Upload
julien-allera
View
217
Download
0
Embed Size (px)
Citation preview
7/31/2019 Cftc March 21 2010
1/12
PETRO com
The contents of this document is for informational purposes only and is not an offer to sell or a solicitation to buy any futures contract, option,security, or derivative including foreign exchange. Trading in futures, securities, options or other derivatives, and OTC products entails significant
risks which must be understood prior to trading and may not be appropriate for all investors
This document can not be received without subscribing to Petromatrix. Please contact [email protected]
1
March 21th
2010
WEEKLY CFTC ANALYSIS
1) Large Speculators in Energy
The CFTC week covers until the close of Tuesday March 16 th. The price of WTI (April)increased slightly by +0.21 $/bbl during the CFTC week and total Open Interest on WTI(all platforms) increased by +8606 contracts.
The aggregate net length of Large Speculators in WTIFutures (ICE and NYMEX) increased slightly by about+7800 contracts. Thechange was mostly onthe long side (about
+6800 contracts) whilethere was littlemovement on the shortside.
The net delta Options length in WTI increased by
about +3000 contracts and on a combined basis theFutures + Options Delta Net increased by about+10800 net contracts and is getting closer to thepeaks of early 2010.
Looking at thespeculativepositions byTrading Platforms, there was an increase of net lengthin NYMEX Physical (about +14900 contracts) and onNYMEX Financial (about + 1400 contracts) while onICE Financial there was a decrease of about -8500contracts of net length.The increase of net length in NYMEX Physical was forthe most part through the addition of fresh length (about+13400 contracts) while there was not much change of
shorts (about -1400 contracts). The small movement inNYMEX Financial was mainly due to the reduction ofshorts (about -1400 contracts) while there waspractically no change of length (about -40 contracts). InICE Financial, the change was mainly through thereduction of length (about -6600 contracts) while there
was a rather small increase of shorts (about +1800 contracts). Overall, the net lengthexposure in NYMEX Physical was increased while the net short position in NYMEXFinancial and the net length position in ICE Financial were both reduced.
Nymex WTI Net Futures Speculative Length
-100'000
-50'000
0
50'000
100'000
150'000
200'000
7-Jan
28-Jan
14-Feb
11-Ma
r
1-Ap
r
22-Ap
r
13-May
3-Jun
24-Jun
15-Ju
l
5-Aug
26-Aug
16-Sep
7-Oc
t
28-Oc
t
18-No
v
9-Dec
30-Dec
2006 2007 2008 2009 2009 incl ICE 2010
Weekly change in Speculative WTI Futures positions
-50'000
-40'000
-30'000
-20'000
-10'000
010'000
20'000
30'000
40'000
1-Sep
15-S
ep
29-S
ep
13-O
ct
27-O
ct
10-N
ov
24-N
ov8-D
ec
22-D
ec5-
Jan
19-Jan
2-Fe
b
16-F
eb2-M
arLong
Short
Speculative Funds WTI Futures+Options Delta Net
-30'000
20'000
70'000
120'000
170'000
220'000
1-Jan 26-Feb 22-Apr 17-Jun 12-Aug 7-Oct 2-Dec
2007 2008 2009 2010
NET Large Speculators position in WTI Futures by Trading
Platform
-40'000
-20'000
0
20'000
40'000
60'000
80'000100'000
120'000
140'000
Nym ex Physi ca l Nym ex Fi na nci al I CE Fi na nci al
Weekly Change in NET Large Speculators position in WTIFutures by Trading Platform
-10'000
-7'500
-5'000
-2'500
0
2'500
5'000
7'500
10'000
12'500
15'000
17'500
20'000
Nym ex Physi ca l Nym ex Fi na ncia l I CE Fi na ncia l
7/31/2019 Cftc March 21 2010
2/12
PETRO com
The contents of this document is for informational purposes only and is not an offer to sell or a solicitation to buy any futures contract, option,security, or derivative including foreign exchange. Trading in futures, securities, options or other derivatives, and OTC products entails significant
risks which must be understood prior to trading and may not be appropriate for all investors
This document can not be received without subscribing to Petromatrix. Please contact [email protected]
2
The most active category on a net basis was the LargeSpeculators (about +7700 contracts). Second was theCommercials (about -4300 contracts), followed by the
Small Speculators (about -2100 contracts) and the SwapDealers (about -1300 contracts). The Large Speculatorsadded primarily length (about +6800 contracts) andreduced shorts (about -1000 contracts), leading to anincrease of their net long exposure by about +7800contracts. The Commercials increased their net shortexposure (about -4300 contracts) by adding more shorts(about +26000 contracts) than length (about + 21700contracts). However, the Small Speculators reduced theirnet long exposure by about -2100 contracts because thereduction of length was higher (about -11730 contracts)
than the reduction of shorts (about -9600 contracts). Thesame is true for the Swap Dealers. Their reduction on thelong side (about -12400 contracts) was slightly higher than the one on the short side
(about -11000 contracts) which resulted in a smallreduction of net length (about -1300 contracts).
