Weekend Wrap for August 4, 2013

Soybeans:

For the week, August soybeans lost 18.75 cents, September -62.50, November -47.00. The COT report showed that managed money liquidated 28,178 contracts of their long positions and added 286 contracts to their short positions. Commercial interests added 8,174 contracts to their long positions and liquidated 27,978 contracts of their short positions. As of the latest report, managed money is long soybeans by a ratio of 2.78:1, which is down from the previous week of 3.31:1 and the ratio of 2 weeks ago of 3.94:1.

Soybean meal:

For the week, August soybean meal lost $18.20, September -18.80, December -15.70. The COT report showed that managed money liquidated 6,831 contracts of their long positions and added 8,731 contracts to their short positions. Commercial interests liquidated 231 contracts of their long positions and also liquidated 19,305 contracts of their short positions. As of the latest report, managed money is long soybean meal by a ratio of 1.84:1, which is down from the previous week of 2.67:1 and the ratio of 2 weeks ago of 2.94:1.

Soybean oil:

For the week, August soybean oil lost 1.20 cents, September -1.13, December -91. The COT report showed that managed money added 946 contracts to their long positions and liquidated 923 contracts of their short positions. Commercial interests liquidated 5,514 contracts of their long positions and also liquidated 15,039 contracts of their short positions. As of the latest report, managed money is short soybean oil by a ratio of 1.84:1, which is down from the previous week of 1.90:1 but up from the ratio of 2 weeks ago of 1.63:1.

Corn:

For the week, September corn lost 16.00 cents, December -12.25. The COT report showed that managed money liquidated 8,186 contracts of their long positions and added 13,614 contracts to their short positions. Commercial interests added 8,776 contracts to their long positions and liquidated 11,964 contracts of their short positions. As of the latest report, managed money is short corn by a ratio of 1.21:1, which is up from the previous week of 1.10:1 and a complete reversal from 2 weeks ago when managed money was long by a ratio of 1.07:1.

Wheat:

For the week, September wheat advanced 10.25 cents, December +11.50. The COT report showed that managed money added 4,854 contracts to their long positions and liquidated 3,153 contracts of their short positions. Commercial interests liquidated 2,638 contracts of their long positions and added 3,086 contracts to their short positions. As of the latest report, managed money is short wheat by a ratio of 1.43:1 which is down from the previous week of 1.53:1 but slightly above the ratio of 2 weeks ago of 1.39:1.

Cotton:

For the week December cotton lost 14 points. The COT report showed that managed money added 2,662 contracts to their long positions and also added 463 contracts to their short positions. Commercial interests added 705 contracts to their long positions and also added 1,828 contracts to their short positions. As of the latest report, managed money is long cotton by a ratio of 5.64:1, which is exactly the same as the previous week of 5.64:1, but down from the ratio of 2 weeks ago of 6.60:1.

Live cattle:

For the week, August cattle lost 1.15 cents, October -1.38, December -1.65. The COT report showed that managed money liquidated 3,227 contracts of their long positions and added 1,178 contracts to their short positions. Commercial interests added 1,701 contracts to their long positions and also added 1,562 contracts to their short positions. As of the latest report, managed money is long cattle by a ratio of 1.64:1, which is down from the previous week of 1.77:1 and the ratio of 2 weeks ago of 1.86:1.

Crude oil:

For the week, September crude oil gained $2.24. The COT report showed that managed money liquidated 3,643 contracts of their long positions and added 1,208 contracts to their short positions. Commercial interests liquidated 19,564 contracts of their long positions and also liquidated 26,480 contracts of their short positions. As of the latest report, managed money is long crude oil by a ratio of 10.61:1, which is down from the previous week of 11.16:1 and the ratio of 2 weeks ago of 11.10:1.

From the July 14 report:

“It is remarkable that over 3 COT reporting periods, (June 19 through July 9) that WTI has advanced $5.38 or 5.45% and Brent has increased by $1.78 or 1.68%, but the long to short ratio of managed money has not changed much. During the past 2 COT reports, August WTI has advanced $8.64, or 9.06%, (Brent + $6.54/6.46%), but the long to short ratio of managed money has actually declined from 9.45:1 to 9.34:1.”

