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Commitments of Traders: Commodities Leveraged funds positioning covering the week ending
April 3, 2018
Ole S. Hansen
Head of Commodity Strategy
1
Saxo Group
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Page 2
3-Apr-18 Long Change Short Change Net Change Change Pct 1 yr high 1 yr lowRelative to
1 yr max
3-year
average
Long /
short ratio
WTI Crude (CME) 461,828 -36,711 37,572 7,048 424,256 -43,759 -9% 496,111 133,606 86% 236,000 12.3
Brent Crude (ICE) 642,790 -15,270 30,855 -11,545 611,935 -3,725 -1% 615,660 200,204 99% 346,000 20.8
Gas Oil (ICE) 208,807 13,175 4,099 -786 204,708 13,961 7% 204,708 4,890 100% 60,000 50.9
RBOB Gasoline 96,599 -2,554 3,666 -154 92,933 -2,400 -3% 111,119 -20,964 84% 32,000 26.3
NY Harbor ULSD 73,332 1,024 22,526 851 50,806 173 0% 97,977 -32,302 52% 8,000 3.3
NatGas (4 contr.) 378,387 -9,897 174,852 -1,855 203,535 -8,042 -4% 452,143 46,382 45% 31,000 2.2
Gold 166,991 -26,938 29,142 8,047 137,849 -34,985 -20% 264,934 27,100 52% 122,000 5.7
Silver 33,840 1,469 73,444 7,220 -39,604 -5,751 17% 98,845 -39,604 -100% 38,000 0.5
Platinum 19,445 -2,810 18,814 4,841 631 -7,651 -92% 32,201 -13,052 2% 13,000 1.0
Palladium 11,625 -1,345 2,135 877 9,490 -2,222 -19% 27,471 9,490 -100% 15,000 5.4
HG Copper 67,086 -1,600 63,265 -1,697 3,821 97 3% 125,376 3,724 3% 30,000 1.1
Soybeans 193,092 530 11,938 2,954 181,154 -2,424 -1% 208,200 -118,683 87% 39,000 16.2
Soybean Meal 104,120 -3,605 5,893 241 98,227 -3,846 -4% 115,500 -54,430 85% 18,000 17.7
Soybean Oil 69,856 4,058 92,298 -9,616 -22,442 13,674 -38% 100,435 -50,706 -44% 36,000 0.8
Corn 326,893 13,655 186,706 -9,621 140,187 23,276 20% 233,063 -230,556 60% -54,000 1.8
Wheat (CBOT) 67,664 2,539 141,082 -1,795 -73,418 4,334 -6% 44,685 -162,327 -45% -78,000 0.5
Wheat (KCBT) 52,935 -253 30,792 4,485 22,143 -4,738 -18% 73,111 -34,422 30% -2,000 1.7
Sugar 125,676 1,673 284,024 2,930 -158,348 -1,257 1% 40,524 -158,348 -100% 55,000 0.4
Cocoa 80,250 -276 36,742 -1,175 43,508 899 2% 43,508 -52,334 100% 9,000 2.2
Coffee 35,518 -953 100,011 3,951 -64,493 -4,904 8% 5,078 -64,493 -100% -6,000 0.4
Cotton 83,808 -4,481 7,742 421 76,066 -4,902 -6% 108,778 17,363 70% 54,000 10.8
Live Cattle 84,832 3,738 48,182 15,847 36,650 -12,109 -25% 138,355 36,650 -100% 63,000 1.8
Feeder Cattle 10,337 -585 12,387 1,336 -2,050 -1,921 1489% 18,420 -2,050 -100% 6,000 0.8
Lean Hogs 54,069 581 50,534 1,664 3,535 -1,083 -23% 84,189 3,535 -100% 41,000 1.1
Total 1,981,079 -89,305 -4%
Source: CFTC, ICE, Bloomberg and Saxo Bank
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Overview
Page 3
140
160
180
200
220
240
260
280
300
0
500
1,000
1,500
2,000
2,500
3,000
2014 2015 2016 2017 2018
Energy Metals Agriculture BCOM TR, right
Source: Bloomberg, Saxo Bank
1000 lots
Commodities: Combined Managed Money Position
Index
Saxo Group
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Open Interest and value of 22 major commodities
Page 4
0
2
4
6
8
10
12
14
16
18
20
2012 2013 2014 2015 2016 2017 2018
Energy (7) Metals (5) Agriculture (10)
Source: Bloomberg, Saxo Bank
Million lots
Commodities: Total Open Interest
125
150
175
200
225
250
275
300
325
0
200
400
600
800
1,000
1,200
1,400
2012 2013 2014 2015 2016 2017 2018
Energy (7) Metals (5) Agriculture (10) BCOM Index
Source: Bloomberg, Saxo Bank
Bn Dollars
Commodities: Total Value of Open Interest
Saxo Group
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Crude Oil Combined
Page 5
0
200
400
600
800
1,000
1,200
2013 2014 2015 2016 2017 2018
Brent Long Brent Short
WTI Long WTI Short
Net
Source: Bloomberg, Saxo Bank
1000 lots WTI and Brent Crude Oil: Managed Money Position
-200
-150
-100
-50
0
50
100
150
200
250
2014 2015 2016 2017
Source: Bloomberg, Saxo Bank
1000 lots WTI and Brent Crude Oil: Weekly Change
Saxo Group
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Crude Oil
Page 6
-300
-200
-100
0
100
200
300
400
500
600
2013 2014 2015 2016 2017 2018
LongShortNet
Source: Bloomberg, Saxo Bank
1000 lots WTI Crude Oil
-200
-100
0
100
200
300
400
500
600
700
800
2013 2014 2015 2016 2017 2018
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots Brent Crude Oil
50
100
150
200
250
300
350
400
450
500
550
1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52
Five-year range
Five-year average
2018
Source: Bloomberg, Saxo Bank
WTI Crude Oil: Seasonal1000 lots
0
100
200
300
400
500
600
700
1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52
Five-year range
Five-year average
2018
Source: Bloomberg, Saxo Bank
Brent Crude Oil: Seasonal1000 lots
Saxo Group
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Crude Oil Products & Natural Gas
Page 7
-100
-50
0
50
100
150
2013 2014 2015 2016 2017 2018
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots RBOB Gasoline
-80
-60
-40
-20
0
20
40
60
80
100
120
2013 2014 2015 2016 2017 2018
