Commitments of Traders: Commodities Leveraged funds positioning covering the week ending March 6, 218 Ole S. Hansen Head of Commodity Strategy
6-Mar-18 Change Change Change Change Pct 1 yr high 1 yr low Relative to 3-year / 1 yr max average short ratio WTI Crude (CME) 479,887-15,416 33,864 4,386 446,23-19,82-4% 496,111 133,66 9% 229, 14.2 Brent Crude (ICE) 587,77 1,661 47,293 6,249 539,784-4,588-1% 584,77 2,24 92% 337, 12.4 Gas Oil (ICE) 146,189-15,89 11,8 1,449 135,181-17,258-11% 197,111 4,89 69% 57, 13.3 RBOB Gasoline 89,615-8,841 9,717 1,359 79,898-1,2-11% 111,119-2,964 72% 31, 9.2 NY Harbor ULSD 61,681-4,68 22,83 696 39,598-5,376-12% 97,977-32,32 4% 6, 2.8 NatGas (4 contr.) 376,85 5,585 165,169-19,89 211,681 24,674 13% 452,143 46,382 47% 3, 2.3 Gold 184,499 37 22,687-4,141 161,812 4,178 3% 264,934 27,1 61% 119, 8.1 Silver 41,856 5,376 52,688-385 -1,832 5,761-35% 98,845-16,593-65% 39,.8 Platinum 31,366-8,16 1,48-1,586 2,886-6,52-24% 32,21-13,52 65% 13, 3. Palladium 15,146-2,367 1,3 1 14,116-2,467-15% 27,471 14,116 51% 15, 14.7 HG Copper 8,661-4,837 51,885 7,79 28,776-12,627-3% 125,376 28,776 23% 29, 1.6 Soybeans 195,113 33,13 11,42-3,228 183,711 36,331 25% 183,711-118,683 1% 33, 17.1 Soybean Meal 121,252 7,369 5,752-1,851 115,5 9,22 9% 115,5-54,43 1% 15, 21.1 Soybean Oil 73,935 1,338 82,981 1,37-9,46 31-3% 1,435-5,76-18% 36,.9 Corn 349,582 64,524 186,48-39,89 163,534 14,414 177% 163,534-23,556 1% -56, 1.9 Wheat (CBOT) 85,956 2,72 118,487-25,399-32,531 28,11-46% 44,685-162,327-2% -77,.7 Wheat (KCBT) 56,678-5,449 35,919-15,2 2,759 9,751 89% 73,111-34,422 28% -2, 1.6 Sugar 126,278-567 232,98-3,12-16,72 29,553-22% 9,53-15,863-71% 56,.5 Cocoa 68,566 5,824 37,94 1,296 3,662 4,528 17% 3,662-52,334 1% 9, 1.8 Coffee 34,429 2,36 87,749-84 -53,32 3,2-6% 6,926-57,846-92% -5,.4 Cotton 91,42 1,59 8,73-63 82,339 1,662 15% 18,778 17,363 76% 53, 1.5 Live Cattle 17,581-8,659 15,25-1,438 92,556-7,221-7% 138,355 7,973 67% 64, 7.2 Feeder Cattle 14,697-1,643 6,588 497 8,19-2,14-21% 18,42 6,87 44% 6, 2.2 Lean Hogs 52,64-1,54 37, 3,77 15,64-4,824-24% 84,189 1,657 18% 41, 1.4 Total 2,177,558 177,651 9% Source: CFTC, ICE, Bloomberg and Saxo Bank Saxo Group Page 2
Overview 1 lots 3, Commodities: Combined Managed Money Position Energy Metals Agriculture BCOM TR, right Index 3 2,5 28 26 2, 24 1,5 22 1, 2 18 5 16 214 215 216 217 218 14 Saxo Group Page 3
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 2 1,4 325 18 1,2 3 16 14 1, 275 12 8 25 1 225 8 6 2 6 4 175 4 2 2 15 212 213 214 215 216 217 218 Sourc e: Bloomberg, Saxo Bank 125 212 213 214 215 216 217 218 Sourc e: Bloomberg, Saxo Bank Saxo Group Page 4
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, 15 8 1 5 6 4-5 -1 2-15 213 214 215 216 217 218-2 214 215 216 217 Saxo Group Page 5
Crude Oil 1 lots WTI Crude Oil 6 5 4 3 2 1-1 -2-3 213 214 215 216 217 218 1 lots 55 5 45 4 35 3 25 2 15 1 WTI Crude Oil: Seasonal Five-year range Five-year average 218 5 1 4 7 1 13 16 19 22 25 28 31 34 37 4 43 46 49 52 1 lots Brent Crude Oil 7 6 5 4 3 2 1-1 1 lots 7 6 5 4 3 2 1 Brent Crude Oil: Seasonal Five-year range Five-year average 218-2 213 214 215 216 217 218 1 4 7 1 13 16 19 22 25 28 31 34 37 4 43 46 49 52 Saxo Group Page 6
