Follow the Smart Money / COT Analysis

Hi everyone,

The latest Commitments of Traders review is out.

Mexican Peso
COT Change (52W) / C – 28%, LS – 27%, SS – 31% /
FTG Score / D -29.6, W -18, M -46.1 /
Huge change in Traders positions (bullish cot signal) and the stresses in the market are also becoming more and more bullish. Because of the FTG scores I’d be neglecting this market for now.

Swiss Franc
COT Extreme / C – 567, LS – 563 report, SS – All Time COT extreme /
FTG Score / D -38.6, W 10.2, M -14 /
The extreme became even greater than last week, but the price was unable to continue its decline. Maybe the downtrend is over? I’d be betting on that more… Since we have still a negative FTG score (daily), I may wait until it becomes positive.

Australian Dollar
COT Extreme / C - 119, LS – 118, SS - 120 report COT extreme /
FTG Score / D -22.3, W -12.2, M -33.1 /
Maybe not as large extreme as for CHF, but still big enough to consider taking a position on the LONG side. Same as in case of MXP and CHF, it would be nice to see supporting FTG scores.

All the best,
Dunstan

COT Charts
FOREX Trading
Futures Trading

New Zealand Dollar:
3 STD DEV above:Commercial Net change,Commercial Long additions,Commercial Longs.

In the image below the blue box represents the range which this latest report represents whereas the grey box is just a part of the range preceding the previous uptrend.This period of time also encapsulates New Zealand's most recent Monetary Policy decision and statement.

I managed to get out of many of my positions near the lows and trailed my stops on the others simply by chance. Although I'd very much like to see further continuation of the downtrend given that positions recently left their extremes,this rapid addition of Long Contracts by Commercials has me at the very least concerned about further price declines. Nonetheless, if price does in fact decline despite this addition, I suspect it will do so very rapidly over the coming weeks and will be loading up on shorts again.


New Report with Changes from previous version:

US Treasury Bonds,3M-EuroDollars,30 Day Federal Funds,S&P500,Dow Jones Industrial Average,Nikkei Index,EURGBP, Mexican Peso,Brazilian Real----now included.
Charts for all included contracts now filterable by date as opposed to being locked into the past 3 years[just need to filter the tables]
Formatting to show 1,2,3 Standard Deviations Above average for certain positions and changes.


Excel 2016 is recommended but 2013 will do if you get Microsoft's Power Query add-in. Otherwise you will lose functionality. If there are any questions,concerns or you simply can't open the document, please say so.
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Edit
DJIA and S&P 500 have been adjusted prior to the addition of consolidated contracts.
Also make sure charts are actually charting what they say they are and make sure the dates used on the chart are for the correct contract
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Edit .2
My apologies to the 6 of you that downloaded before 7:58 MDT 21/05/18. Changes have been made to fix the errors I could find above.

Hi everyone,

The latest Commitments of Traders review is out.

Sugar
COT Change (52W) / C – 27%, LS – 23%, SS – 21% /
FTG Score / D -42.4, W -48.9, M -3.5 /
Large bearish cot change signal combined with FTG scores that signal weakness in the market --> I am expecting a bit of pullback in prices. On the other hand we should not forget about the bullish cot extreme that triggered this rally and the fact that we are pretty far away from bearish extremes.

RBOB Gasoline
COT Extreme / C, LS – All Time COT extreme /
FTG Score / D 29.1, W 18.6, M -13.4 /
The All time bearish cot extreme in Gasoline suggest prices have reached their top, we should be seeing lower prices coming.

Swiss Franc
COT Extreme / LS – 564 report COT extreme /
FTG Score / D -39.6, W 5.1, M -5.9 /
The increase that we have witnessed suggests that the bullish cot extreme we have in the market may very well be successful.

All the best,
Dunstan

COT Charts
FOREX Trading
Futures Trading

In the weeks since my previous post I've taken the opportunity to increase my Long exposure on the NZD.
While Commercials and Non-Commercials aren't near their previous bearish extremes 5 weeks ago nor has a bullish indication shown up on indices that I use,I've taken a bullish NZD view given that Commercials Longs have recently dipped into statistically significant levels while the rate at which they had done so also increased drastically compared to previous weeks.
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Currently Net-positioning is rather neutral but in this most recent report there has been slight reversal that if continued into the following weeks would further support my views.

I'm curious as to what the rest of you think(I keep posting this but no one ever replies )

@MoshiM: good job!

Ehich tool do you use to craete all this?

