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The time frame for the current Commitments of Traders report is from Wednesday, June 17 through Tuesday, June 23.

On June 30, the USDA will release its quarterly grain stocks and acreage report at 11:00 a.m. CDT.

It is important clients are aware that soybeans, soybean meal and corn are entering the period when seasonal peaks in prices occur. Soybeans tend to peak in price from mid-June to mid-July; soybean meal from late June through early August and corn from late June to mid July.

We took a look at the preliminary stats for trading on Friday, and the dominant action was massive open interest declines across the board on extremely heavy volume, perhaps setting new records.

For example, total volume in corn was 796,786 contracts and total open interest declined by 42,627, which relative to volume is approximately 110% above average meaning that liquidation was extremely heavy. Soybeans traded 466,105 contracts and total open interest declined by 30,343, which relative to volume is approximately 160% above average. Soybean meal traded 152,119 contracts and total open interest declined by 12,857, which relative to volume is approximately 230% above average. Chicago wheat traded 351,063 contracts and total open interest declined by 12,040, which relative to volume is approximately 20% above average.

The final open interest stats will likely change and these will be available in our Monday report for activity on June 26. However, the trend is clear: market participants have been liquidating on the rally and this has been a consistent pattern of behavior with very few exceptions, most notably soybean meal.

Soybeans: On June 23, July soybeans generated an intermediate term buy signal after generating a short-term buy signal on June 17.

For the week, July soybeans advanced 30.50 cents, August +42.50, new crop November +46.25. The COT report revealed that managed money added 8,836 contracts to their long positions and liquidated a massive 54,523 of their short positions. Commercial interests liquidated 30,344 of their long positions and added 27,032 contracts to their short positions. As of the latest report, managed money is now long soybeans by a ratio of 1.06:1, which is a complete reversal from the previous week when they were short by a sizable 1.72:1 and the ratio two weeks ago when managed money was short by 2.10:1.

The last time managed money was long soybeans occurred in the COT report of March 10, 2015 when they were long by a ratio of 1.04:1. The trading range during the span of the report was from a low of 9.71 to a high of 10.10 1/4. The market has blown out a sizable number of short-sellers and because the tabulation date occurred last Tuesday, June 23, the net long position will likely increase in next week’s COT report. Also, the move to a net long position was the result of the massive liquidation of short positions, not a major addition of new long positions.

Note that during the past week, the deferred months gained on July, and we consider this to be a warning about the viability of the rally continuing. The collapse of the July premium to August has been surprising as soybeans have rallied to their highest level in months. For example, the July-August 2015 spread topped at 18.50 cents premium to July on June 12 and closed at 4.25 cents premium to August 2015 on June 26.

In short, from June 12 when the July contract closed at 9.40 through June 26 when it closed at 10.02 (+62.00 cents), the premium that July held over August has fallen 14.25 cents. We consider this to be another negative indicator because spread activity is dominated by commercial interests, not by speculators. Unfortunately, the decline of the front month versus deferred contracts has taken place in soybean meal and corn as well. 

Soybean meal:

For the week, July soybean meal advanced $18.20, August +18.00, new crop December +19.90. The COT report revealed that managed money added 8,552 contracts to their long positions and liquidated 7,415 of their short positions. Commercial interests liquidated 2,604 of their long positions and added 14,851 to their short positions. As of the latest report, managed money is long soybean meal by a ratio of 1.57:1, which is an increase from the previous week of 1.20:1 and dramatic shift from the ratio of two weeks ago of 1.01:1, which indicated that longs and shorts were about equally split.

Despite being the major out performer in the bean complex, the spread action in soybean meal has been negative, although nowhere near the degree of collapse experienced by soybeans. For example, the July-August 2015 soybean meal spread topped at $9.80 premium to July on June 12 and made a low of 4.60 premium to July on June 23, but rebounded to close at a 6.50 premium to July on June 26. From June 12 through June 26 the July contract rallied from $313.42 to 341.30, or an advance of $27.90. Still, it is disconcerting to see the leader of the bean complex not expanding the premium of July over August 2015 as the market rallies to multi-month highs.

Soybean oil:

For the week, July soybean oil gained 67 points, August +68, new crop December +69. The COT report revealed that managed money liquidated 15,271 of their long positions and added 5,562 to their short positions. Commercial interests added 4,679 contracts to their long positions and liquidated 10,784 of their short positions.As of the latest report, managed money is long soybean oil by a ratio of 1.44:1, which is a substantial decline from the previous week’s ratio of 2.01:1 and a collapse from the high ratio of 2015 of 3.63:1 made two weeks ago.

