On June 30, the USDA will release its quarterly grain stocks and acreage report. We recommend that all grain positions be liquidated prior to the report.

This week’s COT report covers the period from June 18 – June 24.

Soybeans:

For the week, July soybeans advanced 16.25 cents, August +16.50, new crop November -3.50. The COT report revealed that managed money liquidated 2,539 contracts of their long positions and added 5,422 contracts to their short positions. Commercial interests added 3,554 contracts to their long positions and liquidated 3,781 contracts of their short positions. As of the latest report, managed money is long soybeans by ratio of 1.90:1, which is below last week’s ratio of 2.09:1 and dramatically below the ratio of 2 weeks ago of 2.94:1.

Soybean meal:

For the week, July soybean meal advanced $10.60, August +7.50, new crop December -5.90. The COT report revealed that managed money liquidated 6,104 contracts of their long positions and added 3,277 contracts to their short positions.Commercial interests added 5,260 contracts to their long positions and liquidated 3,342 contracts of their short positions. As of the latest report, managed money is long soybean meal by ratio of 3.26:1, which is down significantly from the previous week of 4.09:1 and the ratio of 2 weeks ago of 4.67:1.

Soybean oil: On June 23, August soybean oil generated a short-term buy signal, but remains on an intermediate term sell signal.

For the week, July soybean oil lost 15 points, August – 10, new crop December +35. The COT report revealed that managed money added 3,222 contracts to their long positions and liquidated 14,257 contracts of their short positions. Commercial interests liquidated 13,880 of their long positions and added 6,605 contracts to their short positions.As of the latest report, managed money is long soybean oil by ratio of 1.08:1, which is a complete reversal from the previous week when they were short by ratio of 1.19:1 and the ratio of 2 weeks ago when managed money was short by 1.28:1.

Corn:

For the week, July corn lost 10.25 cents, September -6.00, new crop December -4.75. The COT report revealed that managed money added 1,825 contracts to their long positions and also added 24,770 contracts to their short positions. Commercial interests liquidated 2,624 contracts of their long positions and also liquidated 35,048 contracts of their short positions. As of the latest report, managed money is long corn by a ratio of 1.68:1, which is down from the previous week of 1.93:1 and the ratio of 2 weeks ago of 2.07:1.

Chicago wheat:

For the week, July Chicago wheat closed unchanged, September +0.50 cents, December -3.00 cents. The COT report revealed that managed money liquidated 9,784 contracts of their long positions and added 13,060 contracts to their short positions. Commercial interests liquidated 1,140 contracts of their long positions and also liquidated 5,349 contracts of their short positions. As of the latest report, managed money is short Chicago wheat by ratio of 1.57:1, which is up from the previous week of 1.21:1 and the ratio of 2 weeks ago of 1.20:1.

Kansas City wheat:

For the week, July Kansas City wheat gained 5.25 cents, September +4.00, December +3.50. The COT report revealed that managed money added 2,947 contracts to their long positions and also added 2,479 contracts to their short positions. Commercial interests liquidated 1,093 contracts of their long positions and added 1,716 contracts to their short positions. As of the latest report, managed money is long Kansas City wheat by ratio of 2.57:1, which is down slightly from the previous week of 2.82:1 and the ratio of 2 weeks ago of 2.95:1.

Thus far in the 2nd quarter, August soybean meal is the out performer with a gain of 2.43%, August soybeans +1.25%, August soybean oil -0.91%, September Kansas City wheat -6.33%, September corn -11.90%, September Chicago wheat -6.23%.

Year to date, August soybean meal is the out performer with a gain of 14.81%, August soybeans +11.62%, September Kansas City wheat +10.02%, August soybean oil +0.45%, September corn -0.28%, September Chicago wheat -5.23%.

Cotton:

For the week, December cotton lost 2.23 cents, March 2015 -1.95, May 2015-1.71. The COT report revealed that managed money liquidated 2,473 contracts of their long positions and also liquidated 1,457 contracts of their short positions. Commercial interests liquidated 16,200 contracts of their long positions and also liquidated 18,319 of their short positions. As of the latest report, managed money is long cotton by ratio of 2.67:1, which is up slightly from the previous week of 2.59:1 and up substantially from the ratio of 2 weeks ago of 2.09:1.

