2021-09-08 中信期货研究|量化数据日报 重要提示：本报告中发布的观点和信息仅供中信期货的专业投资者参考。若您并非中信期货客户中的专业投资者，为控制投资风险，请取消订阅、接收或使用本报告的任何信息。本报告难以设置访问权限，若给您造成不便，敬请谅解。我司不会因为关注、收到或阅读本报告内容而视相关人员为客户；市场有风险，投资需谨慎。 投资咨询业务资格： 证监许可【2012】669号 资产配置研究团队 研究员： 张革 021-60812988 从业资格号F3004355 投资咨询号Z0010982 姜婧 021-60812990 从业资格号F3018552 投资咨询号Z0013315 摘要： 交易所会员持仓 前20会员多头持仓变化率排名前三 增加：短纤(14.88%)，苯乙烯(13.91%)，沪锌(12.23%)。 减少：焦炭(-13.98%)，热轧卷板(-7.28%)，动力煤(-5.85%)。 前20会员空头持仓变化率排名前三 增加：苯乙烯(17.14%)，菜粕(13.03%)，短纤(12.47%)。 减少：豆一(-7.80%)，豆二(-6.70%)，焦煤(-6.59%)。 前20会员多空持仓背离： 多头持仓增加，空头持仓减少：20号胶，沪深300股指期货，菜油，玉米，纸浆，石油沥青。 多头持仓减少，空头持仓增加：沪银，菜粕，黄金。 前20会员多头持仓变化率排名前三 增加：短纤(14.88%)，苯乙烯(13.91%)，沪锌(12.23%)。 减少：焦炭(-13.98%)，热轧卷板(-7.28%)，动力煤(-5.85%)。 报告要点 中信期货研究|量化数据日报 2 / 5 图表1：持仓、成交、仓单变化板块/单位品种持仓量(万)持仓量变化持仓保证金(亿元)持仓保证金变化成交量(万)成交量变化成交额(万元)成交额变化注册仓单数量注册仓单增减黄金21.4 -1.4%65.3 -2.6%21.0 118.2%788.9 115.8%3,204 - 沪银58.9 -2.0%55.4 -3.1%59.5 44.8%464.9 43.2%2,125,917 15,026 沪铜29.8 -1.5%106.6 -2.6%15.9 15.2%549.4 14.6%22,780 -198 国际铜1.0 -0.6%3.3 -1.1%1.2 26.0%36.8 25.2%20,991 - 沪锌16.9 14.6%19.3 15.0%27.8 44.1%314.2 45.0%9,396 - 沪铝62.4 3.0%69.1 3.1%43.8 19.0%478.0 19.6%78,157 -225 沪镍25.5 6.7%37.7 7.0%79.8 15.6%1,168.7 16.1%4,918 605 沪锡5.0 -2.1%12.4 -2.1%10.9 78.6%267.7 78.9%1,132 -24 沪铅14.6 1.4%11.2 1.0%5.4 -34.2%40.3 -34.4%187,654 -544 铁矿石110.8 0.8%98.3 1.1%84.1 -12.0%627.9 -11.6%700 - 螺纹钢165.6 -2.7%89.7 -3.8%232.2 7.9%1,260.9 6.7%151,549 - 热轧卷板68.5 -5.3%39.3 -6.7%83.5 38.2%479.0 36.0%43,352 - 不锈钢7.4 -5.6%6.9 -7.2%16.3 -30.2%156.3 -31.4%13,110 -122 焦煤23.4 -10.1%62.3 -10.0%24.1 -26.8%423.5 -28.1%900 600 焦炭15.2 -10.6%83.1 -9.9%15.1 -25.2%553.3 -25.4%290 20 锰硅26.9 -1.5%8.7 -2.1%35.6 -37.3%157.0 -37.7%21,819 702 硅铁31.0 1.0%11.9 2.1%54.0 -6.3%288.9 -5.2%7,822 111 动力煤11.5 -7.2%31.8 -8.3%9.7 9.9%93.5 9.3%- - 聚乙烯65.2 3.3%22.3 4.1%60.9 21.5%258.4 22.5%5,200 - 聚丙烯81.5 2.7%27.9 3.3%83.0 2.1%352.8 