油品持仓周报：基金净多美油续增布油续降

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 – 基金净多美油续增布油续降 报告摘要 多单空单净多多单空单净多总持仓现值3206639251322815013.6%3.9%9.6%2365733周变化13895661572800.5%0.3%0.3%7905季度值现值2507345705319368112.5%2.8%9.7%2003007周变化-191917560-26751-1.0%0.4%-1.3%160季度值现值2507342507346075164.3%64.3%15.6%389987周变化-19191-19191-377-2.6%-2.6%0.4%-13631季度值现值36556358866708.6%8.4%0.2%426837周变化-13602923-42830.1%1.0%-1.0%-19967季度值现值9682939972568579.1%3.7%5.3%1067749周变化-8215757-6578-0.3%0.5%-0.8%28723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2019/8/27-800000-40000004000008000001200000160000014/07/0114/09/0114/11/0115/01/0115/03/0115/05/0115/07/0115/09/0115/11/0116/01/0116/03/0116/05/0116/07/0116/09/0116/11/0117/01/0117/03/0117/05/0117/07/0117/09/0117/11/0118/01/0118/03/0118/05/0118/07/0118/09/0118/11/0119/01/0119/03/0119/05/01Brent + 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 9-2 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20000002100000220000023000002400000250000040506070809018/08/1718/09/1718/10/1718/11/1718/12/1719/01/1719/02/1719/03/1719/04/1719/05/1719/06/1719/07/1719/08/17Brent期价总持仓（右轴）1800000190000020000002100000220000023000002400000405060708018/08/1718/09/1718/10/1718/11/1718/12/1719/01/1719/02/1719/03/1719/04/1719/05/1719/06/1719/07/1719/08/17WTI期价总持仓（右轴）30000035000040000045000050000015017019021023025018/08/1718/09/1718/10/1718/11/1718/12/1719/01/1719/02/1719/03/1719/04/1719/05/1719/06/1719/07/1719/08/17ULSD期价总持仓（右轴）00.20.40.60.811.2405060708018/08/1718/09/1718/10/1718/11/1718/12/1719/01/1719/02/1719/03/1719/04/1719/05/1719/06/1719/07/1719/08/17WTI期价成交持仓比（右轴）00.20.40.60.811.210015020025018/08/1718/09/1718/10/1718/11/1718/12/1719/01/1719/02/1719/03/1719/04/1719/05/1719/06/1719/07/1719/08/17RBOB期价成交持仓比（右轴）00.20.40.60.8115017019021023025018/08/1718/09/1718/10/1718/11/1718/12/1719/01/1719/02/1719/03/1719/04/1719/05/1719/06/1719/07/1719/08/17ULSD期价成交持仓比（右轴）00.20.40.60.840506070809018/08/1718/09/1718/10/1718/11/1718/12/1719/01/1719/02/1719/03/1719/04/1719/05/1719/06/1719/07/1719/08/17Brent期价成交持仓比（右轴）30000035000040000045000050000010015020025018/08/1718/09/1718/10/1718/11/1718/12/1719/01/1719/02/1719/03/1719/04/1719/05/1719/06/1719/07/1719/08/17RBOB期价总持仓（右轴） 中信期货研究|能源化工专题报告（原油）