Sugar #11:

For the week, October sugar lost 43 points, March 2015 -22, May 2015-16. The COT report revealed that managed money added 29,607 contracts to their long positions and liquidated 43,785 contracts of their short positions. Commercial interests liquidated 5,360 contracts of their long positions and added a massive 72,187 contracts to their short positions. As of the latest report, managed money is long sugar by ratio of 3.19:1, which is up dramatically from the previous week of 1.64:1 and the ratio of 2 weeks ago of 1.84:1.

The current ratio is the highest since the COT tabulation date of May 20 when managed money was long sugar by ratio of 3.38:1.

As usual managed money rushed into the sugar market and dramatically increased their net long exposure at the top of the trading range. Since most CTA’s use computer-generated signals, they continually get bamboozled by false breakouts even when markets are range bound. The October chart and the sugar continuation chart reveal that the market has been trading in a wide consolidation pattern since early March. Very importantly, the spread action in sugar is decidedly bearish and has been since the October 2014-March 2015 spread topped out on March 7 when it closed at a 48 point premium to March 2015. Since then, the March premium has widened to October, and on Friday closed at its highest level (1.17 premium to March) going back to July 1, 2013.We see no reason to be involved in the sugar market

Coffee:

For the week, September coffee lost 2.95 cents, December -2.95, March 2015 -2.95. The COT report revealed that managed money liquidated 294 contracts of their long positions and also liquidated 676 contracts of their short positions. Commercial interests liquidated 4,159 contracts of their long positions and also liquidated 2,160 contracts of their short positions. As of the latest report, managed money is long coffee by ratio of 6.54:1, which is up from the previous week of 6.01:1 (the lowest ratio since the beginning of the bull market in late January 2014), and the ratio of 2 weeks ago of 6.31:1.

Cocoa:

For the week, September cocoa gained $27.00, December +26.00, March 2015 +25.00. The COT report revealed that managed money added 2,444 contracts to their long positions and liquidated 493 contracts of their short positions. Commercial interests liquidated 774 contracts of their long positions and added 16 contracts to their short positions. As of the latest report, managed money is long cocoa by ratio of 4.29:1, which is up from the previous week of 4.09:1 and the ratio of 2 weeks ago of 4.25:1.

Thus far in the 2nd quarter, September cocoa is the out performer with a gain of 5.31%,October sugar -1.24%, September coffee -5.22%, December cotton -6.44%.

Year to date, September coffee is the out performer with a gain of 47.29%, September cocoa +14.88%, October sugar +7.45%, December cotton -4.56%.

Live cattle:

For the week, August cattle advanced 4.80 cents, October +5.20, December +4.12. The COT report revealed that managed money added 2,868 contracts to their long positions and also added 3,774 contracts to their short positions. Commercial interests liquidated 1,038 contracts of their long positions and added 109 contracts to their short positions. As of the latest report, managed money is long live cattle by ratio of 9.35:1, which is down significantly from the previous week of 12.51:1, and the ratio of 2 weeks ago of 15.37:1.

Remarkably, the current ratio is the lowest since the COT tabulation date of January 28, 2014 when managed money was long cattle by ratio of 9.28:1.

Lean hogs:

For the week, August lean hogs advanced 67 points, October +1.18 cents, December -95. The COT report revealed that managed money added 2,227 contracts to their long positions and liquidated 1,470 contracts of their short positions. Commercial interests liquidated 4,152 contracts of their long positions and also liquidated 3,041 contracts of their short positions. As of the latest report, managed money is long hogs by ratio of 8.08:1, which is up from the previous week of 6.63:1 and the ratio of 2 weeks ago of 6.47:1.

Thus far in the 2nd quarter, August cattle is the out performer with a gain of 12.32%, August hogs +5.06%.

Year to date, August hogs is the out performer with a gain of 33.74%, August cattle +18.14%.

