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Commitments of Traders: CommoditiesLeveraged funds positioning covering the week ending June 30, 2020
Ole S. Hansen
Head of Commodity Strategy
Saxo Group
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Week to:
30-Jun-20Long Change Short Change Net Change
Change
PctTrend High Low
Relative
to max
Price
change
Long /
short
1st - 2nd
monthLast Change
1-year
high
1-year
low
WTI Crude (CME) 429,225 9,385 59,890 5,072 369,335 4,313 1% 381,345 86,530 97% -2.7% 7.2 -0.3% 2,617 0.0% 3,383 2,529
Brent Crude (ICE) 264,938 3,618 50,797 -8,854 214,141 12,472 6% 428,990 56,369 50% -3.4% 5.2 -0.4% 3,420 -2.9% 3,947 2,867
Gas Oil (ICE) 70,037 2,096 26,805 390 43,232 1,706 4% 117,513 -256 37% 1.0% 2.6 -0.8% 879 -0.5% 1,094 824
RBOB Gasoline 45,710 -294 19,793 865 25,917 -1,159 -4% 114,885 22,114 23% -7.5% 2.3 1.3% 357 -2.8% 443 343
NY Harbor ULSD 20,062 1,099 32,532 1,642 -12,470 -543 5% 21,226 -28,917 -43% -2.4% 0.6 -1.0% 375 -1.2% 483 360
NatGas (4 contr.) 395,631 4,401 271,912 -21,285 123,719 25,686 26% 162,776 -309,492 76% 3.5% 1.5 -3.2% 1,335 0.0% 1,556 1,176
Gold 213,528 8,009 33,527 3,672 180,001 4,337 2% 292,066 127,305 62% 1.0% 6.4 -0.6% 990 -1.4% 1,254 875
Silver 60,594 8,985 24,863 2,427 35,731 6,558 22% 68,443 10,127 52% 2.2% 2.4 -1.0% 203 -10.5% 303 171
Platinum 16,289 856 8,445 2,180 7,844 -1,324 -14% 53,063 -15,651 15% -0.6% 1.9 -1.0% 49 1.9% 109 48
Palladium 2,553 335 1,365 -137 1,188 472 66% 15,042 465 8% 0.8% 1.9 -0.7% 7 6.0% 29 7
HG Copper 52,925 6,940 25,220 -3,339 27,705 10,279 59% 27,705 -74,597 100% 2.2% 2.1 -0.5% 203 -10.5% 303 171
Soybeans 115,799 18,615 47,963 -4,936 67,836 23,551 53% 72,325 -112,528 94% 0.9% 2.4 0.0% 950 -9.2% 1,064 729
Soybean Meal 38,106 2,226 90,603 8,711 -52,497 -6,485 14% 49,619 -77,112 -68% 1.2% 0.4 -0.9% 480 -4.4% 538 439
Soybean Oil 54,866 5,094 54,019 3,526 847 1,568 -217% 119,420 -39,175 1% -0.8% 1.0 -0.6% 458 -9.6% 593 447
Corn 165,053 24,189 366,701 -51,642 -201,648 75,831 -27% 187,260 -297,312 -68% 3.8% 0.5 -2.5% 1,926 -5.3% 2,424 1,713
Wheat (CBOT) 59,936 3,251 98,748 -6,150 -38,812 9,401 -19% 64,715 -48,213 -81% 0.2% 0.6 -1.5% 485 -14.9% 650 434
Wheat (KCBT) 35,226 650 71,942 74 -36,716 576 -2% 14,312 -45,029 -82% -0.8% 0.5 -3.0% 250 -5.9% 345 229
Sugar 124,953 -6,721 66,604 -11,949 58,349 5,228 10% 189,176 -234,839 31% 0.3% 1.9 -5.6% 1,077 -3.4% 1,552 993
Cocoa 31,077 -225 42,249 -113 -11,172 -112 1% 78,780 -34,842 -32% -4.5% 0.7 -0.7% 245 4.8% 403 233
Coffee 34,985 -156 60,398 -2,308 -25,413 2,152 -8% 43,181 -65,270 -39% 2.9% 0.6 -2.8% 326 1.4% 407 283
Cotton 34,530 1,564 25,674 -2,350 8,856 3,914 79% 36,541 -47,428 24% 2.4% 1.3 1.2% 195 2.1% 317 191
Live Cattle 48,473 284 30,852 230 17,621 54 0% 90,253 -6,885 20% -1.0% 1.6 -3.8% 330 0.1% 454 315
Feeder Cattle 8,184 475 6,201 -480 1,983 955 93% 7,195 -7,214 28% -0.3% 1.3 -0.8% 44 4.2% 65 35
Lean Hogs 50,955 1,399 46,257 5,690 4,698 -4,291 -48% 40,978 -8,220 11% -6.6% 1.1 -9.6% 294 2.3% 415 283
Total 2,373,635 1,563,360 810,275 175,139 28% 1,340,765 37,605 60%
Source: CFTC, ICE, Bloomberg and Saxo Bank
52-weeks Position ExtremesLeveraged Fund Positions Open Interest (1000 lots)
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How to read the table?
