2022-06-30 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 1001401802202601031071111151192021/82021/102021/122022/22022/42022/6中信期货商品指数走势中信期货十年期国债期货指数中信期货沪深300股指期货指数中信期货商品指数 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(18.42%)，鸡蛋(11.14%)，焦煤(10.38%)。 减少：沪锡(-16.95%)，纯碱(-11.53%)，沪镍(-9.20%)。 前20会员空头持仓变化率排名前三 增加：沪铅(16.33%)，焦煤(10.06%)，硅铁(8.66%)。 减少：沪镍(-14.79%)，沪锡(-11.72%)，纯碱(-9.43%)。 前20会员多空持仓背离： 多头持仓增加，空头持仓减少：沪深300股指期货，国际铜，生猪，菜粕，5年期国债期货，沪银，玉米，棕榈油。 多头持仓减少，空头持仓增加：PTA，棉纱，菜油，纸浆，LPG，红枣。 前20会员多头持仓变化率排名前三 增加：沪铅(18.42%)，鸡蛋(11.14%)，焦煤(10.38%)。 减少：沪锡(-16.95%)，纯碱(-11.53%)，沪镍(-9.20%)。 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22.3 2.0%87.8 1.9%18.6 29.6%733.1 29.5%3,171 - 沪银81.8 0.8%66.7 0.3%65.1 -0.6%442.5 -1.0%1,459,997 -1,417 沪铜34.7 -2.0%133.3 -1.7%18.5 -30.7%594.1 -30.4%15,157 301 国际铜2.4 2.3%8.2 2.7%3.0 -38.8%85.6 -38.6%798 298 沪锌19.6 0.3%33.0 0.5%26.9 -27.9%324.0 -27.7%72,375 -2,266 沪铝40.5 -0.8%46.7 -1.5%36.9 -0.7%354.2 -1.4%95,244 -2,171 沪镍9.6 -10.7%32.0 -8.3%14.5 -20.8%256.3 -18.8%958 -55 沪锡7.6 -13.8%21.6 -14.8%18.5 -21.4%379.1 -22.2%3,851 -335 沪铅9.6 12.5%10.3 13.1%10.8 28.7%82.4 29.4%69,883 3,754 铁矿石125.5 -2.3%137.8 -3.2%90.4 -2.9%709.9 -3.9%1,500 - 螺纹钢277.6 1.7%157.4 1.9%231.5 6.7%1,012.0 6.8%6,900 - 热轧卷板102.8 -0.7%58.8 -0.8%59.9 -0.4%264.0 -0.5%52,350 -287 不锈钢8.4 -3.5%9.7 -3.0%12.5 -12.8%104.6 -12.3%11,531 -243 焦煤4.8 8.0%14.0 5.1%8.3 20.7%121.4 17.5%- - 焦炭3.5 5.4%22.1 2.8%4.9 25.5%152.9 22.5%750 - 锰硅29.1 -1.7%13.8 -2.5%15.8 15.1%62.6 14.1%23,797 -482 硅铁30.6 8.1%15.4 6.3%25.5 20.3%107.5 18.2%6,954 - 动力煤0.0 -2.5%0.1 -4.4%0.0 325.0%0.0 295.7%- - 聚乙烯65.9 2.0%30.7 2.1%71.3 9.7%302.2 9.8%3,209 - 聚丙烯72.5 -1.2%33.8 -1.1%65.3 -4.3%276.5 -4.3%3,663 - 苯乙烯20.3 0.5%12.1 0.3%25.2 -13.4%126.0 -13.6%- -585 甲醇192.3 -2.3%40.9 -2.0%156.1 -6.1%413.5 -5.8%1,441 -3,934 乙二醇60.0 -4.9%32.7 -3.1%76.0 12.1%344.9 14.1%20,640 -250 石油沥青90.4 3.6%61.3 4.1%73.3 5.4%337.0 6.2%207,300 -3,910 PTA246.8 -1.3%60.2 -2.4%225.2 -14.0%727.8 -14.6%37,121 -6 橡胶29.4 -0.9%38.4 -1.0%34.4 1.2%443.7 1.0%253,240 160 PVC92.3 -1.3%37.3 -0.7%132.2 -7.2%486.2 -6.5%2,548 - 玻璃129.4 2.3%39.2 2.1%87.2 -40.3%291.4 -40.4%205 -47 纤维板0.3 4.0%0.0 3.5%0.2 16.4%0.2 15.7%150 - 尿素13.8 0.7%8.7 -0.6%7.5 -27.9%38.6 -28.9%- - 纯碱93.5 -7.2%57.5 -7.5%97.2 -24.9%551.4 -24.4%4,809 - 短纤29.0 -4.5%9.2 -5.1%27.1 -7.0%108.0 -7.5%1,819 - 原油6.7 -2.2%73.4 -1.7%25.7 -4.4%1,884.4 -3.7%6,083,000 - 燃油48.6 -6.4%28.1 -6.3%73.4 -6.9%285.5 -6.8%3,860 - LPG10.6 -3.1%15.9 -2.6%16.7 7.5%193.9 8.0%4,213 - 低硫燃料油12.0 13.1%10.8 16.1%21.9 14.9%131.5 18.2%370 - 白糖73.6 -0.5%30.4 -0.6%22.0 -26.6%129.2 -26.6%45,711 -624 棉花51.1 -0.9%38.8 1.1%78.2 27.3%688.1 30.0%15,274 -61 纸浆37.8 1.2%39.0 1.0%34.2 -15.4%236.0 -15.5%367,262 -1,263 20号胶7.7 2.1%8.6 1.9%6.1 -0.4%68.4 -0.5%72,345 -605 豆一19.0 0.6%13.6 0.5%8.9 -29.1%53.3 -29.1%12,821 935 豆二2.8 -4.1%1.2 -4.4%4.8 -21.3%23.3 -21.3%- - 豆油62.5 -0.1%57.6 -0.5%62.5 -27.3%642.8 -27.6%10,261 - 豆粕196.2 -1.4%82.6 -1.3%95.1 -2.2%366.2 -2.0%20,821 - 菜油22.7 -0.2%25.9 -0.5%21.8 -38.5%262.2 -38.7%- - 菜粕37.1 -2.0%12.9 -2.1%30.1 -10.8%88.3 -11.1%2,055 -13 棕榈油54.9 -2.9%62.7 -3.4%81.9 -15.5%781.6 -16.0%1,200 - 玉米162.1 1.0%57.7 0.4%50.0 62.0%139.6 61.0%165,511 -98 苹果27.4 -3.5%24.4 -4.5%15.7 -10.5%138.9 -11.4%- - 生猪10.3 -1.0%50.8 -0.2%2.3 -25.5%75.8 -24.9%52 - 鸡蛋19.3 2.4%7.9 1.7%8.3 41.2%37.6 40.1%- -5 红枣5.6 -0.5%5.0 -0.9%1.5 -43.0%8.6 -43.7%15,715 -56 玉米淀粉24.9 3.2%7.1 2.1%15.8 63.6%50.0 62.0%18,019 -785 中证50034.4 -1.2%613.9 -0.4%13.2 1.2%1,686.0 1.6%- - 沪深30021.2 0.6%340.3 1.9%12.6 3