In the Number of Traders on NYMEX WTI Physical, eightLarge Speculators joined the long side while the number oftraders on the short side remained on the same level. Theincrease in the numbers of Large Traders on the long sidecontinues and the number is now getting close to the peak
seen in the October rally
In Heating Oil the Large Speculators were the most activecategory on a net basis, but that remains relative since therewas very little activity in Heating Oil. Large Speculatorsincreased length (about +1900contracts) as well as shorts(about +3500 contracts)leading to a small reduction oftheir net long exposure ofabout -1600 contracts. The
Swap Dealers were inactive. The Commercials increasedlength (about +11100 contracts) as well as shorts (about+10400 contracts), leading to a small decrease of their netshort exposure (about -700 contracts). The Small Speculatorshad on a net basis hardly any change to their position becausethey added almost the same amount of contracts on the longside as on the short side (both about +2100 contracts).
Net Positions in WTI crude oil
-350'000
-300'000
-250'000
-200'000
-150'000
-100'000
-50'000
0
50'000
100'000
150'000
200'000
Comm erci al s S wa p De al ers La rge
Speculators
Small
Speculators
Number of Firms in the WTI Physical Large
Speculators Category by Position Type
60
70
80
90
100
110
120
130
140
6-Jan-09
27-J
an-09
17-F
eb-09
10-Ma
r-09
31-Ma
r-09
21-A
pr-09
12
-May-09
2-Ju
n-09
23-J
un-09
1
4-Jul-
09
4
-Aug
-09
25
-Aug
-09
15-
Sep-09
6-Oct-0
9
27-O
ct-09
17-N
ov-09
8-De
c-09
29-D
ec-09
19-J
an-10
9-Fe
b-10
2-Ma
r-10
Long Short
Nymex HeatOil Net Speculative Length
-20'000
-10'000
0
10'000
20'000
30'000
40'000
50'000
60'000
7-Jan
28-Jan
14-Feb
11-Mar
1-Apr
22-Apr
13-May
3-Jun
24-Jun
15-Jul
5-Aug
26-Aug
16-Sep
7-Oct
28-Oct
18-Nov
9-Dec
30-Dec
2005 2006 2007 2008 2009 2010
Net Positions in Heating Oil
-150'000
-100'000
-50'000
0
50'000
100'000
Commercials Swap Dealers Large
Speculators
Small
Speculators
Weekly HO Futures Position change by Category
-5'000
-2'500
0
2'500
5'000
Commercials Swap Dealers Large
Speculators
Small
Speculators
Weekly WTI Futures Position change by Category
-10'000
-5'000
0
5'000
10'000
15'000
Commercia ls Swa p
Dealers
Large
Speculators
Small
Speculators
7/31/2019 Cftc March 21 2010
3/12
PETRO com
The contents of this document is for informational purposes only and is not an offer to sell or a solicitation to buy any futures contract, option,security, or derivative including foreign exchange. Trading in futures, securities, options or other derivatives, and OTC products entails significant
risks which must be understood prior to trading and may not be appropriate for all investors
This document can not be received without subscribing to Petromatrix. Please contact [email protected]
3
In RBOB Gasoline, the Large Speculators and theCommercials were on a net basis the most activecategories. They were followed by the Swap Dealers while
the Small Speculators was the least active category duringthis CFTC week. Themovement by the LargeSpeculators was mostlydue to the increase oflength (about +4800
contracts) and the decrease of shorts (about -2200contracts). This led to an increase of net length ofabout 7000 contracts. The Commercials added moreshorts (about +18200 contracts) than length (about+10500 contracts), resulting in an increase of their
net short exposure of about 7700 contracts. InGasoline, as in Heating Oil, the Swap Dealers wereinactive. The Small Speculators added about the sameamount of length (about +1900 contracts) as ofshorts (about +1800 contracts). The number of LargeTraders on the speculative long side in RBOBGasoline increase by 5 Traders during the CFTCweek and the net length held by Large Speculators inRBOB Gasoline is now higher than at the peaks of January and has reached a new alltime high.
The Large Speculators increased their net short position in NYMEX NatGas Futures byabout 12400 contracts and are net short by about -187000 contracts. On a combinedbasis in NYMEX Futures and Swaps-On-Futures, the net short position increased byabout 23200 contracts. Altogether, when accounting for the net speculative positions inICE Swaps-on-Futures, the aggregated NYMEX + ICE speculative net long positiondecreased remarkably by about -30000 contracts, resulting in a net long position ofabout +34000 contracts. Natural Gas prices have suffered some heavy losses since earlyFebruary and the price erosion corresponds very precisely to the timeframe where LargeSpeculators have been liquidating their net length in Natural Gas Futures and Swaps. Asof last Tuesday the Large Speculators still had 34000 contracts to liquidate beforebecoming fully neutral on their Natural Gas net length.
