2022-04-12 中信期货研究|量化数据日报 重要提示：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 商品量化团队 研究员： 魏新照 021-80401773 weixinzhao@citicsf.com 从业资格号F3084987 投资咨询号Z0016364 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：纯碱(11.98%)，燃油(9.12%)，沪锌(8.41%)。 减少：沪镍(-21.09%)，不锈钢(-19.92%)，聚乙烯(-10.08%)。 前20会员空头持仓变化率排名前三 增加：燃油(11.45%)，鸡蛋(8.51%)，棕榈油(8.11%)。 减少：沪镍(-22.68%)，不锈钢(-16.95%)，甲醇(-10.38%)。 前20会员多空持仓背离： 多头持仓增加，空头持仓减少：豆一，2年期国债期货，5年期国债期货，豆二。 多头持仓减少，空头持仓增加：沪铜，短纤，棉花，焦煤。 前20会员多头持仓变化率排名前三 增加：纯碱(11.98%)，燃油(9.12%)，沪锌(8.41%)。 减少：沪镍(-21.09%)，不锈钢(-19.92%)，聚乙烯(-10.08%)。 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24.4 1.7%98.0 2.3%15.4 -5.3%619.3 -4.7%3,300 - 沪银69.1 3.2%64.3 5.0%63.6 20.3%491.4 22.4%2,006,728 -8,187 沪铜33.8 -1.0%150.1 -1.6%14.1 22.5%517.0 22.2%35,107 -998 国际铜2.6 -1.9%10.6 -2.2%1.8 22.2%60.5 21.6%18,589 9,467 沪锌23.3 9.6%44.9 10.1%28.9 23.7%397.3 24.3%125,791 1,167 沪铝46.4 1.7%58.9 -0.8%50.8 4.1%530.4 1.9%188,197 172 沪镍8.1 -9.1%32.1 -10.4%10.7 -17.0%223.1 -18.1%5,484 -363 沪锡4.5 1.8%21.2 1.5%2.7 -23.5%91.1 -23.5%3,030 1,196 沪铅8.6 1.5%9.3 1.2%5.5 -5.5%42.3 -5.9%88,565 1,255 铁矿石104.0 1.6%135.2 2.8%68.1 -16.2%611.6 -15.3%- - 螺纹钢242.8 1.0%144.4 1.4%194.8 -6.5%966.0 -6.0%14,188 - 热轧卷板96.1 1.8%59.0 2.0%59.4 -11.9%303.6 -11.7%137,257 44,947 不锈钢11.0 -5.7%15.0 -6.6%9.3 -31.0%90.3 -31.4%80,784 73 焦煤5.6 0.0%20.8 1.1%4.5 -5.5%83.3 -5.0%- - 焦炭4.1 6.0%32.0 7.6%3.7 9.4%144.7 10.3%450 - 锰硅29.3 1.5%15.3 1.1%15.0 -28.9%65.2 -29.1%27,335 -6 硅铁25.9 -0.4%16.1 -0.6%34.1 -15.3%177.0 -15.6%9,749 362 动力煤0.3 -6.2%1.2 -6.1%0.0 -21.0%0.2 -20.7%- - 聚乙烯58.7 -1.5%28.6 -1.9%47.6 -12.3%210.7 -12.7%324 60 聚丙烯65.0 -0.5%31.0 -0.5%65.4 3.4%283.4 3.4%634 436 苯乙烯20.4 0.8%12.0 0.1%18.8 -25.8%91.4 -26.4%693 - 甲醇150.8 -5.0%36.7 -6.2%104.0 -12.9%295.4 -12.9%6,357 -240 乙二醇52.0 -0.8%30.6 -2.2%42.5 -24.3%207.5 -25.3%6,579 1,100 石油沥青67.5 1.5%37.6 1.3%53.3 12.6%198.3 12.4%257,600 -5,000 PTA206.7 5.7%46.9 6.9%236.0 38.8%706.3 40.3%38,975 -1,488 橡胶34.4 0.3%46.6 0.3%27.7 -3.7%375.3 -3.8%247,850 -80 PVC67.0 0.4%33.7 0.9%81.2 2.2%369.9 2.6%3,060 1,260 玻璃77.6 1.2%29.7 2.3%103.6 43.2%423.3 45.4%1,308 207 纤维板0.2 -4.1%0.0 -4.0%0.2 11.8%0.3 11.5%- - 尿素13.5 -2.9%7.8 -4.2%8.0 7.9%42.2 8.2%728 - 纯碱100.8 11.9%54.8 16.0%177.1 41.5%1,070.5 46.4%2,858 - 短纤27.6 -2.9%8.5 -2.2%22.6 5.3%86.7 6.1%3,001 - 原油6.3 6.2%58.3 5.3%24.1 0.3%1,492.7 -0.9%6,287,000 - 燃油43.3 5.4%24.4 5.8%85.5 21.3%324.2 22.0%3,860 - LPG10.8 -3.8%15.0 -3.3%15.9 8.6%182.8 9.0%1,911 - 低硫燃料油5.7 -3.4%4.0 -3.3%10.6 46.3%50.7 46.2%19,480 - 白糖69.8 2.1%29.3 2.0%37.5 -32.5%225.5 -32.5%38,203 40 棉花51.0 0.8%52.4 0.8%33.0 43.8%351.6 44.3%17,545 -71 纸浆29.7 -2.9%31.3 -0.4%53.2 -9.7%374.2 -7.2%558,335 1,597 20号胶6.9 1.7%7.9 1.4%3.3 -1.2%37.5 -1.4%104,662 -1,300 豆一14.6 -6.0%10.8 -6.7%10.6 20.4%65.6 19.5%- - 豆二3.6 -0.7%2.0 -0.8%3.4 -21.9%17.1 -21.8%700 - 豆油66.8 6.4%67.9 6.4%52.6 9.0%557.6 9.9%800 - 豆粕225.1 -2.3%100.9 -3.0%115.4 -20.0%451.0 -20.5%6,749 - 菜油25.1 3.7%28.6 5.7%29.0 1.4%368.8 2.4%380 - 菜粕70.5 -0.8%28.5 -3.2%46.6 8.7%165.8 8.1%- - 棕榈油52.7 5.1%66.3 5.1%71.8 -4.3%763.8 -3.6%1,500 - 玉米178.0 -0.7%61.7 -1.0%46.5 -26.6%134.4 -26.8%52,341 10,000 苹果27.2 -7.1%27.1 -7.7%25.1 -32.1%231.0 -32.5%- - 生猪11.6 -1.9%42.3 -1.1%3.4 -15.1%78.3 -16.1%- - 鸡蛋13.7 -1.0%5.8 -2.5%10.8 -4.3%51.2 -4.8%- - 红枣5.1 -2.8%4.9 -3.5%2.9 35.8%16.3 35.5%18,637 124 玉米淀粉35.7 2.3%11.1 1.6%14.3 -30.4%47.3 -30.5%- - 中证50034.1 0.0%577.1 1.9%15.8 19.3%1,894.0 19.0%- - 沪深30021.5 -3.4%321.5 -1.8%16.2 11.1%2,007.2 11.3%- - 上证509.8 -3.8%101.3 -2.4%7.1 2.0%608.7 2.1%- - 10债18.4 -1.9%36.9 -2.1%12.1 85.2%1,214.0 85.2%-