Canola: During the past week, the November canola contract made a new contract high of 532.00 (CAD), which is the highest print since 534.10 made on September 2, 2013. We may re-examine the wisdom of the light bearish position in soybean oil due to the robust canola market.

Corn: On June 24, July corn generated a short term buy signal and the September contract generated a short term buy signal on June 25. The September contract generated an intermediate term buy signal on June 26.

For the week, July corn advanced 31.75 cents, September +33.75, new crop December +33.25. The COT report revealed that managed money liquidated 6,984 of their long positions and liquidated a sizable 35,283 of their short positions. Commercial interests liquidated 15,036 of their long positions and added 21,998 to their short positions. As of the latest report, managed money is short corn by a ratio of 1.58:1, which is down from the previous week of 1.69:1, but up somewhat from the ratio of two weeks ago of 1.50:1.

After the June 23 tabulation date of the current COT report (Wednesday-Friday), September corn has rallied 20.50 cents and undoubtedly more short sellers have been blown out, therefore we would expect to see the short ratio decline in next week’s report. Similar to soybeans, the deferred contracts gained on July, which as we pointed out in Friday’s report is a concern of ours.

For example, on June 22, the July contract closed at a 4.25 cents discount to the September contract and by the close of June 26 the July discount had increased to 7.50 cents. From June 22 through June 26, the July contract advanced from 3.60 (September-3.64  1/4) to 3.85  (July) and 3.92 1/2 (September), or an advance of 25.00  cents in the July contract.

In summary, the approach of seasonal peaks in prices combined with negative spread action in corn, beans and meal along with massive declines of open interest on advances increases the likelihood the rally in the grain complex is on borrowed time.

Chicago wheat: On June 26, September Chicago wheat generated an intermediate term buy signal and remains on a short term buy signal.

For the week, July Chicago wheat advanced 73.75 cents, September +75.50, new crop December +69.75. The COT report revealed that managed money liquidated 4,258 of their long positions and added 1,404 to their short positions. Commercial interests added 3,030 to their long positions and also added 1,306 to their short positions.As of the latest report, managed money is short Chicago wheat by a ratio of 1.90:1, which is an increase from the previous week of 1.75:1 and the ratio two weeks ago of 1.45:1.

The current short ratio of 1.90:1 is the highest since the COT report of June 2 when managed money was short Chicago wheat by ratio of 2.16:1.

Kansas City wheat:

For the week, July Kansas City wheat advanced 56.00 cents, September +56.00, new crop December +56.50. The COT report revealed that managed money added 3,763 to their long positions and also added 5,201 to their short positions. Commercial interests added 7,044 to their long positions and also added 2,822 to their short positions. As of the latest report, managed money is short Kansas City wheat by a ratio of 1.07:1, which is an increase from the previous week of 1.03:1 and the ratio two weeks ago of 1.03:1.

For the month of June, September Chicago wheat is the out performer with a gain of 17.78%, September Kansas City wheat +12.06%, August soybean meal +11.65%, September corn +9.87%, August soybeans +8.54%, August soybean oil -0.33%.

Thus far in the second quarter, September Chicago wheat is the out performer with a gain of 8.71%, August soybean oil +8.49%, August soybean meal +4.95%, August soybeans +2.10%, September corn +0.13%, September Kansas City wheat -0.70%.

Year to date, August soybean oil is the out performer with a gain of 2.06%, August soybean meal +0.59%, August soybeans -3.65%, September corn -5.48%, September Chicago wheat -6.08%, September Kansas City wheat -11.92%.

Cotton: December cotton will likely generate a short-term buy signal on June 29. It remains on an intermediate term buy signal.

For the week, December 2015 cotton advanced 3.61 cents, March 2016 +2.89, May 2016+2.31. The COT report revealed that managed money added 1,393 to their long positions and also added 3,379 to their short positions. Commercial interests liquidated 2,338 of their long positions and also liquidated 4,130 of their short positions. As of the latest report, managed money is long cotton by a ratio of 1.93:1, which is down from the previous week of 2.14:1 and the ratio two weeks ago of 2.17:1.

Sugar #11: 

For the week, July sugar advanced 55 points, October +40, March 2016 +21. The COT report revealed that managed money liquidated 5,147 of their long positions and added 3,822 to their short positions. Commercial interests liquidated 8,764 of their long positions and also liquidated 8,925 of their short positions. As of the latest report, managed money is short sugar by a ratio of 1.64:1, which is an increase from the previous week of 1.56:1 and the ratio of two weeks ago of 1.39:1.

