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The time frame for the current Commitments of Traders report is from Wednesday, April 1 through Tuesday, April 7.

Soybeans:

For the week, May soybeans lost 34.50 cents, July -35.25, new crop November -31.75. The COT report revealed that managed money liquidated 7,327 of their long positions and also liquidated 4,318 contracts of their short positions. Commercial interests liquidated 2,150 of their long positions and added 5,093 to their short positions. As of the latest report, managed money is short soybeans by a ratio of 1.32:1, which is up from the previous week of 1.26:1 and the ratio of two weeks ago of 1.16:1.

The current ratio of 1.32:1 is the highest short ratio recorded during the course of the bear market.

Soybean meal:

For the week, May soybean meal lost $18.10, July -16.90, new crop December -14.30. The COT report revealed that managed money liquidated 8,775 of their long positions and added 4,459 contracts to their short positions. Commercial interests added 2,079 to their long positions and liquidated 14,124 of their short positions. As of the latest report, managed money is long soybean meal by a ratio of 1.03:1, which is down sharply from the previous week of 1.33:1 and the ratio of two weeks ago of 1.14:1 (which was the previous low ratio).

The current ratio of 1.03:1 is the lowest recorded during the bear market.

Soybean oil:

For the week, May soybean oil gained 5 points, July +5, new crop December +8. The COT report revealed that managed money added 2,698  contracts to their long positions and liquidated 6,071 of their short positions. Commercial interests liquidated 7,803 of their long positions and added 3,144 to their short positions. As of the latest report, managed money is long soybean oil by a ratio of 1.11:1, which is a complete reversal from the previous week when they were short by 1.03:1. Two weeks ago, managed money was long soybean oil by a ratio of 1.08:1.

Corn:

For the week, May corn lost 9.50 cents, July -9.75, new crop December -8.00. The COT report revealed that managed money liquidated 4,651 of their long positions and also liquidated 6,142 of their short positions. Commercial interests added 1,266 contracts to their long positions and liquidated 13,736 of their short positions. As of the latest report, managed money is short corn by a ratio of 1.03:1, which is exactly the same as the previous week of 1.03:1, but down from the ratio of two weeks ago of 1.11:1.

Chicago wheat:

For the week, May Chicago wheat lost 9.75 cents, July -11.75, new crop December -11.75. The COT report revealed that managed money added 1,282 to their long positions and liquidated 747 of their short positions. Commercial interests added 1,672 to their long positions and also added 10,692 to their short positions. As of the latest report, managed money is short Chicago wheat by a ratio of 2.33:1, which is down from 2.40:1 (the previous high short ratio), but up from the ratio of two weeks ago of 2.24:1.

This past week the May 2015 contract closed at a 2.5 cent premium to July. Last week the May contract closed at a 0.50 cent premium to July for the first time since December 19, 2014 when the May contract sold at a 0.75 cent premium to the July contract and May 2015 Chicago wheat closed at 6.35.

Kansas City wheat:

For the week, May Kansas City wheat lost 24.00 cents, July -23.50, new crop December -20.75. The COT report revealed that managed money liquidated 1,495 of their long positions and also liquidated 3,723 of their short positions. Commercial interests liquidated 1,382 of their long positions and added 2,342 to their short positions. As of the latest report, managed money is long Kansas City wheat by a ratio of 1.33:1, which is up from the previous week of 1.20:1 and the ratio of two weeks ago of 1.23:1.

Year to date, May soybean oil is the out performer with a loss of 3.90%, May corn -7.09%, May soybean -7.67, May soybean meal -9.30%, May Chicago wheat -11.44%, May Kansas City wheat -11.52%.

Cotton: On April 6, May and July cotton generated a short and intermediate term buy signal.

For the week, May cotton gained 1.37 cents, July +1.60, new crop December +1.07. The COT report revealed that managed money added 4,566 to their long positions and liquidated 2,107 of their short positions. Commercial interests liquidated 2,656 of their long positions and added 7,638 to their short positions. As of the latest report, managed money is long cotton by a ratio of 2.48:1, which is up from the previous week of 2.11:1 and up substantially from the ratio of two weeks ago of 1.78:1.

Sugar:

For the week, May sugar gained 9 points, July +2, October +1. The COT report revealed that managed money added 2,216 to their long positions and liquidated 4,385 of their short positions. Commercial interests added 26,862 contracts to their long positions and also added 42,433 to their short positions. As of the latest report, managed money is short sugar by ratio of 1.76:1, which is down from the previous week of 1.82:1 and down from the ratio of two weeks ago 1.86:1 (the high short ratio thus far in the bear market).

This past week, the May 2015 contract closed at a 5 point premium to the July 2015 contract.

Coffee: On April 7, May and July coffee generated a short-term buy signal, but remain on intermediate term sell signal.