Crude Oil Products & Natural Gas 1 lots RBOB Gasoline 1 lots ICE Gas Oil 15 2 1 5 15 1 5-5 -1 213 214 215 216 217 218-5 -1 213 214 215 216 217 218 1 lots NY Harbor ULSD 12 1 8 6 4 2-2 -4-6 1 lots Natural Gas (Four contracts) 8 6 4 2-2 -4-8 -6 213 214 215 216 217 218 213 214 215 216 217 218 Saxo Group Page 7
1 lots COMEX Gold 35 3 25 2 15 1 5 Gold and silver 1, lots 3 25 2 15 1 COMEX Gold: Seasonal -5-1 -15 213 214 215 216 217 218 5 Five-year range Five-year average 218-5 1 4 7 1 13 Sourc e: Bloomberg, Saxo Bank 16 19 22 25 28 31 34 37 4 43 46 49 52 1 lots COMEX Silver 12 1 8 6 4 2 1, lots 1 8 6 4 2 COMEX Silver: Seasonal -2-4 -2 Five-year range -6 Five-year average 218-8 -4 213 214 215 216 217 218 1 4 7 1 13 16 19 22 25 28 31 34 37 4 43 46 49 52 Saxo Group Page 8
1 lots HG Copper 15 1 5-5 HG Copper and PGM s 1, lots 14 12 1 8 6 4 2-2 Five-year range Five-year average 218 HG Copper: Seasonal -4-1 213 214 Sourc e: Bloomberg, Saxo Bank 215 216 217 218-6 1 4 7 1 13 Sourc e: Bloomberg, Saxo Bank 16 19 22 25 28 31 34 37 4 43 46 49 52 1 lots Platinum 5 4 3 2 1 1 lots Palladium 3 25 2 15 1 5-1 -2-3 -4 213 214 215 216 217-5 -1-15 213 214 Sourc e: Bloomberg, Saxo Bank 215 216 217 218 Saxo Group Page 9
Grains 1 lots CBOT Corn 4 3 2 1-1 -2-3 -4-5 213 214 215 216 217 218 1 lots CBOT Wheat 3 2 1-1 -2-3 -4 213 214 215 216 217 218 1 lots CBOT Soybeans 25 2 15 1 5-5 -1-15 -2 213 214 215 216 217 218 1 lots Key Crops: Combined Managed Money Position 5 4 Corn Wheat Soybeans 3 2 1-1 -2-3 -4-5 213 214 215 216 217 218 Saxo Group Page 1
1 lots Sugar #11 4 3 2 1-1 -2 Soft Commodities 1 lots Arabica Coffee 8 6 4 2-2 -4-6 -8-3 213 214 215 216 217 218-1 213 214 215 216 217 218 1 lots Cocoa 125 1 75 5 25-25 -5-75 1 lots Cotton 125 1 75 5 25-25 -5-1 213 214 215 216 217 218-75 213 214 215 216 217 218 Saxo Group Page 11
1 lots Live Cattle 15 125 1 75 5 25-25 -5-75 -1 213 214 215 216 217 218 Livestock 1 lots Lean Hogs 3 25 2 15 1 5-5 -1-15 213 214 215 216 217 218 1 lots Feeder Cattle 12 1 8 6 4 2-2 -4-6 213 214 215 216 217 218 1 lots Livestock: Combined Managed Money Position 25 Live Cattle 2 Feeder Cattle Lean Hogs 15 1 5 213 214 215 216 217 218 Sourc e: Bloomberg, Saxo Bank Saxo Group Page 12
LME Industrial metals (Note: Different cut-off date) 23-Feb-18 Change Change Change Change Pct 1 yr high 1 yr low Relative to Open Int 1 yr max change LME Aluminum 314,98-1,358 15,623-7,665 163,475 6,37 4.% #N/A N Ap #N/A N Ap #VALUE! -3.5% LME Copper 11,269-1,672 72,821-755 37,448-917 -2.4% #N/A N Ap #N/A N Ap #VALUE! -4.6% LME Zinc 131,32-1,913 51,126-792 79,96-1,121-1.4% #N/A N Ap #N/A N Ap #VALUE! -2.5% LME Nickel 15,456-2,392 63,226-1,728 42,23-664 -1.5% #N/A N Ap #N/A N Ap #VALUE! -4.1% 1 lots LME Metals: Open Interest 1,8 1,6 1,4 1,2 1, 8 6 4 2 Aluminum Copper Zinc Nickel 215 216 217 218 Saxo Group Page 13
1 lots LME Copper: Managed Money LME Industrial metals 1 lots LME Aluminum: Managed Money 2 15 1 5-5 -1-15 215 216 217 218 1 lots LME Zinc: Managed Money 4 3 2 1-1 -2-3 -4 215 216 217 218 1 lots LME Nickel: Managed Money 2 15 15 1 1 5 5-5 -5-1 215 216 217 218-1 215 216 217 218 Saxo Group Page 14
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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