Commodities Weekly Sentiment Tracker

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 “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 SOYBEANS, COTTON, AND WHEAT markets experienced the most BULLISH relative positioning change in the CRB week-over-week

The SUGAR, COCOA, AND HEATING OIL markets experienced the most BEARISH relative positioning change in the CRB week-over-week


Commodities Weekly Sentiment Tracker - chart1 CFTC Positioning


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

  • The ORANGE JUICE, CORN, AND WHEAT markets are positioned for HIGHER PRICES near-term
  • The COTTON, LIVE CATTLE, AND HEATING OIL 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 SUGAR, CORN, AND WHEAT markets are positioned for HIGHER PRICES in 1-year  
  • The LEAN HOGS, LIVE CATTLE, AND SOYBEANS markets are positioned for LOWER PRICES in 1-year  

Commodities Weekly Sentiment Tracker - chart3 spot 1 yr bassi


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 agg. open interest         


Ben Ryan



Takeaway: Our Macro Playbook is a daily 1-page summary of our core ETF recommendations, investment themes and proprietary quantitative market context.

CLICK HERE to view the document. In today’s edition, we highlight:


  1. How Japan's economic demise (and Central Planning, in general) is contributing to the nascent downfall of active management
  2. Peeling back the U.S. equity market and observing leadership from a sector and/or style-factor perspective leads us to conclude that meaningful downside risk remains amid rising concern over the economic outlook


Best of luck out there,


Darius Dale

Associate: Macro Team

Early Look

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Relied upon by big institutional and individual investors across the world, this granular morning newsletter distills the latest and most vital market developments and insures that you are always in the know.

European Banking Monitor: Sovereign Swaps Tighter, Financials Swaps Unchanged

Below are key European banking risk monitors, which are included as part of Josh Steiner and the Financial team's "Monday Morning Risk Monitor".  If you'd like to receive the work of the Financials team or request a trial please email 




European Financial CDS - It was a fairly uneventful week for EU bank swaps as they were higher by 1 bp, on average. Greek banks, however, saw swaps rise by 38 bps on the week and are now higher by an average of 114 bps on the month.


European Banking Monitor: Sovereign Swaps Tighter, Financials Swaps Unchanged  - chart1 Financials CDS


Sovereign CDS – Sovereign swaps mostly tightened over last week with Portugal the outlier at +19 bps to 209 bps (and now +41 bps m/m). The US also widened, though by a modest +2 bps to 19 bps.


European Banking Monitor: Sovereign Swaps Tighter, Financials Swaps Unchanged  - chart2 sovereign CDS


European Banking Monitor: Sovereign Swaps Tighter, Financials Swaps Unchanged  - chart3 sovereign CDS


European Banking Monitor: Sovereign Swaps Tighter, Financials Swaps Unchanged  - chart4 sovereign CDS


Euribor-OIS Spread – The Euribor-OIS spread (the difference between the euro interbank lending rate and overnight indexed swaps) measures bank counterparty risk in the Eurozone. The OIS is analogous to the effective Fed Funds rate in the United States.  Banks lending at the OIS do not swap principal, so counterparty risk in the OIS is minimal.  By contrast, the Euribor rate is the rate offered for unsecured interbank lending.  Thus, the spread between the two isolates counterparty risk. The Euribor-OIS spread widened by 2 bps to 9 bps.


European Banking Monitor: Sovereign Swaps Tighter, Financials Swaps Unchanged  - chart5 Euribor OIS Spread


Matthew Hedrick 



Ben Ryan




Retail Callouts (11/3): KORS, LB/Free Shipping, WMT

Takeaway: We’re not comfortable enough on next year’s numbers to get constructive on KORS, but it checks out into tomorrow’s print.



Retail Callouts (11/3): KORS, LB/Free Shipping, WMT - 11 3 chart2B






We don't have a call on KORS right now, but we're positively predisposed headed into the print tomorrow. We all know that KORS is one of those companies that can't just 'beat the quarter'. It's the kind of company that does not know how to miss, having beat estimates by an average of 29% since the IPO. The closest it came to missing was a beat of only 5%, or $0.03ps. That was almost exactly a year ago. It was KORS' weakest comp, wholesale growth, and margin performance of the year. As we anniversary that event, we don't think estimates correctly reflect the leverage on the upside. Furthermore, our internet tracking indicator is shoring continued strength on a sequential and on a year/year basis.   We're modeling $1.00, vs the Street at $0.88 and guidance of $0.85-$0.87. We don't have enough confidence in next year's numbers to make a big bullish call on this one. But into the quarter, we're not concerned. 


Retail Callouts (11/3): KORS, LB/Free Shipping, WMT - 11 3 chart1


Retail Callouts (11/3): KORS, LB/Free Shipping, WMT - 11 3 chart3



LB - Free Shipping Offer

VS has used Free Shipping as an offensive weapon in the past (one of the first to do so, actually), but this is a continuation of the trend that we think will plague the rest of retail. Though LB is a high-end brand with a very loyal customer base, we'd note that even a powerhouse like Victoria's Secret can't easily absorb free shipping costs due to a relatively low average basket size. It's high-ticket retailers like Nordstrom and Brands like Nike and Ralph Lauren that could absorb shipping costs without a material hit to margins.