The pattern of crude oil prices advancing with managed money holding a static net long position has occurred during the past 3 COT reporting periods. The table below shows the net change during each of the past 3 COT reporting periods and the long to short ratios to better illustrate the reluctance of managed money to increase their commitments during a period of rising prices. As a matter of fact, the long to short ratio has been declining while the general trend has been higher. On July 16, September crude closed at $105.69, which is over 2 weeks ago and the long to short ratio continues to flat line.

Date                      Advance/Decline  Long to Short Ratio
July 24-July 31      – $1.97                        10.61:1
July 17-July 23      + $1.46                       11.16:1
July 10-July 16      + $2.12                       11.10:1 

To further illustrate the current lofty long to short ratio, the table below shows the long to short ratios of crude oil going back over two years when prices were close to present levels.  

Date of COT Report     Price on COT Date       Long to Short Ratio
July 9, 2013                     $103.22                               9.34:1
September 18, 2012            95.69                               6.12:1
September 11, 2012             96.81                               6.53:1
May 1, 2012                        105.95                               5.74:1
March 20, 2012                 105.70                               5.29:1
March 6, 2012                    105.01                               5.58:1
February 21, 2012              105.97                               7.73:1
January 3, 2012                 102.83                               4.66:1
April 26, 2011                     112.21                                8.89:1 
April 19, 2011                     108.28                               7.83:1
April 12, 2011                     106.25                               9.99:1
April 5, 2011                       108.34                             10.29:1
March 29, 2011                  104.79                               9.30:1
March 22, 2011                  104.97                               9.72:1
March 15, 2011                     97.18                               8.79:1
March 8, 2011                    105.02                              11.17:1
March 1, 2011                      99.63                               11.61:1                                     

 Heating oil:

For the week, September heating oil gained 5.83 cents. The COT report showed that managed money added 4,869 contracts to their long positions and liquidated 478 contracts of their short positions. Commercial interests liquidated 15,329 contracts of their long positions and also liquidated 14,205 contracts of their short positions. As of the latest report, managed money is long heating oil by a ratio of 2.40:1, which is up from the previous week of 2.16:1 and the ratio of 2 weeks ago of 1.42:1.

Gasoline:

For the week, September gasoline lost 0.86 cents. The COT report showed that managed money added 5,310 contracts to their long positions and liquidated 64 contracts of their short positions. Commercial interests liquidated 15,980 contracts of their long positions and also liquidated 14,125 contracts of their short positions. As of the latest report, managed money is long gasoline by a ratio of 6.13:1, which is up from the previous week of 5.72:1 and the ratio of 2 weeks ago of 5.00:1.

Natural gas:

For the week, September natural gas lost 21.6 cents. The COT report showed that managed money liquidated 1,023 contracts of their long positions and added 20,539 contracts to their short positions. Commercial interests liquidated 5,115 contracts of their long positions and also liquidated 5,113 contracts of their short positions. As of the latest report, managed money is short by a ratio of 1.02:1 which is a reversal from the previous week when they were long by a ratio of 1.06:1. Two weeks ago, managed money was short by a ratio of 1.004:1.

Copper:

For the week, September copper gained 6.70 cents. The COT report showed that managed money liquidated 3,555 contracts of their long positions and added 10,418 contracts of their short positions. Commercial interests liquidated 598 contracts of their long positions and liquidated 8,936 contracts of their short positions. As of the latest report, managed money is short copper by a ratio of 2.05:1, which is up from the previous week of 1.44:1 and the ratio of 2 weeks ago of 1.54:1.

Palladium:

For the week, September palladium advanced $5.70. The COT report showed that managed money added 1,300 contracts to their long positions and also added 334 contracts to their short positions. Commercial interests liquidated 274 contracts of their long positions and added 512 contracts to their short positions. As of the latest report, managed money is long palladium by a ratio of 24.18:1, which is down from the previous week of 34.51:1 and the ratio of 2 weeks ago of 32.55:1.

Platinum:

For the week, October platinum gained $28.70. The COT report showed that managed money added 2,457 contracts to their long positions and liquidated 1,237 contracts of their short positions. Commercial interests liquidated 338 contracts of their long positions and added 964 contracts to their short positions. As of the latest report, managed money is long platinum by a ratio of 3.27:1, which is up from the previous week of 2.73:1 and the ratio of 2 weeks ago of 2.50:1.

