COT: Record Ownership Profile in RBOB Gasoline

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 RBOB Gasoline, and Lean Hogs.

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  • Record extreme positioning in RBOB gasoline
  • Position extremes and high volume weeks in U.S. Treasury market
  • Lean hogs ownership profile warns of a price low

52 Week Ownership Profile Extremes – Swiss Franc, 30 Yr. U.S. T-Bond, 10 Yr. U.S. T-Note, 2 Yr. U.S. T-Note, Platinum, Wheat, RBOB, Frozen OJ

13 Week Volume Highs – Euro, Japanese Yen, 30 Yr. U.S. T-Bond, 10 Yr. U.S. T-Note, 5 Yr. U.S. T-Note, 2 Yr. U.S. T-Note, Rough Rice

Currencies Indexes Interest Rates Metals 
US Dollar98S&P 5007530 Yr US Bond0Gold0
Euro0NASDAQ 1003910 Year US Note18Silver8
British Pound16Dow635 Year US Note0Copper14
Swiss Franc69Nikkei22 Year US Note16Platinum39
Japanese Yen14Eurodollar94
Canadian Dollar53
Australian Dollar0
New Zealand Dollar0
Mexican Peso65
Energies Agriculture Meats Softs 
Crude Oil8Wheat69Lean Hogs53Coffee22
Heating Oil67Hard Red Winter Wheat49Live Cattle57Cotton14
RBOB Gas94Corn41Feeder Cattle49Frozen OJ12
Natural Gas100Oats37Cocoa0
Soybeans18Sugar73
Soybean Oil41
Soybean Meal35
Rough Rice4

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 22nd, 2018

Non Commercials (speculators) – Red

Commercials – Blue

Small Speculators – Black

COTDiff (COT Index) – Black

52 week Percentile (COT Diff) – Gray

RBOB NYMEX Continuous Contract

The ownership profile in RBOB gas is at a record extreme.  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.