2.7%4,174 438 苯乙烯27.4 16.8%14.8 19.5%52.4 48.1%236.6 51.6%570 - 甲醇167.2 -2.3%40.4 -1.0%133.2 -15.5%402.8 -14.4%5,059 900 乙二醇40.1 1.5%23.4 1.8%44.7 46.9%235.3 47.3%6 - 石油沥青48.0 -0.3%15.2 -1.8%49.1 64.8%153.5 62.2%287,950 - PTA272.9 7.1%40.5 4.0%304.0 71.5%729.4 67.4%63,263 -3,226 橡胶29.4 5.9%39.9 3.6%57.1 100.8%769.4 96.7%196,360 1,290 PVC84.8 -1.0%33.8 1.0%97.6 33.2%479.5 35.8%4,388 1,698 玻璃45.9 4.4%36.0 2.5%49.9 23.0%263.2 20.9%274 40 纤维板0.1 -14.0%0.0 -12.1%0.2 -30.5%0.3 -30.7%295 - 尿素10.6 -0.3%3.7 1.0%16.4 4.5%80.8 6.1%899 206 纯碱60.1 5.5%31.8 8.7%104.4 -7.2%606.7 -4.3%4,614 246 短纤25.6 14.4%6.3 10.8%36.2 144.7%123.8 138.1%4,569 -169 原油6.5 -3.1%29.2 -4.0%15.5 35.2%693.6 33.9%9,866,000 - 燃油34.6 4.1%8.9 3.2%107.2 32.1%277.4 31.0%62,220 - LPG13.2 5.2%15.3 5.7%13.5 4.8%142.5 5.3%5,818 - 低硫燃料油9.2 0.3%3.2 -0.4%6.1 10.1%21.0 9.3%94,460 -5,000 白糖55.3 -1.4%23.6 -1.3%27.2 -15.7%161.1 -15.6%29,549 -63 棉花54.9 3.0%36.3 3.5%51.7 63.5%464.4 65.3%7,286 -122 纸浆27.0 -0.7%16.0 -1.5%16.0 5.8%98.2 5.2%210,164 1,801 20号胶4.2 5.8%4.5 3.1%3.9 118.8%41.2 113.6%29,857 -1,311 豆一21.0 -2.6%14.7 -3.1%21.1 23.7%122.4 23.0%15,199 -300 豆二5.0 -2.6%2.0 -2.5%5.5 15.6%24.9 15.9%- - 豆油85.5 0.9%63.1 0.7%93.8 25.5%859.5 25.6%7,281 - 豆粕215.5 0.9%59.6 0.9%123.8 10.8%429.6 10.6%26,100 420 菜油27.1 -0.7%21.3 -0.8%47.9 20.4%520.0 20.1%4,954 - 菜粕59.7 7.4%12.1 6.8%115.4 17.8%330.2 17.5%2,757 -336 棕榈油65.2 5.3%55.0 5.6%98.8 6.1%828.6 6.2%1,910 - 玉米135.6 -0.5%37.0 -0.3%84.4 58.8%209.0 59.0%28,727 - 苹果48.4 6.2%21.3 4.2%38.0 102.3%209.0 98.7%- - 生猪9.0 2.1%33.1 0.5%2.3 16.6%57.1 14.8%80 - 鸡蛋28.2 3.8%10.6 3.4%13.7 30.5%59.2 30.1%- - 红枣15.9 4.7%11.1 6.4%14.5 -35.6%100.8 -34.6%1,923 - 玉米淀粉20.7 9.0%4.2 7.9%23.6 80.2%67.0 78.4%4,014 - 中证50027.9 -2.4%571.7 -1.9%9.6 -18.9%1,416.8 -17.7%- - 沪深30019.7 -2.3%350.7 -2.9%10.9 -15.1%1,622.2 -14.6%- - 上证5011.1 -2