Gold:

For the week, December gold lost $11.40. The COT report showed that managed money liquidated 3,143 contracts of their long positions and added 182 contracts to their short positions. Commercial interests liquidated 8,660 contracts of their long positions and also liquidated 18,538 contracts of their short positions. As of the latest report, managed money is long gold by a ratio of 1.92:1, which is down from the previous week of 1.98:1, but up from the ratio of 2 weeks ago of 1.64:1.

Silver:

For the week, September silver gained 14.1 cents. The COT report showed that managed money added 1,403 contracts to their long positions and also added 719 contracts to their short positions. Commercial interests added 286 contracts to their long positions and liquidated 1,273 contracts of their short positions. As of the latest report, managed money is long silver by a ratio of 1.29:1, which is up slightly from the previous week of 1.27:1 and the ratio of 2 weeks ago of 1.19:1.

Canadian dollar:

For the week, the September Canadian dollar lost 97 points. The COT report showed that leveraged funds liquidated 781 contracts of their long positions and also liquidated 7,460 contracts of their short positions. As of the latest report, leveraged funds are short by a ratio of 1.91:1, which is down from the previous week of 2.25:1 and the ratio of 2 weeks ago of 1.97:1.

Australian dollar:

For the week, the September Australian dollar lost 3.44 cents. The COT report showed that leveraged funds added 2,886 contracts to their long positions and also added 11,241 contracts to their short positions. As of the latest report, leveraged funds are short by a ratio of 2.01:1, which is up somewhat from the previous week of 1.88:1 and the ratio of 2 weeks ago of 1.73:1.

Swiss franc:

For the week, the September Swiss franc lost 1 point. The COT report showed that leveraged funds added 2,865 contracts to their long positions and liquidated 927 contracts of their short positions. As of the latest report, leveraged funds are long the Swiss franc by a ratio of 1.52:1, which is up substantially from the previous week of 1.08:1 and the ratio of 2 weeks ago of 1.07:1.

 British pound:

For the week, the September British pound lost 98 points. The COT report showed that leveraged funds added 1,142 contracts to their long positions and also added 1,227 contracts to their short positions. As of the latest report, leveraged funds are short by a ratio of 3.41:1, which is down from the previous week of 3.56:1 and up from the ratio of 2 weeks ago of 2.82:1.

Euro:

For the week, the September euro gained 9 points. The COT report showed that leveraged funds added 10,729 contracts to their long positions and liquidated 4,377 contracts of their short positions. As of the latest report, leveraged funds are short the euro by a ratio of 1.10:1, which is down from the previous week of 1.43:1 and the ratio of 2 weeks ago of 1.59:1.

Japanese yen:

For the week, the September Japanese yen lost 70 points. The COT report showed that leveraged funds liquidated 5,401 contracts of their long positions and also liquidated 8,462 contracts of their short positions. As of the latest report, leveraged funds are short by a ratio of 3.73:1, which is up from the previous week of 3.32:1 and the ratio of 2 weeks ago of 3.48:1. This is the highest net short position of leveraged funds for over a couple of months.

Dollar index:

For the week, the September dollar index gained 21 points. The COT report showed that leveraged funds liquidated 3,156 contracts of their long positions and added 2,432 contracts to their short positions. As of the latest report, leveraged funds are short the dollar index by a ratio of 1.86:1, which is significantly above its previous week’s ratio of 1.41:1 and the ratio of 2 weeks ago of 1.40:1.

Top 10 Performing Currency Pairs: W/O July 29- August 2

07/29/2013 – 08/02/2013
Excel Spreadsheet

 Bottom 10 Performing Pairs: W/O July 29- August 2       Curr Value        7/26- 8/2                   YTD

S&P 500 E mini:

For the week, the September S&P 500 E mini gained 17.40 points. The COT report showed that leveraged funds added 23,390 contracts to their long positions and liquidated 8995 contracts of their short positions. As of the latest report, leveraged funds are short the E mini by a ratio of 1.56:1, which is below the previous week’s ratio of 1.65:1 and the ratio of 2 weeks ago of 1.62:1.