Nymex Gasoline Net Speculative Length
0
10'000
20'000
30'000
40'00050'000
60'000
70'000
80'000
90'000
7-Ja
n
28-Ja
n
14-Feb
11-Mar
1-Ap
r
22-Apr
13-May
3-Ju
n
24-Ju
n
15-Jul
5-Au
g
26-Aug
16-S
ep7-
Oct
28-O
ct
18-N
ov
9-De
c
30-D
ec
2005 2006 2007 2008 2009 2010
Weekly RBOB Futures Position change by Category
-10'000
-7'500
-5'000
-2'500
0
2'500
5'000
7'500
10'000
Commercials Swap
Dealers
Large
Speculators
Small
Speculators
Net Positions in RBOB Gasoline
-150'000
-100'000
-50'000
0
50'000
100'000
Commercials Swap Dealers Large
Speculators
Small
Speculators
Natural Gas Net Speculative Length
Futures +Henry Hub Swaps (Position Adjusted to NG size)
-100'000
-50'000
0
50'000
100'000
150'000
3- Jan 7- Feb 14 -M ar 18 -A pr 23 -M ay 27 -Jun 1 -A ug 5 -Sep 10- Oct 14- No v 19- Dec
2007 2008 2009 2010 excl.ICE 2010 Including ICE
Natural Gas FUTURES Net Speculative Length
-200'000
-150'000
-100'000
-50'000
0
50'000
3-Jan 7-Fe b 14-Ma r 18-Ap r 23-May 27-Ju n 1 -Au g 5 -Se p 10-Oct 14-No v 1 9-De c
2007 2008 2009 2010
7/31/2019 Cftc March 21 2010
4/12
PETRO com
The contents of this document is for informational purposes only and is not an offer to sell or a solicitation to buy any futures contract, option,security, or derivative including foreign exchange. Trading in futures, securities, options or other derivatives, and OTC products entails significant
risks which must be understood prior to trading and may not be appropriate for all investors
This document can not be received without subscribing to Petromatrix. Please contact [email protected]
4
Overall, the aggregate net speculative positions in oil(Crude, Heating Oil and Gasoline) increased morethan last week but still at a relatively slow pace and
were mainly driven by increases in Crude andGasoline. The speculative net length in Gasoline hasreached a new all timehigh .In Crude oil thespeculative net length isgetting closer to the highof earlier this year while
on spreads the positions were left unchanged versus theprevious week. On Natural Gas the Large Speculators havebeen driving prices lower as they have been liquidating theirnet length since the first weeks of February; they are however
now getting closer to a full neutral net position in Natural Gas.
16-Mar 9-MarCFTC Large Speculators Net Positions
NET NETWeekly change
NYMEX WTI Crude Futures Physical 124'143 109'314 14'829
NYMEX WTI Crude Futures Financial -12'887 -14'268 1'381
ICE WTI Crude Futures Financial 6'310 14'778 -8'468
WTI Crude Futures Net (NYMEX + ICE) 117'566 109'824 7'742
NYMEX WTI Physical Options Net Delta 84'382 81'310 3'072
Combined WTI Futures + Options Delta 201'948 191'134 10'814
NYMEX Brent Crude Oil Net -2'403 -616 -1'787
NYMEX Heating Oil Futures Net 23'192 24'798 -1'606
NYMEX European Gasoil Crack Net 810 740 70
NYMEX Gasoline Futures Net 77'871 70'855 7'016
NYMEX Natural Gas Futures (NG) Net -186'983 -174'569 -12'414
NYMEX Natural Gas Swaps (NN+NP) Net. 97'298 108'104 -10'806ICE Natural Gas Swaps 124'108 130'934 -6'826
NatGas Futures+Swaps (NG+NN+NP+ICE) 34'423 64'469 -30'046
Nymex WTI+HO+RBOB Net Speculative Length
-50'000
0
50'000
100'000
150'000
200'000
250'000
300'000
7-Ja
n
28-Ja
n
14-Feb
11-Mar
1-Ap
r
22-Apr
13-May
3-Jun
24-Ju
n
15-Jul
5-Au
g
26-Aug
16-Sep
7-Oc
t
28-O
ct
18-N
ov
9-De
c
30-D
ec
2005 2006 2007 2008 2009 2010
Speculative spread positions in WTI
200'000
250'000
300'000
350'000
400'000
450'000
6-
Jan
3-
Feb
3-
Mar
31-
Mar
28-
Apr
26-
May
23-
Jun
21-
Jul
18-
Aug
15-
Sep
13-
Oct
9-
Nov
8-
Dec
2008 2009 2010
7/31/2019 Cftc March 21 2010
5/12
PETRO com
The contents of this document is for informational purposes only and is not an offer to sell or a solicitation to buy any futures contract, option,security, or derivative including foreign exchange. Trading in futures, securities, options or other derivatives, and OTC products entails significant
risks which must be understood prior to trading and may not be appropriate for all investors
This document can not be received without subscribing to Petromatrix. Please contact [email protected]
5
ENERGY DISAGGREGATED CFTC REPORT
Net Futures Positions Net Delta Option Positions
16. Mrz 09. Mrz change 16. Mrz 09. Mrz change
Commercials Commercials
WTI NYMEX -232'275 -233'249 974 WTI NYMEX 22'061 21'723 338
WTI ICE -68'803 -63'542 -5'261 WTI ICE -161 -149 -12
