2022-08-22 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 1001401802202601031071111151192021/102021/122022/22022/42022/6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：生猪(18.49%)，沪镍(16.78%)，焦煤(14.20%)。 减少：甲醇(-10.45%)，不锈钢(-6.18%)，豆二(-6.07%)。 前20会员空头持仓变化率排名前三 增加：焦炭(13.74%)，沪镍(13.45%)，玉米淀粉(9.98%)。 减少：甲醇(-11.78%)，豆二(-7.24%)，苯乙烯(-7.17%)。 前20会员多空持仓背离： 多头持仓增加，空头持仓减少：5年期国债期货，苯乙烯，铁矿石，中证1000股指期货，纯碱。 多头持仓减少，空头持仓增加：豆一，10年期国债期货，2年期国债期货，沪铜，低硫燃料油，菜粕。 前20会员多头持仓变化率排名前三 增加：生猪(18.49%)，沪镍(16.78%)，焦煤(14.20%)。 减少：甲醇(-10.45%)，不锈钢(-6.18%)，豆二(-6.07%)。 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29.2 -0.1%113.0 -0.1%10.2 -13.3%396.0 -13.4%3,036 - 沪银86.5 1.4%66.5 0.1%62.4 -15.1%399.7 -16.2%1,352,410 -102,518 沪铜43.2 0.3%161.8 1.3%22.6 3.6%706.7 4.6%3,682 -277 国际铜2.0 -1.0%6.7 -0.1%2.3 -11.5%64.9 -10.7%3,498 498 沪锌25.5 -2.7%43.9 -2.3%31.6 11.0%391.9 11.4%76,412 -3,282 沪铝36.4 -1.2%40.2 -0.7%35.3 5.7%325.8 6.2%103,412 -1 沪镍11.9 13.1%39.3 16.6%18.2 20.4%315.9 24.1%2,288 -174 沪锡9.1 -0.5%25.4 1.2%10.5 7.5%211.0 9.4%2,404 -92 沪铅7.5 -5.8%7.8 -5.5%5.9 0.5%44.1 0.9%66,067 -1,127 铁矿石117.6 -3.3%108.0 -2.6%84.8 -13.1%587.6 -12.0%1,500 - 螺纹钢310.5 -0.5%156.5 -0.6%250.0 -16.2%981.6 -16.4%19,829 - 热轧卷板122.5 -1.4%60.9 -1.3%54.3 -19.3%208.7 -19.2%16,247 -590 不锈钢10.3 1.0%10.9 1.3%11.0 -6.4%83.1 -6.1%1,768 -1,527 焦煤5.9 -5.9%13.8 -5.5%6.9 -3.8%80.4 -4.0%- - 焦炭3.7 -5.7%19.3 -6.7%4.4 -4.0%116.9 -5.9%770 - 锰硅35.6 5.8%15.0 4.8%27.9 28.0%97.4 26.7%23,172 -290 硅铁39.9 -4.6%18.2 -2.2%33.2 13.0%126.2 15.7%8,104 -13 动力煤0.0 -1.5%0.0 -2.7%0.0 #DIV/0!0.0 #DIV/0!- - 聚乙烯69.4 -1.2%28.8 -0.5%55.5 -12.9%209.5 -12.5%2,579 -92 聚丙烯75.9 -4.7%32.0 -3.5%80.0 8.9%306.3 9.6%2,762 - 苯乙烯22.7 -6.7%11.0 -3.5%45.7 -17.8%185.1 -15.2%- - 甲醇222.4 -9.8%44.3 -8.7%173.9 -15.9%428.7 -14.6%4,617 600 乙二醇62.2 -6.5%30.0 -4.6%58.2 -10.8%233.1 -8.9%18,864 -100 石油沥青95.9 -2.4%56.2 -5.0%66.2 -20.3%262.0 -22.4%85,540 - PTA291.6 -0.9%57.5 -1.9%197.8 -20.9%537.1 -21.8%12,593 -394 橡胶26.7 -2.9%33.5 -2.2%22.6 -21.8%285.5 -21.5%259,060 400 PVC98.0 -3.5%34.3 -1.1%146.7 19.8%469.1 22.3%1,995 - 玻璃122.4 -5.4%33.1 -4.2%101.8 -7.8%300.9 -6.5%1,185 50 纤维板0.3 -1.9%0.0 -1.8%0.1 -37.2%0.1 -37.3%11 - 尿素14.4 -0.1%5.5 0.4%10.4 -16.4%45.5 -15.6%1,554 - 纯碱82.4 -0.7%35.7 0.7%166.1 10.4%767.4 12.6%1,136 -192 短纤81.8 -0.2%22.9 0.2%29.4 -23.1%103.0 -22.6%1,810 - 原油8.2 -1.5%84.7 0.0%17.5 -11.2%1,219.3 -10.1%1,970,000 - 燃油50.7 -2.3%24.1 -4.1%102.9 -14.0%327.1 -15.5%3,860 - LPG11.7 0.6%16.3 2.2%17.4 20.1%187.0 21.7%5,321 - 低硫燃料油11.4 2.8%8.5 4.0%17.0 -2.1%83.5 -1.3%7,010 - 白糖77.3 -1.6%30.6 -1.7%28.7 -7.5%158.9 -7.2%30,109 -253 棉花88.5 2.9%57.6 3.9%84.7 26.3%635.8 27.6%13,323 38 纸浆32.7 -1.7%32.2 0.7%30.8 13.1%201.7 15.7%259,315 -20,281 20号胶9.1 -0.5%9.3 0.2%3.4 -23.1%34.2 -22.6%66,749 -2,016 豆一16.1 1.0%11.3 0.9%10.8 -12.3%64.3 -12.4%5,099 -514 豆二4.8 2.2%2.2 2.7%5.2 -23.0%25.7 -22.2%- - 豆油59.1 2.6%52.2 3.7%67.6 -8.6%655.4 -7.6%11,276 - 豆粕178.0 -1.2%68.7 -1.2%71.2 -40.3%267.4 -40.0%16,582 - 菜油27.2 1.2%27.5 2.0%40.6 10.4%448.1 11.7%- - 菜粕43.6 -0.3%11.8 0.0%44.8 -32.9%127.4 -32.0%955 - 棕榈油60.6 -0.1%61.5 2.0%97.6 0.2%823.3 2.3%- - 玉米142.2 0.9%46.3 0.9%36.0 -23.8%96.5 -23.7%129,094 -1,577 苹果31.0 -4.5%28.2 -4.2%13.7 -28.6%124.9 -28.5%- - 生猪9.0 4.2%47.6 6.3%3.3 32.2%119.5 33.7%- - 鸡蛋17.1 2.9%6.6 2.3%11.7 38.4%48.6 37.7%- - 红枣4.4 -0.6%3.4 0.5%2.2 33.2%13.3 35.5%10,741 -126 玉米淀粉24.3 9.6%6.8 8.4%18.5 20.5%54.8 19.9%1,500 - 中证10006.7 1.8%144.2 2.3%3.6 -28.0%513.2 -28.7%- - 中证50030.4 -0.9%542.7 0.2%8.5