COT: Extremes in British Pounds and Canadian Dollars

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, 5 Year U.S. Treasury Notes, and Heating Oil.

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  • Extreme 52 week readings in GBP and CAD
  • Extreme 4 week position changes in GBP and 5 year U.S. T-Notes
  • Heating oil ownership profile eases off of extreme

52 Week Ownership Profile Extremes – British Pound, Canadian Dollar

13 Week Volume Highs – None

Currencies Indexes Interest Rates Metals 
US Dollar4S&P 5008630 Yr US Bond63Gold82
Euro96NASDAQ 100410 Year US Note53Silver29
British Pound98Dow885 Year US Note22Copper65
Swiss Franc67Nikkei18292 Year US Note6Platinum33
Japanese Yen8Eurodollar53
Canadian Dollar100
Australian Dollar94
New Zealand Dollar69
Mexican Peso71
Energies Agriculture Meats Softs 
Crude Oil49Wheat71Lean Hogs63Coffee10
Heating Oil94Hard Red Winter Wheat35Live Cattle67Cotton24
RBOB Gas77Corn12Feeder Cattle98Frozen OJ31
Natural Gas4Oats69Cocoa63
Soybeans51Sugar14
Soybean Oil39
Soybean Meal49
Rough Rice65

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 October 3rd, 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.

Heating Oil NYMEX Continuous Contract

The ownership profile has turned from a record.  An extreme speculative long position and extreme commercial short position warns of a sentiment extreme and therefore a price top.