2023-03-13 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：鸡蛋(7.13%)，豆油(3.69%)，沪锡(3.58%)。 减少：甲醇(-4.69%)，燃油(-3.50%)，PVC(-3.29%)。 前20会员空头持仓变化率排名前三 增加：鸡蛋(8.59%)，焦煤(7.10%)，生猪(6.09%)。 减少：PVC(-6.20%)，苯乙烯(-6.05%)，甲醇(-5.55%)。 前20会员多空持仓背离： 多头持仓增加，空头持仓减少：中证500股指期货，棉花，沪银，玉米淀粉，玻璃，豆粕。 多头持仓减少，空头持仓增加：豆一，石油沥青，PTA，聚丙烯。 前20会员多头持仓变化率排名前三 增加：鸡蛋(7.13%)，豆油(3.69%)，沪锡(3.58%)。 减少：甲醇(-4.69%)，燃油(-3.50%)，PVC(-3.29%)。 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27.3 4.5%114.9 5.3%27.3 87.8%1,147.9 89.3%2,790 - 沪银105.6 -2.4%93.5 -0.4%153.1 72.6%1,119.8 75.2%1,869,689 -17,627 沪铜42.0 1.6%177.4 2.3%22.2 43.7%764.1 43.3%117,358 -4,468 国际铜3.6 1.7%14.4 6.8%2.3 77.9%70.2 77.2%34,304 1,109 沪锌17.0 1.3%27.3 0.8%28.0 12.2%318.7 10.9%51,151 -3,141 沪铝50.7 2.2%56.5 2.6%39.7 13.0%362.3 12.4%224,641 3,544 沪镍14.5 -0.4%48.7 -3.2%21.3 15.6%377.1 12.3%1,256 41 沪锡14.3 3.6%37.8 3.2%31.8 12.9%596.1 11.6%8,600 48 沪铅12.2 1.8%13.2 3.0%5.2 19.9%39.6 19.8%43,658 -1,931 铁矿石144.2 2.3%169.8 2.1%80.4 -17.9%733.9 -18.0%3,000 -300 螺纹钢312.3 0.5%176.0 1.1%259.8 -9.6%1,126.8 -9.1%93,149 14,353 热轧卷板126.0 2.6%72.7 3.4%47.5 -2.8%210.2 -2.2%128,755 - 不锈钢13.8 5.8%15.5 7.1%15.5 6.4%121.8 5.9%87,346 -1,627 焦煤9.5 2.7%22.4 3.0%6.0 -22.7%71.2 -22.4%- - 焦炭4.5 1.6%25.9 1.5%3.4 -26.3%98.3 -26.4%860 - 锰硅40.9 4.3%18.1 4.0%19.5 -37.0%71.6 -37.2%17,770 430 硅铁45.1 -0.9%21.3 -0.9%21.5 -40.4%84.1 -40.4%9,099 651 动力煤- #DIV/0!- #DIV/0!- #DIV/0!- #DIV/0!- - 聚乙烯62.2 -1.2%28.0 -1.4%34.1 -5.6%139.7 -5.7%1,477 - 聚丙烯75.0 0.3%31.9 -0.1%44.2 -4.4%170.6 -4.7%3,162 - 苯乙烯26.8 -7.3%13.7 -6.9%32.7 6.0%138.6 6.5%6,511 -923 甲醇241.5 -2.3%49.3 -2.9%159.0 -11.2%406.6 -11.6%10,944 -62 乙二醇61.0 0.7%30.4 0.2%30.4 -23.9%125.8 -24.2%13,581 -654 石油沥青70.2 -1.3%40.9 -1.7%80.1 45.1%311.4 44.4%42,200 - PTA319.4 0.4%65.8 0.3%308.8 -1.8%892.2 -1.7%61,687 9,570 橡胶41.8 0.7%51.2 0.6%38.7 -10.4%464.3 -11.4%188,430 -120 PVC106.8 -4.5%37.5 -3.6%123.2 10.8%392.8 11.7%4,253 - 玻璃149.6 1.3%44.0 2.3%150.5 -5.3%486.6 -4.4%213 - 纤维板0.2 0.0%0.0 0.0%0.1 -38.1%0.1 -38.1%250 - 尿素35.3 -1.9%13.5 -2.8%20.6 -16.0%100.3 -16.6%746 - 纯碱139.9 2.2%77.8 1.0%160.9 14.1%888.7 13.5%1,511 44 短纤52.7 0.0%15.5 -0.4%28.5 -17.7%103.8 -17.9%13,644 - 原油7.8 -3.6%64.5 -4.8%23.1 9.9%1,275.7 8.4%7,587,000 - 燃油53.5 -3.0%23.7 -4.0%132.2 -16.4%392.8 -17.4%24,570 - LPG12.6 1.5%15.9 0.8%9.9 -4.7%97.3 -5.3%5,265 - 低硫燃料油16.1 -1.1%9.5 -1.7%19.1 -3.1%75.1 -3.9%2,160 - 白糖114.9 -1.8%50.9 -1.7%80.2 -30.1%503.3 -30.1%45,230 - 棉花108.0 0.9%55.0 -0.2%77.5 -12.5%555.3 -13.4%14,743 313 纸浆30.5 -1.9%28.2 -1.5%37.1 22.4%226.6 21.7%248,834 2,211 20号胶11.7 1.0%11.4 0.0%6.7 4.8%64.8 3.3%33,355 806 豆一22.2 -3.0%14.7 -3.7%10.5 -9.5%58.2 -10.0%9,693 170 豆二7.9 -1.8%3.3 -2.7%6.4 -27.0%28.4 -27.8%1,900 - 豆油79.1 0.3%60.8 -0.9%56.5 -23.5%482.6 -24.4%11,679 - 豆粕221.5 -0.3%84.6 -1.1%90.3 -0.4%342.9 -1.1%20,326 1,040 菜油48.5 -0.6%40.6 -2.5%55.6 -20.5%511.9 -22.0%2,779 - 菜粕79.3 -2.2%21.6 -3.1%75.2 6.0%228.2 5.0%460 - 棕榈油84.1 1.6%79.5 0.5%72.8 -21.7%573.6 -22.6%6,292 1,300 玉米161.9 2.3%54.7 1.8%52.0 32.1%146.8 31.5%47,372 - 苹果27.0 1.0%23.8 0.2%26.2 11.3%232.3 10.1%- - 生猪8.7 0.7%34.5 -1.2%3.2 -10.5%83.0 -12.8%126 -16 鸡蛋22.9 3.6%9.0 3.3%10.6 9.9%46.2 9.5%- - 红枣7.0 0.1%4.2 -0.9%2.8 -50.7%13.7 -51.2%6,890 125 玉米淀粉31.7 -0.1%8.8 -0.7%15.4 -8.7%47.6 -9.3%8,966 - 中证100014.8 0.0%299.9 0.1%6.2 1.1%833.9 0.6%- - 中证50029.5 -0.2%508.6 0.0%9.7 11.0%1,196.6 10.8%- - 沪深30020.9 0.9%301.2 1.8%10.8 -1