3/122019/3/52019/2/262019/2/192019/2/122019/2/52019/1/292019/1/222019/1/152019/1/82019/1/12018/12/252018/12/182018/12/112018/12/42018/11/27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020406080100120140-300000-200000-100000010000020000030000040000050000