COT Report Update – 8/30/2013

Highlights: BP/CC higher, LB lower, NG higher, RR lower, CL definitely lower

Treasuries had a bit of a bounce last week, as predicted by the general COT. But little can be said for them maintaining these levels. We all know that US interest rates will continue to rise, quantitative easing will taper and cease, and the stock market as a whole to deflate somewhat.

BP vs CC: I discovered a new correlated pair, British pound and Cocoa. Have a look at them on the double COT report chart. If the pound hold and heads to $1.60 then so should cocoa rise.

KC: coffee cannot go much lower. Bad weather in Brasil… Is it coming? Hello Brasil…

HG: copper retraced from its brief run up. Again strange Chinese behavior in steel, coal and now cotton (hoarding, over stockpiling) looks like copper may not be able to go much higher.

C: corn had a nice pop, and $5 looks like a solid floor. A drop below these levels means incredible harvests are predicted. Watch those crop reports.

EC: the euro can’t quite seem to take 1.35, but an improving economic picture there looks like we should see that price some time this month (Sept 2013).

GC: gold is still looking good and a pull back to 1400 should give it a solid base to take 1500.

HO: heating oil, due to Syria, has popped prematurely (given the season). The COT is up in general, are we setting up continued high prices for this winter. Farmers Almanac says this winter will be a doosey (bad).

LN: lean hogs has had some wierd price action from the CBOT timeseries we get from Quandl. It may just be this continuous contract reset. Not very “continuous” is it. The COT is astronomical though…

LB: lumber continues to have its COT slide lower, and we know that housing has peaked, I’d have to guess that we see LB head lower from here – maybe down to 250.

NG: natural gas has made another pivotal higher low. We’ve got a bottom in on the COT. Time for a run to $5.00? Maybe…

PA and PL: palladium and platinum, these have retaining their high levels (generally). Higher still due to the prediction of higher gold and silver – yeah probably.

RR: rough rice had ANOTHER pop up to its incredibly defined channel. This thing is a cyclical dream. Rice lower for the next two weeks, then pick it back up at 15.00.

SI: silver holding steady… still looking for that $27.00 price this month.

SB: a word about sugar, hurricane season is upon us, any rumors in the next two months of bad weather in the Caribbean will push sugar higher.

VIX: so we saw that the COT on the VIX was at extreme lows. And it got a nice pop in the last two weeks. I’m predicting increased volatility these next 4-6 weeks, a brief drop but then back up she goes.

W: wheat is calming down to a very low volatility range here. Something is brewing here, and it’s not beer. A put/call spread on wheat this month is gonna see increased volatility I’d wager.

CL: West Texas intermediate (WTI), crude oil, has had two consecutive pops due to world oil supply threats in the last month. First Egypt and now Syria. Will we get a third? Or will oil finally pull back from its super high COT values? Yeah I surely think the latter.

COT Report

The COT Report updates point to the following links:

Single chart
Double chart

COTReport

How these Commitment of Traders reports are created:

• Pull down the CBOT continuous contract futures time series for the last N years from Quandl.com
• Pull down the year by year COT output of the CFTC and stack them by future.
• Blend the screwy names of the CFTC with the Quandl time series instrument names.
• Use some means (I use a proprietary analyzer, ask me about it!) to combine the weekly CFTC with the daily Quandl.
• Perform basic math by week on the CFTC to get the CommShorts – CommLongs.
• Pump the results into JSON (about a 4 meg txt file).
• Build a viewer from Flot.

Financial disclosure: I am not a financial professional. Do not take my advice on any trading idea. This blog is just for fun and entertainment.

COT Report Update – 8/23/2013

DX – dollar remains suppressed. Stronger EUR and GBP should push it further down.

Treasuries are down but mixed in their COT reponse. Looks like ranging here.

AD – aussie is looking like it’s found a floor here – stronger gold will help.

BP – looking to see the pound push up to 1.6.

CD – loonie looks like further down with the boost in oil due to Egypt unrest not contributing to any pop. Lower crude oil is a lower CD.

CC – cocoa has pushed to record high COT – can’t see this one getting much higher.

KC – poor coffee, what can you say? When Brazil steps in to support price – maybe right now…???

HG – finally got our pop in copper. We might see this touch $3.5 soon. But strange airs from China about the steel industry may depress copper in the coming months.

