2022-08-04 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：焦煤(46.64%)，燃油(14.85%)，中证1000股指期货(9.66%)。 减少：LPG(-4.61%)，豆二(-3.75%)，甲醇(-3.53%)。 前20会员空头持仓变化率排名前三 增加：焦煤(54.61%)，中证1000股指期货(12.58%)，燃油(10.62%)。 减少：沪铅(-4.62%)，豆一(-4.34%)，沪镍(-3.71%)。 前20会员多空持仓背离： 多头持仓增加，空头持仓减少：10年期国债期货，沪铜，2年期国债期货，豆一，锰硅，焦炭，沪锡，PTA。 多头持仓减少，空头持仓增加：LPG，玉米淀粉，螺纹钢，铁矿石。 前20会员多头持仓变化率排名前三 增加：焦煤(46.64%)，燃油(14.85%)，中证1000股指期货(9.66%)。 减少：LPG(-4.61%)，豆二(-3.75%)，甲醇(-3.53%)。 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28.5 -0.7%110.4 -1.2%15.9 -26.4%613.9 -26.7%3,171 - 沪银85.3 0.9%68.0 0.5%64.0 -33.1%424.2 -33.4%1,449,951 -21,663 沪铜42.3 1.0%153.6 -0.3%22.7 -16.3%674.1 -17.1%4,853 -298 国际铜2.5 -2.1%8.0 -3.0%3.3 -23.8%85.8 -24.5%803 200 沪锌23.2 2.4%38.4 2.1%19.9 -33.0%234.7 -33.1%64,380 -1,475 沪铝39.5 0.8%44.1 0.6%33.6 -16.0%305.7 -15.9%59,631 - 沪镍11.4 -3.2%37.1 -3.4%12.8 -16.3%220.4 -16.5%907 1 沪锡11.0 1.0%29.5 1.1%10.6 -7.6%204.8 -7.1%3,270 -126 沪铅8.3 -2.2%8.9 -2.3%4.1 -16.7%30.7 -16.7%57,032 -2,012 铁矿石127.4 -0.5%128.5 -4.1%109.2 20.1%801.2 15.9%1,600 - 螺纹钢301.5 0.5%155.3 -1.3%275.2 -1.1%1,102.0 -2.8%7,209 - 热轧卷板117.2 -0.2%60.3 -1.8%60.0 -0.8%238.2 -2.5%1,182 - 不锈钢9.8 3.7%11.0 4.1%12.2 8.9%98.3 9.4%4,695 - 焦煤6.5 0.6%16.1 -3.1%8.3 -11.4%104.7 -14.5%- - 焦炭4.1 -3.6%23.1 -5.9%5.1 6.6%145.7 4.2%770 - 锰硅31.1 0.1%13.6 -2.2%21.2 37.6%76.7 34.7%23,671 121 硅铁37.7 2.3%17.7 -0.2%22.7 29.3%89.0 26.2%8,110 343 动力煤0.0 -1.0%0.0 -0.9%0.0 -75.0%0.0 -75.0%- - 聚乙烯64.9 3.9%28.2 2.4%62.6 15.5%247.7 13.6%2,877 - 聚丙烯71.9 2.3%31.3 1.0%71.4 10.2%284.0 8.6%3,175 - 苯乙烯22.3 8.4%11.6 6.5%32.0 4.6%137.2 2.8%- - 甲醇218.8 -1.8%44.7 -1.9%185.6 -5.3%471.6 -5.3%4,462 - 乙二醇57.8 8.6%29.2 6.6%45.5 5.4%191.2 3.6%15,556 -400 石油沥青95.2 2.1%57.6 1.9%67.0 -4.1%277.1 -4.4%85,540 -2,880 PTA278.6 0.7%57.8 -0.1%206.0 12.2%591.3 11.2%25,521 -726 橡胶26.6 3.7%33.2 3.4%32.3 18.4%399.2 18.6%255,880 1,040 PVC95.3 3.6%34.7 1.6%142.6 13.9%474.6 11.6%2,350 - 玻璃110.9 1.5%31.2 1.7%104.6 -19.4%325.5 -19.2%303 153 纤维板0.4 4.2%0.0 5.5%0.4 -35.5%0.6 -34.6%11 - 尿素14.4 2.0%6.6 0.9%8.6 20.2%37.9 20.0%373 - 纯碱79.7 2.8%38.5 -1.1%119.2 7.7%569.6 4.8%1,780 760 短纤65.6 2.7%18.9 1.7%31.9 26.8%115.4 25.8%2,000 1,009 原油7.1 0.7%70.5 -1.0%28.5 8.8%1,898.0 7.0%1,970,000 - 燃油59.0 7.9%27.5 5.6%113.8 7.4%354.6 5.2%3,860 - LPG9.4 -2.5%13.0 -2.6%12.9 -19.6%137.9 -19.5%5,321 - 低硫燃料油13.4 7.7%9.4 4.7%23.6 14.9%113.0 11.4%17,010 - 白糖76.4 1.1%30.0 0.4%38.5 -26.1%216.1 -26.8%34,255 -689 棉花82.0 0.5%51.5 0.0%49.9 -25.4%349.5 -27.9%14,024 -36 纸浆39.4 -2.4%40.1 -4.0%37.2 23.2%258.8 21.0%279,640 839 20号胶9.3 5.1%9.7 4.5%6.6 41.5%68.1 40.9%66,347 -403 豆一17.2 -0.7%12.4 -1.9%14.6 -1.1%89.1 -2.4%5,593 - 豆二4.4 -4.0%1.9 -5.0%5.8 1.0%28.0 0.0%- - 豆油59.3 1.3%50.8 -0.7%104.8 16.4%1,011.4 14.3%11,276 - 豆粕197.0 1.2%79.9 0.5%93.7 -1.9%353.6 -2.5%8,550 1,500 菜油29.8 3.0%31.7 1.2%43.7 20.4%503.5 18.3%168 - 菜粕39.7 1.7%11.5 1.6%47.3 1.5%129.7 1.6%542 - 棕榈油66.1 4.3%62.2 2.1%122.0 -7.4%962.5 -9.3%600 -700 玉米147.4 1.8%49.4 1.3%36.1 -7.0%97.4 -7.2%146,566 -1,650 苹果29.0 5.0%25.2 5.2%17.4 97.0%150.7 97.5%- - 生猪8.8 -0.9%44.3 -1.7%2.1 -7.5%69.0 -8.1%- - 鸡蛋20.0 1.0%7.4 0.5%9.4 14.9%38.8 14.3%20 - 红枣4.8 1.9%3.8 3.2%2.0 59.9%12.2 63.4%12,279 -63 玉米淀粉19.4 1.3%5.4 0.6%11.2 -4.0%34.5 -4.6%- - 中证10006.1 8.7%124.9 8.0%5.4 9.3%740.1 7.3%- - 中证50033.2 -0.1%561.7 -0.5%11.7 -7.1%1,421.7 -8.4%- - 沪深30018.8