2022-04-26 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：尿素(13.90%)，鸡蛋(13.10%)，石油沥青(10.66%)。 减少：燃油(-12.59%)，动力煤(-12.41%)，20号胶(-12.04%)。 前20会员空头持仓变化率排名前三 增加：尿素(12.27%)，焦煤(12.07%)，焦炭(10.50%)。 减少：动力煤(-15.44%)，甲醇(-12.31%)，20号胶(-11.54%)。 前20会员多空持仓背离： 多头持仓增加，空头持仓减少：聚丙烯，玻璃，豆油。 多头持仓减少，空头持仓增加：短纤，沪铝，棕榈油，聚乙烯，黄金，螺纹钢，锰硅。 前20会员多头持仓变化率排名前三 增加：尿素(13.90%)，鸡蛋(13.10%)，石油沥青(10.66%)。 减少：燃油(-12.59%)，动力煤(-12.41%)，20号胶(-12.04%)。 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24.6 -2.2%98.6 -3.2%20.4 -15.6%818.6 -16.5%3,264 - 沪银71.1 1.7%63.9 0.5%61.0 -13.6%456.0 -14.6%1,998,343 5,591 沪铜34.0 -2.4%149.2 -3.6%21.8 -23.1%796.6 -23.2%32,205 -5,134 国际铜2.1 -4.4%8.2 -6.0%3.7 26.8%121.5 24.8%25,818 506 沪锌21.2 -3.6%40.6 -6.0%36.8 -25.1%503.5 -26.7%129,936 -577 沪铝43.7 0.3%54.2 -2.4%57.9 -25.0%598.3 -26.1%160,709 -3,394 沪镍8.4 -7.3%34.5 -11.1%14.0 -23.0%302.2 -26.2%3,943 -336 沪锡5.0 -1.2%22.6 -2.2%7.2 -9.2%233.4 -10.0%1,430 -250 沪铅8.2 -7.0%9.0 -7.8%7.3 -20.1%57.0 -20.8%81,684 204 铁矿石101.1 -2.0%116.2 -4.9%71.1 -30.8%571.5 -32.8%- - 螺纹钢233.4 -1.3%134.7 -2.3%200.1 -32.0%963.9 -32.7%1,200 - 热轧卷板90.2 -2.7%53.1 -3.9%57.6 -35.8%282.9 -36.6%162,521 - 不锈钢10.6 -4.5%14.1 -6.7%13.2 -2.6%125.9 -4.9%69,537 1,129 焦煤4.4 -2.3%15.3 -3.6%6.2 -8.5%107.0 -9.8%- - 焦炭3.2 -6.8%23.3 -9.3%4.1 -9.4%151.5 -12.2%750 - 锰硅26.9 -0.2%13.7 -0.7%16.0 -52.8%68.1 -53.1%27,237 -947 硅铁23.6 -7.3%14.5 -8.4%20.2 -43.9%103.2 -44.6%10,232 363 动力煤0.1 -13.8%0.6 -14.1%0.0 37.4%0.2 37.9%- - 聚乙烯57.4 0.4%27.3 -0.6%48.2 -15.9%208.3 -16.7%1,448 111 聚丙烯63.3 1.0%29.8 0.2%67.9 -16.6%290.1 -17.2%1,665 - 苯乙烯19.9 -2.3%11.3 -3.5%21.1 -31.0%99.7 -31.8%343 -200 甲醇163.0 -6.8%50.8 29.2%135.7 -11.1%368.6 -13.2%4,409 -1,760 乙二醇52.3 4.0%29.6 0.2%67.3 -10.7%317.0 -14.0%7,380 -929 石油沥青72.4 5.7%42.3 6.5%98.2 17.1%385.2 18.1%258,400 6,500 PTA197.1 1.3%44.9 0.5%194.8 -12.1%584.8 -12.6%37,104 -204 橡胶33.6 -6.5%42.7 -7.9%41.5 -8.7%525.1 -9.4%248,200 160 PVC69.5 -2.5%33.0 -3.6%81.5 -21.7%350.3 -22.7%3,358 -200 玻璃82.8 -0.2%27.7 -5.0%150.9 3.3%556.4 -1.7%1,313 238 纤维板0.2 -13.7%0.0 -13.7%0.7 -16.9%1.0 -16.9%150 - 尿素17.1 18.1%9.7 19.9%22.6 42.1%130.2 46.0%893 75 纯碱83.2 1.3%53.0 -2.2%145.4 -18.5%838.6 -21.4%2,694 -446 短纤26.2 -0.7%8.2 -1.2%21.0 -8.7%81.0 -9.1%2,565 - 原油5.3 -7.2%50.0 -10.7%25.0 -2.0%1,572.6 -6.2%5,617,000 - 燃油34.6 -8.8%20.0 -11.3%96.1 -7.9%374.7 -9.7%3,860 - LPG9.7 -3.0%13.6 -4.6%15.9 -4.4%186.8 -5.1%3,088 - 低硫燃料油5.6 -0.8%4.1 -3.1%13.0 34.4%63.9 31.2%19,480 - 白糖62.2 1.6%26.0 0.6%38.4 -30.9%225.9 -31.4%47,699 -35 棉花46.4 -1.5%46.7 -2.6%20.9 -38.1%221.0 -38.6%16,909 -117 纸浆26.3 -4.6%26.8 -7.4%40.3 -24.0%274.2 -26.4%536,447 -4,464 20号胶6.9 -5.0%7.4 -6.1%5.9 6.0%63.0 4.8%96,183 201 豆一17.1 1.9%12.4 1.2%10.7 -40.2%64.8 -40.5%3,800 2,166 豆二3.2 -9.0%1.6 -14.4%5.9 -29.0%30.4 -30.6%- -100 豆油63.7 -0.9%63.5 -4.1%69.9 -34.8%765.3 -36.7%1,800 1,000 豆粕204.8 -0.1%92.3 -1.3%117.0 -29.2%464.3 -30.0%8,774 - 菜油27.1 0.6%33.9 -0.7%27.5 -36.7%370.7 -37.6%380 - 菜粕65.9 0.0%28.8 -2.2%36.0 -19.6%122.1 -21.2%1,800 250 棕榈油48.0 0.5%60.6 -3.4%101.7 -34.5%1,140.1 -37.0%- -460 玉米194.6 0.7%69.4 1.0%63.3 -19.4%188.4 -19.0%78,431 6,700 苹果27.5 8.0%24.3 8.3%41.5 29.1%368.4 30.6%- - 生猪9.8 -2.3%42.0 -2.5%3.4 -38.7%95.4 -38.7%570 - 鸡蛋13.1 0.1%5.6 -0.7%11.0 -24.0%52.2 -24.3%- - 红枣5.0 1.7%5.3 2.3%2.4 -9.1%14.8 -8.6%19,018 37 玉米淀粉33.1 -0.7%10.5 -0.7%18.3 -18.4%62.6 -18.4%- - 中证50036.9 0.9%529.8 -2.3%19.4 10.8%2,033.2 7.2%- - 沪深30023.3 -3.4%317.0 -4.8%16.8 -1.9%1,922.1 -3.9%- - 上证5011.3 -4.0%108.