Managed Money Positioning: Commodities Covering the week ending December 20, 2016

Transcription

1 Managed Money Positioning: Commodities Covering the week ending December 2, 216 Ole S. Hansen Head of Commodity Strategy Source: Bloomberg & Saxo Bank

2 2-Dec-16 Long Change Short Change Net position Net Chg. Change Pct 1 yr high 1 yr low WTI Crude (Nymex) 356,769-2,689 5,613-5,699 36,156 3,1 1% 36,156 69,755 WTI Crude (ICE) 47,21 1,258 2,18-1,919 27,183 12,177 81% 27,183-47,379 RBOB Gasoline 59,682 3,963 16, ,879 4,254 11% 42,879-5,78 NY Harbor (ULSD) 44,121 2,341 16,715 1,91 27, % 27,46-35,339 NatGas (4 contr.) 423,245-9,17 14,1-23, ,236 14,322 5% 319,236-11,695 Gold 135,232-1,223 81,321 4,771 53,911-14,994-22% 286,921-24,263 Silver 59, ,197 2,57 43,359-2,621-6% 96,581 6,282 Platinum 23,681-2,56 13,27-2,733 1, % 43,49 4,334 Palladium 15,688-1,368 1, ,115-1,26-7% 18,414 3,718 HG Copper 12,376-5,66 23,297 2,276 79,79-7,936-9% 87,15-47,19 Soybeans 149,766-7,559 38,54 1, ,712-9,38-7% 21,51-81,458 Soybean Meal 49,565-1,967 33, ,982-2,583-14% 75,252-49,388 Soybean Oil 114, ,474 3,466 97,887-3,48-3% 126,543-17,218 Corn 164,525-3,92 261,611 19,987-97,86-23,79 31% 252, ,176 Wheat (CBOT) 85,196-5, ,791 5,99-13,595-1,666 11% -48, ,417 Wheat (KCBT) 74,616-5,41 7,753-9,988 3,863 4, % 17,126-29,268 Sugar 164,919-9,231 18,21 3,88 146,79-13,111-8% 286,248 17,86 Cocoa 41,332-4,184 43,47-3,779-2, % 44,541-2,138 Coffee 36, ,61 2,297 19,14-3,89-14% 59,252-25,319 Cotton 86,844-4,943 1,85 2,236 76,39-7,179-9% 84,786-13,37 Live Cattle 96,296 6,943 9,9-1,986 87,26 8,929 11% 87,26 9,3 Feeder Cattle 12, , , % 5,51-4,536 Lean Hogs 67, ,944-7,34 53,11 7,56 17% 68,795 13,444 Energy sector 722,86 34,194 Metal sector 2,875-25,9 Grains 28,763-44,259 Agri (-grains) 385,273-7,373 Source: CFTC, Bloomberg and Saxo Bank 2

3 Commodities: Combined Managed Money Position lots 2,5 2, Energy Metals Agriculture Total Energy: Metals: Agriculture: WTI, Brent, RBOB, HO, NG GC, SI, HG 13 in total 1,5 1,

4 Agriculture commodities: Combined Managed Money Position lots 1,2 Grains Softs Livestock Agriculture 1, 8 Grains: Softs: Livestock: S, SM, BO, W, C CC, KC, SB, CT FC, LC, LH

5 Soft commodities: Combined Managed Money Position lots 5 Sugar Arabica Coffee Cocoa Cotton Net

6 Thousands Crude oil (NYMEX & ICE) lots WTI Crude Oil (NYMEX & ICE): Managed Money Position U SD/bbl Net Short Long WTI crude , lots 4 35 WTI Crude Oil: Managed Money Net Positioning Five-year range Five-year average lots WTI Crude Oil: Managed Money Position U SD/bbl Net Short Long Crude Oil: Managed Money Position (NYMEX & ICE WTI and ICE Brent) 1 lots Brent Long WTI Long Net Brent Short WTI Short Aug-14 Feb-15 Aug-15 Feb-16 Aug-16 6

7 Products and natural gas lots RBOB Gasoline: Managed Money Position U Sd/gal. Net Short Long RBOB lots Nymex NatGas: Managed Money Position U SD/therm Net Short Long NatGas lots Heating Oil: Managed Money Position U Sd/gal. Net Short Long Heating Oil 8 4 lots Four NatGas contracts: Combined Managed Money Position U SD/therm Net Short Long NatGas Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16. 7

8 Gold and Silver lots Gold: Managed Money Position U SD/oz Net Short Long Gold 35 1,7 lots Silver: Managed Money Position U SD/oz. Net Short Long Silver , ,5 1,4 1,3 1,2 1, 1, , lots COMEX Gold: Managed Money Net Positioning 1, lots COMEX Silver: Managed Money Net Positioning 3 25 Five-year range Five-year average Five-year range Five-year average

9 HG Copper and Platinum Group metals (PGM) lots HG Copper: Managed Money Position U Sd/lb. Net Short Long HG Copper 12 4 lots Platinum: Managed Money Position U SD/oz. Net Short Long Platinum 6 1, , ,4 1, , , lots HG Copper: Managed Money Net Positioning lots Palladium: Money manager Position U SD/oz. Net Short Long Palladium 3 1, 8 6 Five-year range Five-year average

10 Grains and Oilseeds lots Corn: Managed Money Position U Sd/bu. Net Short Long Corn 5 8 lots Soybeans: Managed Money Position U Sd/b Net Short Long Soybeans 25 1, , , , lots CBOT Wheat: Managed Money Position U Sd/bu. Net Short Long Wheat (CBOT) 25 8 lots Soybean Oil: Managed Money Position U Sd/lb Net Short Long Soybean Oil

11 Softs lots Sugar #11: Managed Money Position U Sd/lb. Net Short Long Sugar # lots Arabica Coffee: Managed Money Position U Sd/lb. Net Short Long Arabica Coffee lots Cocoa: Managed Money positioning U SD/MT Net Short Long Cocoa 12 3,6 lots Cotton: Managed Money Position U Sd/lb. Net Short Long Cotton 3, ,2 3, 2, ,6 2, , ,

12 What is the COT report? The Commitments of Traders report is issued by the US Commodity Futures Trading Commission (CFTC) It is released every Friday at 15:3 Eastern time with data from the week ending the previous Tuesday The ICE exchange (Brent, Gas, oil) publishes its report every Monday around 13: CET It breaks down the open interest in futures markets where 2 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 12

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