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 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 黄谦 021-60812989 huangqian@citicsf.com 从业资格号：F3063512 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 石飞 021-60812955 shifei@citicsf.com 从业资格号：F3061043 中信期货研究|能源化工专题（原油） 油品持仓周报 – 美油净多七周首降，多单减仓空单增仓 报告摘要 多单空单净多多单空单净多总持仓现值3299046817226173214.4%3.0%11.5%2283464周变化-207165599-26315-0.6%0.3%-0.9%-41323季度值现值2556817695717872412.5%3.7%8.7%2053433周变化-1292627993-40919-0.4%1.4%-1.8%-36196季度值现值2556812556819117862.5%62.5%22.3%408797周变化-12926-12926-9010-3.8%-3.8%-2.4%3789季度值现值315692532062497.3%5.9%1.4%431740周变化32124280-10680.3%0.7%-0.4%25932季度值现值9535319225761289.4%1.9%7.5%1014248周变化454765038970.3%0.0%0.2%20157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2019/7/23-800000-40000004000008000001200000160000014/07/0114/09/0114/11/0115/01/0115/03/0115/05/0115/07/0115/09/0115/11/0116/01/0116/03/0116/05/0116/07/0116/09/0116/11/0117/01/0117/03/0117/05/0117/07/0117/09/0117/11/0118/01/0118/03/0118/05/0118/07/0118/09/0118/11/0119/01/0119/03/0119/05/01Brent + WTI 管理基金总持仓历史变化多头空头净多 0200000400000600000800000100000012000002014/01/072014/01/212014/02/042014/02/182014/03/042014/03/182014/04/012014/04/152014/04/292014/05/132014/05/272014/06/102014/06/242014/07/082014/07/222014/08/052014/08/192014/09/022014/09/162014/09/302014/10/142014/10/282014/11/112014/11/252014/12/092014/12/23Brent + WTI 管理基金总净多持仓季节变化20192018201720162015数据来源：CFTC 中信期货研究部 2019 7-29 中信期货研究|能源化工专题报告（原油） 2 / 15 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 免责声明 .................................................................................................................................................................... 15 中信期货研究|能源化工专题报告（原油） 3 / 15 1. 总成交持仓 数据来源：Bloomberg 中信期货研究部20000002100000220000023000002400000250000040506070809018/07/1318/08/1318/09/1318/10/1318/11/1318/12/1319/01/1319/02/1319/03/1319/04/1319/05/1319/06/1319/07/13Brent期价总持仓（右轴）18000002000000220000024000002600000405060708018/07/1318/08/1318/09/1318/10/1318/11/1318/12/1319/01/1319/02/1319/03/1319/04/1319/05/1319/06/1319/07/13WTI期价总持仓（右轴）30000035000040000045000050000015017019021023025018/07/1318/08/1318/09/1318/10/1318/11/1318/12/1319/01/1319/02/1319/03/1319/04/1319/05/1319/06/1319/07/13ULSD期价总持仓（右轴）00.20.40.60.811.2405060708018/07/1318/08/1318/09/1318/10/1318/11/1318/12/1319/01/1319/02/1319/03/1319/04/1319/05/1319/06/1319/07/13WTI期价成交持仓比（右轴）00.20.40.60.811.210015020025018/07/1318/08/1318/09/1318/10/1318/11/1318/12/1319/01/1319/02/1319/03/1319/04/1319/05/1319/06/1319/07/13RBOB期价成交持仓比（右轴）00.20.40.60.8115017019021023025018/07/1318/08/1318/09/1318/10/1318/11/1318/12/1319/01/1319/02/1319/03/1319/04/1319/05/1319/06/1319/07/13ULSD期价成交持仓比（右轴）00.20.40.60.840506070809018/07/1318/08/1318/09/1318/10/1318/11/1318/12/1319/01/1319/02/1319/03/1319/04/1319/05/1319/06/1319/07/13Brent期价成交持仓比（右轴）30000035000040000045000050000010015020025018/07/1318/08/1318/09/1318/10/1318/11/1318/12/1319/01/1319/02/1319/03/1319/04/1319/05/1319/06/1319/07/13RBOB期价总持仓（右轴） 中信期货研究|能源化工专题报告（原油）