持仓分析:期指多空分歧较大
作者:闫星月  2017/10/25 21:15:56  来源:原创  浏览:587

  本周期指呈现小幅回升态势,但指数间分化依旧存在,截至周二收盘,IF和IH加权指数分别上涨0.66%和0.47%,IC加权指数下跌0.11%,对应的现货指数沪深300和上证50指数分别上涨0.73%和0.71%,中证500指数下跌0.15%,现货指数较期货指数偏强。从11月合约升贴水幅度来看,IH合约仍为升水结构外,其余两组期指均为贴水,其中IF和IC合约分别贴水0.35%和0.64%,IH合约升水0.01%,显示市场对后市较为谨慎,同时流动性较前期降低。
  三组期指总持仓量和成交量均增加,其中总成交量增加7356手至33325手,总持仓量增幅较大,增加3228手至91888手。具体先从持仓量来看,IF、IH和IC指数合约分别增加1130手、1235手和863手,成交量方面,IF指数增加1664手,IH和IC指数合约分别增加2897手和2795手,IF、IH、IC合约成交持仓比分别为0.30、0.40、0.42,市场流动性较前期有所下降。
  前20名、10名和前5名席位三组持仓量变化来看,三组期指内部均产生分歧,其中IF和IH指数合约均大幅增仓,而IC指数合约增幅较小。具体来看,IC指数前5名和前20名席位均增仓,且多头增仓远大于空头,而前10名席位多空均减仓,多头减仓33手,空头仅减仓9手。整体来看,市场对IC指数合约后市看多。IF指数多空均大幅增仓,但三组持仓席位增幅有分歧,其中前5名席位多头增仓大于空头,但前10名和前20名席位多头增仓小于空头增仓,市场对IF指数略微看空。IH指数大幅增仓,前5名和前20名席位多头增仓均小于空头,但前10名席位多头增仓大于空头。通过观察前5名席位持仓发现,除中信期货席位对IF和IC指数持净空单,国泰君安期货席位对IH指数持有净空单外,其余基本显示为净多头持仓,增减不一。
  三组期指净持仓整体偏空头,其中,IH和IF指数三组持仓席位显示净空头持仓,但增减不一,IC指数前5名和前10名席位为净多单持仓,前20名席位则显示为净空单持仓,减少196手至812手。
  整体来看,市场无明显方向,指数在箱体内振荡,且分歧显著。
                                     (作者单位:上海中期)

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