量化数据日报：交易所会员持仓

中信期货研究|量化数据日报 2023-05-08 交易所会员持仓 投资咨询业务资格： 证监许可【2012】669号 报告要点 前20会员多头持仓变化率排名前三 增加：焦煤(20.61%)，上证50股指期货(8.48%)，菜粕(6.45%)。减少：黄金(-8.97%)，沪锡(-8.47%)，玉米淀粉(-5.00%)。 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 123220 119 180 115 111 140 107 103 100 2022/72022/82022/92022/102022/112022/122023/12023/22023/32023/42023/5 摘要：前20会员多头持仓变化率排名前三 增加：焦煤(20.61%)，上证50股指期货(8.48%)，菜粕(6.45%)。减少：黄金(-8.97%)，沪锡(-8.47%)，玉米淀粉(-5.00%)。 前20会员空头持仓变化率排名前三 增加：焦煤(20.03%)，花生(7.78%)，菜粕(7.11%)。减少：燃油(-10.82%)，沪锡(-8.42%)，黄金(-6.70%)。前20会员多空持仓背离： 多头持仓增加，空头持仓减少：生猪，燃油，螺纹钢。 多头持仓减少，空头持仓增加：纸浆，豆二，铁矿石，聚乙烯，沪铅，苹果，棉花。 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 研究员： 蒋可欣FRMjiangkexin@citicsf.com从业资格号F03098078投资咨询号Z0018262 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。 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 贵金属 有色金属 黑色建材 化工 能源 软商品 油脂油料 农产品 金融 黄金 沪银沪铜国际铜沪锌沪铝沪镍沪锡沪铅铁矿石螺纹钢 热轧卷板不锈钢焦煤 焦炭锰硅硅铁动力煤聚乙烯聚丙烯苯乙烯甲醇乙二醇 石油沥青 PTA 橡胶 PVC 玻璃纤维板尿素纯碱短纤原油燃油LPG 低硫燃料油白糖 棉花纸浆20号胶豆一豆二豆油豆粕菜油菜粕棕榈油玉米苹果生猪鸡蛋红枣 玉米淀粉中证1000中证500沪深300上证5010债 5债 2债 41.6 112.3 43.3 4.0 20.7 46.1 13.9 9.1 8.7 147.9 301.4 109.9 14.0 16.5 5.4 44.7 54.6 -65.9 86.9 34.2 235.8 57.8 58.8 290.0 37.1 128.0 175.4 0.1 46.8 162.6 62.5 6.4 51.3 16.1 15.3 124.1 110.7 43.6 10.3 24.6 6.4 94.2 256.5 45.0 86.8 87.6 161.6 18.5 9.7 26.4 6.1 36.4 16.9 27.9 20.6 13.0 21.4 12.2 7.0 -4.2% -1.2% -0.4% 1.8% -4.1% -1.1% 2.1% -4.4% -1.9% 0.1% 1.9% -4.5% 0.7% 13.1% -0.1% 1.0% 0.6%#DIV/0!0.8% 0.9% -4.2% -2.6% -0.3% -1.9% 3.5% 1.4% -0.1% 1.1% -5.2% 3.7% 2.9% 0.4% 4.6% -3.7% 6.1% 2.9% 2.5% -0.2% 0.5% 7.2% 2.6% 4.2% 0.5% 2.4% -1.7% 6.4% 2.6% -1.9% -2.5% 1.0% 4.3% 2.4% -4.4% -3.1% -2.0% 0.3% 6.1% -2.7% -3.6% -2.0% 172.4 107.2 143.7 10.9 21.7 41.7 30.4 26.5 6.6 136.4 143.5 53.4 11.0 26.6 23.0 18.8 24.8 -18.5 22.6 11.2 43.7 19.8 25.4 58.4 44.7 27.0 54.9 0.0 14.9 58.5 18.1 49.1 21.7 11.1 6.8 75.1 64.9 22.7 10.0 10.0 2.1 51.1 64.1 34.0 23.4 50.8 34.1 16.1 31.4 8.7 4.0 6.7 269.7 414.0 300.1 126.7 43.4 14.8 7.1 -6.0% -2.2% -0.5% 2.5% -3.5% -1.0% 2.7% -3.8% -2.5% 2.5% 4.2% -1.9% 1.4% 15.1% 2.1% 1.3% 1.5%#DIV/0!1.0% 1.1% -2.4% -1.3% 2.2% 0.2% 4.7% 2.7% 0.6% 0.7% -5.1% 3.0% 2.9% 2.1% 8.1% -0.3% 7.1% 6.3% 3.4% -0.6% 0.9% 8.6% 5.9% 6.2% 1.7% 3.9% 0.1% 9.6% 5.0% -1.5% -3.7% 1.4% 3.4% 4.6% -3.9% -2.4% -1.2% 1.3% 7.4% -2.9% -3.7% -2.1% 34.19.1% 139.315.0% 18.3-12.7% 2.2-14.7% 23.80.9% 25.3-16.6% 27.84.5% 16.7-13.3% 5.5-15.0% 133.44.4% 300.223.3% 99.214.1% 18.15.3% 26.962.7% 7.264.1% 20.8-36.4% 24.1-5.4% -#DIV/0! 