HeatOil NYMEX -124'236 -124'894 658 HeatOil NYMEX -2'146 -1'640 -506
RBOB NYMEX -131'192 -123'484 -7'708 RBOB NYMEX -1'224 -919 -305
NatGas NYMEX -19'184 -24'399 5'215 NatGas NYMEX -270 -146 -124
Swap Dealers Swap Dealers
WTI NYMEX (P+F) 111'213 124'293 -13'080 WTI NYMEX (P+F) -103'783 -100'777 -3'006
WTI ICE 64'201 50'597 13'604 WTI ICE 61 96 -35
HeatOil NYMEX 80'089 79'159 930 HeatOil NYMEX 1'185 1'018 167
RBOB NYMEX 42'099 41'515 584 RBOB NYMEX 1'524 1'245 279
NatGas NYMEX 173'783 166'968 6'815 NatGas NYMEX -98'386 -96'650 -1'736
Large Speculators Large Speculators
WTI NYMEX (P+F) 109'875 95'046 14'829 WTI NYMEX (P+F) 84'382 81'311 3'071WTI ICE 6'310 14'778 -8'468 WTI ICE 68 24 44
HeatOil NYMEX 23'192 24'798 -1'606 HeatOil NYMEX 91 -275 366
RBOB NYMEX 77'871 70'855 7'016 RBOB NYMEX -833 -888 55
NatGas NYMEX -186'983 -174'569 -12'414 NatGas NYMEX 97'430 95'958 1'472
Small Speculators Small Speculators
WTI NYMEX (P+F) 11'187 13'910 -2'723 WTI NYMEX (P+F) -2'659 -2'256 -403
WTI ICE -1'708 -1'833 125 WTI ICE 32 30 2
HeatOil NYMEX 20'955 20'937 18 HeatOil NYMEX 871 897 -26
RBOB NYMEX 11'222 11'114 108 RBOB NYMEX 531 562 -31
NatGas NYMEX 32'384 32'000 384 NatGas NYMEX 1'226 838 388
Net Futures/Option Delta Positions
16. Mrz 09. Mrz changeCommercials
WTI NYMEX -210'214 -211'526 1'312
WTI ICE -68'964 -63'691 -5'273
HeatOil NYMEX -126'382 -126'534 152
RBOB NYMEX -132'416 -124'403 -8'013
NatGas NYMEX -19'454 -24'545 5'091
Swap Dealers
WTI NYMEX (P+F) 7'430 23'516 -16'086
WTI ICE 64'262 50'693 13'569
HeatOil NYMEX 81'274 80'177 1'097
RBOB NYMEX 43'623 42'760 863
NatGas NYMEX 75'397 70'318 5'079
Large SpeculatorsWTI NYMEX (P+F) 194'257 176'357 17'900
WTI ICE 6'378 14'802 -8'424
HeatOil NYMEX 23'283 24'523 -1'240
RBOB NYMEX 77'038 69'967 7'071
NatGas NYMEX -89'553 -78'611 -10'942
Small Speculators
WTI NYMEX (P+F) 8'528 11'654 -3'126
WTI ICE -1'676 -1'803 127
HeatOil NYMEX 21'826 21'834 -8
RBOB NYMEX 11'753 11'676 77
NatGas NYMEX 33'610 32'838 772
7/31/2019 Cftc March 21 2010
6/12
PETRO com
The contents of this document is for informational purposes only and is not an offer to sell or a solicitation to buy any futures contract, option,security, or derivative including foreign exchange. Trading in futures, securities, options or other derivatives, and OTC products entails significant
risks which must be understood prior to trading and may not be appropriate for all investors
This document can not be received without subscribing to Petromatrix. Please contact [email protected]
6
2) Open Interest and Volume Analysis in Energy
Daily Volume on WTI was steady and healthy during the week but the story of the week
is the surge of Open Interest seen Thursday in WTI NYMEX. On that day, Open Interestin WTI NYMEX increased by about +61000 contract which is clearly an a abnormaldaily pattern and would be an all time high in terms of daily increase. The number is solarge that we want to treat it with some caution and wait another day for a confirmation tomake sure that this is not due to an accounting mistake by the NYMEX. Until aconfirmation later today we will however have to take it at face value and consider thatthere was a surge of Open Interest just as WTI was testing previous highs in price andthat the surge of Open Interest has contributed to renewed price pressure on WTI.
Is the surge of Open Interest on WTI NYMEX linked to renewed producer hedging theday after the OPEC meeting and at prices that areapproaching strong resistance levels? We can not be sure
of that yet but we still note that the increase of OpenInterest on Thursday was on May, Jun, Jul, Aug as wellas a strong increase on Dec11 rather than purely on thefront trading month. That pattern would correspond moreto hedging than to speculative flows; hence at this stagewe will have a bias to link that surge of Open Interest tohedging flows. For the Large Speculators this surge ofOpen Interest at 83 $/bbl is bad news as it indicates that there is significant layers ofinterest wanting to be short at these higher price levels while the Large Speculators arereaching the peak of their known investment capacity.
Open Interest in Brent continues to steadily increase andreached on Thursday a new all time high. On a combinedbasis for all crude oilcontracts (Brent andWTI, NYMEX and ICE)total Open Interest is nowonly 2000 contract shortof the all time high recordset in 2007.
