Upload
others
View
8
Download
0
Embed Size (px)
Citation preview
FREE TO SHARE
Commitments of Traders: CommoditiesLeveraged funds positioning covering the week ending
August 14, 2018
Ole S. Hansen
Head of Commodity Strategy
Saxo Group
FREE TO SHARE
Page 2
14-Aug-18 Long Change Short Change Net Change Change Pct 1 yr high 1 yr lowRelative to
1 yr max
3-year
average
Long /
short ratioRSI (14d)
1st - 2nd
month
WTI Crude (CME) 362,681 -38,404 21,285 -1,213 341,396 -37,191 -10% 496,111 147,303 69% 259,000 17.0 40.5 1.1%
Brent Crude (ICE) 381,402 -21,148 44,986 -3,659 336,416 -17,489 -5% 632,454 336,416 53% 380,000 8.5 43.2 -0.3%
Gas Oil (ICE) 152,419 5,498 3,057 266 149,362 5,232 4% 215,304 123,064 69% 77,000 49.9 47.4 -0.2%
RBOB Gasoline 96,340 -12,014 6,070 2,153 90,270 -14,167 -14% 132,065 36,627 68% 41,000 15.9 38.9 4.9%
NY Harbor ULSD 75,515 1,668 18,733 2,090 56,782 -422 -1% 97,977 20,054 58% 17,000 4.0 44.1 -0.2%
NatGas (4 contr.) 316,517 16,975 111,310 -55,810 205,206 72,785 55% 323,249 46,382 63% 40,000 2.8 60.0 -0.1%
Gold 110,480 3,382 187,753 17,373 -77,273 -13,991 22% 264,934 -77,273 -100% 121,000 0.6 21.8 -0.4%
Silver 68,804 -675 88,991 6,987 -20,187 -7,662 61% 75,147 -39,604 -51% 37,000 0.8 30.9 -0.6%
Platinum 19,947 740 47,918 3,333 -27,971 -2,593 10% 32,201 -29,107 -96% 9,000 0.4 34.0 -0.4%
Palladium 9,486 479 8,690 1,551 796 -1,072 -57% 27,471 796 -100% 14,000 1.1 43.1 0.7%
HG Copper 51,561 -1,940 81,040 -2,447 -29,479 507 -2% 125,376 -29,986 -98% 32,000 0.6 35.4 -0.7%
Soybeans 81,066 -2,876 139,990 -235 -58,924 -2,641 5% 208,200 -103,397 -57% 45,000 0.6 51.8 -1.3%
Soybean Meal 84,861 8,073 27,968 -2,020 56,893 10,093 22% 133,549 -36,344 43% 26,000 3.0 47.8 -0.2%
Soybean Oil 56,422 316 153,546 6,059 -97,124 -5,743 6% 100,435 -97,124 -100% 25,000 0.4 46.5 -0.5%
Corn 270,190 -17,326 295,152 -22,069 -24,962 4,743 -16% 233,063 -230,556 -11% -43,000 0.9 52.1 -4.0%
Wheat (CBOT) 130,985 513 64,037 -1,848 66,948 2,361 4% 66,948 -157,652 100% -74,000 2.0 58.7 -3.4%
Wheat (KCBT) 85,206 7,200 22,554 -366 62,652 7,566 14% 62,652 -34,422 100% 3,000 3.8 58.2 -4.8%
Wheat (MGE) 9,469 -54 5,793 -3,364 3,676 3,310 904% 8,724 -12,865 42% 1,000 1.6 57.4 -2.8%
Sugar 160,240 -4,848 294,022 9,137 -133,782 -13,985 12% 12,808 -164,201 -81% 50,000 0.5 31.1 -8.5%
Cocoa 45,696 2,231 55,383 11,287 -9,687 -9,056 1435% 60,523 -49,089 -20% 10,000 0.8 40.0 -0.6%
Coffee 34,821 -464 132,548 2,742 -97,727 -3,206 3% -13,151 -97,727 -100% -13,000 0.3 25.4 -3.5%
Cotton 80,589 -8,211 3,917 1,477 76,672 -9,688 -11% 108,778 23,049 70% 60,000 20.6 31.4 0.4%
Live Cattle 80,861 -581 23,033 -150 57,828 -431 -1% 132,032 9,091 44% 59,000 3.5 60.7 -3.4%
Feeder Cattle 9,618 -660 8,961 -145 657 -515 -44% 18,384 -4,506 4% 5,000 1.1 52.0 -0.6%
Lean Hogs 66,768 1,728 73,061 -3,348 -6,293 5,076 -45% 78,206 -11,369 -55% 38,000 0.9 41.8 5.7%
Total 922,145 -28,179 -3%
Saxo Group
FREE TO SHARE
Overview
Page 3
140
160
180
200
220
240
260
280
0
500
1,000
1,500
2,000
2,500
3,000
2014 2015 2016 2017 2018
Energy Metals Agriculture BCOM TR, right
Source: Bloomberg, Saxo Bank
1000 lots
Commodities: Combined Managed Money Position
