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 Dollar53S&P 5006730 Yr US Bond55Gold37
Euro94NASDAQ 1002810 Year US Note8Silver4
British Pound75Dow65 Year US Note6Copper55
Swiss Franc71Nikkei882 Year US Note61Platinum78
Japanese Yen67Eurodollar0
Canadian Dollar37
Australian Dollar16
New Zealand Dollar45
Mexican Peso63
Energies Agriculture Meats Softs 
Crude Oil84Wheat88Lean Hogs0Coffee18
Heating Oil20Hard Red Winter Wheat82Live Cattle8Cotton86
RBOB Gas61Corn100Feeder Cattle0Frozen OJ35
Natural Gas20Oats77Cocoa100
Soybean Oil43
Soybean Meal96
Rough Rice41

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.