2023-01-11 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：苯乙烯(23.85%)，焦炭(18.83%)，国际铜(13.99%)。 减少：豆二(-12.01%)，沪镍(-7.90%)，沪铅(-6.63%)。 前20会员空头持仓变化率排名前三 增加：苯乙烯(20.26%)，焦炭(15.56%)，国际铜(12.66%)。 减少：豆二(-12.53%)，聚丙烯(-6.23%)，低硫燃料油(-5.83%)。 前20会员多空持仓背离： 多头持仓增加，空头持仓减少：红枣，石油沥青，不锈钢。 多头持仓减少，空头持仓增加：菜油，纸浆，PVC。 前20会员多头持仓变化率排名前三 增加：苯乙烯(23.85%)，焦炭(18.83%)，国际铜(13.99%)。 减少：豆二(-12.01%)，沪镍(-7.90%)，沪铅(-6.63%)。 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29.2 1.8%121.1 2.1%13.0 -11.3%539.5 -11.0%3,330 - 沪银94.3 0.3%88.8 0.2%80.9 -7.2%633.6 -7.3%2,091,718 -20,124 沪铜43.4 6.2%176.6 7.3%19.2 27.4%646.9 29.1%30,556 2,470 国际铜3.2 11.5%11.8 12.8%1.8 31.3%53.0 33.3%7,238 - 沪锌16.0 -1.2%26.5 -1.4%15.7 -16.5%185.8 -16.7%2,092 1,159 沪铝44.3 -1.0%48.9 -0.6%28.9 -3.7%263.5 -3.2%51,989 6,334 沪镍11.8 -5.5%45.6 -5.6%24.8 -15.1%511.0 -15.1%1,546 -42 沪锡10.0 -1.0%29.4 0.9%13.6 9.2%284.3 11.3%5,226 -21 沪铅12.8 -5.0%13.9 -5.6%10.2 -17.3%78.7 -17.9%37,586 1,162 铁矿石134.7 2.4%147.7 3.6%64.9 -23.1%547.0 -22.2%3,200 - 螺纹钢280.5 1.0%150.6 1.7%184.9 8.9%763.5 9.6%40,279 - 热轧卷板109.7 0.5%59.6 0.9%36.4 17.0%151.8 17.5%117,753 49,097 不锈钢11.3 4.1%13.4 2.7%15.8 32.8%132.3 31.2%88,008 13,519 焦煤8.0 2.4%17.8 3.4%5.2 2.1%58.1 3.1%- - 焦炭3.7 12.4%20.4 14.5%3.4 22.5%94.3 24.9%1,000 90 锰硅37.3 2.8%17.2 3.4%16.7 16.5%64.2 17.2%4,269 - 硅铁43.0 4.5%22.1 5.3%26.3 20.1%111.5 21.3%9,546 469 动力煤- #DIV/0!- #DIV/0!- #DIV/0!- #DIV/0!- - 聚乙烯61.6 -3.0%27.3 -2.2%33.5 -25.2%134.3 -24.6%1,092 - 聚丙烯74.9 -4.3%31.8 -3.8%39.3 -26.2%150.5 -25.8%4,249 - 苯乙烯28.3 8.9%14.2 10.2%41.0 60.8%171.1 62.9%610 - 甲醇202.2 -1.0%42.6 -0.2%129.7 -21.4%340.9 -20.8%6,679 - 乙二醇50.2 2.8%25.6 5.0%40.7 -15.2%172.9 -13.4%15,022 -50 石油沥青67.4 -1.1%37.3 -1.4%42.3 -17.7%156.4 -17.9%36,070 - PTA296.9 -0.6%56.6 -0.4%148.3 -12.8%393.2 -12.7%30,522 18,074 橡胶30.3 2.2%40.3 3.0%34.6 49.9%451.3 51.7%173,770 -1,200 PVC125.6 0.1%44.3 0.5%96.7 -20.1%308.9 -19.8%8,206 235 玻璃123.3 2.7%37.0 2.5%70.0 -24.5%233.0 -24.6%1,125 - 纤维板0.2 5.9%0.0 5.7%0.1 2.9%0.2 2.4%250 - 尿素25.9 0.5%10.8 0.8%14.1 -25.6%72.5 -25.1%3,451 873 纯碱141.1 7.4%70.4 7.9%186.1 -2.9%1,019.2 -2.6%1,247 - 短纤66.2 1.1%18.4 1.1%29.9 -22.4%103.8 -22.4%8,026 - 原油7.2 4.6%56.4 3.7%16.1 7.7%840.4 6.6%10,166,000 - 燃油61.1 2.5%23.2 2.5%62.7 -37.1%158.7 -37.1%96,280 - LPG14.8 2.0%17.0 3.2%13.6 -28.4%120.8 -27.3%5,936 - 低硫燃料油11.0 -5.6%6.2 -5.2%17.0 10.2%63.4 10.8%- - 白糖83.1 -2.3%34.7 -2.6%35.0 8.4%197.3 8.1%32,743 - 棉花113.9 -0.8%59.0 -1.6%35.9 -30.5%259.8 -30.4%5,021 366 纸浆31.4 1.8%30.1 0.1%21.3 -15.2%135.8 -15.9%202,629 4,032 20号胶9.9 -0.1%9.7 1.1%6.7 25.5%65.4 27.0%31,026 - 豆一20.4 -2.8%12.9 -2.5%9.2 -23.2%48.5 -23.0%8,354 - 豆二5.4 -3.3%2.4 -3.8%5.5 -17.8%26.9 -18.4%- - 豆油63.4 0.9%48.8 0.5%44.8 -24.4%381.4 -24.6%11,507 - 豆粕200.9 0.5%77.4 0.7%77.4 -10.0%296.2 -9.7%20,241 1,624 菜油32.2 -0.8%29.8 -1.0%35.7 -16.9%361.7 -17.1%- - 菜粕77.8 2.7%22.1 3.2%46.9 -3.6%147.8 -3.0%210 100 棕榈油74.6 1.6%69.9 0.3%71.9 -21.9%560.2 -22.9%6,131 - 玉米161.7 0.5%55.5 0.3%45.2 -23.1%129.4 -23.2%68,617 - 苹果27.8 2.3%23.6 2.7%11.3 8.2%95.6 8.6%- - 生猪9.7 8.3%36.9 5.3%4.8 41.8%119.1 37.5%- - 鸡蛋20.1 -0.3%7.9 0.1%7.2 -39.9%30.9 -39.8%- - 红枣5.1 1.6%3.2 0.9%2.3 7.6%11.7 6.7%3,108 490 玉米淀粉25.4 0.6%7.1 -1.7%16.2 -18.5%49.3 -19.1%11,934 4,874 中证100013.3 2.1%255.2 1.4%3.8 27.7%486.8 27.5%- - 中证50030.7 2.3%515.3 1.9%6.4 29.9%767.4 29.8%- - 沪深30021.0 4.0%304.0 4.0%7.9 10.9%956.7 11.2%-