commitments of traders: commodities€¦ · 07-07-2020 · commodities leveraged funds positioning...

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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)

Saxo Group

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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)

Saxo Group

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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

-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

0

200

400

600

800

1,000

1,200

2015 2016 2017 2018 2019

Brent Long Brent Short

WTI Long WTI Short

Net


1000 lots WTI and Brent Crude Oil: Managed Money Position

-200

-150

-100

-50

0

50

100

150

200

250

2016 2017 2018 2019


1000 lots WTI and Brent Crude Oil: Weekly Change

Saxo Group

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Crude Oil

-300

-200

-100

0

100

200

300

400

500

600

2015 2016 2017 2018 2019

Long

Short

Net


1000 lots WTI Crude Oil

-200

-100

0

100

200

300

400

500

600

700

2015 2016 2017 2018 2019

Long

Short

Net


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


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


Brent Crude Oil: Seasonal1000 lots

Saxo Group

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Crude Oil Products & Natural Gas

-100

-50

0

50

100

150

2015 2016 2017 2018 2019

Long

Short

Net


1000 lots RBOB Gasoline

-75

-50

-25

0

25

50

75

100

125

2015 2016 2017 2018 2019

Long

Short

Net


1000 lots NY Harbor ULSD

-100

-50

0

50

100

150

200

250

2015 2016 2017 2018 2019

Long

Short

Net


1000 lots ICE Gas Oil

-600

-400

-200

0

200

400

600

2015 2016 2017 2018 2019

Long

Short

Net


1000 lots Natural Gas (Four contracts)

Saxo Group

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Gold and silver

-200

-100

0

100

200

300

400

2015 2016 2017 2018 2019

Long

Short

Net


1000 lots COMEX Gold

-125

-100

-75

-50

-25

0

25

50

75

100

2015 2016 2017 2018 2019

Long

Short

Net


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


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


COMEX Gold: Seasonal1,000 lots

Saxo Group

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HG Copper and PGM’s

-140

-90

-40

10

60

110

160

2015 2016 2017 2018 2019

Long

Short

Net


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


HG Copper: Seasonal1,000 lots

-70

-50

-30

-10

10

30

50

2015 2016 2017 2018 2019

Long

Short

Net


1000 lots Platinum

-15

-10

-5

0

5

10

15

20

25

30

2015 2016 2017 2018 2019 2020

Long

Short

Long


1000 lots Palladium

Saxo Group

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Grains

-600

-500

-400

-300

-200

-100

0

100

200

300

400

2015 2016 2017 2018 2019

Long

Short

Net


1000 lots CBOT Corn

-400

-300

-200

-100

0

100

200

300

2015 2016 2017 2018 2019

LongShortNet


1000 lots CBOT Wheat

-200

-150

-100

-50

0

50

100

150

200

250

2015 2016 2017 2018 2019

Long

Short

Net


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


Soybeans, Corn & Wheat: Managed Money Net Seasonal1,000 lots

Saxo Group

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Softs

-400

-300

-200

-100

0

100

200

300

400

2015 2016 2017 2018 2019

Long

Short

Net


1000 lots Sugar #11

-140

-120

-100

-80

-60

-40

-20

0

20

40

60

80

2015 2016 2017 2018 2019

Long

Short

Net


1000 lots Arabica Coffee

-100

-75

-50

-25

0

25

50

75

100

125

2015 2016 2017 2018 2019

Long

Short

Net


1000 lots Cocoa

-75

-50

-25

0

25

50

75

100

125

2015 2016 2017 2018 2019

Long

Short

Net


1000 lots Cotton

Saxo Group

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Livestock

-75

-50

-25

0

25

50

75

100

125

150

175

2015 2016 2017 2018 2019

LongShortNet


1000 lots Live Cattle

-20

-15

-10

-5

0

5

10

15

20

25

30

2015 2016 2017 2018 2019

Long

Short

Net


1000 lots Lean Hogs

-80

-60

-40

-20

0

20

40

60

80

100

2015 2016 2017 2018 2019

Long

Short

Net


1000 lots Feeder Cattle

-50

0

50

100

150

200

250

2015 2016 2017 2018 2019

Live Cattle

Feeder Cattle

Lean Hogs


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).

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

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