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots NY Harbor ULSD
-100
-50
0
50
100
150
200
2013 2014 2015 2016 2017 2018
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots ICE Gas Oil
-600
-400
-200
0
200
400
600
800
2013 2014 2015 2016 2017 2018
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots Natural Gas (Four contracts)
Saxo Group
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Gold and silver
Page 8
-150
-100
-50
0
50
100
150
200
250
300
350
2013 2014 2015 2016 2017 2018
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots COMEX Gold
-130
-80
-30
20
70
120
2013 2014 2015 2016 2017 2018
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots COMEX Silver
-60
-40
-20
0
20
40
60
80
100
1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52
Five-year range
Five-year average
2018
Source: Bloomberg, Saxo Bank
COMEX Silver: Seasonal1,000 lots
-50
0
50
100
150
200
250
300
1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52
Five-year range
Five-year average
2018
Source: Bloomberg, Saxo Bank
COMEX Gold: Seasonal1,000 lots
Saxo Group
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HG Copper and PGM’s
Page 9
-100
-50
0
50
100
150
2013 2014 2015 2016 2017 2018
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots HG Copper
-60
-40
-20
0
20
40
60
80
100
120
140
1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52
Five-year range
Five-year average
2018
Source: Bloomberg, Saxo Bank
HG Copper: Seasonal1,000 lots
-40
-30
-20
-10
0
10
20
30
40
50
2013 2014 2015 2016 2017
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots Platinum
-15
-10
-5
0
5
10
15
20
25
30
2013 2014 2015 2016 2017 2018
Long
Short
Long
Source: Bloomberg, Saxo Bank
1000 lots Palladium
Saxo Group
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Grains
Page 10
-500
-400
-300
-200
-100
0
100
200
300
400
500
2013 2014 2015 2016 2017 2018
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots CBOT Corn
-400
-300
-200
-100
0
100
200
300
2013 2014 2015 2016 2017 2018
LongShortNet
Source: Bloomberg, Saxo Bank
1000 lots CBOT Wheat
-200
-150
-100
-50
0
50
100
150
200
250
2013 2014 2015 2016 2017 2018
LongShortNet
Source: Bloomberg, Saxo Bank
1000 lots CBOT Soybeans
-600
-400
-200
0
200
400
600
2013 2014 2015 2016 2017 2018
Th
ou
san
ds
Corn Wheat Soybeans Total
Source: Bloomberg, Saxo Bank
1000 lots Key Crops: Combined Managed Money Position
Saxo Group
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Soft Commodities
Page 11
-300
-200
-100
0
100
200
300
400
2013 2014 2015 2016 2017 2018
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots Sugar #11
-100
-80
-60
-40
-20
0
20
40
60
80
2013 2014 2015 2016 2017 2018
LongShortNet
Source: Bloomberg, Saxo Bank
1000 lots Arabica Coffee
-100
-75
-50
-25
0
25
50
75
100
125
2013 2014 2015 2016 2017 2018
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots Cocoa
-75
-50
-25
0
25
50
75
100
125
2013 2014 2015 2016 2017 2018
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots Cotton
Saxo Group
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Livestock
Page 12
-100
-75
-50
-25
0
25
50
75
100
125
150
2013 2014 2015 2016 2017 2018
LongShortNet
Source: Bloomberg, Saxo Bank
1000 lots Live Cattle
-15
-10
-5
0
5
10
15
20
25
30
2013 2014 2015 2016 2017 2018
LongShortNet
Source: Bloomberg, Saxo Bank
1000 lots Lean Hogs
-60
-40
-20
0
20
40
60
80
100
120
2013 2014 2015 2016 2017 2018
Long
Short
Net
Source: Bloomberg, Saxo Bank
1000 lots Feeder Cattle
0
50
100
150
200
250
2013 2014 2015 2016 2017 2018
Live Cattle
Feeder Cattle
Lean Hogs
Source: Bloomberg, Saxo Bank
1000 lots Livestock: Combined Managed Money Position
Saxo Group
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What is the COT report?
• The Commitments of Traders reports are issued by the US Commodity Futures Trading Commission (CFTC) and
the ICE Exchange Europe for Brent crude oil and gas oil.
• They are released every Friday at 15:30 Eastern time with data from the week ending the previous Tuesday
• It breaks down the open interest in futures markets where 20 or more traders hold positions
Producer/Merchant/Processor/User; Swap Dealers; Managed Money and other
• It covers most US futures markets from stocks, rates, and IMM currencies to commodities
• Our focus and that of others is primarily on the behavior of Managed Money traders:
Commodity trading advisors (CTA), commodity pool operators (CPO), and unregistered funds
They are likely to have tight stops and no underlying exposure that is being hedged
This makes them most reactive to changes in fundamental or technical price developments
It provides views about major trends but also helps to decipher when a reversal is looming
Saxo Group
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Page 14
NON-INDEPENDENT INVESTMENT RESEARCH
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