COT: Fast Money Chases British Pound Rally

The COT report is published each Monday and includes observations on charts of markets that exhibit interesting ownership characteristics and/or changes in ownership characteristics.  This week’s report includes observations on the British Pound and 5 Year U.S. Treasury Notes.

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  • Extreme 52 week readings in GBP, CAD, AUD, the E-mini Dow, and heating oil
  • Extreme 4 week position changes in GBP and 5 year U.S. T-Notes
  • Most interesting is that speculators are the LEAST bullish on E-mini NASDAQ 100 since May 2016

52 Week Ownership Profile Extremes – British Pound, Canadian Dollar, Australian Dollar, E-mini Dow, E-mini NASDAQ, Heating Oil

13 Week Volume Highs – Euro, Japanese Yen, 30 Yr. U.S. Treasury Bonds, Soybean Oil

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 blue colored bar indicates that the difference in positioning is the greatest it has been in 52 weeks (100 reading on the table) with speculators buying and commercials selling.  A red colored bar indicates that the difference in positioning is the greatest it has been in 52 weeks (0 reading on the table) 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 September 26th, 2017

Non Commercials (speculators) – Red

Commercials – Blue

Small Speculators – Black

COTDiff (COT Index) – Black

52 week Percentile (COT Diff) – Gray

British Pound CME Continuous Contract

The 4 week change in British Pound positions is extreme (speculators buying and commercials selling).  The extreme reading is consistent with at least a pause in price advance.

5 Year U.S. Treasury Notes CBOT Continuous Contract

The 4 week change in 5 Year U.S. Treasury Notes positions is extreme (speculators selling and commercials buying).  The extreme reading is consistent with conditions seen near a price low.