Managed Money positioning: Commodities Covering the week ending October 31, 2017

November 5, 2017

Ole S Hansen, Head of Commodity Strategy

Source if not mentioned: Bloomberg & Saxo Bank

31-Oct-17 Long Change Short Change Net position Net Chg. Change Pct 1 yr high 1 yr lowNet against

1-year max

WTI Crude (CME) 387,488 12,091 106,244 -34,275 281,244 46,366 20% 413,637 133,606 68%

WTI Crude (ICE) 87,180 11,784 24,719 -4,921 62,461 16,705 37% 62,461 -653 100%

Brent Crude (ICE) 586,740 20,247 56,503 -3,253 530,237 23,500 4.6% 530,237 200,204 100%

Brent Crude (CME) 1,829 361 35,541 -1,129 -33,712 1,490 -4.2% 2,640 -35,202 -96%

Gas Oil 177,353 9,300 14,067 1,373 163,286 7,927 5.1% 181,168 3,138 90%

RBOB Gasoline 106,822 13,810 26,158 2,827 80,664 10,983 16% 80,664 -20,964 100%

NY Harbor (ULSD) 83,659 5,387 15,958 -1,538 67,701 6,925 11% 67,701 -32,302 100%

NatGas (4 contr.) 433,658 -8,544 256,671 40,113 176,988 -48,657 -22% 452,143 156,293 39%

Gold 182,896 -12,263 16,361 -5,755 166,535 -6,508 -4% 264,934 27,100 63%

Silver 73,096 -2,100 15,310 4,969 57,786 -7,069 -11% 98,845 -6,455 58%

Platinum 24,316 1,023 26,262 875 -1,946 148 -7% 31,226 -13,052 -15%

Palladium 24,087 32 1,250 91 22,837 -59 0% 25,353 6,772 90%

HG Copper 131,213 -2,436 26,136 1,226 105,077 -3,662 -3% 125,376 29,787 84%

Soybeans 96,003 -3,734 55,391 4,900 40,612 -8,634 -18% 176,410 -118,683 23%

Soybean Meal 47,617 -4,814 39,004 4,252 8,613 -9,066 -51% 73,465 -54,430 12%

Soybean Oil 78,130 -297 34,080 -8,734 44,050 8,437 24% 118,754 -50,706 37%

Corn 193,958 -13,078 396,721 15,291 -202,763 -28,369 16% 106,815 -208,642 -97%

Wheat (CBOT) 90,193 -3,119 201,068 23,791 -110,875 -26,910 32% 44,685 -162,327 -68%

Wheat (KCBT) 73,311 -1,660 94,704 8,893 -21,393 -10,553 97% 73,111 -21,393 -100%

Sugar 117,347 7,365 193,007 -24,223 -75,660 31,588 -29% 233,744 -135,000 -56%

Cocoa 44,211 -430 50,901 -3,223 -6,690 2,793 -29% 16,341 -52,334 -13%

Coffee 33,032 2,008 78,602 1,589 -45,570 419 -1% 59,252 -45,989 -99%

Cotton 61,679 -80 14,365 -333 47,314 253 1% 106,034 17,363 45%

Live Cattle 129,067 12,302 8,611 657 120,456 11,645 11% 138,355 39,921 87%

Feeder Cattle 26,296 1,172 9,291 2,418 17,005 -1,246 -7% 18,420 -2,357 92%

Lean Hogs 92,869 6,779 24,977 3,495 67,892 3,284 5% 84,189 10,657 81%

Energy sector 1,328,869 65,239

Metal sector 350,289 -17,150

Grains -241,756 -75,095

Softs -80,606 35,053

Livestock 205,353 13,683

Overview

120

140

160

180

200

220

240

260

280

300

320

-500

0

500

1,000

1,500

2,000

2,500

2012 2013 2014 2015 2016 2017

Agriculture Energy Metals Total Bloomberg Commodity Index, right

Source: Bloomberg, Saxo Bank

1000 lots

Commodities: Combined Managed Money Position

Energy: WTI, Brent, Gas oil, RBOB, ULSD, NGMetals: GC, SI, HG, PLAgriculture: 13 in total

Index

Agriculture

-600

-400

-200

0

200

400

600

800

1,000

1,200

2013 2014 2015 2016 2017

Grains Softs Livestock Agriculture

Source: Bloomberg, Saxo Bank

1000 lots

Agriculture commodities: Combined Managed Money Position

Grains: S, SM, BO, W, CSofts: CC, KC, SB, CTLivestock: FC, LC, LH

Softs

-300

-200

-100

0

100

200

300

400

500

2013 2014 2015 2016 2017

Sugar Arabica Coffee Cocoa Cotton Net

Source: Bloomberg, Saxo Bank

1000 lots

Soft commodities: Combined Managed Money Position

WTI and Brent Crude oil

20

30

40

50

60

70

80

90

100

110

120

0

100

200

300

400

500

600

2013 2014 2015 2016 2017

Net Short Long WTI crude

1000 lots WTI Crude Oil (NYMEX & ICE): Managed Money Position USD/bbl

50

100

150

200

250

300

350

400

450

1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 33 35 37 39 41 43 45 47 49 51

Five-year range

Five-year average

2017

WTI Crude Oil: Managed Money Net Positioning1,000 lots

20

40

60

80

100

120

0

100

200

300

400

500

600

700

2013 2014 2015 2016 2017

Net Short Long Brent Crude1000 lots

Brent Crude Oil: Managed Money PositionUSD/bbl

0

100

200

300

400

500

600

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52

Five-year rangeFive-year average2017

Brent Crude Oil: Managed Money Net1,000 lots

WTI and Brent Crude oil totals

0

2

4

6

8

10

12

14

16

18

2013 2014 2015 2016 2017

WTI BrentRatio

Crude oil: Managed money long/short ratio

-200

-150

-100

-50

0

50

100

150

200

250

2015 2016 2017

Weekly change

M illion bblCrude Oil: Total Managed Money (WTI & Brent)