For the week, May coffee lost 5.80 cents, July -5.90, September -5.95. The COT report revealed that managed money liquidated 598 contracts of their long positions and also liquidated 5,049 of their short positions. Commercial interests added 757 to their long positions and also added 6,094 to their short positions. As of the latest report, managed money is short coffee by a ratio of 1.16:1, which is down from the previous week of 1.28:1 (the high ratio thus far in the bear market), and down from the ratio of two weeks ago of 1.23:1.

Cocoa:

For the week, May cocoa also gained $13.00, July +17.00, September +18.00. The COT report revealed that managed money liquidated 2,428 of their long positions and added 456 to their short positions. Commercial interests added 1,127 to their long positions and liquidated 3,764 of their short positions. As of the latest report, managed money is long cocoa by a ratio of 1.68:1, which is down from the previous week of 1.81:1 and the ratio two weeks ago of 1.99:1.

This past week, the May 2015 contract closed at a $2.00 discount to the July contract, which is a negative for the market short term.

On the positive side, this is the fourth COT report in a row in which commercials added to long positions and liquidated short positions. In summary, during the past four COT reporting periods, commercial interests have added 17,368 contracts to long positions and liquidated 9,674 of their short positions. This is potentially bullish in the intermediate term.

From the April 5 Weekend Wrap:

“This is the third COT report in a row in which commercial interests have added to long positions and liquidated short positions.In summary, during the past three COT reporting periods, commercial interests have added 16,241 contracts to their long positions and liquidated 5,910 of their short positions.”

Year to date, May cotton is the out performer with the gain of 6.53%, May cocoa -3.84%, May sugar -14.01%, May coffee -20.20%.

Live cattle:

For the week, June live cattle lost 4.57 cents, August -3.27, October -2.98. The COT report revealed that managed money added 2,503 contracts to their long positions and liquidated 599 of their short positions. Commercial interest liquidated 7,988 of their long positions and added 2,389 to their short positions. As of the latest report, managed money is long live cattle by a ratio of 5.30:1, which is up from the previous week of 4.96:1 and the ratio two weeks ago a 5.14:1.

The current ratio of 5.30:1, is the highest recorded since June live cattle generated a short-term buy signal on March 5. 

It appears likely that a short-term sell signal in June live cattle will be generated during the next couple of days.The major moving averages are in a bearish set up with the 50 day moving average of 1.46680, 100 day 1.50379 and the 200 day moving average of 1.50318. Additionally, year to date, June live cattle is trading 4.36% lower, 180 days -4.91% and for the past 90 days is- 1.23%.

Looking at the trading range for the past 52 weeks, June live cattle closed 8.67% off the contract high of 1.62925 made on November 21, 2014 on April 10 while it is 11.40% above the 52-week low of 1.33575 made on April 21, 2014. In short, the June contract is trading somewhat above the midpoint of the 52-week range.

On Friday, June live cattle closed 2.775 cents lower. Preliminary stats from trading on April 10 show that open interest increased slightly. We will reserve judgement until the final stats have been published, but if there is an open interest increase, this is bad news for bulls. Although we will publish a new pivot point on Monday, based on Friday’s trading if the daily high is below 1.49980, a short-term sell signal will likely be generated in the June contract. Feeder cattle have been weak of late and from April 6 through April 10 the May contract lost 3.30% versus the June live cattle contract losing 2.07%. It is likely that May feeders will generate a short-term sell signal on Monday.

After the generation of sell signals, fat and fed cattle will likely rally for a day or two before resuming the downtrend.

Lean hogs:

For the week, June lean hogs gained 2.45 cents, August +1.60, October +1.73. The COT report revealed that managed money liquidated 2,558 of their long positions and added 1,077 to their short positions. Commercial interests added 3,423 to their long positions and liquidated 2,382 of their short positions. As of the latest report, managed money is long lean hogs by a ratio of 1.16:1, which is down from the previous week of 1.25:1 and the ratio of two weeks ago of 1.37:1.

The current ratio of 1.16:1 is the lowest recorded during the entire course of the bear market, which began mid-2014.

Year to date, August live cattle is the out performer with a loss of 3.92%, June live cattle -4.36%, August lean hogs -12.20%, June lean hogs  -14.64%.

WTI crude oil: On April 7, May WTI crude oil generated a short-term buy signal but remains on intermediate term sell signal.

For the week, May WTI crude oil gained $2.50, June +2.91, July +3.00. The COT report revealed that managed money added 10,777 contracts to their long positions and liquidated 30,191 contracts of their short positions. Commercial interests liquidated 7,163 of their long positions and added 3,372 to their short positions. As of the latest report, managed money is long WTI crude oil by a ratio of 2.82:1, which is up substantially from the previous week of 2.18:1 and the ratio of two weeks ago of 1.82:1, (which is the lowest ratio recorded during the course of the bear market).