46.2-8.9% 54.52.5% 30.220.8% 161.13.5% 51.023.5% 53.35.8% 249.015.2% 56.671.3% 106.20.6% 261.311.5% 0.1-38.4% 36.70.0% 296.735.9% 26.0-12.4% 17.7-16.4% 128.90.3% 14.98.4% 20.621.1% 111.1-23.5% 126.930.3% 49.02.7% 9.863.7% 42.133.3% 14.01.5% 100.10.5% 164.73.9% 91.121.2% 113.518.6% 103.4-1.5% 78.825.1% 15.3-3.9% 3.7-39.3% 18.174.4% 5.537.6% 28.516.9% 4.9-10.2% 5.9-9.1% 8.27.7% 6.924.2% 8.52.2% 6.54.8% 3.12.0% 1,536.17.3% 1,204.113.8% 612.3-12.1% 66.2-14.1% 254.12.3% 233.2-16.0% 509.85.3% 347.9-12.7% 42.2-15.1% 941.36.8% 1,100.726.2% 370.617.3% 139.66.1% 217.465.7% 155.167.9% 72.7-36.1% 88.9-4.4% -#DIV/0! 183.0-8.4% 199.43.1% 122.823.2% 371.74.8% 218.226.6% 192.38.1% 686.117.6% 677.674.2% 315.81.4% 907.111.1% 0.2-38.7% 143.4-0.8% 1,198.136.2% 94.1-10.8% 899.9-13.6% 364.94.2% 127.29.5% 76.225.0% 772.7-22.7% 1,008.730.6% 252.73.4% 95.166.0% 209.737.5% 56.83.5% 766.41.8% 582.65.6% 754.623.5% 341.022.1% 742.60.9% 204.225.9% 133.0-5.1% 95.8-39.4% 74.672.6% 29.940.1% 83.817.7% 654.6-9.7% 732.4-8.6% 993.88.4% 556.825.0% 859.42.2% 660.64.8% 634.52.0% 2,754- 1,816,20413,870 53,515-6,094 10,067- 15,826-978 125,661-8,157 591-126 8,380-94 22,378- 1,600- 142,716-599 26,148- 59,264-2,570 200- 1,100- 12,603- 17,075857 -- 1,913968 3,695-100 2,000- 9,558-579 11,705-544 74,260-400 25,847-768 183,860-80 5,478-50 702444 75- 1,456100 330-45 9,652- 13,014,000- 66,890-38,680 3,505- 6,960- 63,470-28 16,173255 299,2904,975 49,695-202 11,3601,476 -- 8,020- 10,097- 60-29 1,122422 400- 44,6513,644 -- -- -- 15,208252 400- -- -- -- -- -- -- -- 资料来源：同花顺iFind中信期货研究所 图表2：会员持仓增减 板块/单 品种 前20会员 前10会员 前5会员 位 多头持仓增减 空头持仓增减 多头持仓增减 空头持仓增减 多头持仓增减 空头持仓增减 贵金属 黄金沪银 -13,979-7,9772,7478,547 -11,453-6,8624971,672 -3,155-3,522-4,760-872 有色金属 沪铜沪锌沪铝沪镍沪锡 8693,287-4,567-2,932-4,211-1,562912639-4,787-4,769 9481,804-3,422-247-2,893-1,076468-194-3,640-3,841-396-923 2222,292-1,102-446-2,260-5201,269-175-4,146-3,492-1,718573 沪铅 -1,214225 黑色建材 铁矿石螺纹钢 -8,4859,22540,070-13,839 -6,3946,12526,730-13,196-31,180-5,995-5315878,3376,8252744072,7493,9052,8614,231 -1,830-5,9095,8001,507-17,074-5,3196977985,3561,52057992,5784,8793,0923,497 热轧卷板不锈钢焦煤 焦炭锰硅 硅铁 -30,060-15,304-1,052-5314,10614,3998351,5263,4956,4834,6456,105 化工 动力煤 #N/A#N/A #N/A#N/A -4,7772,783 3,33011,357 -5,359-3,543 -39,915-46,582 6,1305,268 -8,380-6,76716,1159,694 5,159-1,393 17,51320,562-6,30929,033 4,01111,240 21,55917,350 7,5088,619 #N/A#N/A 5,8505,4035,3882,885-5,052-5,082-44,543-63,54714,484-4,653-6,484-4,22710,826