2022-05-11 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：沪铅(11.46%)，石油沥青(8.00%)，花生(7.28%)。 减少：燃油(-16.27%)，上证50股指期货(-6.19%)，乙二醇(-5.72%)。 前20会员空头持仓变化率排名前三 增加：沪铅(9.84%)，花生(7.83%)，沪锡(7.77%)。 减少：燃油(-17.48%)，动力煤(-9.07%)，纯碱(-6.98%)。 前20会员多空持仓背离： 多头持仓增加，空头持仓减少：LPG，聚丙烯，菜粕，动力煤。 多头持仓减少，空头持仓增加：乙二醇，中证500股指期货，不锈钢，沪锌，纸浆，黄金，沪银，焦炭，玉米。 前20会员多头持仓变化率排名前三 增加：沪铅(11.46%)，石油沥青(8.00%)，花生(7.28%)。 减少：燃油(-16.27%)，上证50股指期货(-6.19%)，乙二醇(-5.72%)。 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23.4 -2.2%94.0 -2.8%18.9 0.0%759.3 -0.7%3,264 - 沪银75.0 2.1%64.3 1.2%75.9 14.8%541.6 13.8%1,890,933 -36,246 沪铜33.6 -0.8%145.2 -1.1%17.0 -18.4%606.6 -18.3%15,839 551 国际铜2.5 1.7%9.6 1.7%3.7 -4.5%118.0 -4.4%31,857 - 沪锌20.0 1.2%35.9 0.7%36.5 -7.9%466.6 -8.2%122,182 -1,084 沪铝44.9 -0.2%54.4 1.0%46.4 -16.1%465.0 -14.9%148,592 602 沪镍8.9 -0.9%33.7 0.4%11.8 -17.7%237.9 -16.6%2,681 -173 沪锡5.4 7.7%22.3 4.3%8.5 14.0%249.1 10.6%1,845 70 沪铅9.5 16.5%10.1 15.1%10.9 -0.1%82.6 -1.2%79,348 2,634 铁矿石108.0 1.7%123.6 5.3%74.6 -12.5%598.9 -9.4%900 - 螺纹钢254.0 -1.8%153.3 -0.5%167.0 -26.0%777.6 -24.9%1,200 - 热轧卷板96.6 -1.9%59.7 -0.4%57.9 -19.1%275.3 -17.9%186,170 -8,263 不锈钢9.5 -2.6%12.5 -1.7%9.5 -24.9%89.5 -24.2%48,551 -2,807 焦煤3.9 -2.8%12.4 -1.6%4.3 -8.2%68.4 -6.6%900 - 焦炭3.0 -5.7%20.6 -4.1%3.2 2.6%110.3 4.5%780 - 锰硅30.0 0.4%14.9 0.7%12.3 -32.3%50.4 -32.0%25,631 414 硅铁27.9 1.2%14.9 1.6%23.1 -23.4%102.1 -23.0%9,795 -66 动力煤0.1 -8.1%0.3 -7.7%0.0 -66.4%0.0 -67.5%- - 聚乙烯56.2 0.8%26.8 0.9%51.0 -13.5%220.4 -13.4%2,953 -20 聚丙烯60.5 0.5%28.9 0.5%63.6 -20.3%274.6 -20.3%1,941 - 苯乙烯19.6 -1.2%11.5 -1.3%24.0 -26.9%117.2 -26.9%740 380 甲醇173.4 -3.0%37.2 -2.1%143.1 -19.7%382.2 -19.0%7,328 316 乙二醇42.8 -2.0%25.6 -1.0%50.0 -8.8%249.7 -7.9%9,068 -66 石油沥青85.7 8.4%53.4 8.8%89.9 -22.8%378.9 -22.4%246,230 -7,890 PTA210.9 5.5%50.3 5.7%201.0 -11.0%629.4 -10.9%30,939 - 橡胶31.2 0.5%40.3 1.3%34.9 -21.8%446.0 -21.1%254,140 - PVC65.1 -4.0%31.1 -3.2%83.0 -9.9%357.1 -9.0%4,507 850 玻璃83.3 2.4%27.0 3.7%84.5 -48.7%304.7 -48.0%270 -126 纤维板0.1 10.5%0.0 9.9%0.2 -21.9%0.2 -21.6%150 - 尿素15.4 2.3%8.7 2.5%11.0 -34.3%63.7 -34.0%1,396 -114 纯碱85.6 -3.5%53.2 -3.4%133.3 -32.8%744.9 -32.4%2,963 -53 短纤28.8 1.5%9.4 0.7%23.4 -21.4%94.4 -22.1%2,923 420 原油6.0 3.1%58.6 0.9%31.8 -5.5%2,086.9 -7.8%6,284,000 - 燃油48.5 -7.4%28.6 -9.7%83.1 -25.6%328.7 -27.4%3,860 - LPG10.5 4.3%16.4 4.5%18.8 -10.1%226.7 -9.9%3,158 - 低硫燃料油8.7 0.7%6.9 -0.7%15.8 -4.0%84.9 -5.4%15,360 -4,120 白糖71.6 2.5%30.2 2.5%28.1 -31.2%163.5 -31.1%47,838 -626 棉花44.0 -0.6%44.8 -0.9%16.7 -27.2%176.5 -27.2%16,539 -26 纸浆34.2 0.8%37.6 1.6%44.1 -15.9%324.2 -15.1%480,725 -10,396 20号胶8.1 2.5%8.8 3.2%4.4 -32.0%47.5 -31.5%90,902 -3,930 豆一16.3 0.5%11.9 -0.1%11.1 -12.5%67.8 -12.8%11,357 - 豆二3.4 2.2%1.6 2.5%4.7 -16.6%23.6 -16.4%- - 豆油59.4 0.9%59.0 1.1%62.0 -11.7%680.1 -11.5%1,800 - 豆粕197.7 1.5%86.9 2.1%76.3 -32.2%298.4 -31.8%10,864 - 菜油24.6 -0.5%32.0 -0.6%17.8 -27.3%239.7 -27.4%1,140 - 菜粕45.4 -0.6%20.0 0.5%23.4 -25.3%78.5 -25.2%3,350 900 棕榈油49.7 4.4%69.4 4.2%92.1 3.5%1,062.3 3.7%2,500 1,300 玉米175.3 0.7%67.1 0.5%39.9 -48.7%118.3 -48.7%131,283 - 苹果29.7 6.0%25.1 6.9%28.5 3.1%264.1 3.9%- - 生猪9.9 2.7%45.1 4.1%3.2 4.1%97.4 5.5%561 -2 鸡蛋14.5 -0.2%6.1 -0.1%5.0 -25.3%23.6 -25.3%- - 红枣4.4 0.8%4.6 1.8%1.9 24.7%12.0 26.3%18,978 -5 玉米淀粉32.3 3.1%10.0 1.8%15.3 -35.5%51.8 -35.9%19,020 2,300 中证50035.6 -0.4%563.0 1.2%17.0 7.0%1,942.5 10.4%- - 沪深30021.8 -4.4%309.8 -2.8%13.9 -6.6%1,656.3 -4.2%- - 上证5011.4 -5.6%111.9 -4.6%7.3 -5.9%596.3 -4.3%-