COT: Speculative Short Covering in U.S. Bonds

The COT report is published each week and includes observations on charts of markets that exhibit interesting ownership characteristics and/or changes in ownership characteristics. The only COT observation this week involves 30 Yr U.S. Treasury Bonds.

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  • Short covering in bonds warns of at least a near term high
  • Corn and beans sell off following warnings in recent weeks
  • Record speculative short position in sugar

52 Week Ownership Profile Extremes – Eurodollar, Lean Hogs, Corn, Soybeans, Feeder Cattle, Cocoa, Sugar

13 Week Volume Highs – None

Currencies Indexes Interest Rates Metals 
US Dollar98S&P 5006730 Yr US Bond28Gold6
Euro0NASDAQ 1006110 Year US Note8Silver47
British Pound4Dow185 Year US Note12Copper0
Swiss Franc4Nikkei42 Year US Note90Platinum2
Japanese Yen69Eurodollar35
Canadian Dollar0
Australian Dollar0
New Zealand Dollar0
Mexican Peso12
Energies Agriculture Meats Softs 
Crude Oil67Wheat88Lean Hogs0Coffee2
Heating Oil59Hard Red Winter Wheat45Live Cattle26Cotton51
RBOB Gas96Corn49Feeder Cattle12Frozen OJ94
Natural Gas31Oats10Cocoa84
Soybeans26Sugar80
Soybean Oil2
Soybean Meal55
Rough Rice57

The COT Index is the difference between net speculative positioning and net commercial positioning measured over a 52 week percentile.  A reading of 100 indicates that the difference in positioning is the greatest it has been in 52 weeks with speculators buying and commercials selling.  A reading of 0 indicates that the difference in positioning is the greatest it has been in 52 weeks with speculators selling and commercials buying.  Speculators tend to be on the wrong side at the turn and commercials the correct side.  Use of the index is covered closely in detail in my book.

Latest CFTC Release dated March 13th, 2018

Non Commercials (speculators) – Red

Commercials – Blue

Small Speculators – Black

COTDiff (COT Index) – Black

52 week Percentile (COT Diff) – Gray

30 Yr U.S. Treasury Bonds CBOT Continuous Contract

The 1 and 4 week change in Bond positions is extreme (speculators buying and commercials selling).  The extreme reading is consistent with conditions seen near a price high or a pause within an uptrend.