The report covers a seven-day period up until this date
The spread between the first and the second futures contract. A negative number or contango reflects an oversupplied market which favors short sellers. A positive number or backwardation favors long positions
The long/short ratio:The number of longs per one short position. It’s showing how potentially stretched a market is getting.
Open Interest:The size of the current position, one-week change and one-year high/low
Price change during the reporting week
Last five weeks
Position extremes: One year high/low with percentage distance between current position and one-year max
Showing changes to both long and short positions provides insights about the strength of the change. For example, an increase in a net-long due to short-covering is potentially not as strong as change driven by fresh long positions.
Week to:
30-Jun-20Long Change Short Change Net Change
Change
PctTrend High Low
Relative
to max
Price
change
Long /
short
1st - 2nd
monthLast Change
1-year
high
1-year
low
WTI Crude (CME) 429,225 9,385 59,890 5,072 369,335 4,313 1% 381,345 86,530 97% -2.7% 7.2 -0.3% 2,617 0.0% 3,383 2,529
52-weeks Position ExtremesLeveraged Fund Positions Open Interest (1000 lots)
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120
130
140
150
160
170
180
190
200
210
220
-1,000
-500
0
500
1,000
1,500
2,000
2,500
2015 2016 2017 2018 2019 2020
Agriculture Metals Energy BCOM TR, right
Source: Bloomberg, Saxo Bank
1000 lots
Commodities: Combined Managed Money PositionIndex
Saxo Group
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Gross positions and share of open interest
Page 6
-1600
-1400
-1200
-1000
-800
-600
-400
-200
0
200
400
600
2008 2010 2012 2014 2016 2018 2020
Managed Money Gross Position Change (Rolling Four Weeks)
1000 lots
WTI, Brent, RBOB, NatGas
Gold, Silver, HG Copper
Corn, Wheat, Soybeans
Cocoa, Sugar, Coffee
Source: CFTC, Bloomberg, Saxo Bank
15%
20%
25%
30%
35%
40%
2008 2010 2012 2014 2016 2018 2020
Managed Money Gross Open Position% of Open Interest
WTI, Brent, RBOB, NatGas
Gold, Silver, HG Copper
Corn, Wheat, Soybeans
Cocoa, Sugar, Coffee
Source: CFTC, Bloomberg, Saxo Bank
Saxo Group
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Crude Oil Combined
Page 7
0
200
400
600
800
1,000
1,200
2015 2016 2017 2018 2019
Brent Long Brent Short
WTI Long WTI Short
Net
Source: Bloomberg, Saxo Bank
1000 lots WTI and Brent Crude Oil: Managed Money Position
-200
-150
-100
-50
0
50
100
150
200
250
2016 2017 2018 2019
Source: Bloomberg, Saxo Bank
1000 lots WTI and Brent Crude Oil: Weekly Change
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Crude Oil
Page 8
-300
-200
-100
0
100
200
300
400
500
600
2015 2016 2017 2018 2019
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots WTI Crude Oil
-200
-100
0
100
200
300
400
500
600
700
2015 2016 2017 2018 2019
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots Brent Crude Oil
50
100
150
200
250
300
350
400
450
500
550
4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52
Five-year range
Five-year average
2020
Source: Bloomberg, Saxo Bank
WTI Crude Oil: Seasonal1000 lots
0
100
200
300
400
500
600
700
4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52
Five-year range
Five-year average
2020
Source: Bloomberg, Saxo Bank
Brent Crude Oil: Seasonal1000 lots
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Crude Oil Products & Natural Gas
Page 9
-100
-50
0
50
100
150
2015 2016 2017 2018 2019
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots RBOB Gasoline
-75
-50
-25
0
25
50
75
100
125
2015 2016 2017 2018 2019
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots NY Harbor ULSD
-100
-50
0
50
100
150
200
250
2015 2016 2017 2018 2019
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots ICE Gas Oil
-600
-400
-200
0
200
400
600
2015 2016 2017 2018 2019
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots Natural Gas (Four contracts)
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Gold and silver
Page 10
-200
-100
0
100
200
300
400
2015 2016 2017 2018 2019
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots COMEX Gold
-125
-100
-75
-50
-25
0
25
50
75
100
2015 2016 2017 2018 2019
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots COMEX Silver
-60
-40
-20
0
20
40
60
80
100
4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52
Five-year range
Five-year average
2020
Source: Bloomberg, Saxo Bank
COMEX Silver: Seasonal1,000 lots
-150
-100
-50
0
50
100
150
200
250
300
4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52
Five-year range
Five-year average
2020
Source: Bloomberg, Saxo Bank
COMEX Gold: Seasonal1,000 lots
Saxo Group
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HG Copper and PGM’s
Page 11
-140
-90
-40
10
60
110
160
2015 2016 2017 2018 2019
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots HG Copper
-100
-50
0
50
100
150
4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52
Five-year range
Five-year average
2020
Source: Bloomberg, Saxo Bank
HG Copper: Seasonal1,000 lots
-70
-50
-30
-10
10
30
50
2015 2016 2017 2018 2019
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots Platinum
-15
-10
-5
0
5
10
15
20
25
30
2015 2016 2017 2018 2019 2020
Long
Short
Long
Source: Bloomberg, Saxo Bank
1000 lots Palladium
Saxo Group
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Grains