Retail Callouts (11/3): KORS, LB/Free Shipping, WMT - 11 3 chart4






WMT, TGT, AMZN - Walmart holiday plans include reduced prices on 20,000 products, free shipping on hot items



  • "Walmart is upping the ante on holiday shopping. The chain announced that, starting Saturday, Nov. 1, it will reduce prices on more than 20,000 items. Walmart is also launching its holiday promotions on the first weekend in November to get a jump on what is expected to be a highly competitive selling season."
  •  "Walmart said it would provide free shipping for online orders of some 100 hot gift items, and free shipping for all online purchases over $50."
  • "The move follows Target Corp.’s offer of free shipping on all items, from late October through Dec. 20."
  • "Walmart has also expanded its digital offerings to include 7 million items---one million more than last holiday season. Deals typically reserved for Black Friday and Cyber Monday will start on shortly after midnight Pacific Time on Monday, Nov. 3."


MEO - Metro Holds Talks With Karstadt Owner



  • "German retail giant Metro AG, which owns the Kaufhof chain of department stores, on Saturday said it had held exploratory talks about purchasing rival Karstadt, adding it was not aggressively pursuing a deal."


KORS - Michael Kors Joins Tech-Accessories World



  • "Michael Kors’ expansion into tech accessories goes beyond the smartphone and iPad holders he already offers." "This month, the designer is launching a collection of phone-charging cases, earbuds and two chargers that are designed to resemble women’s cosmetics, as in a lipstick and a compact case."


LVMH - Anthony Ledru to Head Louis Vuitton Americas



  • "Louis Vuitton named Anthony Ledru president and chief executive officer of the Americas, effective Jan. 1."
  • "Ledru was most recently senior vice president, North America, at Tiffany & Co."


U.S. Gasoline Average Less Than $3 for First Time Since 2010



  • "For the first time in almost four years, U.S. drivers are paying less than $3 a gallon at the pump."
  • "That’s down from this year’s peak of $3.696 in April, and the first time the average has dipped below $3 since December 2010."


LEISURE LETTER (11/03/2014)



  • Nov 3:
    • BEE Q3 earnings 11 am , pw 37266467
    • SHO Q3 earnings 12n , ID 75906336
  • Nov 4: 
    • Gaming Referendums: 
      • Massachusetts Question 3 (repeal casino law)
      • Colorado Amendment 68 (allow casinos in Mes, Pueblo and Arapahoe counties)
      • California Proposition 48 (veto gaming compact with North Fork Rancheria for off-reservation casino in Madera)
      • Rhode Island Question 1/2 (operate table games at Newport Grand)
    • RHP Q3 earnings 10 am
  • Nov 6:
    • MPEL Q3 earnings 8:30 am , PS MPEL
    • PNK Q3 earnings 10 am , code 27759617
    • BEL Q3 earnings 10 am , ID 12457691


MPEL – (Macau Business) The government could fine the City of Dreams casino up to MOP100,000 (US$12,519) for failing to prohibit smoking in a part of the casino where the law bans it, Health Bureau deputy director Cheang Seng Ip says. The bureau says the Melco Crown Entertainment Ltd casino turned part of its mass-market gaming floor into a smoking area without official authorization.

Takeaway: A proposed penalty of pennies. 

CWN:AU – announced that the Victorian Commission for Gambling and Liquor Regulation has determined to amend the Melbourne Casino Licence to give effect to the Agreement between the Victorian Government and Crown announced on 22 August 2014. The amendments to the Melbourne Casino Licence will take effect from today. These amendments will help boost Victorian tourism and create new jobs as they will allow Crown Melbourne to compete more effectively in interstate and international markets. Under the Agreement announced on 22 August 2014, Crown must now pay to the State AUD$250 million within seven days.

Takeaway: Crown has sufficient resources to readily pay the AUD$250 million levy.  As of June 30, 2014, Crown Resorts' total liquidity, excluding working capital cash of AUD$110.9 million, was AUD$1,140.0 million, represented by AUD$66.9 million in available cash and AUD$1,073.1 million in committed undrawn facilities.


3918:HK NagaCorp(GGRAsia) says it is considering a public offering to help fund its “US$369-million” casino project in the Russian Far East.

Takeaway: Could a separately listed structure be a result of NagaCorp's desire to "box in" or ring-fence the risks associated with operating a casino in Russia?


880:HK SJM Holdings (Macau Business) SJM Holdings chief executive Ambrose So Shu Fai, said the company would put 10 more gaming tables in its Grand Lisboa casino. Separately, executive director Angela Leong On Kei has denied that the casino operator has anything to do with a Macau company’s project to build a Hello Kitty theme park just over the border on Hengqin island. Ms Leong had previously spoken of putting a theme park on land she owns in Cotai. She has declined to confirm or deny whether one theme of the Cotai park will be the Japanese cartoon cat.