Coffee:

For the week, July coffee advanced 4.55 cents, September +3.35, December +3.10. The COT report revealed that managed money added 1,125 to their long positions and also added 6,227 to their short positions. Commercial interests added 6,030 contracts to their long positions and also added 3,164 to their short positions. As of the latest report, managed money is short coffee by a ratio of 1.42:1, which is an increase from the previous week of 1.27:1 on the ratio two weeks ago of 1.19:1.

Cocoa:

For the week, July cocoa advanced $58.00, September +62.00, December +56.00. The COT report revealed that managed money added 3,289 contracts to their long positions and also added 1,205 to their short positions. Commercial interests added 112 to their long positions and also added 3,172 contracts to their short positions. As of the latest report, managed money is long cocoa by a ratio of 2.76:1, which is exactly the same as the previous week up 2.76:1, but below the ratio of two weeks ago of 3.02:1.

Live cattle: On June 26 August live cattle generated a short-term sell signal, but remains on intermediate-term buy signal.

For the week, August live cattle lost 2.15 cents, October -2.25, December -2.30. The COT report revealed that managed money liquidated 1,944 of their long positions and added 1,457 to their short positions. Commercial interests liquidated 1,187 contracts of their long positions and also liquidated 8,576 of their short positions. As of the latest report, managed money is long live cattle by a ratio of 6.06:1, which is down from the previous week of 6.77:1 and the ratio of two weeks ago a 7.03:1.

Lean hogs:

For the week, August lean hogs lost 1.00 cent, October -95 points, December -43. The COT report revealed that managed money added 3,563 contracts to their long positions and also added 6,487 to their short positions. Commercial interests liquidated 1,833 of their long positions and also liquidated 4,602 of their short positions. As of the latest report, managed money is long lean hogs by ratio of 1.34:1, which is down from the previous week of 1.48:1 in the ratio of two weeks ago of 1.64:1.

WTI crude oil:

For the week, August WTI crude oil lost 34 cents, September -32, October -37. The COT report revealed that managed money liquidated 465 contracts of their long positions and added 2,772 to their short positions. Commercial interests liquidated 12,583 of their long positions and also liquidated 13,578 of their short positions. As of the latest report, managed money is long WTI crude oil by ratio of 4.85:1, which is down from the previous week of 5.09:1 and up fractionally from the ratio two weeks ago of 4.83:1.

Heating oil:

For the week, July heating oil lost 41 ticks, August -38, September -44. The COT report revealed that managed money liquidated 366 contracts of their long positions and also liquidated 2,466 of their short positions. Commercial interests liquidated 441 of their long positions and added 6,861 to their short positions. As of the latest report, managed money is short heating oil by a ratio of 1.04:1, which is down from the previous week of 1.10:1 in the ratio two weeks ago of 1.20:1.

Gasoline:

For the week, July gasoline lost 1.01 cent, August +2 ticks, September +17. The COT report revealed that managed money liquidated 4,834 of their long positions and added 2,719 to their short positions. Commercial interests added 16,635 contracts to their long positions and also added 11,211 to their short positions. As of the latest report, managed money is long gasoline by a ratio of 1.45:1, which is down from the previous week of 1.66:1 and the ratio of two weeks ago of 1.48:1.

Natural gas:

For the week, July natural gas lost 4.3 cents, August -7.0, September -6.7. The COT report revealed that managed money liquidated 1,404 contracts of their long positions and added 54 to their short positions. Commercial interests added 162 to their long positions and also added 8,673 to their short positions. As of the latest report, managed money is short natural gas by a ratio of 1.66:1, which is a fractional increase from the previous week of 1.5:1, but below the ratio of two weeks ago of 1.77:1.

Copper:

For the week, September copper gained 6.05 cents. The COT report revealed that managed money liquidated 2,148 of their long positions and added 9,550 to their short positions. Commercial interests added 14,271 contracts to their long positions and liquidated 3,347 of their short positions. As of the latest report, managed money is short copper by a ratio of 1.54:1, which is an increase from the previous week of 1.19:1 and the ratio of two weeks ago of 1.12:1.

Palladium:

For the week, September palladium lost $28.80. The COT report revealed that managed money added 179 contracts to their long positions and added 2,142 to their short positions. Commercial interests added 376 contracts to their long positions and liquidated 1,333 of their short positions. As of the latest report, managed money is long palladium by a ratio of 2.11:1, which is down from the previous week of 2.68:1 and the ratio two weeks ago of 3.39:1.

During the past week the September palladium contract made a new contract low of $668.50.

Platinum:

For the week, October platinum lost $7.60. The COT report revealed that managed money liquidated 1,866 of their long positions and added 1,677 to their short positions. Commercial interests added 1,173 to their long positions and also added 293 contracts to their short positions. As of the latest report, managed money is long platinum by a ratio of 1.23:1, which is down from the previous week of 1.37:1 in the ratio two weeks ago of 1.42:1.

