COT: Speculators Start to Embrace Sugar and Coffee

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 crude oi, coffee, and sugar.

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  • Crude Oil longs starting to give up
  • Extreme speculative buying in coffee
  • Extreme speculative buying in sugar

52 Week Ownership Profile Extremes – U.S. Dollar Index, Euro, Crude Oil, Frozen OJ

13 Week Volume Highs – U.S. Dollar Index, Japanese Yen, Canadian Dollar, 10 Yr. U.S. T-Note, Nasdaq, Nikkei 

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 October 23rd, 2018

Non Commercials (speculators) – Red

Commercials – Blue

Small Speculators – Black

COTDiff (COT Index) – Black

52 week Percentile (COT Diff) – Gray

 

Crude Oil NYMEX Continuous Contract

The ownership profile in crude oil has moderated substantially.  The speculative net long position does remain large relative to a multiyear lookback period but is the lowest in 52 weeks.  The 4 week change in positions (see chart below) is extreme and suggests that crude could be sold out enough to attempt a rally.  The 4 week change in positions measured the change in net speculative positioning minus the change in net commercial positioning.

Crude Oil NYMEX Continuous Contract

 

Coffee ICE Continuous Contract

The 4 week change in coffee positions is extreme.  Of course, this is what happens when absolute positioning stretches to obscene levels.  The implication is that the coffee rally is due for a pause.

Sugar ICE Continuous Contract

The 4 week change in sugar positions is extreme (although not on par with coffee).  Red dots indicate 4 week position changes that are at least as large as the current reading.  Similar to coffee, the implication is that the sugar rally is due for a pause.