To The Moon

Futures traders, come on over. Today we’re continuing our look at the COT data released by the CFTC.

In previous sessions, I also added some off-exchange flow data for context, such as ETF fund-flow data. Today, we’re not just covering the CFTC numbers; we’ll also go through The Flow Show data.

Before we begin, let’s clarify two concepts: what exactly are the CFTC data and The Flow Show?

In commodity futures research, exchange-traded activity can be understood as trading standardized futures contracts. The exchange sets the rules, including contract size, quality specifications, delivery month, and delivery location, and the clearinghouse handles centralized clearing. ETFs, which most people are familiar with, are also exchange-traded instruments, so they belong to the on-exchange market rather than the OTC market. OTC generally refers to trades privately negotiated between counterparties, such as certain forward contracts or customized rollover structures. It’s important not to confuse this with the distinction between the primary and secondary markets.

Now let me explain what the CFTC data actually are. The CFTC report focuses on positioning in futures markets, and the positions are divided into reportable and non-reportable positions. Reportable positions are further split into commercial and non-commercial positions. A simple way to think about commercial positions is that they are held by industrial capital, such as mines, smelters, manufacturers, and other commercial entities. Non-commercial positions are primarily speculative positions, such as those held by asset managers. Non-reportable positions generally represent smaller speculators.

The Flow Show, on the other hand, is not an official database. It is a weekly flow and asset-allocation framework published by BofA’s strategy team, with Michael Hartnett as its best-known representative. At its core, it pulls together EPFR fund-flow data, changes in BofA private client asset allocation, and some of BofA’s own internal indicators.

When we combine CFTC data with The Flow Show, we can use a very practical framework: first, use The Flow Show to see whether broader fund flows support a given asset; then use the CFTC data to check whether that direction has already become overcrowded in the futures market.

For example, if The Flow Show shows continued inflows into gold funds, that tells us the asset-allocation crowd is buying gold-related products. If the CFTC data also show that speculative net longs in gold are still rising, that suggests large players in the futures market are bullish on gold as well. In that case, the probability of further upside in gold becomes much higher. But we still need to be careful: if CFTC net longs are already at very elevated levels, then the market becomes more vulnerable to a pullback. Once a macro headline hits, such as a ceasefire or the reopening of the Strait, prices can move very quickly.

There isn’t that much data in The Flow Show, so let’s run through it quickly first.

Let me quickly summarize the data here. The report was released on March 14, with data current through March 12.

We can see that flows across major asset classes are still moving into equities and bonds, while gold is also attracting inflows. Risk appetite has clearly cooled, and capital is shifting away from broad-based equity buying toward a more cautious allocation to bonds and gold.

With that in mind, let’s move on to the CFTC data.

First, let’s look at the big picture.

The percentile indicator for total open interest shows how much overall market interest there is in a given contract. The higher the reading, the hotter that commodity is. That said, this indicator does not tell us the direction of price. It only helps identify which products are more likely to see a meaningful move. From the chart, the most active opportunities are mainly in the soybean complex. One surprising point is that ICE cotton has a higher total-position percentile than crude oil. That’s something worth watching.

$彭博棉花分类指数总收益ETN-iPath(BALTF)$ $棉花ETN-iPath(BAL)$ $豆油主连 2605(ZLmain)$ $微型大豆主连 2605(MZSmain)$ $小大豆主连 2605(XKmain)$

Next is the commercial net positioning ratio.

This metric tracks the share of net long positions held by producers and merchants. Under normal circumstances, the number is negative, because producers typically hedge spot exposure by shorting futures, so their shorts are usually larger than their longs. When this number turns positive, it means producers are becoming net buyers. That is often a sign that prices may be bottoming, because the people who understand the industry best are starting to turn bullish.

Now let’s look at the non-commercial net positioning ratio.

The main focus here is agricultural products. The soybean complex is clearly the hottest area right now. Soybeans, soybean oil, and soybean meal are all near the top, which suggests capital is not focused on just one contract. Instead, money is trading the entire soybean complex as a group.

Next is the non-commercial COT indicator.

What exactly is the non-commercial COT indicator?

In simple terms, it measures how bullish or bearish large speculative money currently is. “Non-commercial” mainly refers to funds, asset managers, and speculative institutions, so this indicator is useful for gauging how hot market sentiment really is.

What we can see is that market sentiment has become highly divided recently, and this is especially obvious in agricultural products.

Soybean oil and soybeans are currently the two hottest contracts. Soybean oil, in particular, is already close to the point where it feels like everyone is chasing the trade, and soybeans are not far behind.

Below is a breakdown of positioning by product:

Gold $黄金主连 2604(GCmain)$ $微黄金主连 2604(MGCmain)$ $1盎司黄金主连 2604(1OZmain)$

Silver $2倍做多白银ETF-ProShares(AGQ)$ $白银主连 2605(SImain)$

Copper $COMEX铜主连 2605(HGmain)$

Crude oil $WTI原油主连 2605(CLmain)$ $小原油主连 2605(QMmain)$

Soybean oil $豆油主连 2605(ZLmain)$

Soybeans $大豆主连 2605(ZSmain)$ $小大豆主连 2605(XKmain)$ $大豆2603(ZS2603)$

CFTC positioning summary:

For the week ended March 10, CFTC data showed that speculative net long positions in COMEX gold increased by 1,383 contracts to 102,236 contracts. Speculative net long positions in COMEX copper futures fell by 723 contracts to 47,732 contracts, while speculative net long positions in COMEX silver rose by 2,407 contracts to 9,721 contracts.

For the week ended March 10, oil speculators increased net long positions in WTI crude by 17,596 contracts to 115,448 contracts. Speculative net long positions across the four major natural gas contracts on NYMEX and ICE increased by 16,364 contracts to 92,774 contracts.

For the week ended March 10, net short positions in the Swiss franc stood at 41,092 contracts, net short positions in the British pound stood at 84,197 contracts, net long positions in the euro stood at 105,144 contracts, and net short positions in the Japanese yen stood at 41,387 contracts.

For the week ended March 10, equity fund managers reduced net long positions in CME S&P 500 index contracts by 102,773 contracts to 894,003 contracts. Equity fund speculators cut net short positions in CME S&P 500 index contracts by 57,269 contracts to 341,911 contracts.

For the week ended March 10, speculators reduced net short positions in CBOT 10-year U.S. Treasury futures by 119,624 contracts to 534,883 contracts. Speculators also reduced net short positions in CBOT 2-year U.S. Treasury futures by 305 contracts to 1,338,236 contracts.

Speculators increased net long positions in CBOT U.S. Treasury futures by 21,772 contracts to 42,037 contracts. Meanwhile, speculators increased net short positions in CBOT ultra-long U.S. Treasury futures by 34,408 contracts to 290,102 contracts.

For the week ended March 10, CBOT wheat speculators increased net short positions by 6,300 contracts to 65,604 contracts. CBOT corn speculators added 65,901 contracts, flipping into a net long position of 121,385 contracts. CBOT soybean speculators increased net long positions by 12,186 contracts to 135,650 contracts.

For the week ended March 10, ICE cocoa speculators increased net short positions by 5,439 contracts to 33,372 contracts. ICE cotton speculators reduced net short positions by 9,793 contracts to 33,488 contracts. ICE sugar speculators reduced net short positions by 24,720 contracts to 213,094 contracts, while ICE coffee speculators increased net long positions by 4,200 contracts to 7,696 contracts.