WTI Physical Intra-month Volume
100'000
200'000
300'000
400'000
500'000
600'000
700'000
800'000900'000
1'000'000
1'100'000
1'200'000
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22
Sep Oct Nov Dec Jan Feb Mar
WTI Physical Intra-month Open Interest
1'100'000
1'200'000
1'300'000
1'400'000
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22
Sep Oct Nov Dec Jan Feb Mar
Weekly change in Crude Open Interest ALL contracts
-5'000
0
5'000
10'000
15'000
20'000
25'000
30'000
35'000
40'000
Jun-10
Jul-1
0
Aug-10
Sep-10
Oct-1
0
Nov-10
Dec-10
Dec-11
Dec-12
Dec-13
Dec-14
Dec-15
Dec-16
WTI BRENT
Nymex and ICE Open Interest in Crude
900'000
'000'000
'100'000
'200'000
'300'000
'400'000
'500'000
'600'000
'700'000
Jan-07 May-07 Sep-07 Jan-08 Jun-08 Oct-08 Feb-09 Jul-09 Nov-09
Nymex Open Interest WTI ICE Open Interest (WTI+Brent)
Open Interest all crudes (Nymex+ICE)
2'000'000
2'100'000
2'200'000
2'300'000
2'400'000
2'500'000
2'600'000
2'700'000
2'800'000
2'900'000
3'000'000
Jan-
07
Mar-
07
Jun-
07
Sep-
07
Dec-
07
Mar-
08
Jun-
08
Sep-
08
Nov-
08
Feb-
09
May-
09
Aug-
09
Nov-
09
Feb-
10
7/31/2019 Cftc March 21 2010
7/12
PETRO com
The contents of this document is for informational purposes only and is not an offer to sell or a solicitation to buy any futures contract, option,security, or derivative including foreign exchange. Trading in futures, securities, options or other derivatives, and OTC products entails significant
risks which must be understood prior to trading and may not be appropriate for all investors
This document can not be received without subscribing to Petromatrix. Please contact [email protected]
7
In products, Open Interest in RBOB Gasolinecontinues to grow at a very strong level and is
catching up to the levels of Open Interest in HeatingOil. Speculative interest in RBOB, as shown in theCFTC data, is extreme and together with the surgeof Open Interest in RBOB Futures this shouldtranslate into upcoming higher volatility inGasoline. On Gasoline positions we would run riskscenarios with some stress test on volatility ratherthan purely use historical volatility.
All products together (ie crude and products,NYMEX and ICE) the total Open Interest in oil
commodities is at a new record high, at anequivalent of 4 billion barrels.
There were insignificant changes in the holdings ofthe USO and the UNG during the week. The WTIApril NYMEX contract expires tomorrow(Monday).
Total Open Interest Thursday to Thursday 18 March 10 11 Mar 10 ChangeICE Gasoil 559872 573523 -13651
ICE Brent 882280 871815 +10465
NYMEX Brent (BB) 35124 36155 -1031
TOTAL BRENT 917404 907970 +9434
ICE WTI 520199 516696 +3503
NYMEXWTI Financial 133592 131052 +2540
NYMEXWTI Physical 1403466 1372094 +31372
TOTAL WTI 2057257 2019842 +37415
US Gulf Coast Sour Crude Oil (MB) 150 150 unch
NYMEX Heating Oil 329435 322838 +6597
NYMEX RBOB Gasoline 322935 299378 +23557
NYMEX Natural Gas (NG) 843155 866906 -23751
NYMEX Natural Gas Swaps (NN+NP) Adjusted 1000820 985252 +15568
NYMEX OPTION CALL WTI 2244833 2425773 -180940
NYMEX OPTION PUT WTI 2034334 2183525 -149191
Open Interest ALL Petroleum in '000 bbls equivalent
All WTI, Brent, HO, RBOB, ICE Gasoil
2'800'000
3'000'000
3'200'000
3'400'000
3'600'000
3'800'000
4'000'000
4'200'000
Jan-
07
Mar-
07
Jun-
07
Sep-
07
Dec-
07
Mar-
08
Jun-
08
Sep-
08
Dec-
08
Mar-
09
Jun-
09
Sep-
09
Dec-
09
Mar-
10
7/31/2019 Cftc March 21 2010
8/12
PETRO com
The contents of this document is for informational purposes only and is not an offer to sell or a solicitation to buy any futures contract, option,security, or derivative including foreign exchange. Trading in futures, securities, options or other derivatives, and OTC products entails significant
risks which must be understood prior to trading and may not be appropriate for all investors
This document can not be received without subscribing to Petromatrix. Please contact [email protected]
8
3) Overall conclusions on Investment Flows in Energy
Our conclusion last week was that the net speculative length in WTI would be about
unchanged by Friday 12th
. The actual number came out ata modest increase of +7700 net contract by Tuesday 16thMarch, an increase that is fully explained by the priceincrease between the 12th and the 16th.The correlation between crude oil prices and speculativepositions remains relatively strong and by the close ofFriday (19th ) the net speculative length in WTI should belower by about 9000 net contracts.