During the past week, October platinum made a new contract low of 1060.20.

Gold: On June 24, August gold generated a short-term sell signal and remains on intermediate-term sell signal.

For the week, August gold lost $28.70. The COT report revealed that managed money added 316 contracts to their long positions and liquidated 4,602 of their short positions. Commercial interests liquidated 505 contracts of their long positions and added 15,639 to their short positions. As of the latest report, managed money is long gold by a ratio of 1.47:1, which is an increase from the previous week of 1.39:1 and the ratio of two weeks ago of 1.35:1.

Silver:

For the week, September silver lost 37.8 cents. The COT report revealed that managed money added 615 contracts to their long positions and added a massive 8,525 to their short positions. Commercial interests added 72 contracts to their long positions and also added 2,149 to their short positions. As of the latest report, managed money is short silver by a ratio of 1.16:1, which is a complete reversal from the previous week when they were long by 1.02:1. Two weeks ago managed money was long silver by a ratio of 1.24:1 and three weeks ago by a ratio of 4.12:1, which was the high reading for 2015. 

We cannot recall a time in which managed money has ever been short silver and this includes 2014 when silver made a major low in the mid $14 range.

We have discovered that certain currency futures COT stats appear to be inaccurate and therefore we will not publish these. The currencies in question are the British pound, Swiss franc and dollar index. Once the inaccuracies have been resolved, we will publish the correct numbers.

Canadian dollar:

For the week, the September Canadian dollar lost 38 pips. The COT report revealed that leverage funds liquidated 3,904 of their long positions and also liquidated 389 of their short positions. As of the latest report, leverage funds are short the Canadian dollar by a ratio of 3.06:1, which is a jump from the previous week of 2.17:1, and slightly above the ratio of two weeks ago of 3.03:1.

Australian dollar:

For the week, the September Australian dollar lost 1.10 cents. The COT report revealed that leverage funds liquidated 2,092 of their long positions and added 29 to their short positions. As of the latest report, leverage funds are short the Australian dollar by a ratio of 2.41:1, which is a large jump from the previous week of 1.58:1, and slightly above the ratio of two weeks ago of 2.30:1.

Swiss Franc:

For the week, the September Swiss franc loss 2.31 cents.

British Pound:

For the week, the September British pound lost 1.48 cents.

Euro:

For the week, the September euro lost 1.94 cents. The COT report revealed that leverage funds liquidated 16,020 of their long positions and also liquidated 3,354 of their short positions. As of the latest report, leverage funds are short the euro by a ratio of 1.97:1, which is an increase from the previous week of 1.52:1, but down from the ratio two weeks ago of 3.18:1.

Yen:

For the week, the September yen lost 78 pips. The COT report revealed that leverage funds liquidated 25,405 contracts of their long positions and liquidated 2,193 of their short positions. As of the latest report, leverage funds are short the yen by a ratio of 7.00:1, which is a 150% increase from the previous week of 3.01:1, and above the ratio of two weeks ago of 5.93:1.

Dollar index:

For the week, the September dollar index advanced 1.38 points.

For the month of June through June 26, the September British pound is the out performer with a gain of 2.84%, September euro +1.65%, September Canadian dollar +1.05%, September Swiss franc +0.61%, September yen +0.14%, September Australian dollar -0.37%, September dollar index -1.56%.

Thus far in the second quarter, the September British pound is the out performer with a gain of 5.97%, September Swiss franc +4.11%, September euro +3.80%, September Canadian dollar +2.94%, September Australian dollar +0.53%, September dollar index -3.06%, September yen -3.29%.

S&P 500 (250 x):

For the week, the September S&P 500 futures contract lost 2.00 points. The COT report revealed that leverage funds liquidated 6,456 of their long positions also liquidated 10,848 of their short positions. As of the latest report, leverage funds are short the S&P 500 futures contract by a ratio of 1.13:1, which is down from the previous week of 1.51:1 and the ratio two weeks ago of 1.56:1.

S&P 500 E mini: On June 23 the September S&P 500 E mini generated a short-term buy signal, which reversed the June 8 short-term sell signal. The September S&P 500 E mini remains on intermediate-term buy signal.

10 Year Treasury Note:

For the week, the September 10 year note lost 1-18. The COT report revealed that leverage funds added 31,190 contracts to their long positions and liquidated 1,999 of their short positions. As of the latest report, leverage funds are short the 10 year note by a ratio of 1.51:1, which is down from the previous week of 1.69:1, but up from the ratio of two weeks ago of 1.32:1.