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量化数据日报:交易所会员持仓

2022-09-23魏新照中信期货.***
量化数据日报:交易所会员持仓

2022-09-22 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 1001401802202601031071111151192021/112022/12022/32022/52022/7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:豆二(30.50%),纯碱(21.08%),玉米淀粉(15.20%)。 减少:苹果(-6.32%),沪铅(-6.23%),沪深300股指期货(-5.32%)。 前20会员空头持仓变化率排名前三 增加:豆二(18.23%),玉米淀粉(15.12%),燃油(14.90%)。 减少:沪铅(-6.53%),苹果(-5.93%),低硫燃料油(-5.00%)。 前20会员多空持仓背离: 多头持仓增加,空头持仓减少:红枣,低硫燃料油,玻璃,橡胶,棉纱。 多头持仓减少,空头持仓增加:LPG,白糖,5年期国债期货,沪锡,2年期国债期货,豆粕。 前20会员多头持仓变化率排名前三 增加:豆二(30.50%),纯碱(21.08%),玉米淀粉(15.20%)。 减少:苹果(-6.32%),沪铅(-6.23%),沪深300股指期货(-5.32%)。 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27.3 -0.5%105.3 -0.3%11.5 6.5%444.2 6.7%3,036 - 沪银79.5 1.0%64.0 2.4%85.7 40.1%574.5 42.1%1,378,819 -17,691 沪铜41.8 0.7%155.0 0.3%23.3 73.4%723.1 72.8%6,686 -1,260 国际铜1.6 -4.6%5.3 -4.9%1.7 38.2%48.1 37.7%1,749 -1,001 沪锌22.3 1.3%38.0 1.3%34.1 31.4%417.7 31.5%26,242 -725 沪铝40.5 0.7%45.0 0.8%35.8 8.3%332.7 8.3%97,227 -3,357 沪镍15.4 -5.5%56.6 -6.0%25.0 17.9%487.8 17.2%1,676 -64 沪锡8.6 -1.4%21.5 -0.2%22.8 6.4%413.7 7.6%1,595 100 沪铅7.2 -8.6%7.6 -8.5%6.3 54.8%47.2 55.0%68,514 -25 铁矿石114.3 1.3%105.1 3.3%82.9 -8.5%587.4 -6.7%2,400 - 螺纹钢270.9 -1.6%131.0 -0.1%210.5 15.2%784.4 17.2%26,437 - 热轧卷板112.4 -3.5%55.1 -1.8%67.0 18.0%253.1 20.2%114,686 -2,377 不锈钢13.7 -1.5%16.1 -1.5%25.0 21.8%212.5 21.7%7,492 - 焦煤7.5 4.3%18.3 6.2%6.5 -8.5%80.0 -6.8%- - 焦炭4.0 3.1%21.9 4.3%3.4 -1.3%92.9 -0.2%300 20 锰硅36.9 6.5%16.4 7.6%25.4 43.2%94.4 44.7%19,613 -60 硅铁44.4 10.2%22.2 12.8%41.8 38.4%175.1 41.5%9,093 -110 动力煤0.0 0.0%0.0 0.0%- #DIV/0!- #DIV/0!- - 聚乙烯67.2 -1.4%29.9 -1.1%55.5 6.0%224.2 6.4%3,559 - 聚丙烯76.0 1.8%33.2 2.3%72.1 10.0%286.0 10.5%2,348 -124 苯乙烯29.1 -1.9%15.5 -1.2%44.2 -6.8%198.1 -6.1%158 - 甲醇244.8 5.8%53.1 7.3%178.0 2.4%483.1 3.9%5,310 -359 乙二醇51.0 -0.3%26.8 0.0%56.3 26.2%246.3 26.6%17,010 - 石油沥青76.0 -0.8%41.6 1.5%60.7 30.0%225.7 33.2%49,470 -10 PTA298.7 0.2%59.0 0.2%239.1 -4.2%669.2 -4.1%- -19,296 橡胶25.1 0.1%32.7 1.2%29.7 0.8%391.3 2.0%261,800 -170 PVC108.0 -6.2%36.6 -5.4%137.2 9.1%421.6 10.1%11,458 -6,555 玻璃110.7 -1.3%29.9 -0.2%102.3 43.7%306.4 45.5%- -304 纤维板0.2 0.0%0.0 0.4%0.1 -21.7%0.1 -21.3%- -41 尿素19.7 1.4%7.8 3.1%11.3 -26.3%55.6 -25.1%2,535 -7 纯碱96.3 15.9%41.1 18.7%187.7 45.9%885.4 50.0%- - 短纤72.8 -1.1%21.5 -1.0%26.2 -26.4%96.7 -26.2%- - 原油6.1 -2.4%59.4 -2.3%19.0 -4.9%1,225.8 -4.0%2,351,000 - 燃油61.1 6.7%25.4 7.4%164.8 -2.2%455.3 -1.4%2,680 - LPG12.4 4.4%17.3 2.7%23.0 17.9%247.4 16.2%6,671 - 低硫燃料油12.1 -1.9%8.3 -0.9%18.0 -6.8%81.8 -5.8%58,340 -15,000 白糖71.2 -0.2%28.0 0.0%22.4 -32.8%125.7 -32.6%15,486 -122 棉花92.5 0.4%55.2 0.9%66.1 9.9%467.2 10.5%9,387 -385 纸浆37.5 1.9%38.3 2.6%25.6 -27.2%174.9 -26.6%261,500 -2,126 20号胶9.8 -1.4%9.6 0.7%5.3 -4.4%51.6 -2.5%49,656 -3,457 豆一18.9 3.0%13.5 3.7%13.0 -27.7%77.9 -27.3%6,770 -200 豆二5.8 3.6%2.8 7.8%8.3 12.3%44.6 14.2%- - 豆油67.0 -2.1%55.8 -1.2%73.9 2.8%680.8 3.8%11,866 - 豆粕218.1 1.3%89.4 2.3%117.4 11.5%480.3 12.3%19,831 -187 菜油28.6 1.5%27.7 3.4%38.1 -7.8%403.2 -6.0%2,065 -20 菜粕57.3 6.7%16.1 8.3%77.2 37.0%238.9 39.2%1,230 -87 棕榈油65.8 1.7%62.6 3.9%90.9 1.3%717.9 3.4%200 -1,100 玉米136.5 0.2%46.7 0.2%34.7 -25.4%98.8 -25.4%112,620 -359 苹果31.6 -5.6%26.9 -4.8%14.9 -38.8%126.3 -38.3%- - 生猪8.0 2.3%41.5 1.7%3.0 32.0%106.6 31.0%- - 鸡蛋22.4 2.4%8.8 3.3%7.6 20.1%32.8 21.3%- - 红枣3.5 1.1%2.5 0.8%0.9 9.1%5.7 8.7%5,343 -38 玉米淀粉31.7 10.5%8.6 8.4%27.7 25.6%83.4 23.8%19,250 - 中证10009.0 1.1%171.1 1.4%6.0 9.0%772.5 9.9%- - 中证50031.1 -2.6%511.6 -2.8%7.9 -8.6%937.4 -8.1%- - 沪深30016.9 -4.0%236.0

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