Large Speculators havecontinued to add to their
net length in WTI andRBOB Gasoline but theCFTC data is still notproviding any indicationthat the Swap Dealers arestepping in to take the relayin the buying frenzy. The
Large Speculators are holding near record net length inGasoline and WTI and have not been able to trigger anysignificant short covering. To the contrary, the surge ofOpen Interest in WTI on Thursday needs to be a strongwarning sign to the Large Speculators. Very significant layers of Interest are willing tocome on the short side on the approach of 85 $/bbl while Large Speculators are at thepeak of their known investment capacity.
Speculative liquidation in Natural Gas has contributedto a 25 % drop in Natural Gas prices since mid-February and the risk of speculative liquidation in crudeoil is increasing as prices are not able to break throughthe resistance levels but are instead attracting higherselling interest.
Net Position wee kly change of Large Speculators
-15'000
-10'000
-5'000
0
5'000
10'000
15'000
20'000
WTI NYMEX
(P+F)
WTI ICE HeatOil
NYMEX
RBOB NYMEX NatGas
NYMEX
Net Position weekly change of Swap Dealers
-15'000
-10'000
-5'000
0
5'000
10'000
15'000
20'000
WTI NYMEX
(P+F)
WTI ICE HeatOil
NYMEX
RBOB NYMEX NatGas
NYMEX
Net Position weekly change of Small Speculators
-15'000
-10'000
-5'000
0
5'000
10'000
15'000
20'000
WTI NYMEX WTI ICE HeatOil
NYMEX
RBOB NYMEX NatGas
NYMEX
Net Position weekly change of Commercials
-15'000
-10'000
-5'000
0
5'000
10'000
15'000
20'000
WTI NYMEX WTI ICE HeatOil
NYMEX
RBOB NYMEX NatGas
NYMEX
Speculative Funds WTI Futures Net Position vs Flat Price
-10'000
10'000
30'000
50'000
70'000
90'000
110'000
130'000
150'000
4-Aug
18-Aug
1-Sep
15-S
ep
29-S
ep
13-O
ct
27-O
ct
10-N
ov
24-N
ov
8-De
c
22-D
ec5-J
an
19-Jan
2-Fe
b
16-F
eb2-M
ar
16-M
ar65
67
69
71
73
75
77
79
81
83
Speculative Fund's net position WTI $/bbl
Net Crude Oil WTI Physical Futures
-100'000
-50'000
0
50'000
100'000
150'000
200'000
250'000
Jan-08
Feb-08
Apr-08
May-08
Jun-08
Aug-08
Sep-08
Oct-08
Dec-08
Jan-09
Mar-09
Apr-09
May-09
Jul-09
Aug-09
Sep-09
Nov-09
Dec-09
Feb-10
Mar-10
Sw ap De al er s Lar ge S pe cu lat or s
Increase of net speculative positions in WTI by
week from start of rallies
-40'000
-20'000
0
20'000
40'000
60'000
80'000
100'000
1 2 3 4 5 6 7 8 9 10
Oct Rally, 29 Sep base Dec Rally, 15 Dec base
Feb Rally, 09 Feb base
7/31/2019 Cftc March 21 2010
9/12
PETRO com
The contents of this document is for informational purposes only and is not an offer to sell or a solicitation to buy any futures contract, option,security, or derivative including foreign exchange. Trading in futures, securities, options or other derivatives, and OTC products entails significant
risks which must be understood prior to trading and may not be appropriate for all investors
This document can not be received without subscribing to Petromatrix. Please contact [email protected]
9
4) Investment flows in other Commodity markets
In the Index positions (for the commoditiescurrently offered in the CFTC Index Fundssurvey), there were inflows into most of thecommodities with focus on Live Cattle,Wheat, Sugar and Corn. However, there wasa significant outflow in Soybean Oil and theinflows were not large enough to draw anyapparent trend.
In Gold the net length held by Large Speculatorsdecreased by about -7300 contracts. This wasmainly through the addition of shorts (about
+5500 contracts) while there was lessmovement on the long side (about -1800contracts).
The net position held by Large Speculators inthe Dollar Index decreased slightly (about -7100 contracts) mainly because of lengthliquidation (about -5900 contracts)
Index positions (% change vs End-Dec 2009)
-40%
-30%
-20%
-10%
0%
10%
20%
30%
5-Jan
12-Ja
n
19-Ja
n
26-Ja
n2-Fe
b9-Fe
b
16-F
eb
23-F
eb2-Ma
r
9-Ma
r
16-M
ar
Wheat CBOT Corn Soybeans Co tton Lean Hogs Live Ca tt le Sugar
WTI-Risk-Adjusted weekly Change in Index positions.
