Updated COT Report
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.
The COT Report updates point to the following links:
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.