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 Dollar28S&P 50010030 Yr US Bond37Gold33
Euro96NASDAQ 100610 Year US Note6Silver10
British Pound100Dow05 Year US Note2Copper41
Swiss Franc51Nikkei922 Year US Note80Platinum31
Japanese Yen98Eurodollar0
Canadian Dollar28
Australian Dollar6
New Zealand Dollar88
Mexican Peso86
Energies Agriculture Meats Softs 
Crude Oil96Wheat84Lean Hogs0Coffee0
Heating Oil43Hard Red Winter Wheat80Live Cattle0Cotton67
RBOB Gas47Corn92Feeder Cattle0Frozen OJ51
Natural Gas35Oats4Cocoa100
Soybeans100Sugar8
Soybean Oil18
Soybean Meal92
Rough Rice71

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.