投资咨询业务资格： 证监许可【2012】669号 能源组 桂晨曦（原油） 021-60812997 guichenxi@citicsf.com 从业资格号：F3023159 投资咨询号：Z0013632 联系人： 杨家明（燃料油、沥青） 021-80365287 yangjiaming@citicsf.com 从业资格号：F3046931 石飞（LPG） 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 – 欧佩克大会前，两油多单双双减仓 报告摘要 多单空单净多多单空单净多总持仓现值4010357488432615115.9%3.0%12.9%2527691周变化-220544008-26062-0.3%0.3%-0.5%-95504季度值现值214170629811511899.9%2.9%7.0%2163757周变化-3079827200-57998-1.3%1.3%-2.6%-23411季度值现值2141702141707758059.2%59.2%21.4%361944周变化-30798-30798-26138-2.4%-2.4%-4.7%-35638季度值现值350963084142558.4%7.4%1.0%415600周变化-63054268-10573-1.3%1.1%-2.5%-7255季度值现值81233316154961810.0%3.9%6.1%815720周变化-78244087-11911-0.8%0.6%-1.3%-13884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2019/12/3-800000-40000004000008000001200000160000014/07/0114/09/0114/11/0115/01/0115/03/0115/05/0115/07/0115/09/0115/11/0116/01/0116/03/0116/05/0116/07/0116/09/0116/11/0117/01/0117/03/0117/05/0117/07/0117/09/0117/11/0118/01/0118/03/0118/05/0118/07/0118/09/0118/11/0119/01/0119/03/0119/05/01Brent + 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 12-11 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20000002200000240000026000002800000405060708018/11/2718/12/2719/01/2719/02/2719/03/2719/04/2719/05/2719/06/2719/07/2719/08/2719/09/2719/10/2719/11/27Brent期价总持仓（右轴）1800000190000020000002100000220000023000004045505560657018/11/2718/12/2719/01/2719/02/2719/03/2719/04/2719/05/2719/06/2719/07/2719/08/2719/09/2719/10/2719/11/27WTI期价总持仓（右轴）30000035000040000045000050000015017019021023018/11/2718/12/2719/01/2719/02/2719/03/2719/04/2719/05/2719/06/2719/07/2719/08/2719/09/2719/10/2719/11/27ULSD期价总持仓（右轴）00.511.524045505560657018/11/2718/12/2719/01/2719/02/2719/03/2719/04/2719/05/2719/06/2719/07/2719/08/2719/09/2719/10/2719/11/27WTI期价成交持仓比（右轴）00.20.40.60.811.210012014016018020022018/11/2718/12/2719/01/2719/02/2719/03/2719/04/2719/05/2719/06/2719/07/2719/08/2719/09/2719/10/2719/11/27RBOB期价成交持仓比（右轴）00.20.40.60.811.215017019021023018/11/2718/12/2719/01/2719/02/2719/03/2719/04/2719/05/2719/06/2719/07/2719/08/2719/09/2719/10/2719/11/27ULSD期价成交持仓比（右轴）00.20.40.60.811.2405060708018/11/2718/12/2719/01/2719/02/2719/03/2719/04/2719/05/2719/06/2719/07/2719/08/2719/09/2719/10/2719/11/27Brent期价成交持仓比（右轴）30000035000040000045000050000010012014016018020022018/11/2718/12/2719/01/2719/02/2719/03/2719/04/2719/05/2719/06/2719/07/2719/08/2719/09/2719/10/2719/11/27RBOB期价总持仓（右轴） 中信期货研究|能源化工专题报告（原油） 4 / 15 2. ICE Brent（美元/桶） 2019/10/82019/10/12019/9/242019/9/172019/9/102019/9/32019/8/272019/8/202019/8/132019/8/62019/7/302019/7/232019/7/162019/7/92019/7/22019/6/25本报告持仓情绪指数 = 管