WTI crude oil:

For the week, August WTI crude oil lost $1.09, September -93, October -76. The COT report revealed that managed money liquidated 6,198 contracts of their long positions and added 3,096 contracts to their short positions. Commercial interests added 3,180 contracts to their long positions and liquidated 5,391 contracts of their short positions. As of the latest report, managed money is long WTI crude oil by ratio of 9.52:1, which is down from the previous week of 10.55:1 and the ratio of 2 weeks ago of 13.20:1.

The current ratio is the lowest since the COT tabulation date of April 1, 2014 when managed money was long WTI crude oil by ratio of 7.51:1.

Heating oil:

For the week, August heating oil lost 5.50 cents, September -5.42, October -5.30. The COT report revealed that managed money added 6,452 contracts to their long positions and liquidated 6,328 contracts of their short positions. Commercial interests added 8,257 contracts of their long positions and also added 22,110 contracts to their short positions. As of the latest report, managed money is long heating oil by ratio of 4.29:1, which is up dramatically from the previous week of 2.47:1 and the ratio of 2 weeks ago of 1.87:1.

The current ratio is the highest since the COT tabulation date of February 25, 2014 when managed money was long heating oil by ratio of 4.49:1.

Gasoline:

For the week, August gasoline lost 2.20 cents, September -1.93, October -1.84. The COT report revealed that managed money added 4,813 contracts to their long positions and also added 47 contracts to their short positions.Commercial interests added 10,582 contracts to their long positions and also added 13,081 contracts to their short positions. As of the latest report, managed money is long gasoline by ratio of 3.95:1, which is up from the previous week of 3.75:1 and the ratio of 2 weeks ago of 3.24:1.

Remarkably, managed money is heavily long heating oil more than gasoline. It is extremely rare to see heating oil with a higher percentage of longs versus shorts compared to gasoline during the summer driving season. Additionally, during the 2nd quarter and year to date, gasoline is outperforming heating oil. If this weren’t enough to get your head scratching, August gasoline made a new contract high of $3.1193 this week whereas heating oil is far from making a new contract high. The difference in performance between heating oil and gasoline becomes apparent when looking at the weekly charts, both current month and continuation.

Natural gas: On June 27, August natural gas generated a short and intermediate term sell signal.

For the week, August natural gas lost 14.3 cents, September -15.0, October -15.2. The COT report revealed that managed money liquidated 15,443 contracts of their long positions and added 2,031 contracts to their short positions. Commercial interests added 6,913 contracts to their long positions and liquidated 8,958 contracts of their short positions. As of the latest report, managed money is long natural gas by ratio of 1.27:1, which is down from the previous week of 1.35:1 and the ratio of 2 weeks ago of 1.33:1.

The current ratio is the lowest since the COT report of December 10, 2013 when managed money was long natural gas by ratio of 1.24:1. 

Thus far in the 2nd quarter, August gasoline is the out performer with a gain of 7.83%, August WTI crude oil +6.92%, August Brent crude oil +5.84%, August heating oil +2.68%, August natural gas -0.27%, August ethanol -3.69%.

Year to date, August ethanol is the out performer with a gain of 21.72%, August crude oil +10.59%, August gasoline +7.63%, August natural gas +6.54%, August Brent crude oil +4.41%, August heating oil -0.33%.

Copper: On June 23, September copper generated a short and intermediate term buy signal.

For the week, September copper gained 5.50 cents. The COT report revealed that managed money added 5,764 contracts to their long positions and liquidated 8,850 contracts of their short positions. Commercial interests liquidated 5,314 contracts of their long positions and added 3,469 contracts to their short positions. As of the latest report, managed money is long copper by ratio of 1.70:1, which is a complete reversal from the previous week when they were short by a ratio of 1.01:1. Two weeks ago, managed money was long copper by ratio of 1.19:1.

The current ratio is the highest since the COT report of June 3 when managed money was long by ratio of 1.74:1. OIA finds it remarkable that managed money allows themselves to be whipsawed by copper. All they have to do is look at the weekly charts to see that copper is range bound.

Palladium:

For the week, September palladium advanced $20.65. The COT report revealed that managed money added 973 contracts to their long positions and liquidated 572 contracts of their short positions. Commercial interests added 16 contracts to their long positions and also added 188 contracts to their short positions. As of the latest report, managed money is long palladium by ratio of 5.36:1, which is up substantially from the previous week of 4.60:1 and the ratio of 2 weeks ago of 5.10:1.