Page 12
-600
-500
-400
-300
-200
-100
0
100
200
300
400
2015 2016 2017 2018 2019
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots CBOT Corn
-400
-300
-200
-100
0
100
200
300
2015 2016 2017 2018 2019
LongShortNet
Source: Bloomberg, Saxo Bank
1000 lots CBOT Wheat
-200
-150
-100
-50
0
50
100
150
200
250
2015 2016 2017 2018 2019
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots CBOT Soybeans
-600
-400
-200
0
200
400
600
4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52
5-yr av. 2020
2019 2018
2017 2016
Source: Bloomberg, Saxo Bank
Soybeans, Corn & Wheat: Managed Money Net Seasonal1,000 lots
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Softs
Page 13
-400
-300
-200
-100
0
100
200
300
400
2015 2016 2017 2018 2019
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots Sugar #11
-140
-120
-100
-80
-60
-40
-20
0
20
40
60
80
2015 2016 2017 2018 2019
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots Arabica Coffee
-100
-75
-50
-25
0
25
50
75
100
125
2015 2016 2017 2018 2019
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots Cocoa
-75
-50
-25
0
25
50
75
100
125
2015 2016 2017 2018 2019
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots Cotton
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Livestock
Page 14
-75
-50
-25
0
25
50
75
100
125
150
175
2015 2016 2017 2018 2019
LongShortNet
Source: Bloomberg, Saxo Bank
1000 lots Live Cattle
-20
-15
-10
-5
0
5
10
15
20
25
30
2015 2016 2017 2018 2019
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots Lean Hogs
-80
-60
-40
-20
0
20
40
60
80
100
2015 2016 2017 2018 2019
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots Feeder Cattle
-50
0
50
100
150
200
250
2015 2016 2017 2018 2019
Live Cattle
Feeder Cattle
Lean Hogs
Source: Bloomberg, Saxo Bank
1000 lots Livestock: Combined Managed Money Position
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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 15:30 Eastern time with data from the week ending the previous Tuesday
• It breaks down the open interest in futures markets where 20 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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NON-INDEPENDENT INVESTMENT RESEARCH
None of the information contained herein constitutes an offer (or solicitation of an offer) to buy or sell any currency, product or financial instrument, to make any investment, or to participate in any particular trading strategy. This material is produced for marketing and/or informational purposes only and Saxo Bank A/S and its owners, subsidiaries and affiliates whether acting directly or through branch offices (“Saxo Bank Group”) make no representation or warranty, and assume no liability, for the accuracy or completeness of the information provided herein. In providing this material Saxo Bank Group has not taken into account any particular recipient’s investment objectives, special investment goals, financial situation, and specific needs and demands and nothing herein is intended as a recommendation for any recipient to invest or divest in a particular manner and Saxo Bank Group assumes no liability for any recipient sustaining a loss from trading in accordance with a perceived recommendation. All investments entail a risk and may result in both profits and losses. In particular investments in leveraged products, such as but not limited to foreign exchange, derivatives and commodities can be very speculative and profits and losses may fluctuate both violently and rapidly. Speculative trading is not suitable for all investors and all recipients should carefully consider their financial situation and consult financial advisor(s) in order to understand the risks involved and ensure the suitability of their situation prior to making any investment, divestment or entering into any transaction. Any mentioning herein, if any, of any risk may not be, and should not be considered to be, neither a comprehensive disclosure or risks nor a comprehensive description such risks. Any expression of opinion may be personal to the author and may not reflect the opinion of Saxo Bank Group and all expressions of opinion are subject to change without notice (neither prior nor subsequent).
This [website/communication] refers to past performance. Past performance is not a reliable indicator of future performance. Indications of past performance displayed on this [website/communication] will not necessarily be repeated in the future. No representation is being made that any investment will or is likely to achieve profits or losses similar to those achieved in the past, or that significant losses will be avoided.
Statements contained on this [website/communication] that are not historical facts and which may be simulated past performance or future performance data are based on current expectations, estimates, projections, opinions and beliefs of the Saxo Bank Group. Such statements involve known and unknown risks, uncertainties and other factors, and undue reliance should not be placed thereon. Additionally, this [website/communication] may contain 'forward-looking statements'. Actual events or results or actual performance may differ materially from those reflected or contemplated in such forward-looking statements.
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