Heating oil:

For the week, May heating oil gained 1.92 cents, June +7.88, July +7.41. The COT report revealed that managed money liquidated 2,343 of their long positions and added 4,240 to their short positions. Commercial interests added 11 contracts to their long positions and liquidated 4,300 of their short positions. As of the latest report, managed money is short heating oil by a ratio of 2.36:1, which is up substantially from the previous week of 1.98:1 in the ratio of two weeks ago of 1.99:1.

The current ratio of 2.36:1 is one of the highest short ratios recorded during the course of the bear market.

Gasoline:

For the week, May gasoline lost 2.39 cents, June +5.38, July +5.88. The COT report revealed that managed money liquidated 178 contracts of their long positions and also liquidated 1,465 of their short positions. Commercial interests liquidated 9,718 of their long positions also liquidated 6,730 of their short positions. As of the latest report, managed money is long gasoline by a ratio of 1.63:1, which is up from the previous week of 1.58:1, but down from the ratio of two weeks ago of 1.70:1.

Natural gas:

For the week, May natural gas lost 20.2 cents, June -20.4, July -19.9. The COT report revealed that managed money added 1,722 to their long positions and also added 4,112 to their short positions. Commercial interests liquidated 5,306 of their long positions and also liquidated 8,683 of their short positions. As of the latest report, managed money is short natural gas by a ratio of 1.60:1, which is up fractionally from the previous week of 1.59:1, up substantially from the ratio of two weeks ago of 1.36:1.

The current ratio of 1.60:1 is the highest short ratio recorded during the course of the bear market. During the past week, May, June and July 2015 natural gas recorded new contract lows of 2.504, 2.550, and 2.612 respectively.

Year to date, May gasoline is the out performer with a gain of 4.04%, May Brent crude oil +0.80%, May heating oil -1.90%, May ethanol -3.63%, May WTI crude oil -5.91%, May natural gas -13.53%.

Copper:

For the week, July copper gained 5 points. The COT report revealed that managed money liquidated 987 contracts of their long positions and added 695 to their short positions. Commercial interests added 423 contracts to their long positions also added 1,868 to their short positions. As of the latest report, managed money is long copper by a ratio of 1.52:1, which is down from the previous week of 1.59:1 and the ratio of two weeks ago of 1.53:1.

Palladium:

For the week, June palladium gained $29.75. The COT report revealed that managed money liquidated 143 contracts of their long positions and also liquidated 377 of their short positions. Commercial interests added 110 contracts to their long positions and also added 255 to their short positions. As of the latest report, managed money is long palladium by a ratio of 5.10:1, which is up from the previous week of 4.68:1 (the lowest ratio recorded during the bear market), but down from the ratio of two weeks ago of 7.00:1.

Platinum: On April 6, July platinum generated a short-term buy signal, but remains on intermediate-term sell signal.

For the week, July platinum gained $16.10. The COT report revealed that managed money liquidated 408 contracts of their long positions and also liquidated 2,961 of their short positions. Commercial interests added 129 contracts to their long positions and also added 1,989 to their short positions. As of the latest report, managed money is long platinum by a ratio of 2.06:1, which is up from the previous week of 1.76:1 and the ratio of two weeks ago of 1.48:1.

Gold: On April 6, June gold generated a short-term buy signal, but remains on intermediate-term sell signal.

For the week, June gold gained $3.70. The COT report revealed that managed money added 8,939 contracts to their long positions and liquidated 10,680 of their short positions. Commercial interests liquidated 642 contracts of their long positions and added 9,948 to their short positions. As of the latest report, managed money is long gold by a ratio of 1.98:1, which is up from the previous week of 1.53:1 and up substantially from the recent low ratio of 1.13:1.

Silver:

For the week, July silver lost 31.8 cents. The COT report revealed that managed money liquidated 2,621 contracts of their long positions and also liquidated 1,771 of their short positions. Commercial interests liquidated 101 contracts of their long positions and added 492 to their short positions. As of the latest report, managed money is long silver by a ratio of 2.73:1, which is up from the previous week of 2.62:1 and up substantially from the ratio of two weeks ago of 1.74:1.

Year to date, May silver is the out performer with the gain of 5.17%, June gold  +1.89%, June palladium -2.75%, May copper -3.22%,July platinum -3.22%.

Canadian dollar:

For the week, the June Canadian dollar gained 13 pips. The COT report revealed that leverage funds added 3,070 contracts to their long positions and also added 3,058 to their short positions. As of the latest report, leverage funds are short the Canadian dollar by a ratio of 4.90:1, which is down dramatically from the previous week of 6.59:1 and the ratio of two weeks ago of 5.99:1.

