Weekend Wrap for August 25, 2013

The COT reporting is from August 14 through August 20.

Soybeans:

For the week, September soybeans gained 82 cents, November +68.75. The COT report showed that managed money added 20,284 contracts to their long positions and liquidated 22,181 contracts of their short positions. Commercial interests liquidated 2,388 contracts of their long positions and added a massive 49,392 contracts to their short positions. As of the latest report, managed money is long soybeans by a ratio of 3.15:1, which is dramatically higher than the previous week of 1.85:1 and the ratio of 2 weeks ago of 2.02:1.

Soybean meal:

For the week, September soybean meal gained $24.30, October +30.80, December +33.20. The COT report showed that managed money added 11,875 contracts to their long positions and liquidated 5,580 contracts of their short positions. Commercial interests liquidated 1,150 contracts of their long positions and added 22,898 contracts to their short positions. As of the latest report, managed money is long soybean meal by a ratio of 2.30:1, which is up dramatically from the previous week of 1.62:1 and the ratio of 2 weeks ago of 1.58:1.

Soybean oil:

For the week, September soybean oil lost 17 points, October -20, December -16. The COT report showed that managed money added 2,515 contracts to their long positions and liquidated 10,678 contracts of their short positions. Commercial interests liquidated 15,493 contracts of their long positions and also liquidated 1,301 contracts of their short positions. As of the latest report, managed money is short soybean oil by a ratio of 1.62:1, which is down from the previous week of 1.91:1 and the ratio of 2 weeks ago of 2.04:1.

Corn:

For the week, September corn gained 21.75 cents, December +6.50. The COT report showed that managed money liquidated 4,893 contracts of their long positions and also liquidated 17,836 contracts of their short positions. Commercial interests liquidated 6,443 contracts of their long positions and added 34,557 contracts to their short positions. As of the latest report, managed money is short corn by a ratio of 1.15:1, which is down from the previous week of 1.21:1 and the ratio of 2 weeks ago of 1.17:1.

Chicago Wheat:

For the week, September wheat gained 3.50 cents, December +2.50. The COT report showed that managed money liquidated 1,690 contracts of their long positions and also liquidated 2,842 contracts of their short positions. Commercial interests added 4,795 contracts to their long positions and also added 910 contracts to their short positions. As of the latest report, managed money is short Chicago wheat by a ratio of 1.50:1 which is up slightly from the previous week of 1.47:1 and the same as 2 weeks ago, 1.50:1.

Kansas City wheat:

For the week, September Kansas City wheat lost 2.75 cents, December -5.00. The COT report showed that managed money added 2,430 contracts to their long positions and liquidated 744 contracts of their short positions. Commercial interests added 1,298 contracts to their long positions and also added 4,470 contracts of their short positions. As of the latest report, managed money is long Kansas City wheat by a ratio of 1.49:1, which is up from the previous week of 1.35:1 and the ratio of 2 weeks ago of 1.06:1. Note the difference in the ratios between Chicago and Kansas City wheat.

Although we are bullish the wheat market-Kansas City wheat in particular, the problem is that managed money has been aggressively increasing their net long exposure, however KC wheat has been declining. For example, from July 31 through August 20, which encompasses 3 COT periods, KC wheat has declined 0.50 cents, but the net long position of managed money has increased from 1.06:1 to 1.49:1. On the other hand, the commercial net short position has increased from 1.96:1 on August 6 to 2.45:1 on August 20.  In short, managed money has not been able to move KC wheat beyond unchanged from 3 weeks ago and commercial selling is keeping a lid on prices. This leads us to believe that if KC breaks down further, a mini avalanche of selling could occur because of the net long position of managed money. From July 31 through August 20, KC open interest increased only 986 contracts, which shows lackluster interest. The next downside target is $6.90, the low made on July 26 and 6.84, the low made on July 5. There is a lot to like about the wheat market, but it is not ready to make a move higher. Both Chicago and KC wheat remain on a short and intermediate term sell signal.

08/13/2013 – 08/20/2013
Excel Spreadsheet

Cotton:

For the week, December cotton lost 9.24 cents. The COT report showed that managed money added 3,909 contracts to their long positions and liquidated 115 contracts of their short positions. Commercial interests added 2,498 contracts to their long positions and also added 4,736 contracts to their short positions. As of the latest report, managed money is long cotton by a ratio of 7.86:1, which is up dramatically from the ratio of 2 weeks ago of 6.07:1.

