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 Dollar33S&P 5001030 Yr US Bond73Gold61
Euro0NASDAQ 1004710 Year US Note96Silver73
British Pound77Dow375 Year US Note92Copper65
Swiss Franc37Nikkei182 Year US Note75Platinum84
Japanese Yen41Eurodollar100
Canadian Dollar12
Australian Dollar29
New Zealand Dollar65
Mexican Peso100
Energies Agriculture Meats Softs 
Crude Oil35Wheat6Lean Hogs92Coffee37
Heating Oil14Hard Red Winter Wheat0Live Cattle100Cotton16
RBOB Gas43Corn2Feeder Cattle100Frozen OJ41
Natural Gas59Oats41Cocoa2
Soybeans14Sugar35
Soybean Oil84
Soybean Meal8
Rough Rice6

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.