Best regards,
renko

Excel 2016

And where do you get the data from?

cftc.gov

My thoughts on GBP:
Since the bearish extreme and subsequent liquidation of positions during the week of April 16th, the GBPUSD has fallen more than a thousand pips.
What troubles me about this drop is that although there has been a liquidation of Non-Commercial Long positions from 110k to 65k as of May 29 and addition up to 72k as of Jun 5th, there has been a meager response to their shorts from 60k to 65k as of June 5th. Now consider that through the existence of Non-Commercial Spreading which is the count of how many contracts NC have both long and Short and that if the same NC has 600 Longs and 300 Shorts ,then 300 Longs will appear under the long category and 300 under spreading spreading, then logically this would suggest that at any given time the members that constitute the outright long and short positions are mutually exclusive. Contextually this would suggest that NC shorts are not so convinced of the current downtrend that they are willing to largely increase their Short positions.
Similarly on the Commercial Side: Shorts were being liquidated up until the 22 of May (falling 9k contracts) after which 26k were added as of the June 5th report. While at the same time Longs have more than doubled.
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Now in the most recent report it can be seen that Open Interest has recently breached into 2 stdev above average whereas NC spreading is at the 3 representing 15% of total OI .There has also been a 3 stdev above average worthy addition of Commercial Longs but with addition of Shorts not far behind. All together this increase in Spreading could simply be a response to the current trade jitters but the large additions compared to last week in OI and Long/Short positions lead me to believe otherwise.
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Wrapping things up: Long term I still hold a bearish view on GBP but short to medium term I'm more inclined to start adding long positions. I'll be waiting until after contract expiry in 2 weeks in hopes that it provides more clarity or for something more compelling in the interim before I start doing so.



Any thoughts?
Also does anyone want the Traders In Financial Futures/Disaggregated reports (I've made some changes and additions to more closely match the Legacy report in functionality) or is the Legacy report I uploaded previously fine for everyone?

“Trade hopes and the end of easy money were the twin themes in trading on Wednesday, with U.S. stocks extending gains and bonds falling as this week’s risk-on mood endured.” (Bloomberg)
We think the market is too optimistic about trade wars being averted ad it certainly doesn't like they will at this moment in time. The main market story is will the ECB soon wind down their stimulus program?
“Next week, the Governing Council will have to assess whether progress so far has been sufficient to warrant a gradual unwinding of our net purchases. In making its assessment, it will consider the underlying strength of the euro area economy and the pass-through to wage and price formations,” (ECB Chief Economist Peter Praet)
They have to keep the market informed with guidance – it relies on certain conditions being met in terms of inflation which is still well below the ECB's target, growth and the ECB will be mindful that this is slowing and finally geopolitical considerations and Italy is now a major problem for the zone:
In Italy Prime Minister Giuseppe Conte comfortably won a confidence vote in the lower house of parliament, confirming his government’s majority and he's now able to enter tough negotiations with Europe over the economy migration etc. He is on a collision course with Brussels he wants to, of course, increase spending and increase debts further which is in violation of EU budget laws...
“The Italians have a government and it is doing what it said it would do In itself that should be normal, but in this case it is shocking to the idea of Europe as it has be constructed by Brussels, the German government, and the ECB/Bundesbank,” (John Taylor, president and founder of research firm Taylor Global Vision in New York)
He's totally right but the market is complacent about the problems ahead. Italy will have a difficult time finding buyers of its bonds if the ECB eventually stops purchasing debt Italy’s debt are about 130% of the country’s gross domestic product. Will the ECB wind down stimulus in September we don't think so they have to talk about it but the chances of them doing it are slim. The euro has mounted a short covering rally which we now think is going to come to an end.
“The scope for the Pound to rebound in the near-term is likely to remain capped by unfavourable Brexit developments in the month ahead. It appears increasingly unlikely that much progress will be made at the upcoming EU Leaders’ Summit," (Lee Hardman, Currency Analyst at MUFG.)
He's right the recent economic data out the Uk has been generally poor and rate hike expectations have been pushed back and EU negotiations simply won't go smoothly with the real sticking point being the Irish border problem which looks a huge sticking point. Brexit negotiations will keep sterling capped on rallies – we see the recent rally as a sell.
In terms of the commodity currencies – they will go down with commodity prices and crude has fallen and has far further to go on the downside.
“Oil prices fell on Wednesday on signs that Saudi Arabia and other big producers may increase production and following a surprise build in U.S. crude stockpiles. U.S. crude inventories rose 2.1 million barrels in the week to June 1, the Energy Information Administration said, a surprise after analysts had forecast a decrease of 1.8 million barrels.” (CNBC)
Crude oil is on our guest page this week and its falling nicely and will probably target 58.00 as the bullish extreme unwinds. In terms of the USD we see the dips as buying opportunities on all majors but the Yen. We expect the Yen to firm on its safe-haven status and also the fact its deeply oversold on what are currently solid fundamentals out of Japan

Keep up the good work MoshiM, your post are gold!