Live cattle:

For the week, August cattle lost 80 points, October -1.22. The COT report showed that managed money added 6,172 contracts to their long positions and liquidated 7,355 contracts of their short positions. Commercial interests liquidated 2,762 contracts of their long positions and added 11,351 contracts to their short positions. As of the latest report, managed money is long cattle by a ratio of 2.62:1, which is up substantially from the previous week of 1.97:1 and the ratio of 2 weeks ago of 1.44:1. The current ratio represents the largest net long position of managed money since cattle generated a short and intermediate term buy signal on August 8.

Crude oil:

For the week, October crude oil lost 87 cents. The COT report showed that managed money added 1,685 contracts to their long positions and also added 7,422 contracts to their short positions. Commercial interests liquidated 2,367 contracts of their long positions and also liquidated 55,001 contracts of their short positions. As of the latest report, managed money is long crude oil by a ratio of 6.36:1, which is down from the previous week of 7.42:1 and from the ratio of 2 weeks ago of 8.19:1. Three weeks ago, managed money was long by a ratio of 10.61:1 and 4 weeks ago, 11.16:1. In short, managed money has been reducing their net long exposure, despite the fact that crude oil prices have maintain their elevated levels.

Heating oil:

For the week, October heating oil gained 1.19 cents. Commercial interests added 4,193 contracts to their long positions and also added 9,911 contracts to their short positions. As of the latest report, managed money is long heating oil by a ratio of 2.79:1, which is up from the previous week of 2.48:1 and the ratio of 2 weeks ago of 2.71:1. The current ratio is the highest in many months.

Gasoline:

For the week, October gasoline advanced 2.43 cents. The COT report showed that managed money added 993 contracts to their long positions and liquidated 483 contracts of their short positions. Commercial interests added 6,101 contracts to their long positions and also added 7,284 contracts to their short positions. As of the latest report, managed money is long gasoline by a ratio of 7.06:1, which is up from the previous week of 6.64:1, but down from the ratio of 2 weeks ago of 7.80:1.

Natural gas:

For the week, October natural gas advanced 12.8 the COT report showed that managed money added 3,638 contracts to their long positions and liquidated 9,358 contracts of their short positions. Commercial interests liquidated 3,719 contracts of their long positions and also liquidated 2,924 contracts of their short positions. As of the latest report, managed money is short natural gas by a ratio of 1.08:1, which is down from the previous week of 1.12:1 and the same as the ratio of 2 weeks ago, 1.08:1.

COT: August 14-August 20       Year to Date
October natural gas   +4.08%         -2.98%
October Brent             +1.77%          +5.02%
October heating oil     +1.20%         +3.71%
October gasoline          -0.14%       +10.24%
October WTI                -1.01%       + 13.68%

Copper:

For the week, December copper lost 1.10 cents. The COT report showed that managed money added 5,826 contracts to their long positions and liquidated 1,557 contracts of their short positions. Commercial interests liquidated 2,669 contracts of their long positions and added 2,330 contracts to their short positions. As of the latest report, and managed money is long copper by a ratio of 1.65:1 which is up from the previous week of 1.29:1 and the ratio of 2 weeks ago of 1.55:1.

Palladium:

December palladium lost $12.35. The COT report showed that managed money added 426 contracts to their long positions and liquidated 137 contracts of their short positions. Commercial interests liquidated 91 contracts of their long positions and added 2,804 contracts to their short positions. As of the latest report, managed money is long palladium by a ratio of 25.63:1, which is up from the previous week of 22.22:1 and the ratio of 2 weeks ago of 25.33:1.

Platinum:

For the week, October platinum gained 14.00. The COT report showed that managed money added 1,745 contracts to their long positions and liquidated 1,153 contracts of their short positions. Commercial interests liquidated 220 contracts of their long positions and added 871 contracts to their short positions. As of the latest report, managed money is long platinum by a ratio of 7.03:1, which is up substantially from the previous week of 5.45:1 and the ratio of 2 weeks ago of 3.70:1.

Gold:

For the week, December gold advanced $24.80. The COT report showed that managed money added 3,922 contracts to their long positions and liquidated 6,506 contracts of their short positions. Commercial interests liquidated 11,072 contracts of their long positions and also liquidated 6,026 contracts of their short positions. As of the latest report, managed money is long gold by a ratio of 1.86:1, which is up from the previous week of 1.61:1 and the ratio of 2 weeks ago of 1.49:1.

Silver:

For the week, December silver advanced 40.9 cents. The COT report showed that managed money liquidated 706 contracts of their long positions and also liquidated 5,412 contracts of their short positions. Commercial interests added 43 contracts to their long positions and also added 849 contracts to their short positions. As of the latest report, managed money is long silver by a ratio of 2.24:1, which is up from the previous week of 1.62:1 and the ratio of 2 weeks ago of 1.18:1.