Platinum:

For the week, October platinum gained $22.10. The COT report revealed that managed money added 307 contracts to their long positions and liquidated 921 contracts of their short positions. Commercial interests liquidated 787 contracts of their long positions and also liquidated 632 contracts of their short positions. As of the latest report, managed money is long platinum by ratio of 15.00:1, which is up substantially from the previous week of 10.82:1 and the ratio of 2 weeks ago of 13.00:1.

Gold:

For the week, August gold advanced $3.40. The COT report revealed that managed money added 20,947 contracts to their long positions and liquidated 25,424 contracts of their short positions. Commercial interests liquidated 2385 contracts of their long positions and added 18,172 contracts to their short positions. As of the latest report, managed money is long gold by ratio of 3.88:1, which is double the previous week’s ratio of 1.89:1 and the ratio of 2 weeks ago of 1.52:1.

The current ratio is the highest since the COT report of May 6, 2014 when managed money was long gold by ratio of 4.15:1.

Silver:

For the week, September silver gained 14 cents. The COT report revealed that managed money added 5,892 contracts to their long positions and liquidated 12,377 contracts of their short positions.Commercial interests liquidated 2,616 contracts of their long positions and added 4,428 contracts to their short positions. As of the latest report, managed money is long silver by ratio of 2.38:1, which is nearly double the previous week’s ratio of 1.20:1. Two weeks ago, managed money was short silver by ratio of 1.11:1.

The current ratio is higher than the ratio of March 18, 2014 when managed money was long silver by ratio of 2.29:1, but is below the March 11 ratio of 2.85:1 derived from the March 11 report.

Thus far in the 2nd quarter, September palladium is the out performer with a gain of 8.18%, September silver +6.12%, September copper +4.59%, October platinum +4.07%, August gold +2.54%.

Year to date, September palladium is the out performer with a gain of 16.70%, August gold +9.34%, September silver +8.01%, October platinum +7.38%, September copper -5.96%.

Canadian dollar:

For the week, the September Canadian dollar advanced 82 pips. The COT report revealed that leveraged funds added 1,264 contracts to their long positions and liquidated 10,838 contracts of their short positions. As of the latest report, leveraged funds are short the Canadian dollar by ratio of 1.83:1, which is down dramatically from the previous week of 2.42:1, but above the ratio of 2 weeks ago of 1.59:1.

Australian dollar:

For the week, the September Australian dollar advanced 42 pips. The COT report revealed that leveraged funds added 4,041 contracts to their long positions and liquidated 2,517 contracts of their short positions. As of the latest report, leveraged funds are long the Australian dollar by ratio of 2.41:1, which is up from the previous week’s ratio of 2.07:1, but down from the ratio of 2 weeks ago of 2.57:1.

Swiss franc: On June 27, the September Swiss franc generated a short-term buy signal, but remains on an intermediate term sell signal.

For the week, the September Swiss franc gained 58 pips. The COT report revealed that leveraged funds liquidated 6,269 contracts of their long positions and added 2,597 contracts to their short positions. As of the latest report, leveraged funds are short the Swiss franc by ratio of 1.53:1, which is a complete reversal from the previous week when leveraged funds were long by ratio of 1.32:1. Two weeks ago, leveraged funds were short the Swiss franc by ratio of 1.76:1.

We think there may be an opportunity on the long side of the Swiss franc, especially since the dollar index has generated a short-term sell signal. The Swiss franc-euro cross has been trading positively for quite a while, and the moving averages are in a bullish set up with the 20 day moving average at .8209, 50 day .81 99, 200 day .81 68. Additionally, CHFEUR has closed higher each week beginning with the week of June 2. On Friday, the cross closed at .8223, therefore it is slightly overbought relative to its 20 day and 50 day moving averages. 

Open interest action in the Swiss franc has been positive and from June 19 through June 26, total open interest has increased by 1,953 contracts while the September Swiss franc gained 59 pips. This is very positive for prices moving forward, and indicates that speculative shorts are digging in.