C – corn found a floor ~$5.00 a bushel? Maybe. The COT is as low as we’ve ever seen it. The comming farm reports will throw the grains in to a tizzy no doubt.

GC, SI – gold and silver, the drop in the dollar has given these two their much needed bounce. $1500 gold anyone? $27.00 silver? Not with out a retracement.

NG – nat.gas has had a nice bounce yet its COT has not budged from the lows. If the pattern holds, see a retracement to ~$3.30 or lower before we push back up to $4.0.

RR – rice bounced within its well defined range. But it’s stuck in the middle now – With a low COT it should push higher where a price above $16.20 should be a great short.

VIX – nice pop with the drop in the overall markets. But the COT continues down. A quiescent time ahead? Or is the shit about to hit the fan?

W – wheat continued to fall with a floor around $6.00 it looks like.

CL – crude oil, we called a top but Egypt said NO! Not much holding this puppy up now except for a declining dollar.

COT Report Update – 8/10/2013

Updated as of August 10 2013

AD – Aussie’s COT is a record lows. China’s so called economic bright spot may help the AUD pivot here.

Treasuries may actually bounce here – stabilizing rising interest rates.

KC – coffee – higher prints in the COT – looks like a base here. Heading into the holiday seasons – time for coffee to climb.

RR – rough rice, very well defined channel, and clearly at the bottom touch. No good way to trade this unless you play options on the futures contract.

Gold/siver (GC/SI) both have solid bases in and higher lows printed in the COT.

BO – soybean oil also looks like it might be near a bottom – if you like juggling knives…

VIX – is way down, price and COT, yet the market is obviously showing signs of topping out. VIX to head back up in next week.

CL – crude is toast here. Lower for the next two weeks.

COT Report Update – 8/4/2013

Update – 8/4/2013

Observations:

DX – dollar index – I do not trust the Fed and what the USD may do. This impacts every other commodity and every other foreign currency. The Fed MUST begin tapering soon. But until other countries also taper or become hawkish the dollar is going to continue to suppress the prices of the other futures in this list.

Treasuries are have all retraced somewhat but look to have found support for the time being.

AD – the aussie fell through its floor last week, and may continue down to 0.85. This has minor downward pressure on uranium, and the precious metals.

BP,CD – Pound and the Loonie have maintained support and look they may lift to test and create a range bound area with the recent lows being solid support.

KC – coffee is so utterly depressed now, that it may be that the only direction now is UP. If we get any tropical weather problems, heat, frost, economic strife or environmental/botanical problems coffee will rise quickly.

HG – copper has found its lower range support at $3.00 and now we’re waiting on any new housing issues to stress price and whether China will leak better GDP numbers soon. Housing tapering in the U.S. will test copper and any softness in China’s numbers may also drive copper below support.

C,S,W – the grains are all under pressure lower with their COTs having a bit more room to descend. Don’t look for higher grains until fall.

GC,SI – gold and silver have nearly built solid support levels but what more important is that we’ve got higher lows in the COT. This may mean that buyers are taking advantage of every dip in price to accumulate at these multi-year lows.

JY – the yen has put in higher lows in both price and COT – looking for higher prices there – this should help pressure the dollar lower.

NG – nat gas continues lower and may retest $3.00.

VIX – the volatility index has retraced down to extremely low levels. And with this continued Fed/Bernanke driven bull market we may not see a rise until Oct. Higher stock market will make the next correction all the more traumatic…

CL – crude oil has double topped. Its COT is higher than ever. The summer is more than half over so travel will abate. Egyptian tension is lessening, and the U.S. economy can’t get much better. Look for lower prices soon.

COT Report Update – 7/18/2013

Updated – as of 7/18/2013 (daily market data 7/19/2013 for COT)

Note: I’ve shrunk the number of periods down to 1400 daily which allows a few more markets to get picked up. Gasoline, Russell among others are now available.

Additionally, a comment on the prices of futures like the grains – these time series are continuous contracts. The data comes from Quandl which is aggregated from various sites (CBOT, CME) but because these are continuous contracts they may not reflect exact contract prices in the current front month for a future. Rather like the Adj.Price vs Price in an equity time series – a continuous contract price is a fabrication – a blend of historic multi contract price streams. It’s obvious that some of these continuous contracts have drifted quite a ways from the current prices of various futures.