A case study of disaggregated Crude COT data and price
Based on the correlation matrix, Managed Money positioning change has a strong positive relationship with the price change of the past week (Table 1). In other words, they are price follower and buy crude futures as price goes up, and vice versa. Although the positioning change seems to have very little relationship over the entire history,
one-year rolling correlation shows that Swap Dealer positioning prediction power tends to rise as price goes up (Exhibit 1). And current rising Swap Dealer correlation points to upside risk for Crude. For details and methodologies, please read
Futures positioning across asset classes (CFTC data)
Equities
Asset Manager sold $2.5bn of S&P 500 long, added $1.5bm to NASDQ 100 long and increased Russell 2000 short by -$0.4bn last week. Leveraged Funds maintained S&P 500 short, covered $0.4bn of NASDAQ 100 short, and added -$0.5bn to Russell 2000 short. Asset Manager net positioning remains near three year low in US equities.
Leveraged Funds net positioning also near 3-year low in NASDAQ 100.
Interest Rates
Asset Manager sold $0.6bn of 30-year treasury futures, bought $1.2bn of 10-year and $0.4bn of 2-year. Leveraged Funds bought $0.8bn of 30-year and $0.8bn of 2-year, but sold $6.6bn of 10-year. Asset Manager net positioning in 2-year treasury made a new 3-year high.
FX - Leveraged Funds added $2.1bn to EURUSD short, increased JPYUSD long by $1bn, and covered $0.3bn of AUDUSD short last week. Asset Manager sold $1.5bn of EURUSD, bought $0.2bn of AUDUSD and $0.6bn of JPYUSD. Asset Manager net positioning in AUDUSD and Leveraged Funds net positioning in JPYUSD made a new 3-year high.
Metals –Managed Money sold $0.5bn of Gold, $0.5bn of Silver, but bought $0.4bn of Copper. Other Reportable bought $1.5bn of Gold, but sold $0.2bn of Silver and $0.5bn of Copper.
Energy – Managed Money bought $1.0bn of Crude future, Other Reportable decreased
long by $0.3bn. Producer/Merchant net positioning made a new 3-year low.