量化数据日报：交易所会员持仓

2023-03-10 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 1001401802202601031071111151191232022/52022/62022/72022/82022/92022/102022/112022/122023/12023/2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：沪镍(15.77%)，苯乙烯(14.98%)，豆二(11.71%)。 减少：花生(-5.97%)，燃油(-4.48%)，白糖(-2.53%)。 前20会员空头持仓变化率排名前三 增加：沪镍(17.64%)，甲醇(8.06%)，豆二(7.92%)。 减少：花生(-8.42%)，苹果(-6.78%)，玻璃(-4.79%)。 前20会员多空持仓背离： 多头持仓增加，空头持仓减少：鸡蛋，不锈钢，红枣，沪铜，铁矿石，热轧卷板，棉花，棕榈油，螺纹钢，玉米，PVC。 多头持仓减少，空头持仓增加：尿素，短纤，焦煤，豆一，20号胶。 前20会员多头持仓变化率排名前三 增加：沪镍(15.77%)，苯乙烯(14.98%)，豆二(11.71%)。 减少：花生(-5.97%)，燃油(-4.48%)，白糖(-2.53%)。 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26.2 1.2%109.1 1.7%14.6 26.5%606.5 27.1%2,790 - 沪银108.2 -1.2%93.9 -1.0%88.7 15.5%639.2 15.7%1,887,316 -25,243 沪铜41.4 -0.3%173.3 -0.9%15.4 -1.6%533.1 -1.9%121,826 -7,296 国际铜3.5 0.6%13.5 0.4%1.3 -39.2%39.6 -39.3%33,195 - 沪锌16.8 4.1%27.1 3.3%24.9 74.0%287.3 72.8%54,292 -22 沪铝49.6 6.1%55.0 5.0%35.1 60.5%322.4 59.3%221,097 180 沪镍14.5 13.2%50.3 10.9%18.4 20.6%336.0 18.1%1,215 -6 沪锡13.8 5.7%36.6 3.1%28.1 17.1%534.0 14.3%8,552 170 沪铅12.0 2.1%12.8 1.9%4.4 -7.5%33.1 -7.6%45,589 2,013 铁矿石141.0 -1.0%166.4 0.6%97.9 11.8%895.3 13.4%3,300 1,000 螺纹钢310.8 -1.1%174.1 0.5%287.4 -23.2%1,239.3 -22.0%78,796 6,284 热轧卷板122.7 -0.9%70.3 0.4%48.8 -31.7%214.9 -30.8%128,755 30,311 不锈钢13.1 -0.2%14.5 -0.5%14.6 3.5%114.9 3.1%88,973 -1,136 焦煤9.2 -2.5%21.8 -1.0%7.8 16.3%91.8 18.1%- - 焦炭4.4 -2.3%25.5 -0.2%4.6 -8.7%133.6 -6.8%860 - 锰硅39.2 1.2%17.4 1.1%30.9 37.7%113.9 37.7%17,340 1,946 硅铁45.5 3.1%21.5 2.7%36.1 18.4%141.1 18.1%8,448 1,212 动力煤- #DIV/0!- #DIV/0!- #DIV/0!- #DIV/0!- - 聚乙烯62.9 0.4%28.4 0.3%36.1 -3.8%148.2 -3.9%1,477 -20 聚丙烯74.8 4.3%31.9 4.0%46.2 4.7%179.1 4.4%3,162 -389 苯乙烯29.0 7.8%14.7 7.0%30.9 19.0%130.2 18.1%7,434 -1,079 甲醇247.1 6.4%50.7 6.3%179.0 24.3%460.0 24.4%11,006 - 乙二醇60.6 4.6%30.3 3.9%39.9 20.1%166.0 19.3%14,235 - 石油沥青71.2 -0.8%41.6 -0.7%55.2 44.4%215.6 44.6%42,200 - PTA318.2 -1.1%65.6 -1.0%314.4 22.8%907.3 22.8%52,117 -610 橡胶41.5 1.2%50.9 0.0%43.2 49.0%524.2 47.2%188,550 -360 PVC111.8 -1.7%38.9 -2.5%111.3 -7.4%351.5 -8.2%4,253 - 玻璃147.7 -2.8%43.0 -1.2%158.9 43.7%509.1 45.9%213 -35 纤维板0.2 -2.6%0.0 -2.5%0.1 33.9%0.1 33.6%250 - 尿素36.0 0.6%13.9 -0.5%24.6 15.3%120.2 14.1%746 - 纯碱136.8 -2.4%77.0 -2.3%141.0 7.2%782.7 8.3%1,467 145 短纤52.7 0.3%15.6 -0.1%34.7 27.5%126.6 27.0%13,644 - 原油8.1 6.0%67.8 5.7%21.0 12.9%1,176.4 12.6%7,587,000 - 燃油55.1 -4.4%24.7 -4.6%158.1 45.4%475.3 45.3%24,570 - LPG12.5 -0.5%15.8 -1.2%10.4 -17.9%102.8 -18.5%5,265 - 低硫燃料油16.3 2.0%9.7 0.9%19.7 10.6%78.1 9.5%2,160 -11,980 白糖117.0 0.8%51.8 1.4%114.7 58.2%720.3 60.3%45,230 - 棉花107.0 0.1%55.1 -1.2%88.6 33.8%641.6 32.3%14,430 108 纸浆31.1 3.0%28.6 0.9%30.3 -6.5%186.2 -8.4%246,623 -244 20号胶11.6 -0.8%11.4 -2.1%6.4 13.9%62.7 12.4%32,549 202 豆一22.8 -2.4%15.2 -1.6%11.6 -42.6%64.7 -42.0%9,523 14 豆二8.0 1.9%3.3 1.3%8.7 44.0%39.3 43.5%1,900 - 豆油78.9 1.7%61.3 0.7%73.8 71.8%638.5 70.0%11,679 - 豆粕222.3 -0.8%85.5 -0.6%90.7 19.4%346.8 19.7%19,286 1,085 菜油48.8 3.5%41.6 1.0%70.0 38.6%656.3 35.2%2,779 800 菜粕81.1 -0.2%22.3 -0.4%71.0 35.3%217.3 34.9%460 - 棕榈油82.8 0.4%79.1 -0.4%93.0 55.8%741.4 54.6%4,992 -300 玉米158.2 -0.1%53.7 0.1%39.4 11.1%111.6 11.4%47,372 - 苹果26.7 -4.1%23.8 -4.0%23.6 -2.5%210.9 -2.5%- - 生猪8.7 1.2%34.9 0.0%3.6 40.0%95.2 38.1%142 - 鸡蛋22.1 -2.3%8.7 -2.6%9.6 14.6%42.2 14.3%- - 红枣7.0 -1.7%4.2 -3.4%5.6 73.7%28.0 70.5%6,765 41 玉米淀粉31.7 -2.3%8.9 -1.8%16.9 28.8%52.5 29.3%8,966 -680 中证100014.8 2.6%299.6 1.5%6.1 26.8%828.5 25.9%- - 中证50029.6 2.9%508.8 1.7%8.7 22.7%1,079.8 21.6%- - 沪深30020.7 -2.4%295.9 -3.7%1