2022-08-10 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 1001401802202601031071111151192021/102021/122022/22022/42022/6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：LPG(13.43%)，上证50股指期货(9.85%)，甲醇(6.31%)。 减少：沪锡(-7.90%)，国际铜(-5.65%)，沪铅(-4.85%)。 前20会员空头持仓变化率排名前三 增加：LPG(14.88%)，甲醇(8.20%)，上证50股指期货(7.18%)。 减少：国际铜(-12.57%)，沪锡(-7.28%)，燃油(-6.11%)。 前20会员多空持仓背离： 多头持仓增加，空头持仓减少：不锈钢，花生，焦炭，豆粕，尿素，豆二，沪铜，菜粕。 多头持仓减少，空头持仓增加：中证500股指期货，玉米，聚丙烯，乙二醇，沪深300股指期货，豆油，菜籽，鸡蛋，聚乙烯，玻璃，焦煤。 前20会员多头持仓变化率排名前三 增加：LPG(13.43%)，上证50股指期货(9.85%)，甲醇(6.31%)。 减少：沪锡(-7.90%)，国际铜(-5.65%)，沪铅(-4.85%)。 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29.0 0.9%113.8 1.3%10.7 5.7%421.3 6.1%3,171 - 沪银85.2 -2.1%69.2 -2.2%57.6 -22.7%388.8 -22.8%1,465,494 11,187 沪铜42.4 -0.7%157.1 -0.8%21.9 -3.2%670.8 -3.0%4,053 -350 国际铜2.2 -2.7%7.4 -2.4%2.9 -0.4%78.8 -0.2%5,123 - 沪锌25.3 5.7%43.6 7.9%31.5 31.1%388.1 34.2%56,513 -4,473 沪铝40.7 0.8%46.1 1.6%31.6 4.9%295.0 6.0%68,038 3,602 沪镍11.7 -2.9%36.8 -2.9%14.0 -8.7%232.5 -8.8%2,013 -37 沪锡10.6 -7.8%28.9 -6.8%11.0 -8.1%215.0 -7.1%2,885 8 沪铅8.9 -6.2%9.6 -6.8%6.4 -2.9%48.7 -3.5%61,382 6,674 铁矿石126.1 -0.1%126.2 -1.9%93.0 -7.9%681.2 -9.6%2,600 900 螺纹钢306.1 0.4%159.7 -0.5%232.5 9.9%942.1 9.1%12,321 3,308 热轧卷板119.4 0.8%62.1 -0.2%47.3 -9.8%189.9 -10.6%18,609 - 不锈钢9.9 3.4%10.6 2.6%11.0 -17.7%84.8 -18.4%4,514 - 焦煤6.4 1.2%15.8 -1.1%7.0 -6.6%87.6 -8.5%- - 焦炭4.0 -3.7%23.0 -5.5%4.2 -9.0%120.3 -10.6%770 - 锰硅31.5 -1.7%13.9 -1.5%15.8 -21.9%57.5 -21.6%23,067 544 硅铁36.8 -1.4%17.3 -1.0%18.9 -19.9%74.0 -19.7%7,889 60 动力煤0.0 -6.5%0.0 -7.3%0.0 200.0%0.0 198.3%- - 聚乙烯65.5 1.2%28.2 0.3%54.0 14.5%211.2 13.5%2,761 - 聚丙烯73.7 0.9%31.7 0.2%68.2 10.7%267.6 9.8%3,148 - 苯乙烯20.9 1.2%10.6 1.0%28.5 -1.2%120.3 -1.2%- - 甲醇234.8 8.2%46.7 6.2%194.8 9.4%481.3 7.2%4,462 - 乙二醇61.2 -0.3%30.4 -0.3%55.3 24.3%227.9 24.2%14,850 -500 石油沥青101.4 2.4%62.4 4.1%53.5 -16.0%222.8 -14.9%85,540 - PTA290.2 1.0%58.5 0.2%220.7 7.7%617.7 7.0%20,691 -1,259 橡胶26.9 1.4%34.2 0.5%30.6 45.6%391.2 45.4%255,370 210 PVC91.7 -0.7%33.4 -1.7%109.7 15.3%364.4 14.1%4,274 327 玻璃115.9 1.6%32.9 0.2%110.0 14.5%345.9 13.3%619 - 纤维板0.4 -1.2%0.0 -1.2%0.1 8.6%0.1 8.4%11 - 尿素15.5 1.0%6.6 0.4%12.4 4.6%54.9 6.0%883 - 纯碱76.7 2.8%35.1 0.5%137.2 20.5%647.7 18.6%2,475 548 短纤71.4 1.5%20.4 1.3%28.2 -1.7%101.2 -1.9%2,000 - 原油7.5 -0.7%73.8 0.8%18.3 -3.5%1,224.7 -1.9%1,970,000 - 燃油51.8 -1.3%24.6 0.4%90.0 -9.3%286.4 -7.6%3,860 - LPG12.1 15.2%15.9 13.6%18.3 21.4%186.1 19.7%5,321 - 低硫燃料油12.6 -0.6%8.8 0.3%13.7 -9.3%65.3 -8.7%7,010 -10,000 白糖78.7 2.5%30.8 1.9%40.1 55.8%223.8 55.0%33,679 -47 棉花83.1 0.3%52.8 0.5%52.5 -7.8%376.9 -7.2%13,679 -88 纸浆38.4 -0.2%38.9 -0.5%23.1 3.3%159.6 3.2%280,073 513 20号胶9.1 0.7%9.6 -0.8%4.7 62.2%49.0 59.8%67,757 202 豆一18.1 2.3%13.1 2.5%8.4 -24.4%51.2 -24.6%5,463 - 豆二4.6 -1.7%2.1 -0.8%4.6 -6.7%22.9 -6.1%- - 豆油58.9 0.0%51.6 0.9%72.3 -5.7%713.1 -5.0%11,276 - 豆粕202.6 0.7%83.3 1.0%83.6 8.9%322.3 9.5%9,000 450 菜油28.9 -1.7%31.1 -1.0%32.4 -7.9%377.2 -7.3%168 - 菜粕40.2 -0.5%11.7 0.2%43.5 28.5%124.0 29.8%955 - 棕榈油64.7 -1.3%64.6 -0.9%107.7 -0.9%903.1 -0.7%1,100 500 玉米142.7 -0.6%47.9 -0.4%51.7 7.8%141.2 8.5%138,791 -200 苹果27.9 -1.2%24.2 -0.3%10.1 -30.4%87.3 -29.7%- - 生猪8.7 -0.6%43.5 0.1%1.8 -53.6%60.8 -53.1%- - 鸡蛋21.2 -4.5%7.7 -3.9%19.9 34.5%80.7 35.5%40 40 红枣4.6 0.0%3.6 -0.3%1.1 -2.5%6.7 -3.0%11,877 -117 玉米淀粉21.8 5.4%6.0 4.8%15.3 38.6%46.7 37.6%1,500 - 中证10006.1 3.3%129.3 3.3%3.5 8.8%493.3 9.5%- - 中证50031.9 -0.3%555.4 -0.7%7.7 11.6%971.0 11.8%-