Australian dollar:

For the week, the June Australian dollar gained 1.00 cent. The COT report revealed that leverage funds added 1,268 contracts to their long positions and also added 11,425 contracts to their short positions. As of the latest report, leverage funds are short the Australian dollar by a ratio of 4.11:1, which is up from the previous week of 3.69:1 and the ratio of two weeks ago of 3.98:1.

Swiss Franc:

For the week, the June Swiss franc lost 2.09 cents. The COT report revealed that leverage funds liquidated 1,032 contracts of their long positions and added 277 to their short positions. As of the latest report, leverage funds are short the Swiss franc by a ratio of 1.66:1, which is up from the previous week of 1.44:1, but down from the ratio of two weeks ago of 1.81:1.

British Pound:

For the week, the June British pound lost 1.74 cents. The COT report revealed that leverage funds added 395 contracts to their long positions and also added 5,764 to their short positions. As of the latest report, leverage funds are short the British pound by a ratio of 1.87:1, which is up from the previous week of 1.72:1 and the ratio of two weeks ago of 1.71:1.

During the past week, the June British pound made a new contract low of 1.4581.

Euro:

For the week, the June euro lost 2.92 cents. The COT report revealed that leverage funds liquidated 6,276 contracts of their long positions and also liquidated 12,307 contracts of their short positions. As of the latest report, leverage funds are short the euro by a ratio of 11.23:1, which is a dramatic increase from the previous week of 8.51:1 and the ratio of two weeks ago of 9.25:1.

The current ratio of 11.23:1 is the highest short ratio recorded during the entire course of the bear market.

Yen:

For the week, the June yen lost 35 pips. The COT report revealed that leverage funds added 8,691 contracts to their long positions and also added 12,411 to their short positions. As of the latest report, leverage funds are short the yen by a ratio of 2.09:1, which is down from the previous week of 2.28:1 and the ratio of two weeks ago of 3.07:1.

Dollar index:

For the week, the June dollar index gained 1.92 points. The COT report revealed that leverage funds liquidated 773 contracts of their long positions and also liquidated 6,050 of their short positions. As of the latest report, leverage funds are short the dollar index by a ratio of 2.09:1, which is down from the previous week of 2.34:1, but up from the ratio of two weeks ago of 1.92:1.

Year to date, the June dollar index is the out performer with the gain of 10.10%, June Swiss franc +1.53%, June yen -0.41%, June Australian dollar -5.75%, June British pound -5.95%, June Canadian dollar -7.45%, June euro -12.49%.

S&P 500 E mini: On April 10, the June S&P 500 E mini generated a short-term buy signal, which reversed the March 26 short-term sell signal. The E mini remains on an intermediate term buy signal.

The pattern that we referred to in last week’s report (see extract below) whereby the S&P 500 bottoms around mid April is likely to be invalidated in the coming week. Now that a short-term buy signal has been generated in the E mini, the market should pull back from 1-2 and possibly three days before resuming its uptrend. This is not to say that we are bullish, but the bias is likely to be upwards, especially since major European and Asian indices are rallying strongly.

OIA has been a proponent of at-the-money straddles in longer dated options to protect against asymmetric downside risk. If clients are concerned about cost, a suitable alternative is to initiate strangles, which are out of the money long calls and puts. This offers a strong measure of protection in the event of a market meltdown and the put side of the spread will more than compensate for the loss on the call side in the event of a debacle.

From the April 5 Weekend Wrap:

“We examined the performance of the S&P 500 cash index during April and found that the market had a tendency to make bottoms around mid-month. For example during 2011 the S&P 500 bottomed on April 18; for 2012, it bottomed on April 10; the index bottomed on April 18 in 2013 and during 2014 bottomed on April 11. In short, it appears the broad market is in a bearish set up for at least one more week and possibly two.”

S&P 500 (250 x):

For the week, the June S&P 500 futures contract gained 36.00 points. The COT report revealed that leverage funds added 91 contracts to their long positions and liquidated 3,999 of their short positions. As of the latest report, leverage funds are short the S&P 500 futures contract by a ratio of 1.76:1, which is down dramatically from the previous week of 3.46:1, but up from the ratio of two weeks ago of 1.32:1.

Year to date, the S&P 400 cash index is the out performer with a gain of 5.68%, Russell 2000 cash index +4.99%, NASDAQ 100 cash index +4.39%, New York Composite cash index +2.52%, S&P 500 cash index +2.10%, Dow Jones Industrial Average cash index +1.32%.

10 Year Treasury Note:

For the week, the June 10 year treasury note lost 11-4 points. The COT report revealed that leverage funds liquidated 51,401 contracts of their long positions and added 14,093 to their short positions. As of the latest report, leverage funds are short the 10 year treasury note by a ratio of 1.52:1, which is up from the previous week of 1.35:1 and the ratio of two weeks ago of 1.35:1.