-800

-400

0

400

800

1,200

1,600

2013 2014 2015 2016 2017

Short

Long

Net

Million bbl Crude Oil and Products: Total Managed Money

WTI (C ME+ICE), Brent, RBOB, ULSD, Gasoil

0

200

400

600

800

1,000

2015 2015 2016 2016 2017

Brent Long Brent Short

WTI Long WTI Short

Net

Source: Bloomberg, Saxo Bank

1000 lotsBrent and WTI Crude Oil: Total Managed Money

Products and natural gas

50

100

150

200

250

300

350

-40

-20

0

20

40

60

80

100

120

2013 2014 2015 2016

Net Short Long RBOB

1000 lots RBOB Gasoline: Managed Money Position USd/gal.

50

100

150

200

250

300

350

400

-60

-40

-20

0

20

40

60

80

100

2013 2014 2015 2016

Net Short Long Heating Oil

1000 lots NY Harbor ULSD: Managed Money Position USd/gal.

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

-200

-100

0

100

200

300

400

500

600

700

Nov-13 May-14 Nov-14 May-15 Nov-15 May-16 Nov-16 May-17

Net Short Long NatGas

1000 lots Four NatGas contracts: Combined Managed Money Position USD/therm

200

300

400

500

600

700

800

900

1,000

1,100

-100

-50

0

50

100

150

200

250

2013 2014 2015 2016 2017

Net Short Long RBOB1000 lots

ICE Gasoil: Managed Money PositionUSD/MT

Gold and silver

800

900

1,000

1,100

1,200

1,300

1,400

1,500

-50

0

50

100

150

200

250

300

350

2014 2015 2016 2017

Net Short Long Gold

1000 lots Gold: Managed Money Position USD/oz

-50

0

50

100

150

200

250

300

1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 33 35 37 39 41 43 45 47 49 51

Five-year rangeFive-year average2017

COMEX Gold: Managed Money Net Positioning1,000 lots

12

14

16

18

20

22

24

26

-20

0

20

40

60

80

100

120

140

2014 2015 2016 2017

Net Short Long Silver

1000 lots Silver: Managed Money Position USD/oz.

-20

0

20

40

60

80

100

1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 33 35 37 39 41 43 45 47 49 51

Five-year rangeFive-year average2017

COMEX Silver: Managed Money Net Positioning1,000 lots

HG Copper and Platinum Group Metals (PGM)

175

200

225

250

275

300

325

350

375

400

-40

10

60

110

160

210

2014 2015 2016 2017

Net Short Long HG Copper

1000 lots HG Copper: Managed Money PositionUSd/lb.

-60

-40

-20

0

20

40

60

80

100

120

140

1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 33 35 37 39 41 43 45 47 49 51

Five-year range

Five-year average

2017

HG Copper: Managed Money Net Positioning1,000 lots

800

1,000

1,200

1,400

1,600

-20

-10

0

10

20

30

40

50

60

2014 2015 2016 2017

Net Short Long Platinum

1000 lots Platinum: Managed Money PositionUSD/oz.

400

500

600

700

800

900

1,000

1,100

0

5

10

15

20

25

30

2014 2015 2016 2017

Net Short Long Palladium

1000 lots Palladium: Money manager PositionUSD/oz.

Grains & Oilseeds

100

150

200

250

300

350

400

450

500

550

-300

-200

-100

0

100

200

300

400

500

2014 2015 2016 2017

Net Short Long Corn

1000 lots Corn: Managed Money Position USd/bu.

300

350

400

450

500

550

600

650

700

750

-200

-150

-100

-50

0

50

100

150

200

250

300

2014 2015 2016 2017

Net Short Long Wheat (CBOT)

1000 lots CBOT Wheat: Managed Money Position USd/bu.

200

400

600

800

1,000

1,200

1,400

1,600

-150

-100

-50

0

50

100

150

200

250

2014 2015 2016 2017

Net Short Long Soybeans

1000 lots Soybeans: Managed Money Position USd/b

20

25

30

35

40

45

50

-100

-50

0

50

100

150

2014 2015 2016 2017

Net Short Long Soybean Oil

1000 lots Soybean Oil: Managed Money Position USd/lb

Softs

10

12

14

16

18

20

22

24

26

-200

-150

-100

-50

0

50

100

150

200

250

300

350

2014 2015 2016 2017

Net Short Long Sugar #11

1000 lots Sugar #11: Managed Money Position USd/lb.

100

120

140

160

180

200

220

240

-60

-40

-20

0

20

40

60

80

100

2014 2015 2016 2017

Net Short Long Arabica Coffee

1000 lots Arabica Coffee: Managed Money Position USd/lb.

1,800

2,000

2,200

2,400

2,600

2,800

3,000

3,200

3,400

-80

-60

-40

-20

0

20

40

60

80

100

120

2014 2015 2016 2017

Net Short Long Cocoa

1000 lots Cocoa: Managed Money positioningUSD/MT

50

60

70

80

90

100

-40

-20

0

20

40

60

80

100

120

2014 2015 2016 2017

Net Short Long Cotton

1000 lots Cotton: Managed Money Position USd/lb.

What is the COT report?

• The Commitments of Traders report is issued by the US Commodity Futures Trading Commission (CFTC)

• It is released every Friday at 15:30 Eastern time with data from the week ending the previous Tuesday

• The ICE exchange (Brent, Gas, oil) publishes its report every Monday around 13:00 CET

• 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

Disclaimer

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