Takeaway: More tables for Grand Lisboa while the fate of the Hello Kitty Entertainment Park remains uncertain.


HLT– announced today that certain selling stockholders affiliated with The Blackstone Group L.P. have commenced a secondary offering of 90,000,000 shares of Hilton Worldwide common stock. The underwriters will have a 30-day option to purchase up to an additional 13,500,000 shares of common stock from the selling stockholders.  Hilton Worldwide is not offering any shares of common stock in the offering and will not receive any proceeds from the sale of shares in this offering. In addition, none of Hilton Worldwide’s officers or directors are selling any shares of common stock beneficially owned by them in the offering.

Takeaway: We cautioned investors of a potential BX secondary offering last week Thursday in our note titled "Hilton: Trick or Treat - a Little of Both". Overhang could be an entry point.

HOT – introduced SPG Keyless, the hospitality industry’s first mobile, keyless entry system allowing guests to use their smartphone as a key. Rolling out to Aloft, Element and W Hotels around the globe, SPG Keyless enables guests to bypass the front desk (where available), go directly to their room and unlock their stay with a simple tap of their smartphone.

Takeaway: Previewed on last week's Q3 2014 earnings call, the app is now live.


NCLH –  proposing to issue $680 million aggregate principal amount of senior unsecured notes due 2019 to fund a portion of the Prestige acquisition. NCLH intends to finance the remaining portion of the Prestige acquisition, as well as to refinance Prestige's Oceania and Regent Credit Facilities and satisfy and discharge the indenture governing Prestige's Regent Senior Secured Notes using $1.05 billion of borrowings under its New Term Loan A and New Term Loan B facilities (the "New Term Loans"), available cash and an additional share issuance.  The Offering and the New Term loans are expected to close concurrently with the Prestige acquisition.

Takeaway:  The unsecured notes financing portion for Prestige was lower than previously estimated. This should help interest expense in 2015.


CCL – Carnival Corporation has unveiled the cruise industry's first-of-its-kind hybrid wireless network known as WiFi@Sea™.  Once completed, the integrated network will seamlessly switch among its various technology solutions to give passengers the highest available bandwidth capacity and strength of signal. The network will be capable of providing Internet connectivity speeds that can be roughly 10 times faster than those previously offered on Carnival Corporation's ships. Following the initial launch in 4Q Caribbean, CCL is scheduled to rollout the technology globally. The technology will eventually be available on all nine of the company's leading global brands.

Takeaway:  This is important capex to counter recent changes to RCL's high-speed internet offerings, particularly on Quantum.


RCL - (TTG Digital)  RCL Vice-president Dominic Paul said he sees Anthem remaining in Southampton for the foreseeable future.  Paul defended the decision to up prices for Anthem, insisting that demand remained strong for the ship, despite the higher cost. “It’s selling well – we’re seeing strong demand for 2015 in general, but in particular for Anthem – there seems to be a real desire to try the ship.”  He also said he was unconcerned by fears about the extra capacity being put into Southampton next year.  “When [the 4,300-passenger ship] Independence came to the UK people said it was a really big ship to fill, but it’s got a really strong following now. People have sailed on it time and again – it’s been highly successful.”  Asked whether the line would hold its nerve and maintain the pricing, Paul replied: “We didn’t significantly discount this year – we had a very successful season in Europe.  

Takeaway:  It's usually the case to be optimistic ahead of Wave. We will see if Anthem can hold its pricing (and premiums) through 2015. 



Singapore Tourism (GGRAsia) Easing visa restrictions for tourists from key markets including China, India and Russia could help Singapore attract 358,000 to 504,000 more visitors in 2016 than under current policies, suggests a report by the World Travel and Tourism Council and the World Tourism Organization, an agency of the United Nations.

Takeaway:  This would result in a small bump on the base of more than 15.5 million tourists during 2013.


China GDP Growth now a Six-Handle - a report from the China Securities Journal, which noted that Liu Shijin, deputy head of the Development Research Center, said economic growth will slow to 6% to 6.5% in the coming two to three years and stabilize around this range for several years after.

Takeaway:  What happened to the 7% GDP growth target?


Hedgeye Macro Team remains negative Europe, their bottom-up, qualitative analysis (Growth/Inflation/Policy framework) indicates that the Eurozone is setting up to enter the ugly Quad4 in Q4 (equating to growth decelerates and inflation decelerates) = Europe Slowing.

Takeaway:  We're seeing bottoms up slowing in Europe cruise pricing in our monthly survey. Europe has been a tailwind for CCL and RCL but a negative pivot here looks increasingly likely. Following CCL's earnings release, we recently turned negative on those stocks based on the negative European thesis. 


Hedgeye Macro Team remains negative on consumer spending and believes in muted inflation, a Quad4 set-up.  Following  a great call on rising housing prices, the Hedgeye Macro/Financials team is decidedly less positive. 

Takeaway:  We’ve found housing prices to be the single most significant factor in driving gaming revenues over the past 20 years in virtually all gaming markets across the US.

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