-7'000
-6'000
-5'000
-4'000
-3'000
-2'000
-1'000
0
1'000
2'000
3'000
4'000
LiveC
attle
WheatC
BOT
Suga
rCo
rn
Cotto
n
Coffe
eC
Lean
Hogs
Feed
erCattl
eCo
coa
WheatK
CBOT
Soyb
eans
Soyb
eanO
il
Large Speculators net length in Gold CMX
50'000
100'000
150'000
200'000
250'000
300'000
8-Jan
8-Feb
8-Mar
8-Apr
8-May
8-Jun
8-Jul
8-Aug
8-Sep
8-Oct
8-Nov
8-Dec
2008
2009
2010
Net Large Speculators Position DOLLAR INDEX Futures
-20'000
-10'000
0
10'000
20'000
30'000
40'000
50'000
8-Jan
8-Feb
8-Mar
8-Apr
8-May
8-Jun
8-Jul
8-Aug
8-Sep
8-Oct
8-Nov
8-Dec
2008 2009 2010
Large Speculators in the Dollar Index Futures
0
10'000
20'000
30'000
40'000
50'000
60'000
Jan-08
Feb-0
8
Apr-0
8
May-08
Jun-0
8
Aug-08
Sep-08
Oct-0
8
Dec-08
Jan-09
Mar-0
9
Apr-0
9
May-09
Jul-0
9
Aug-09
Sep-09
Nov-0
9
Dec-09
Feb-1
0
Mar-1
0
LONG
SHORT
7/31/2019 Cftc March 21 2010
10/12
PETRO com
The contents of this document is for informational purposes only and is not an offer to sell or a solicitation to buy any futures contract, option,security, or derivative including foreign exchange. Trading in futures, securities, options or other derivatives, and OTC products entails significant
risks which must be understood prior to trading and may not be appropriate for all investors
This document can not be received without subscribing to Petromatrix. Please contact [email protected]
10
AGRICULTURE DISAGGREGATED CFTC REPORT
Net Futures Positions Net Delta Option Positions
16. Mrz 09. Mrz change 16. Mrz 09. Mrz changeCommercials Commercials
WHEAT CBOT -110'361 -113'501 3'140 WHEAT CBOT -5'112 -6'418 1'306
CORN -342'677 -359'857 17'180 CORN 13'085 6'899 6'186
SOYBEAN -84'282 -86'753 2'471 SOYBEAN 2'620 2'957 -337
SOY OIL -125'963 -135'217 9'254 SOY OIL -5'563 -6'734 1'171
LIVE CATTLE -149'382 -146'285 -3'097 LIVE CATTLE -24'404 -22'823 -1'581
Swap Dealers Swap Dealers
WHEAT CBOT 174'990 173'271 1'719 WHEAT CBOT 1'577 1'513 64
CORN 384'818 382'140 2'678 CORN 7'938 8'202 -264
SOYBEAN 141'079 139'345 1'734 SOYBEAN 213 591 -378
SOY OIL 97'890 103'886 -5'996 SOY OIL 809 1'339 -530
LIVE CATTLE 100'582 97'796 2'786 LIVE CATTLE 4'502 3'931 571
Large Speculators Large Speculators
WHEAT CBOT -43'775 -37'526 -6'249 WHEAT CBOT 4'417 5'426 -1'009
CORN 87'268 110'261 -22'993 CORN -3'381 2'259 -5'640
SOYBEAN -3'433 2'286 -5'719 SOYBEAN 2'006 1'081 925
SOY OIL 20'891 21'386 -495 SOY OIL 3'883 4'356 -473
LIVE CATTLE 93'700 92'074 1'626 LIVE CATTLE 28'287 26'701 1'586
Small Speculators Small Speculators
WHEAT CBOT -20'854 -22'244 1'390 WHEAT CBOT -881 -520 -361
CORN -129'409 -132'544 3'135 CORN -17'640 -17'360 -280
SOYBEAN -53'364 -54'878 1'514 SOYBEAN -4'838 -4'628 -210
SOY OIL 7'182 9'945 -2'763 SOY OIL 871 1'040 -169
LIVE CATTLE -44'900 -43'585 -1'315 LIVE CATTLE -8'385 -7'810 -575
Net Futures/Option Delta Positions
16. Mrz 09. Mrz changeCommercials
WHEAT CBOT -115'473 -119'919 4'446
CORN -329'592 -352'958 23'366
SOYBEAN -81'662 -83'796 2'134
SOY OIL -131'526 -141'951 10'425
LIVE CATTLE -173'786 -169'108 -4'678
Swap Dealers
WHEAT CBOT 176'567 174'784 1'783
CORN 392'756 390'342 2'414
SOYBEAN 141'292 139'936 1'356
SOY OIL 98'699 105'225 -6'526
LIVE CATTLE 105'084 101'727 3'357
Large Speculators
WHEAT CBOT -39'358 -32'100 -7'258
CORN 83'887 112'520 -28'633
SOYBEAN -1'427 3'367 -4'794
SOY OIL 24'774 25'742 -968
LIVE CATTLE 121'987 118'775 3'212
Small Speculators
WHEAT CBOT -21'735 -22'764 1'029
CORN -147'049 -149'904 2'855
SOYBEAN -58'202 -59'506 1'304
SOY OIL 8'053 10'985 -2'932
LIVE CATTLE -53'285 -51'395 -1'890
7/31/2019 Cftc March 21 2010
11/12
PETRO com
The contents of this document is for informational purposes only and is not an offer to sell or a solicitation to buy any futures contract, option,security, or derivative including foreign exchange. Trading in futures, securities, options or other derivatives, and OTC products entails significant