CAD
As of April 10,2018 Net Non-Commercials breached into the top 10% of all prior positions. From then until May 29,2018 they trended towards net long while Commercials went Short. This came as the CAD depreciated in value (+700 pips) which to me is a noteworthy role reversal. From a risk perspective the Canadian Economy faces the restructuring and even the removal of NAFTA . There is also the Trade War sentiment currently being perpetuated by Trump that needs to be taken account of. Currently, 6[Month] Indices are holding in bullish territory while 3[Year] Indices have stalled short of their bullish readings. This in itself may be an indication of a potential Long on the CAD despite the current sentiment. On the other hand these continued bullish readings in contrast with the movement in price may indicate the start of a long term trend like the Euro had.

As of June 5th Commercials reached 2 Standard deviations above average number of Long contracts while Non-Commercials despite not having a significant number of Individual contracts have reached 3 Standard deviations above average number of Spreaded Contracts. Important to note that since the anomaly starting on April 10th Non-Commercials have actually decreased their short positions by 20k and on net have not altered their long positions. Given the current environment this may represent a couple things : a need to hedge and forgo potential profits by locking in what they have already until the political environment settles down or in preparation for a move lower in the USDCAD. I won't pretend to know if it's Longs holding more Shorts or Shorts holding more Longs but at the very least it represents a significant interest in the other side of the market. From a Commercial perspective as noted before Longs have reached 2 STD above average and while Shorts are not even at 1 STD, they have increased at a faster pace than Longs hence the gradual shift lower in Net Commercial positions.

Given all this, for the moment I'm holding a bullish yet cautious view on the CAD primarily because of the current geo-political environment and an increased likelihood for Commercials to start Liquidating their Long positions.
Anyone else anxiously waiting for this weeks' report?
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Side note:I really wish there was an actual discussion going on and not just one-sided posts by Dunstan.

This will be the last time I upload links to the CoT documents as they are now larger than FF will allow. If you downloaded the previous then know that changes have been made. In the future I will just update the files in this dropbox folder every 2-3 weeks. I will not inform you if I make large changes to or update these documents. If I forget to update these files and you are new and interested in them during this intermission, then just send me a pm or wait until it has been updated. Instructions for updating these yourself are included in the readmes.
Furthermore I have added MS Access databases containing historical Futures and Options data for ALL contracts that the CFTC releases data for (not all of them are queried but you can easily do that on your own). Read both readmes before asking me any questions.If the answer is contained within and you are not asking for clarification, I will ignore you.
http://bit.ly/CFTCMM
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Hi everyone,

The latest Commitments of Traders review is out.

USD Index
COT Change (52W) / C – 47%, LS – 47% /
FTG Score / D 36.8, W -10.5, M 20.7 /
We are witnessing truly large changes in Traders position (bearish cot signal), but caution is advised for two reasons: The bullish cot extreme that lead us to this rally has still not decreased too much, FuturesTradingGuides scores indicate further positive signs in the market…

Platinum
COT Extreme / C – 606 report, LS – All Time COT extreme /
FTG Score / D -34.9, W -44.9, M -33.3 /
Platinum cot report is showing us a very bullish picture… The fact the Large Speculators are net short is “scary”, haven’t happened too many times in the past. FTG scores are still bearish which means patience could be needed / further decline in the short-medium term is likely.

Soybean Oil
COT Extreme / C,LS – 227 report COT extreme /
FTG Score / D -64.3, W -19.2, M -15.7 /
Similarly to Platinum, we have a significant bullish cot signal, but here the FTG system is indicating (especially in the short term – daily) a very bearish picture… I’d wait for FTG score values to at least settle down before I take any action.

