中信期货-量化数据日报：交易所会员持仓-220722

2022-07-22 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 1001401802202601031071111151192021/92021/112022/12022/32022/52022/7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：豆一(10.27%)，纯碱(7.10%)，燃油(6.51%)。 减少：黄金(-9.78%)，动力煤(-6.11%)，不锈钢(-4.48%)。 前20会员空头持仓变化率排名前三 增加：豆二(14.27%)，豆一(13.69%)，沪锡(8.22%)。 减少：动力煤(-8.72%)，不锈钢(-7.65%)，黄金(-6.03%)。 前20会员多空持仓背离： 多头持仓增加，空头持仓减少：焦炭，玉米。 多头持仓减少，空头持仓增加：螺纹钢，菜籽，苯乙烯，菜粕，尿素。 前20会员多头持仓变化率排名前三 增加：豆一(10.27%)，纯碱(7.10%)，燃油(6.51%)。 减少：黄金(-9.78%)，动力煤(-6.11%)，不锈钢(-4.48%)。 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27.7 -3.7%103.7 -3.1%23.2 35.0%868.4 35.8%3,171 - 沪银89.3 -1.4%67.1 -1.2%74.3 0.4%465.4 0.4%1,392,628 17,611 沪铜40.7 3.8%137.3 3.6%27.0 5.0%759.2 4.9%14,265 -6,214 国际铜2.6 1.7%7.8 1.5%2.6 0.3%64.8 0.1%902 -150 沪锌22.7 1.2%35.3 0.4%28.4 7.4%318.5 6.5%72,202 -2,151 沪铝40.5 1.6%43.5 1.2%37.1 -8.0%331.9 -8.4%65,523 -6,350 沪镍13.8 1.6%42.8 2.1%15.6 -11.1%256.8 -10.6%539 -107 沪锡11.5 2.7%30.2 1.6%12.6 3.0%239.0 1.6%3,340 -26 沪铅8.4 -2.5%8.9 -3.1%8.3 -4.2%62.3 -4.9%61,426 -10,555 铁矿石133.5 -1.3%121.0 -1.0%96.3 0.8%627.4 1.3%1,500 - 螺纹钢289.1 0.3%142.3 0.5%236.4 -18.3%901.7 -18.0%9,903 3,003 热轧卷板117.7 0.2%57.8 0.1%51.8 -22.3%196.3 -22.4%- - 不锈钢9.1 3.5%9.9 2.0%14.8 13.1%116.9 11.3%6,470 -610 焦煤6.5 -4.3%14.5 -4.3%8.8 -16.2%99.7 -15.9%- - 焦炭3.9 0.3%20.1 0.7%4.6 -12.2%119.1 -11.7%770 - 锰硅30.9 1.2%13.3 1.3%15.9 36.9%56.9 37.2%23,756 -88 硅铁38.5 1.0%17.3 0.9%19.5 5.2%73.7 5.1%7,900 -50 动力煤0.0 -9.2%0.1 -9.2%0.0 600.0%0.0 606.7%- - 聚乙烯70.7 0.1%29.6 -1.1%66.6 -6.8%254.3 -8.0%3,056 -351 聚丙烯75.8 0.0%31.8 -1.1%80.9 -18.1%309.8 -19.0%2,323 -104 苯乙烯22.1 0.4%11.4 -2.7%34.3 14.1%146.9 10.3%1,001 - 甲醇233.0 2.8%45.4 2.2%216.5 -1.9%525.4 -2.5%4,462 - 乙二醇53.5 2.5%27.3 0.6%46.6 -6.8%197.5 -8.6%16,326 700 石油沥青94.3 1.1%52.5 -0.1%70.0 3.2%268.7 2.1%175,910 -6,140 PTA279.3 2.5%56.0 1.3%277.0 26.7%759.7 25.6%27,213 -961 橡胶28.6 1.1%34.2 -0.8%39.8 20.9%469.5 18.6%255,240 -900 PVC93.1 -3.1%32.5 -2.6%144.5 -17.1%460.1 -16.5%2,700 - 玻璃124.9 -2.2%32.4 -4.4%107.8 -7.8%307.4 -9.8%- - 纤维板0.3 7.7%0.0 7.9%0.2 85.3%0.3 85.7%1 - 尿素15.0 -1.3%7.4 -1.4%7.5 -20.1%32.1 -20.1%467 - 纯碱95.0 4.4%48.1 3.7%166.1 14.3%790.3 13.8%198 198 短纤55.0 -0.2%15.4 -1.3%33.7 21.6%117.8 20.3%1,000 - 原油8.4 -1.7%81.5 -3.7%29.8 21.5%1,936.4 19.3%2,288,000 - 燃油63.9 2.2%28.8 2.2%105.6 9.5%318.3 9.5%3,860 - LPG11.4 -1.0%15.5 -0.5%17.4 3.4%183.6 3.8%5,313 - 低硫燃料油16.2 -2.0%12.2 -4.4%29.4 4.4%149.7 1.4%- - 白糖80.3 -0.7%32.5 -1.0%38.7 33.4%223.6 33.2%39,885 -683 棉花74.4 -1.7%43.6 -2.4%95.4 -1.9%701.6 -1.6%14,378 -59 纸浆38.8 1.9%38.4 2.6%46.2 -1.4%310.4 -0.5%285,484 -13,401 20号胶9.9 -1.9%10.5 -3.2%7.2 15.8%76.6 14.3%63,766 796 豆一18.6 12.2%12.6 10.9%17.3 79.3%98.2 77.0%7,454 -168 豆二3.9 2.6%1.6 1.5%7.6 11.4%34.8 10.2%- -200 豆油56.9 0.4%46.2 -0.7%86.9 -5.0%791.8 -5.9%10,407 -250 豆粕202.1 0.0%80.2 -1.3%131.2 23.5%482.9 22.0%21,169 -30 菜油28.4 5.5%28.6 5.6%43.8 -1.5%472.9 -1.2%168 - 菜粕42.9 0.2%12.4 -2.3%60.6 65.3%162.6 62.0%- - 棕榈油61.5 1.9%57.2 -0.6%125.7 4.9%976.5 2.0%- -15 玉米160.5 0.6%52.3 -1.0%60.1 64.5%155.8 62.3%157,318 -1,509 苹果30.9 4.0%27.2 3.5%21.3 57.2%187.7 56.8%- - 生猪9.3 -2.2%46.8 -2.4%3.7 -13.1%125.9 -13.2%2 - 鸡蛋17.9 -2.4%6.9 -3.0%9.3 85.8%40.1 84.6%- - 红枣5.1 -2.3%4.2 -2.0%2.0 -23.1%11.9 -23.6%13,401 -127 玉米淀粉23.7 1.4%6.3 -0.1%16.6 50.4%48.8 48.2%6,653 -255 中证50033.3 2.0%576.0 0.1%13.2 40.8%1,640.3 38.7%- - 沪深30019.2 0.8%290.5 0.6%12.0 30.9%1,519.3 30.5%- - 上证509.5 4.5%97.8 4.9%6.7 51.6%577.2 51.9%-