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Commitments of Traders: CommoditiesLeveraged funds positioning covering the week ending
September 18, 2018
Ole S. Hansen
Head of Commodity Strategy
Saxo Group
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Page 2
18-Sep-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) 357,288 -14,652 24,180 -1,433 333,108 -13,219 -4% 496,111 219,077 67% 266,000 14.8 59.0 0.6%
Brent Crude (ICE) 499,224 20,530 31,346 -7,274 467,878 27,804 6% 632,454 324,431 74% 387,000 15.9 59.9 0.7%
Gas Oil (ICE) 148,722 -11,038 6,489 1,586 142,233 -12,624 -8% 215,304 123,064 66% 82,000 22.9 57.6 0.0%
RBOB Gasoline 86,486 3,153 7,380 -1,000 79,106 4,153 6% 132,065 61,163 60% 43,000 11.7 48.7 0.7%
NY Harbor ULSD 72,947 -4,192 19,531 -639 53,416 -3,553 -6% 97,977 37,620 55% 20,000 3.7 55.1 -0.2%
NatGas (4 contr.) 287,609 6,578 172,600 18,493 115,009 -11,915 -9% 323,249 46,382 36% 42,000 1.7 61.4 0.1%
Gold 103,764 17 178,154 2,982 -74,390 -2,965 4% 214,595 -78,918 -94% 118,000 0.6 45.1 -0.4%
Silver 54,704 -917 99,761 -2,141 -45,057 1,224 -3% 68,016 -47,480 -95% 36,000 0.5 43.8 -0.7%
Platinum 22,408 1,925 41,740 -4,854 -19,332 6,779 -26% 32,201 -30,325 -64% 8,000 0.5 61.4 -0.4%
Palladium 8,082 225 2,470 -419 5,612 644 13% 27,471 -198 20% 14,000 3.3 79.4 0.7%
HG Copper 45,429 5,974 59,167 -5,374 -13,738 11,348 -45% 113,124 -29,986 -46% 32,000 0.8 68.3 -0.6%
Soybeans 87,129 5,602 156,942 7,146 -69,813 -1,544 2% 208,200 -103,397 -68% 44,000 0.6 51.5 -1.7%
Soybean Meal 69,952 -2,059 48,063 6,186 21,889 -8,245 -27% 133,549 -5,492 16% 26,000 1.5 42.8 -1.0%
Soybean Oil 48,941 -4,479 158,891 8,115 -109,950 -12,594 13% 75,629 -109,950 -100% 22,000 0.3 52.5 -0.9%
Corn 237,352 -28,163 378,628 49,643 -141,276 -77,806 123% 233,063 -230,556 -61% -47,000 0.6 51.6 -3.4%
Wheat (CBOT) 85,009 -7,949 86,388 11,845 -1,379 -19,794 -107% 66,948 -157,652 -1% -72,000 1.0 50.7 -3.6%
Wheat (KCBT) 70,966 1,596 33,882 8,051 37,084 -6,455 -15% 64,373 -34,422 58% 4,000 2.1 50.4 -4.5%
Wheat (MGE) 7,078 -73 10,007 2,025 -2,929 -2,098 252% 7,011 -12,865 -23% 1,000 0.7 51.5 -2.6%
Sugar 147,977 1,914 210,588 -62,660 -62,611 64,574 -51% 12,808 -164,201 -38% 46,000 0.7 50.4 -7.7%
Cocoa 49,574 -4,798 58,752 2,348 -9,178 -7,146 352% 60,523 -33,826 -27% 8,000 0.8 39.8 -1.3%
Coffee 34,620 1,151 143,779 7,622 -109,159 -6,471 6% -13,151 -109,159 -100% -16,000 0.2 45.4 -3.4%
Cotton 70,018 -1,514 9,339 5,109 60,679 -6,623 -10% 108,778 42,028 56% 61,000 7.5 35.3 -0.5%
Live Cattle 92,774 8,057 18,432 -8,117 74,342 16,174 28% 132,032 9,091 56% 61,000 5.0 61.1 -4.8%
Feeder Cattle 14,194 3,146 10,238 -444 3,956 3,590 981% 18,384 -4,506 22% 5,000 1.4 66.7 -0.7%
Lean Hogs 65,917 373 44,092 -5,876 21,825 6,249 40% 78,206 -11,369 28% 38,000 1.5 60.0 4.8%
Total 757,325 -50,513 -6%
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Overview
Page 3
140
160
180
200
220
240
260
280
-500
0
500
1,000
1,500
2,000
2,500
3,000
2014 2015 2016 2017 2018
Agriculture Metals Energy BCOM TR, right
Source: Bloomberg, Saxo Bank
1000 lots
Commodities: Combined Managed Money Position
Index
Saxo Group
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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
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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
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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
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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
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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
-125
-100
-75
-50
-25
0
25
50
75
100
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
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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
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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
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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
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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
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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).
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