All the best,
Dunstan

COT Charts
FOREX Trading
Futures Trading

NZDUSD as of June 19th
Commercial participants jumped from net -3621 to 20331 placing them within the top 1% of all prior positions and only a small net 3k contracts from all-time highs. This sudden jump in net positions is flag shipped by a massive removal of short positions(24k) and a slight removal of longs (500) for an overall [3 Standard Deviations Above Average] increase on net. I theorize this reflects an unwillingness by Commercials to hold Short hedges in anticipation of higher prices in the NZD ie: reasons to hedge against prices going lower are not as strong. In preparation for a possible upwards move it would seem that Commercials placed the large bulk of their longs from April 24 to May 22 which came as prices entered the previous consolidation period [OCT-DEC 2017] before prices headed upwards. Non-Commercials are now within the bottom 5% of all prior positions and have skipped the 10% indications all together. Meanwhile Non-Reportables have been within 0-10% of all-time lows for about 5 consecutive weeks now.


The ratio of NC Longs to shorts shifted from 56:44 to 32:68 (rather dramatic in my opinion). Commercial net position as a function of OI rests at 47% from the previous -6% with all indices now showing indications of a potential long.
{ Positions } -OI falls 20k,NC Longs fall 20k and no longer 1 std above average, NC short 30596 2 STD above average, no change in NC spreaded contracts, No significant movement in Commercial Longs but still firmly 2Std above average, Commercials Shorts fall to 5k from previous 30k now 1 std below average.

Perspective: Long NZD
Risks to outlook:
RBNZ rate statement June 27 and of course, Trump


I'm curious as to what the rest of you think

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Did you notice that all time bearish extreme in copper the week before last? Its quite likely that silver is headed down as well in my opinion.

I don't know... There has been an all time bullish extreme in silver not that long ago. Price did not react - yet (?). I'd rather sell copper than silver to be honest...

All the best,
Dunstan

I found that odd as well. Non-Commercials have been behaving properly since that extreme (removal of shorts,addition of longs) so the intent is definitely there but nothing noteworthy has happened except for how seemingly capped it is around $17. NC-longs are roughly 30kish away from me being more strongly bearish but if there is no push upwards before then, I might just ignore this market all together.

I agree with you... maybe not the best opportunity.

All the best,
Dunstan

Hi everyone,

The latest Commitments of Traders review is out.

Nasdaq-100
COT Change (52W) / C – 26%, LS – 22% /
FTG Score / D 35.4, W 35.1, M 25.5 /
The bearish cot change signal is telling us that prices will not be able to continue their rise early this week, but FTG Score 35.4 (Daily) is supporting higher prices. I would step away from Nasdaq for now…

Coffee
COT Extreme / C, LS – All Time COT extreme /
FTG Score / D -54.5, W -41.5, M -23.8 /
All Time cot extreme are always exciting to have in a market. Neither Commercials nor LS have held such big long/short positions in the cot History of Coffee. We can expect a major change in the trend. The only BIG question is “when”? For this, it is advisable to go into details and here is where FuturesTradingGuides comes handy. FTG scores are very bearish still which warns us to be patient with entry. I would wait for the system to show me a signs of strength before entry, or at least I would cautiously enter the market (scaling in the position).

Platinum
COT Extreme / C – 1030 report, LS – All Time COT extreme /
FTG Score / D -54.1, W -36.0, M -3.9 /
I have become very bullish with silver recently (prepared for the “everything bubble” to pop), so I was pretty satisfied to see Platinum producing this all time bullish cot extreme. If you open a longer chart for platinum, you can find that it has been approximately 15 years since LS were ne short in this market… unbelievable! This is a GREAT opportunity in precious metals! Similarly to my suggestion in Coffee, we might need to be patient, FTG scores are still very bearish.

All the best,
Dunstan

COT Charts
FOREX Trading
Futures Trading

Hi everyone,

The latest Commitments of Traders review is out.

USD Index
COT Change (52W) / C – 20%, LS – 18%, SS – 16% /
FTG Score / D 41.1, W -0.1, M 14.3 /
The larger than average change in Traders positions suggests that prices may fall in the short run, but looking at the extreme, I don’t see why the USD Index cannot continue the rise.

Coffee
COT Extreme / C, LS – All Time COT extreme /
FTG Score / D -43.8, W -39.2, M -25.6 /
The picture here is pretty much the same. COT data shows added stress to the market. FTG score have changed a bit since last week, showing modest signs that technical maybe slowly shifting the bullish bias that the cot report is indicating.

Swiss Franc
COT Extreme / C, LS – 577 report COT extreme /
FTG Score / D -21.4, W -40.9, M -4.5 /
Very large bullish stress in CHF suggesting higher prices are on the corner, but FTG scores warn caution, we may need to wait a few more days, possibly weeks. I think it is important to analyze all such currencies (measured in USD) together with the USD Index.

All the best,
Dunstan

COT Charts
FOREX Trading
Futures Trading