On Friday, the September Swiss franc closed at 1.1229, which is below the 50 day moving average of 1.1242, but above the 20 day moving average of 1.1167. The close on Friday was the highest since May 15 (1.1247). Usually, after the generation of a buy signal, the market has a tendency to pullback from 1-3 days, but in this case it may not pullback much due to the current price being sandwiched between the 20 and 50 day moving averages. The September option strike of 1.12000 priced at $1537.50 on Friday is inexpensive and we think the risk at this juncture is low. Additionally, managed money is short the Swiss franc, and the vacillation between their being net long and net short indicates the likelihood of significant short covering as the market continues to move higher.The September Swiss franc should find strong support at 1.1170, and this should be used as an exit point for bullish positions.

British pound:

For the week, the September British pound advanced 10 pips. The COT report revealed that leveraged funds added 2,719 contracts to their long positions and liquidated 29 contracts of their short positions. As of the latest report, managed money is long the British pound by ratio of 3.32:1, which is up slightly from the previous week of 3.27:1 and down slightly from the ratio of 2 weeks ago of 3.37:1.

Euro:

For the week, the September euro advanced 53 pips. The COT report revealed that leveraged funds added 2,618 contracts to their long positions and also added 2,276 contracts to their short positions. As of the latest report, leveraged funds are short the euro by a ratio of 2.12:1, which is down slightly from the previous week of 2.20:1 and significantly below the ratio of 2 weeks ago of 2.85:1.

Yen:

For the week, the September yen gained 70 pips. The COT report revealed that leveraged funds liquidated 3,099 contracts of their long positions and also liquidated 4,750 contracts of their short positions. As of the latest report, leveraged funds are short the yen by ratio of 4.40:1, which is up from the previous week of 3.97:1 and the ratio of 2 weeks ago of 3.41:1.

Dollar index: On June 25, the September dollar index generated a short-term sell signal, but the cash dollar index remains on an intermediate term buy signal.

For the week, the September dollar index lost 36 points. The COT report revealed that leveraged funds added 803 contracts to their long positions and also added 1,909 contracts to their short positions. As of the latest report, leveraged funds are short the dollar index by ratio of 1.52:1, which is up slightly from the previous week of 1.47:1, but down dramatically from 2 weeks ago when leveraged funds were short by a ratio of 3.18:1.

From the June 22 Weekend Wrap:

“Although the ratio of shorts is the lowest that we have seen in a couple of months, it appears that the dollar index is getting close to generating a short-term sell signal. This will occur if the high for the day is below OIA’s key pivot point of 80.452..This has bullish implications for commodities and precious metals in particular. Additionally, the moving average set up is bearish for the cash dollar index with the 50 day moving average at 80.097, 100 day 80.104, 200 day 80.294.”

Thus far in the 2nd quarter, the September Canadian dollar is the out performer with a gain of 3.84%, September Australian dollar +2.23%, September British pound +2.17%, September yen +1.70%, September dollar index -0.43%, September Swiss franc -0.87%, September euro -0.91%.

Year to date, the September Australian dollar is the out performer with a gain of 6.78%, September yen +3.66%, September British pound +2.90%, September Canadian dollar +0.13%, September Swiss franc -0.43%, September dollar index -0.55%, September euro -1.04%.

S&P 500 (250 x):

For the week, the September S&P 500 futures contract lost 1.20 points. The COT report revealed that leveraged funds liquidated 3,207 contracts of their long positions and also liquidated 12,120 contracts of their short positions. As of the latest report, managed money is short the S&P 500 futures contract by ratio of 1.19:1, which is down dramatically from the previous week of 1.87:1 and below the ratio of 2 weeks ago of 1.37:1.

Thus far in the 2nd quarter, the NASDAQ 100 cash index is the out performer with a gain of 6.92%, S&P 500 cash index +4.73%, New York composite cash index +4.24%, S&P 400 cash index +3.49%, Dow Jones Industrial Average cash index +2.40%, Russell 2000 cash index +1.40%.

Year to date, the NASDAQ 100 cash index is the out performer with a gain of 7.03%, S&P 400 cash index +6.26%,S&P 500 cash index +6.09%, New York composite cash index +5.52%, Russell 2000 cash index +2.22%, Dow Jones Industrial Average cash index +1.66%.