COT: New Zealand Dollar Sold Out?

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. This week’s update includes observations on the Swiss Franc, New Zealand Dollar, RBOB Gas, and Lean Hogs.

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  • Extreme spec selling last week in silver
  • Position extremes across the Treasury curve
  • Soybean meal position extreme and 1 week capitulation

52 Week Ownership Profile Extremes – Australian Dollar, Swiss Franc, RBOB Gas, Lean Hogs, Live Cattle, Oats

13 Week Volume Highs – Euro, Mexican Peso

Currencies Indexes Interest Rates Metals 
US Dollar100S&P 5006530 Yr US Bond2Gold0
Euro0NASDAQ 1008010 Year US Note2Silver28
British Pound0Dow495 Year US Note0Copper0
Swiss Franc2Nikkei182 Year US Note65Platinum4
Japanese Yen59Eurodollar47
Canadian Dollar20
Australian Dollar0
New Zealand Dollar6
Mexican Peso24
Energies Agriculture Meats Softs 
Crude Oil45Wheat100Lean Hogs0Coffee0
Heating Oil35Hard Red Winter Wheat92Live Cattle37Cotton82
RBOB Gas96Corn59Feeder Cattle20Frozen OJ94
Natural Gas26Oats28Cocoa41
Soybeans14Sugar37
Soybean Oil2
Soybean Meal47
Rough Rice78

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 May 15th, 2018

Non Commercials (speculators) – Red

Commercials – Blue

Small Speculators – Black

COTDiff (COT Index) – Black

52 week Percentile (COT Diff) – Gray

Swiss Franc CME Continuous Contract

The net speculative short position in Swiss Francs is the largest since 2007.  Extreme ownership profiles indicate extreme sentiment and therefore risk of a reversal.  In this case, the extreme ownership profile indicates risk of a low in Swiss Francs (USDCHF high).

New Zealand Dollar CME Continuous Contract

The 4 week change in New Zealand Dollars is extreme (largest since at least 2014…my data history begins in 2014) with speculators selling and commercials buying.  This tends to indicate capitulation and therefore risk of a price low and/or pause in weakness.

RBOB Gas NYMEX Continuous Contract

The ownership profile in RBOB gas is on par with ownership profiles in 2012 and 2013 that marked tops in price.  Simply, the extreme speculative long position and extreme commercial short position warns of a price top.

Lean Hogs CME Continuous Contract

The ownership profile in Lean Hogs is on par with ownership profiles that have marked previous price lows (of varying degree).  Simply, the extreme speculative short position and extreme commercial long position warns of a price low.