Index
Saxo Group
FREE TO SHARE
Open Interest and value of 22 major commodities
Page 4
0
2
4
6
8
10
12
14
16
18
20
22
2012 2013 2014 2015 2016 2017 2018
Energy (7) Metals (5) Agriculture (10)
Source: Bloomberg, Saxo Bank
Million lots
Commodities: Total Open Interest
125
150
175
200
225
250
275
300
325
0
200
400
600
800
1,000
1,200
1,400
2012 2013 2014 2015 2016 2017 2018
Energy (7) Metals (5) Agriculture (10) BCOM Index
Source: Bloomberg, Saxo Bank
Bn Dollars
Commodities: Total Value of Open Interest
Saxo Group
FREE TO SHARE
Crude Oil Combined
Page 5
0
200
400
600
800
1,000
1,200
2013 2014 2015 2016 2017 2018
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
2014 2015 2016 2017
Source: Bloomberg, Saxo Bank
1000 lots WTI and Brent Crude Oil: Weekly Change
Saxo Group
FREE TO SHARE
Crude Oil
Page 6
-300
-200
-100
0
100
200
300
400
500
600
2013 2014 2015 2016 2017 2018
LongShortNet
Source: Bloomberg, Saxo Bank
1000 lots WTI Crude Oil
-200
-100
0
100
200
300
400
500
600
700
800
2013 2014 2015 2016 2017 2018
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots Brent Crude Oil
50
100
150
200
250
300
350
400
450
500
550
1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52
Five-year range
Five-year average
2018
Source: Bloomberg, Saxo Bank
WTI Crude Oil: Seasonal1000 lots
0
100
200
300
400
500
600
700
1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52
Five-year range
Five-year average
2018
Source: Bloomberg, Saxo Bank
Brent Crude Oil: Seasonal1000 lots
Saxo Group
FREE TO SHARE
Crude Oil Products & Natural Gas
Page 7
-100
-50
0
50
100
150
2013 2014 2015 2016 2017 2018
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots RBOB Gasoline
-80
-60
-40
-20
0
20
40
60
80
100
120
2013 2014 2015 2016 2017 2018
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots NY Harbor ULSD
-100
-50
0
50
100
150
200
250
2013 2014 2015 2016 2017 2018
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots ICE Gas Oil
-600
-400
-200
0
200
400
600
800
2013 2014 2015 2016 2017 2018
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots Natural Gas (Four contracts)
Saxo Group
FREE TO SHARE
Gold and silver
Page 8
-300
-200
-100
0
100
200
300
400
2013 2014 2015 2016 2017 2018
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots COMEX Gold
-80
-60
-40
-20
0
20
40
60
80
100
120
2013 2014 2015 2016 2017 2018
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots COMEX Silver
-60
-40
-20
0
20
40
60
80
100
1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52
Five-year range
Five-year average
2018
Source: Bloomberg, Saxo Bank
COMEX Silver: Seasonal1,000 lots
-100
-50
0
50
100
150
200
250
300
1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52
Five-year range
Five-year average
2018
Source: Bloomberg, Saxo Bank
COMEX Gold: Seasonal1,000 lots
Saxo Group
FREE TO SHARE
HG Copper and PGM’s
Page 9
-100
-50
0
50
100
150
2013 2014 2015 2016 2017 2018
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots HG Copper
-60
-40
-20
0
20
40
60
80
100
120
140
1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52
Five-year range
Five-year average
2018
Source: Bloomberg, Saxo Bank
