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持仓分析:IF主力多方增仓更积极

2017-08-01 10:23:41   中国经济网

周一,股指期货追随现货市场全线上涨。IF、IH、IC主力合约分别收涨0.42%、0.14%、1.35%。虽然IC合约涨幅相对更大,然而市场资金依然更加青睐标的为大盘权重股指数的IF与IH。IF、IH合约持仓量分别增加493手、332手,显示场外资金有入场迹象。而IC四份合约总持仓量周一出现下降。

数据显示,前20名席位在IF1708与IF1709合约上合计共持买单27997手、卖单29723手。主力席位净空持仓量1726手,较前一交易日下降86手。市场整体持仓量增加,主力净空持仓量降至近6个交易日最低水平,显示周一场外入场资金更有可能来自多方力量。在IF1708与IF1709上,前20多空双方整体具有增仓操作,但多方增仓力量均强于空方。在IF1708上前20多方合计增持买单189手,超过前20空方合计增持卖单146手。在IF1709上前20多方合计增持买单151手,超过前20空方合计增持卖单111手。重点席位上,国泰君安与兴证期货在主力合约上分别增持买单105手、100手,较为集中。前20空方中,未有一家席位增持超过百手。由于股指期货卖空套保需求相对集中,一般情况下,市场持仓量与主力净空持仓量同向变动。然而,周一在IF持仓量增加的情况下,部分套保相对集中的席位净空持仓量反而下降。广发期货席位净空持仓量下降89手至275手,为该席位近20个交易日最低。上海东证、招商期货净空持仓量分别较上周五下降43手、20手。

此外,周一期现价差的表现同样反映着场外资金的入场更有可能为多方力量。一般情况下,多方主动入场会带动股指期货期现价差向上运行,空方主动入场会拉低股指期货期现价差水平。周一,主力合约IF1708日内分钟数据的平均期现价差为贴水14.40点,较上周五贴水15.61点有所收窄。这可能暗示着在增仓过程中,多方入场更为主动。

近期银河期货席位对次日市场节奏把握较好。该席位最近连续4个交易日净持仓量变动3次踏准次日日内涨跌节奏。周一,银河期货席位在IF1707与IF1708上合计增持买单13手,同时合计减持卖单21手,净空持仓量降至370手,为近3个月最低水平,反映该席位对周二市场表现继续持乐观态度。

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