08/13/2013 – 08/20/2013
Excel Spreadsheet

Canadian dollar:

For the week, the September Canadian dollar lost 1.72 cents. The COT report showed that leveraged funds added 5,470 contracts to their long positions and also added 4,050 contracts to their short positions. As of the latest report, leveraged funds are short the Canadian dollar by a ratio of 1.40:1, which is down from the previous week of 1.60:1 and the ratio of 2 weeks ago of 1.76:1.

Australian dollar:

For the week, the September Australian dollar lost 1.63 cents. The COT report showed that leveraged funds liquidated 571 contracts of their long positions and added 1,168 contracts to their short positions. As of the latest report, leveraged funds are short the Australian dollar by a ratio of 1.97:1, which is up somewhat from the previous week of 1.91:1 but down from the ratio of 2 weeks ago of 2.09:1.

Swiss franc:

For the week, the September Swiss franc gained 50 points.  The COT report showed that leveraged funds added 1,399 contracts to their long positions and also added 2,483 contracts to their short positions. As of the latest report, leveraged funds are long the Swiss franc by a ratio of 1.71:1, which is down from the previous week of 2.14:1 and the ratio of 2 weeks ago of 1.90:1.

British pound:

For the week, the September British pound lost 66 points. The COT report showed that leveraged funds added 4,321 contracts to their long positions and liquidated 6,700 contracts of their short positions. As of the latest report, leveraged funds are short the pound by a ratio of 2.16:1, which is down substantially from the previous week of 2.89:1 and the ratio of 2 weeks ago of 2.90:1.

Euro:

For the week, the September euro gained 47 points. The COT report showed that leveraged funds added 21,870 contracts to their long positions and also added 4,035 contracts of their short positions. As of the latest report, leveraged funds are long the euro by a ratio of 1.72:1, which is up substantially from the previous week of 1.43:1 and the ratio of 2 weeks ago of 1.15:1.

Japanese yen:

For the week, the September yen lost 113 points. The COT report showed that leveraged funds added 1,463 contracts to their long positions and also added 576 contracts to their short positions. As of the latest report, leveraged funds are short the yen by a ratio of 3.21:1, which is down from the previous week of 3.39:1 and the ratio of 2 weeks ago of 3.50:1.

Dollar index:

For the week, the September dollar index gained 10 points. The COT report showed that leveraged funds liquidated 590 contracts of their long positions and added 203 contracts to their short positions. As of the latest report, leveraged funds are short the dollar index by a ratio of 1.33:1, which is slightly above the previous week of 1.30:1, but below the ratio of 2 weeks ago of 1.61:1.

COT: August 14-August 20         Year to Date
September pound         +1.50%                 -4.05%
September euro            +1.20%                  +1.14%
September yen              +1.01%                -12.38%
September Aussie $ –     .066%                -11.58%
September Canadian$  -0.41%                 -4.85%
September dollar index -1.03%                +1.60%          

 S&P 500 E mini:

For the week, the September S&P 500 E mini gained 10.30 points. The COT report showed that leveraged funds added 11,783 contracts of their long positions and liquidated 24,167 contracts of their short positions. As of the latest report, leveraged funds are short the S&P 500 E mini by a ratio of 1.60:1, which is down from the previous week of 1.70:1 and the ratio of 2 weeks ago of 1.68:1.

Last week, we wrote about the Dow Jones Industrial Average lagging the major indices. This divergence continued during the past week, and performance between the DJIA and the indices listed below continued to worsen. In the last table, note that the yield on the DJIA is higher than the other indices with a lower P/E ratio, yet the index continues to lag. This may signify that high dividend stocks are falling out of favor. Another factor supporting this is that price-earnings were not expanding y-o-y to the same degree as the other indices. The failure of price earnings expansion is another sign that investors may be losing interest in high dividend Dow 30 stocks. We see this as another signal the overall equity market is stretched and that a topping process is occurring.

Performance July 8, 2013- August 23, 2013
NASDAQ 100   + 5.33%
Russell 2000    + 2.88%
S&P 400           + 2.45%
NY Composite   +2.25%
S&P 500             +1.40%
DJIA                  – 1.41%     

 08/16/2013 – 08/23/2013
Excel spreadsheet

AAII Index                       Recent week   2 weeks ago    3 weeks ago
	Bullish	29.0%	34.5%	39.5%
	Bearish	42.9	28.2	26.7
	Neutral	28.2	37.3	33.9
Source: American Association of Individual Investors,