2022-12-29 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 1001401802202601031071111151192022/32022/42022/52022/62022/72022/82022/92022/102022/112022/12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(59.44%)，豆二(23.27%)，LPG(10.45%)。 减少：低硫燃料油(-12.71%)，沪锡(-11.83%)，苹果(-5.72%)。 前20会员空头持仓变化率排名前三 增加：生猪(65.93%)，豆二(37.12%)，锰硅(7.74%)。 减少：低硫燃料油(-14.69%)，沪锡(-10.61%)，玉米淀粉(-4.86%)。 前20会员多空持仓背离： 多头持仓增加，空头持仓减少：白糖，热轧卷板，螺纹钢，红枣。 多头持仓减少，空头持仓增加：玻璃，沪银，沪铅，焦煤，PVC，沪铝，菜粕，玉米。 前20会员多头持仓变化率排名前三 增加：生猪(59.44%)，豆二(23.27%)，LPG(10.45%)。 减少：低硫燃料油(-12.71%)，沪锡(-11.83%)，苹果(-5.72%)。 报告要点 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26.0 -0.8%106.5 -1.0%12.6 -24.1%515.5 -24.2%3,339 - 沪银98.8 -2.0%94.5 -3.2%103.9 1.9%827.9 0.8%2,126,769 46,357 沪铜40.4 0.5%160.5 0.2%10.1 -23.6%334.1 -23.8%28,772 2,589 国际铜2.3 3.0%8.3 2.5%0.8 -27.6%25.1 -27.9%2,896 - 沪锌16.8 -2.3%28.1 -2.2%10.5 -26.9%125.5 -26.8%427 - 沪铝35.4 -1.5%39.7 -2.7%22.5 -36.6%210.7 -37.4%32,741 -2,751 沪镍14.8 -1.3%64.1 -1.2%18.5 9.6%421.0 9.9%1,145 - 沪锡9.2 -9.4%26.7 -9.8%11.4 -25.7%237.0 -25.9%4,397 167 沪铅14.5 -2.1%16.1 -3.5%10.7 44.7%85.1 42.8%29,642 1,188 铁矿石135.3 0.6%147.5 1.5%88.8 35.8%745.3 36.9%4,300 - 螺纹钢274.7 -0.8%143.8 -1.1%195.4 21.2%787.7 20.8%- - 热轧卷板105.4 -0.6%55.8 -0.7%40.6 9.5%165.5 9.4%21,083 -296 不锈钢11.6 -2.9%13.6 -2.3%11.1 -2.4%93.5 -1.8%38,430 2,197 焦煤8.0 -0.7%18.0 -2.4%5.9 -9.3%66.5 -10.8%- - 焦炭3.4 -2.3%18.2 -3.2%2.9 -18.3%77.5 -18.9%860 - 锰硅31.8 8.9%14.4 10.2%30.1 105.0%113.6 107.7%3,605 -51 硅铁40.5 -3.1%19.8 -2.4%37.9 62.7%154.6 64.1%5,795 1,974 动力煤0.0 0.0%0.0 0.0%- #DIV/0!- #DIV/0!- - 聚乙烯68.3 -3.8%30.3 -4.7%60.0 37.0%242.2 35.8%1,752 -60 聚丙烯80.8 3.8%34.3 3.4%62.0 34.1%239.3 33.5%4,169 - 苯乙烯26.5 -5.4%13.2 -6.2%26.2 3.4%108.2 2.4%205 - 甲醇185.1 -2.7%38.1 -2.5%111.5 -22.0%285.7 -21.8%2,505 - 乙二醇52.6 0.3%25.8 -0.6%43.9 24.8%179.7 23.6%11,199 - 石油沥青73.7 -0.4%42.1 -0.2%39.9 36.2%152.2 36.4%26,270 - PTA319.0 -2.5%61.8 -3.0%176.9 17.0%484.9 17.0%14,294 -226 橡胶31.1 0.4%39.6 -0.2%26.8 16.4%341.0 15.7%163,620 1,500 PVC134.7 -0.1%46.2 -1.3%138.7 10.5%432.5 9.1%7,045 12 玻璃114.3 0.0%33.9 0.5%110.1 -13.4%362.5 -12.9%1,025 - 纤维板0.2 -0.9%0.0 -0.6%0.1 -41.9%0.1 -41.3%250 - 尿素26.0 3.2%10.6 3.7%15.7 21.6%79.0 23.0%2,084 - 纯碱111.4 -4.3%54.4 -5.6%180.1 27.9%956.7 27.0%211 - 短纤68.3 -0.6%19.7 -0.3%25.5 4.8%91.8 5.1%3,385 - 原油6.0 -3.4%50.3 -5.8%14.6 11.6%813.0 9.5%10,166,000 - 燃油43.8 3.1%17.9 2.6%89.9 -3.4%244.3 -3.9%171,720 - LPG14.0 4.7%15.5 3.3%11.7 -10.0%99.7 -11.2%7,049 -60 低硫燃料油9.1 -2.1%5.5 -4.4%15.4 -8.3%62.0 -10.3%- -1,310 白糖90.4 0.2%37.1 0.2%29.8 -36.9%171.7 -36.8%9,979 3,373 棉花116.1 -0.9%59.8 -1.7%52.6 -15.8%372.5 -16.2%2,448 343 纸浆22.4 -1.4%22.5 -1.9%12.5 -40.0%83.4 -40.3%173,504 4,582 20号胶8.5 0.9%8.2 0.3%5.3 4.2%51.0 3.6%29,213 - 豆一26.1 2.3%16.2 1.8%11.1 -33.3%57.6 -33.6%8,565 100 豆二5.0 1.1%2.3 0.1%7.1 -4.8%36.2 -4.3%- - 豆油63.7 -1.3%50.5 -1.5%47.7 -12.6%420.3 -12.7%11,587 - 豆粕203.5 0.5%80.0 0.9%85.3 -22.3%336.4 -21.5%14,696 - 菜油32.7 1.0%31.7 1.0%38.3 -13.2%410.4 -13.2%50 - 菜粕70.4 0.3%19.9 0.8%46.0 -11.0%144.8 -10.4%- - 棕榈油69.1 -3.5%67.0 -4.2%70.8 14.3%573.6 13.5%3,481 1,881 玉米154.0 0.4%52.0 0.7%55.7 -1.6%156.7 -1.4%67,420 -1,539 苹果27.3 -3.2%21.8 -3.2%9.8 -24.2%77.9 -23.7%- - 生猪7.1 4.2%28.8 2.2%3.8 48.2%101.1 44.6%570 - 鸡蛋20.7 -2.7%7.9 -2.6%10.3 2.2%43.5 2.9%44 - 红枣5.0 0.7%3.1 0.8%2.3 1.6%11.6 1.7%1,482 174 玉米淀粉26.8 -5.4%7.2 -5.4%17.7 -10.2%52.6 -10.2%3,140 - 中证100013.4 2.3%250.9 2.2%4.2 20.6%527.6 20.7%- - 中证50030.9 -0.2%506.9 -0.2%5.4 17.4%639.1 17.5%- - 沪深30020.0 0.6%279.3 0.2%6.7 2.8%782.3 2.3%- - 上证5012.4 2.2%117.4 1.6%5.4 18.1%425.5 17.2%-