Commitments of Traders: Commodities

Transcription

1 Commitments of Traders: Commodities Leveraged funds positioning covering the week ending May 8, 218 Ole S. Hansen Head of Commodity Strategy

2 8-May-18 Change Change Change Change Pct 1 yr high 1 yr low Relative to 3-year / 1st - 2nd RSI 14 1 yr max average short ratio month WTI Crude (CME) 438,576-14,535 27,968-7,96 41,68-7,439-2% 496, ,66 83% 242, % Brent Crude (ICE) 611,377-17,218 41,929 4, ,448-22,9-4% 632,454 2,24 9% 358, % Gas Oil (ICE) 218,49 3,284 4, ,419 2,745 1% 214,419 4,89 1% 65, % RBOB Gasoline 121,643 1,788 8, , % 113,571-2,873 1% 34, % NY Harbor ULSD 97, ,979-6,59 77,357 6,853 1% 97,977-32,32 79% 1, % NatGas (4 contr.) 345,383-8,465 28,53 36,63 136,853-45,95-25% 452,143 46,382 3% 33, % Gold 118,3-1,471 65,382-11,17 52, % 264,934 27,1 2% 123, % Silver 47,739 4,38 67, ,46 3,923-17% 75,147-39,64-49% 37, % Platinum 23,2 5 34, , % 32,21-13,52-87% 12, % Palladium 9,49-1,41 1, , % 27,471 7,45-1% 15, % HG Copper 76,371-4,191 55,221 1,796 21,15-5,987-22% 125,376 3,724 17% 3, % Soybeans 152,166-36,331 25,124 13, ,42-5,5-28% 28,2-118,683 61% 46, % Soybean Meal 132,141-4,9 1, ,385-3,164-2% 133,549-54,43 98% 22, % Soybean Oil 68,44 2, ,993-3,253-67,949 5,591-8% 1,435-73,54-92% 34, % Corn 343,355 4, ,463-21, ,892 25,575 14% 233,63-23,556 91% -49, % Wheat (CBOT) 11,468 9,73 97,142-23,325 4,326 33,28-115% 44, ,652 1% -77, % Wheat (KCBT) 7,232 6,757 21,62-2,642 48,63 9,399 24% 73,111-34,422 67% -1, % Sugar 143,53 1,19 289,711-8, ,658 9,442-6% 12,88-164,21-89% 52, % Cocoa 1, , , % 57,258-52,334 1% 1, % Coffee 36,391-4,525 77,116-9,6-4,725 4,535-1% 285-7,711-58% -8, % Cotton 14,78 7,944 6, ,865 8,853 1% 18,778 17,363 9% 56, % Live Cattle 8,671 4,342 65,567 1,9 15,14 3,333 28% 132,551 11,771-1% 62, % Feeder Cattle 7, , , % 18,384-3,949-67% 6, % Lean Hogs 48, ,728 2,488-6,619-2,848 76% 84,189-6,619-1% 41, % Total 2,1,273-21,78-1% Source: CFTC, ICE, Bloomberg and Saxo Bank Saxo Group Page 2

3 Overview 1 lots 3, Commodities: Combined Managed Money Position Energy Metals Agriculture BCOM TR, right Index 3 2, , 24 1,5 22 1, Saxo Group Page 3

4 Open Interest and value of 22 major commodities Commodities: Total Open Interest Commodities: Total Value of Open Interest Million lots Energy (7) Metals (5) Agriculture (1) Bn Dollars Energy (7) Metals (5) Agriculture (1) BCOM Index 22 1, , , Sourc e: Bloomberg, Saxo Bank Sourc e: Bloomberg, Saxo Bank 125 Saxo Group Page 4

5 Crude Oil Combined 1 lots WTI and Brent Crude Oil: Managed Money Position 1,2 1 lots WTI and Brent Crude Oil: Weekly Change 25 Brent WTI Brent WTI 2 1, Saxo Group Page 5

6 1 lots WTI Crude Oil Crude Oil 1 lots WTI Crude Oil: Seasonal Five-year range Five-year average lots Brent Crude Oil lots Brent Crude Oil: Seasonal Five-year range Five-year average Saxo Group Page 6

7 Crude Oil Products & Natural Gas 1 lots RBOB Gasoline 1 lots ICE Gas Oil lots NY Harbor ULSD lots Natural Gas (Four contracts) Saxo Group Page 7

8 1 lots COMEX Gold Gold and silver 1, lots COMEX Gold: Seasonal Five-year range Five-year average Sourc e: Bloomberg, Saxo Bank lots COMEX Silver , lots COMEX Silver: Seasonal Five-year range Five-year average Saxo Group Page 8

9 1 lots HG Copper HG Copper and PGM s 1, lots Five-year range Five-year average 218 HG Copper: Seasonal Sourc e: Bloomberg, Saxo Bank Sourc e: Bloomberg, Saxo Bank lots Platinum lots Palladium Sourc e: Bloomberg, Saxo Bank Saxo Group Page 9

10 1 lots CBOT Corn Grains 1 lots CBOT Wheat lots CBOT Soybeans lots Key Crops: Combined Managed Money Position Corn Wheat Soybeans Total Saxo Group Page 1

11 1 lots Sugar # Soft Commodities 1 lots Arabica Coffee lots Cocoa lots Cotton Saxo Group Page 11

12 1 lots Live Cattle Livestock 1 lots Lean Hogs lots Feeder Cattle lots Livestock: Combined Managed Money Position 25 Live Cattle 2 Feeder Cattle Lean Hogs Sourc e: Bloomberg, Saxo Bank Saxo Group Page 12

13 What is the COT report? The Commitments of Traders reports are issued by the US Commodity Futures Trading Commission (CFTC) and the ICE Exchange Europe for Brent crude oil and gas oil. They are released every Friday at 15:3 Eastern time with data from the week ending the previous Tuesday It breaks down the open interest in futures markets where 2 or more traders hold positions Producer/Merchant/Processor/User; Swap Dealers; Managed Money and other It covers most US futures markets from stocks, rates, and IMM currencies to commodities Our focus and that of others is primarily on the behavior of Managed Money traders: Commodity trading advisors (CTA), commodity pool operators (CPO), and unregistered funds They are likely to have tight stops and no underlying exposure that is being hedged This makes them most reactive to changes in fundamental or technical price developments It provides views about major trends but also helps to decipher when a reversal is looming Saxo Group

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