HG Copper: Seasonal1,000 lots
-70
-50
-30
-10
10
30
50
2013 2014 2015 2016 2017
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots Platinum
-15
-10
-5
0
5
10
15
20
25
30
2013 2014 2015 2016 2017 2018
Long
Short
Long
Source: Bloomberg, Saxo Bank
1000 lots Palladium
Saxo Group
FREE TO SHARE
Grains
Page 10
-500
-400
-300
-200
-100
0
100
200
300
400
500
2013 2014 2015 2016 2017 2018
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots CBOT Corn
-400
-300
-200
-100
0
100
200
300
2013 2014 2015 2016 2017 2018
LongShortNet
Source: Bloomberg, Saxo Bank
1000 lots CBOT Wheat
-200
-150
-100
-50
0
50
100
150
200
250
2013 2014 2015 2016 2017 2018
LongShortNet
Source: Bloomberg, Saxo Bank
1000 lots CBOT Soybeans
-600
-400
-200
0
200
400
600
2013 2014 2015 2016 2017 2018
Th
ou
san
ds
Corn Wheat Soybeans Total
Source: Bloomberg, Saxo Bank
1000 lots Key Crops: Combined Managed Money Position
Saxo Group
FREE TO SHARE
Soft Commodities
Page 11
-300
-200
-100
0
100
200
300
400
2013 2014 2015 2016 2017 2018
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots Sugar #11
-120
-100
-80
-60
-40
-20
0
20
40
60
80
2013 2014 2015 2016 2017 2018
LongShortNet
Source: Bloomberg, Saxo Bank
1000 lots Arabica Coffee
-100
-75
-50
-25
0
25
50
75
100
125
2013 2014 2015 2016 2017 2018
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots Cocoa
-75
-50
-25
0
25
50
75
100
125
2013 2014 2015 2016 2017 2018
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots Cotton
Saxo Group
FREE TO SHARE
Livestock
Page 12
-100
-75
-50
-25
0
25
50
75
100
125
150
2013 2014 2015 2016 2017 2018
LongShortNet
Source: Bloomberg, Saxo Bank
1000 lots Live Cattle
-15
-10
-5
0
5
10
15
20
25
30
2013 2014 2015 2016 2017 2018
LongShortNet
Source: Bloomberg, Saxo Bank
1000 lots Lean Hogs
-60
-40
-20
0
20
40
60
80
100
120
2013 2014 2015 2016 2017 2018
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots Feeder Cattle
0
50
100
150
200
250
2013 2014 2015 2016 2017 2018
Live Cattle
Feeder Cattle
Lean Hogs
Source: Bloomberg, Saxo Bank
1000 lots Livestock: Combined Managed Money Position
Saxo Group
FREE TO SHARE
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
FREE TO SHARE
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.
This material is confidential and should not be copied, distributed, published or reproduced in whole or in part or disclosed by recipients to any other person.Any information or opinions in this material are not intended for distribution to, or use by, any person in any jurisdiction or country where such distribution or use would be unlawful. The information in this document is not directed at or intended for “US Persons” within the meaning of the United States Securities Act of 1933, as amended and the United States Securities Exchange Act of 1934, as amended.
If you do not wish to receive any emails from Saxo Bank Group in the future, please reply to this email with the word "UNSUBSCRIBE" in the subject header.This disclaimer is subject to Saxo Bank Group's Full Disclaimer available at HOME.SAXO
Disclaimer
FREE TO SHARE
WWW.TradingFloor.comTwitter: #SaxoStrats
More information: