commitments of traders: commodities · 2018-12-17 · free to share commitments of traders:...

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Commitments of Traders: CommoditiesLeveraged funds positioning covering the week ending

December 11, 2018

Ole S. Hansen

Head of Commodity Strategy

Saxo Group

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11-Dec-18 Long Change Short Change Net Change Change Pct 1 yr high 1 yr lowRelative to

1 yr max

Price

change

3-year

average

Long /

short ratioRSI (14d)

1st - 2nd

month

WTI Crude (CME) 215,907 -1,655 96,232 6,983 119,675 -8,638 -7% 496,111 119,675 -100% -3.0% 271,000 2.2 36.3 -0.5%

WTI Crude (ICE) 31,937 -782 19,463 3,206 12,474 -3,988 -24% 63,364 9,731 20%

Brent Crude (ICE) 261,433 7,731 121,836 4,600 139,597 3,131 2% 632,454 136,466 22% -3.0% 401,000 2.1 38.0 -0.2%

Gas Oil (ICE) 61,295 -7,073 36,478 8,126 24,817 -15,199 -38% 215,304 24,817 -100% -3.0% 93,000 1.7 34.6 -0.1%

RBOB Gasoline 83,257 4,108 32,039 -2,843 51,218 6,951 16% 132,065 44,267 39% -0.2% 48,000 2.6 39.4 -0.3%

NY Harbor ULSD 31,852 -2,572 24,576 -2,324 7,276 -248 -3% 97,977 7,276 -100% -2.8% 27,000 1.3 33.4 0.3%

NatGas (4 contr.) 309,606 -9,493 55,720 6,930 253,886 -16,423 -6% 323,249 46,382 79% -1.1% 48,000 5.6 41.9 1.9%

Gold 98,251 -7,826 87,999 -19,617 10,252 11,791 -766% 214,595 -103,009 5% 0.0% 111,000 1.1 55.5 -0.5%

Silver 44,456 3,335 53,424 -9,874 -8,968 13,209 -60% 40,177 -47,480 -19% -0.1% 31,000 0.8 53.7 -0.6%

Platinum 27,988 990 33,063 6,108 -5,075 -5,118 ######## 32,201 -30,325 -17% -2.3% 7,000 0.8 36.6 -0.8%

Palladium 15,736 -788 2,320 65 13,416 -853 -6% 27,471 -198 49% -0.2% 14,000 6.8 56.1 1.2%

HG Copper 48,677 -499 49,590 1,374 -913 -1,873 -195% 113,124 -29,986 -3% 0.3% 32,000 1.0 50.5 -0.1%

Soybeans 81,852 -5,866 92,920 -12,391 -11,068 6,525 -37% 208,200 -103,397 -11% 0.4% 42,000 0.9 53.1 -1.5%

Soybean Meal 47,417 -2,242 55,257 2,636 -7,840 -4,878 165% 133,549 -7,840 -100% -0.9% 28,000 0.9 45.4 -1.4%

Soybean Oil 58,284 344 104,905 -12,986 -46,621 13,330 -22% 11,912 -109,950 -42% 0.3% 16,000 0.6 52.6 -0.9%

Corn 277,727 1,754 179,110 -43,118 98,617 44,872 83% 233,063 -226,876 42% 0.0% -52,000 1.6 65.7 -1.9%

Wheat (CBOT) 87,468 2,101 109,870 -3,904 -22,402 6,005 -21% 66,948 -153,577 -15% -0.3% -70,000 0.8 58.8 -1.2%

Wheat (KCBT) 81,091 4,700 78,662 -174 2,429 4,874 -199% 64,373 -34,422 4% -0.1% 8,000 1.0 62.0 -2.1%

Wheat (MGE) 8,678 -116 14,826 -240 -6,148 124 -2% 5,696 -12,865 -48% -0.8% 2,000 0.6 54.7 -0.9%

Sugar 111,381 -189 117,191 -1,993 -5,810 1,804 -24% 81,648 -164,201 -4% 0.6% 36,000 1.0 46.8 -0.8%

Cocoa 48,289 -646 57,604 2,059 -9,315 -2,705 41% 60,523 -40,485 -23% -3.2% 4,000 0.8 54.6 -0.4%

Coffee 29,719 1,324 75,325 10,132 -45,606 -8,808 24% -22,201 -109,159 -42% -4.3% -19,000 0.4 36.5 -3.1%

Cotton 50,055 -1,476 11,868 -1,561 38,187 85 0% 108,778 36,994 35% 0.3% 62,000 4.2 54.2 -1.3%

Live Cattle 92,116 -1,261 16,592 -4,522 75,524 3,261 5% 99,777 9,091 76% 0.4% 66,000 5.6 73.6 -1.7%

Feeder Cattle 9,748 -127 15,082 -567 -5,334 440 -8% 13,149 -5,774 -92% 2.0% 5,000 0.6 49.1 1.2%

Lean Hogs 56,763 -313 20,957 3,250 35,806 -3,563 -9% 63,041 -11,369 57% -1.3% 38,000 2.7 69.8 -8.6%

Total 708,074 44,108 7%

Source: CFTC, ICE, Bloomberg and Saxo Bank

Saxo Group

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Overview

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

0

2

4

6

8

10

12

14

16

18

20

22

2013 2014 2015 2016 2017 2018

Energy (7) Metals (5) Agriculture (10)


Million lots

Commodities: Total Open Interest

125

150

175

200

225

250

275

300

0

200

400

600

800

1,000

1,200

2013 2014 2015 2016 2017 2018

Energy (7) Metals (5) Agriculture (10) BCOM Index


Bn Dollars

Commodities: Total Value of Open Interest

Saxo Group

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Crude Oil Combined

0

200

400

600

800

1,000

1,200

2014 2015 2016 2017 2018

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

2015 2016 2017 2018


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

2014 2015 2016 2017 2018

LongShortNet


1000 lots WTI Crude Oil

-200

-100

0

100

200

300

400

500

600

700

800

2014 2015 2016 2017 2018

Long

Short

Net


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


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


Brent Crude Oil: Seasonal1000 lots

Saxo Group

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Crude Oil Products & Natural Gas

-100

-50

0

50

100

150

2014 2015 2016 2017 2018

Long

Short

Net


1000 lots RBOB Gasoline

-80

-60

-40

-20

0

20

40

60

80

100

120

2014 2015 2016 2017 2018

Long

Short

Net


1000 lots NY Harbor ULSD

-100

-50

0

50

100

150

200

250

2014 2015 2016 2017 2018

Long

Short

Net


1000 lots ICE Gas Oil

-600

-400

-200

0

200

400

600

800

2014 2015 2016 2017 2018

Long

Short

Net


1000 lots Natural Gas (Four contracts)

Saxo Group

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Gold and silver

-300

-200

-100

0

100

200

300

400

2013 2014 2015 2016 2017 2018

Long

Short

Net


1000 lots COMEX Gold

-125

-100

-75

-50

-25

0

25

50

75

100

2013 2014 2015 2016 2017 2018

Long

Short

Net


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


COMEX Silver: Seasonal1,000 lots

-150

-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


COMEX Gold: Seasonal1,000 lots

Saxo Group

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HG Copper and PGM’s

-100

-50

0

50

100

150

2013 2014 2015 2016 2017 2018

Long

Short

Net


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


HG Copper: Seasonal1,000 lots

-70

-50

-30

-10

10

30

50

2014 2015 2016 2017 2018

Long

Short

Net


1000 lots Platinum

-15

-10

-5

0

5

10

15

20

25

30

2013 2014 2015 2016 2017 2018

Long

Short

Long


1000 lots Palladium

Saxo Group

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Grains

-500

-400

-300

-200

-100

0

100

200

300

400

500

2013 2014 2015 2016 2017 2018

Long

Short

Net


1000 lots CBOT Corn

-400

-300

-200

-100

0

100

200

300

2013 2014 2015 2016 2017 2018

LongShortNet


1000 lots CBOT Wheat

-200

-150

-100

-50

0

50

100

150

200

250

2013 2014 2015 2016 2017 2018

LongShortNet


1000 lots CBOT Soybeans

-600

-400

-200

0

200

400

600

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52

5-yr av. 20182017 20162015 2014


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

Saxo Group

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Soft Commodities

-300

-200

-100

0

100

200

300

400

2013 2014 2015 2016 2017 2018

Long

Short

Net


1000 lots Sugar #11

-120

-100

-80

-60

-40

-20

0

20

40

60

80

2013 2014 2015 2016 2017 2018

LongShortNet


1000 lots Arabica Coffee

-100

-75

-50

-25

0

25

50

75

100

125

2013 2014 2015 2016 2017 2018

Long

Short

Net


1000 lots Cocoa

-75

-50

-25

0

25

50

75

100

125

2013 2014 2015 2016 2017 2018

Long

Short

Net


1000 lots Cotton

Saxo Group

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Livestock

-100

-75

-50

-25

0

25

50

75

100

125

150

2013 2014 2015 2016 2017 2018

LongShortNet


1000 lots Live Cattle

-15

-10

-5

0

5

10

15

20

25

30

2013 2014 2015 2016 2017 2018

LongShortNet


1000 lots Lean Hogs

-60

-40

-20

0

20

40

60

80

100

120

2013 2014 2015 2016 2017 2018

Long

Short

Net


1000 lots Feeder Cattle

0

50

100

150

200

250

2013 2014 2015 2016 2017 2018

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.

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commitments of traders: commodities · 2018-12-17 · free to share commitments of traders:...

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