Commodities Weekly Sentiment Tracker

10/06/14 09:13AM EDT

Note: Using the z-score in the tables below as a coefficient of variation for standard error helps us flag the relative market positioning of the commodities in the CRB Index. It is not intended as a predictive signal for the reversion to trailing twelve month historical averages. For week-end price data, please refer to “Commodities: Weekly Quant” published at the end of the previous week. Feel free to ping us for additional color.    

------

1.       CFTC Net Futures and Options Positioning CRB Index: The Commodities Futures Trading Commission (CFTC) releases “Commitments of Traders Reports” at 3:30 p.m. Eastern Time on Friday. The release usually includes data from the previous Tuesday (Net Positions as of Tuesday Close), and includes the net positions of “non-commercial” futures and options participants. A “Non-Commercial” market participant is defined as a “large speculator.” We observe the weekly marginal changes in the overall positioning of “non-commercial” futures and options positions to assess the directionally-biased capitulation risk among those with large, speculative positions.

 

The Sugar, Soybeans, and Coffee markets experienced the most BULLISH relative positioning change in the CRB week-over-week.

The Cotton, Silver, and Copper markets experienced the most BEARISH relative positioning change in the CRB week-over-week:

Commodities Weekly Sentiment Tracker - chart1 CFTC Net Fut. and Options

2.       Spot – Second Month Basis Differential: Measures the market expectation for forward looking prices in the near-term.

  • The Corn, Natural Gas, and Live Cattle markets are positioned for HIGHER PRICES near-term
  • The Lean Hogs, RBOB Gasoline, and Silver markets are positioned for LOWER PRICES near-term

Commodities Weekly Sentiment Tracker - chart2 spot 2nd month basis

3.       Spot – 1 Year Basis Differential: Measures the market expectation for forward-looking prices between spot and the respective contract expiring 1-year later.

  • The Corn, Wheat, and Sugar markets are positioned for HIGHER PRICES in 1-year  
  • The Lean Hogs, Live Cattle, and WTI Crude Oil markets are positioned for LOWER PRICES in 1-year  

Commodities Weekly Sentiment Tracker - chart3 spot  1yr basis

4.       Open Interest: Aggregate open interest measures the amount of opened positions in all actively traded futures contract months. Open interest can be thought of as “naked” or “directionally-biased” contracts as opposed to hedgers scalping and providing liquidity. Most of the open interest is created from large speculators or participants who are either: 1) Producers/sellers of the physical commodity hedging their cash market exposure or 2) Large speculators who are directionally-biased on price.

Commodities Weekly Sentiment Tracker - chart4 Aggregate Open Interest         

Ben Ryan

Analyst

© 2024 Hedgeye Risk Management, LLC. The information contained herein is the property of Hedgeye, which reserves all rights thereto. Redistribution of any part of this information is prohibited without the express written consent of Hedgeye. Hedgeye is not responsible for any errors in or omissions to this information, or for any consequences that may result from the use of this information.