risks which must be understood prior to trading and may not be appropriate for all investors
This document can not be received without subscribing to Petromatrix. Please contact [email protected]
11
SOFTS DISAGGREGATED CFTC REPORT
Net Futures Positions Net Delta Option Positions
16. Mrz 09. Mrz change 16. Mrz 09. Mrz change
Commercials Commercials
COTTON -104'874 -104'571 -303 COTTON -27'661 -25'490 -2'171
COCOA -29'006 -30'169 1'163 COCOA 270 144 126
SUGAR 11 -113'744 -120'350 6'606 SUGAR 11 18'038 20'721 -2'683
COFFEE C -46'747 -47'606 859 COFFEE C -723 521 -1'244
LUMBER -5'445 -5'602 157 LUMBER -102 -116 14
Swap Dealers Swap Dealers
COTTON 55'644 55'232 412 COTTON -145 -398 253
COCOA 9'117 9'487 -370 COCOA -189 -199 10
SUGAR 11 -68'618 -57'022 -11'596 SUGAR 11 884 245 639
COFFEE C 36'688 36'204 484 COFFEE C 37'107 36'644 463
LUMBER 2'017 2'020 -3 LUMBER 0 0 0
Large Speculators Large Speculators
COTTON 38'702 38'503 199 COTTON 27'582 25'370 2'212COCOA 20'560 21'432 -872 COCOA -343 -243 -100
SUGAR 11 171'353 163'449 7'904 SUGAR 11 -20'439 -23'559 3'120
COFFEE C 9'450 10'566 -1'116 COFFEE C -381 -1'696 1'315
LUMBER 3'057 3'212 -155 LUMBER 132 121 11
Small Speculators Small Speculators
COTTON 10'528 10'836 -308 COTTON 223 518 -295
COCOA -671 -750 79 COCOA 262 297 -35
SUGAR 11 11'009 13'923 -2'914 SUGAR 11 1'516 2'593 -1'077
COFFEE C 609 836 -227 COFFEE C 685 735 -50
LUMBER 371 370 1 LUMBER -30 -4 -26
Net Futures/Option Delta Positions
16. Mrz 09. Mrz change
Commercials
COTTON -132'535 -130'061 -2'474
COCOA -28'736 -30'025 1'289
SUGAR 11 -95'706 -99'629 3'923
COFFEE C -47'470 -47'085 -385
LUMBER -5'547 -5'718 171
Swap Dealers
COTTON 55'499 54'834 665
COCOA 8'928 9'288 -360
SUGAR 11 -67'734 -56'777 -10'957
COFFEE C 73'795 72'848 947
LUMBER 2'017 2'020 -3
Large Speculators
COTTON 66'284 63'873 2'411
COCOA 20'217 21'189 -972
SUGAR 11 150'914 139'890 11'024
COFFEE C 9'069 8'870 199
LUMBER 3'189 3'333 -144
Small Speculators
COTTON 10'751 11'354 -603
COCOA -409 -453 44
SUGAR 11 12'525 16'516 -3'991
COFFEE C 1'294 1'571 -277
LUMBER 341 366 -25
7/31/2019 Cftc March 21 2010
12/12
PETRO com
The contents of this document is for informational purposes only and is not an offer to sell or a solicitation to buy any futures contract, option,security, or derivative including foreign exchange. Trading in futures, securities, options or other derivatives, and OTC products entails significant
risks which must be understood prior to trading and may not be appropriate for all investors
This document can not be received without subscribing to Petromatrix. Please contact [email protected]
12
COMEX METALS DISAGGREGATED CFTC REPORT
Net Futures Positions Net Delta Option Positions
16. Mrz 09. Mrz change 16. Mrz 09. Mrz change
Commercials Commercials
SILVER -51'893 -50'187 -1'706 SILVER -543 -518 -25
COPPER -57'627 -57'516 -111 COPPER 409 454 -45
GOLD -145'726 -159'555 13'829 GOLD -7'166 -5'765 -1'401
Swap Dealers Swap Dealers
SILVER 3'885 4'388 -503 SILVER -401 -277 -124
COPPER 40'464 40'552 -88 COPPER 4 0 4
GOLD -96'569 -92'232 -4'337 GOLD -11'959 -12'120 161
Large Speculators Large Speculators
SILVER 34'856 35'165 -309 SILVER -5 -127 122COPPER 19'004 18'278 726 COPPER -324 -370 46
GOLD 200'346 208'194 -7'848 GOLD 16'933 15'443 1'490
Small Speculators Small Speculators
SILVER 13'152 10'634 2'518 SILVER 949 923 26
COPPER -1'841 -1'314 -527 COPPER -89 -85 -4
GOLD 41'949 43'593 -1'644 GOLD 2'191 2'443 -252
Net Futures/Option Delta Positions
16. Mrz 09. Mrz change
Commercials
SILVER -52'436 -50'705 -1'731
COPPER -57'218 -57'062 -156
GOLD -152'892 -165'320 12'428
Swap Dealers
SILVER 3'484 4'111 -627
COPPER 40'468 40'552 -84
GOLD -108'528 -104'352 -4'176
0 0
0 0
Large Speculators
SILVER 34'851 35'038 -187
COPPER 18'680 17'908 772
GOLD 217'279 223'637 -6'358
Small Speculators
SILVER 14'101 11'557 2'544
COPPER -1'930 -1'399 -531
GOLD 44'140 46'036 -1'896