量化数据日报：交易所会员持仓

2022-10-27 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 1001401802202601031071111151192021/122022/22022/42022/62022/82022/10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：苯乙烯(12.63%)，甲醇(9.14%)，LPG(6.28%)。 减少：低硫燃料油(-16.44%)，苹果(-7.29%)，沪铅(-7.28%)。 前20会员空头持仓变化率排名前三 增加：苯乙烯(13.72%)，豆二(13.30%)，焦炭(9.00%)。 减少：低硫燃料油(-14.54%)，燃油(-11.45%)，苹果(-8.94%)。 前20会员多空持仓背离： 多头持仓增加，空头持仓减少：豆一，黄金，鸡蛋，玉米淀粉，不锈钢，PVC，纸浆。 多头持仓减少，空头持仓增加：沪镍，沪锡，热轧卷板，10年期国债期货，菜粕，菜油。 前20会员多头持仓变化率排名前三 增加：苯乙烯(12.63%)，甲醇(9.14%)，LPG(6.28%)。 减少：低硫燃料油(-16.44%)，苹果(-7.29%)，沪铅(-7.28%)。 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29.5 0.1%115.8 -0.2%13.7 -0.7%537.4 -1.1%3,072 - 沪银91.8 -1.7%75.8 -1.7%73.9 -25.2%508.7 -25.3%1,538,425 22,324 沪铜46.3 1.1%175.8 2.1%19.5 4.7%618.0 5.6%30,714 -7,141 国际铜2.1 18.3%6.9 19.3%3.5 93.2%100.0 94.8%874 -801 沪锌22.7 0.5%38.2 0.8%27.2 -15.2%328.9 -15.0%27,460 -2,768 沪铝38.3 -0.1%42.6 0.0%39.8 23.2%370.1 23.4%73,622 -1,727 沪镍12.2 0.7%42.6 -0.3%16.2 15.3%300.9 14.3%1,504 -30 沪锡8.7 1.5%20.0 1.0%12.3 -7.6%203.1 -8.1%2,030 36 沪铅9.7 -5.8%10.3 -6.3%8.4 -27.7%63.8 -28.0%47,453 -797 铁矿石129.6 2.6%109.3 0.4%85.5 1.2%558.7 -1.0%1,500 -1,500 螺纹钢279.4 0.0%129.5 0.0%173.9 -2.8%622.6 -2.9%47,402 - 热轧卷板120.0 0.7%56.6 0.8%43.4 -13.2%157.9 -13.0%79,876 -5,630 不锈钢13.8 -0.4%16.6 -0.8%18.5 -12.3%160.4 -12.7%7,212 - 焦煤8.1 1.1%18.3 0.5%4.9 -13.5%56.2 -14.0%- - 焦炭3.9 1.4%19.9 0.3%2.8 -13.8%70.7 -14.7%760 - 锰硅40.2 1.7%16.8 1.6%13.6 -26.5%47.5 -26.5%3,525 -897 硅铁44.0 0.2%20.7 0.5%28.4 18.0%112.3 18.5%2,823 -685 动力煤0.0 0.0%0.0 0.0%- -100.0%- -100.0%- - 聚乙烯72.3 0.3%30.5 0.3%40.5 -5.7%156.2 -5.6%3,204 -300 聚丙烯88.6 1.8%36.7 1.8%54.3 -7.2%204.6 -7.2%2,826 -640 苯乙烯26.3 10.1%12.4 7.7%42.5 -0.4%168.9 -2.7%1,050 - 甲醇246.8 6.4%49.6 4.5%190.4 20.2%483.4 18.1%6,093 - 乙二醇66.2 2.6%31.2 1.5%35.0 0.0%137.2 -1.1%16,350 250 石油沥青83.7 2.7%47.7 3.2%67.1 10.6%258.2 11.3%10,800 - PTA300.9 0.5%55.9 0.2%226.1 -7.4%595.6 -7.5%8,840 -2 橡胶32.2 0.8%39.2 -0.1%23.7 -27.8%288.6 -28.4%283,670 -690 PVC144.3 0.2%45.9 -0.2%98.0 -2.8%283.2 -3.2%6,721 -1,010 玻璃127.8 3.2%32.3 2.5%68.0 9.9%190.7 9.2%165 -303 纤维板0.2 -0.5%0.0 -0.7%0.1 -16.2%0.1 -16.4%210 - 尿素24.1 3.0%8.6 3.0%13.5 15.0%60.4 14.9%1,023 -13 纯碱82.6 -1.5%35.0 -1.3%92.8 -6.8%444.0 -6.2%857 -123 短纤60.2 -0.4%16.6 -1.0%32.8 7.2%113.5 6.7%4,000 - 原油6.2 6.2%63.4 9.6%16.3 15.9%1,101.6 16.8%4,251,000 - 燃油77.1 -8.0%31.1 -6.5%105.7 17.8%281.2 19.7%2,680 - LPG10.8 0.2%14.3 1.0%13.0 -25.2%134.3 -24.7%8,266 -5 低硫燃料油10.5 -0.6%7.5 0.9%21.0 -10.1%99.7 -9.4%52,130 - 白糖74.1 2.6%28.7 2.0%25.6 3.9%141.2 3.3%- - 棉花108.7 3.8%57.8 2.9%54.7 -4.5%358.4 -5.5%- - 纸浆33.5 0.4%33.2 -0.9%25.8 -14.8%172.4 -16.1%200,019 -57 20号胶8.9 1.6%8.2 0.4%6.4 -19.4%59.1 -20.5%35,258 -1,311 豆一24.2 -0.4%16.1 -0.6%16.4 40.3%90.9 40.0%6,781 - 豆二5.5 0.9%2.5 0.9%11.3 14.8%61.1 15.8%500 -500 豆油72.6 2.6%61.3 2.3%76.2 17.6%720.8 17.1%11,030 - 豆粕258.6 2.1%103.3 1.8%128.2 7.1%515.4 6.8%20,272 - 菜油31.1 -0.3%30.9 0.3%49.1 5.6%547.9 6.4%1,057 - 菜粕67.6 -0.3%18.1 -1.2%65.1 6.8%194.5 5.9%370 - 棕榈油77.3 1.8%76.4 2.1%91.8 -9.0%755.3 -8.7%1,591 -425 玉米138.5 1.9%48.0 2.0%40.9 -8.7%117.9 -8.6%87,422 - 苹果28.7 -6.4%23.3 -8.3%21.5 -25.2%175.0 -26.7%- - 生猪8.0 0.6%40.8 -0.6%2.5 -16.5%88.3 -17.6%- - 鸡蛋23.7 -0.9%9.3 -1.5%11.9 -30.6%53.1 -30.3%87 - 红枣3.4 0.3%2.3 -0.2%0.8 -22.8%4.8 -23.3%- - 玉米淀粉37.2 -2.5%10.0 -2.6%19.9 -20.4%59.3 -20.5%14,593 -204 中证100011.1 -2.9%214.9 -2.8%7.4 -26.5%957.1 -26.1%- - 中证50032.3 0.2%538.8 0.7%9.8 -16.8%1,172.1 -16.3%- -