A look at commodity models

As promised, here are the CTA proxy models for some select commodity markets.   Unsurprisingly, they tend to err towards the long side (consistent with the dollar short noted in the FX section), though there's a bit more differentiation given the idiosyncratic supply/demand factors that impact commodity prices.  Anyhow, on with the show:

Gold:


Silver:



WTI- note the proximity of stops around the $34 area, as discussed last week:



Brent: 


Nat gas- the market still looks short this one but is closing in on flipping long, having triggered some stops the last few days:



Copper:


Wheat- the market looks short and about to flip long:


Corn:  

Soybeans:


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Anonymous
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March 30, 2016 at 4:50 PM ×

New follower - can you explain what is in these models, or link to another blog post where you've explained it? Thanks,

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Anonymous
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March 30, 2016 at 5:19 PM ×

so long bond given up yesterdays pop....if long bond continues lower expect bid in usd to come back and given recent dumpfest in the usd move post could reverse very quickly here

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washedup
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March 30, 2016 at 5:44 PM ×

anon 5:19 - while I follow the logic with short term rates, why do u think the long bond trades negatively correlated with the dollar? Is it just empirical or do you have a theory to explain it?

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Leftback
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March 30, 2016 at 6:00 PM ×

LB hasn't given up on a resurgence in USD. Fear of Friday's NFP number might start as early as overnight tonight in FX trading and we may see the same in the long bond as well. A blockbuster jobs number would make a lot of people uncomfortable.

The other trade we still like here is short GDX, as well as short XLE and CLK6, Dame Janet's recent cooing notwithstanding. Short AUDUSD hasn't exactly showered us with riches yet, but that pair is really over-extended. UUP calls are very cheap!

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Nico G
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March 30, 2016 at 9:24 PM ×

back to equities: i don't think they'll be able to paint end of quarter higher than today on Spoos. because that is just what it is, to put lipstick on US equities portfolios for Q1 which provokes intense, primary ejaculation from dipsters

we still have lower highs in Europe which continues to perform like a normal, unbuybacked market. Remember my obsession and relentless posting on buybacks last year. This paramount issue in US markets has finally become the darling of the blogosphere

anyway - i doubled Europe short to an unreasonable level. And shorted a clip of spoos on close for good orders. When the swine have stopped fucking around with end of quarter i expect 6% correction on spoos and 10% on Europe

April will test the resolve of both camps. Good luck

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Macro Man
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March 30, 2016 at 9:30 PM ×

@ Anon 4.50

There was a very brief description here.

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MrBeach
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March 30, 2016 at 9:59 PM ×

Untangling the cause/effect of Fed/Dollar/EM/China/Oil/BoJ/ECB/PBoC has become once again impossibly hard.

Thinking short term - as in the next 3 months - I think we're nearing the end of short covering off the Jan/Feb lows. Dame Yellen frightened and juiced the markets a bit again yesterday. And we may very fell get another minor slug up after the start of April. But where is sustained demand for risk going to come from now?

USD dropped today. Yet oil did not rise. AFAIK, no central bank is directly buying oil futures. To confuse metaphor and message: oil is the canary in the coal mine. Short of global demand returning like gangbusters, where will oil price go in the near future?

I'm currently short EM, short S&P and long Europe (for a trade).

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Whammer
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March 30, 2016 at 10:00 PM ×

@MM, your link doesn't work, has an inadvertent quotation mark.

Should be this: http://macro-man.blogspot.com/2016/03/was-that-it.html

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Anonymous
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March 30, 2016 at 10:39 PM ×

@Nico,

My ideal short entry is still weeks away based on the belief that the top would always look like a "m". Good luck on your bet.

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Anonymous
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March 31, 2016 at 3:13 AM ×

Nico --

At what point will bears give up and go long? I ask this because 1) CBs are making it clear they will do ZIRP and -ve at all costs, and 2) contrarian managers have to run a business.

As an example, Hugh Hendry flips and becomes bullish at end 2013. What I took from this was that his returns from 2009 to 2015 were nothing to write home about. His AUM has also dropped substantially from 2009/2010. I think his bullish turn has as much to do w/ running a business than seeing the 'reality' of things.

If enough managers do this - flipping to long to avoid fighting the CBs and to avoid AUM decline - you could say that this is another catalyst for risk assets to rise.

I think that as time goes on the pain for bears is greater than their ability to hold the line and they may have no choice but to go long because the psychological exhaustion is real and is limited.

Not looking for an answer but I'm sure you probably thought about this as well...

















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Anonymous
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March 31, 2016 at 6:43 AM ×

Anon 313 You speak as if nico represents all bears, better you look at sentiment indicators and surveys. Nico is just one trader just like jbtfd is just one trader.

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Anonymous
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March 31, 2016 at 11:34 AM ×

A slower PM following up here on a key MM para from a couple days ago that he couldn't shake:
"The notion that large swathes of the domestic economy might be relatively insensitive to changes in the global environment and short term swings in interest rates was apparently one that she did not care to countenance."
Imho the FOMC's sensitivity to mkt pricing is waaayyy too high and sets dangerous precedents. Mkt vol is 3-5x higher than real econ. Continuous pricing is not a fking panacea for anything except econometrician's modelling dreams.
This goes for a lot of things: stop obsessing about the noise and look for the signal.

Also MM, dunno if you saw this, PBOC discloses short in fwds for 1st time:
http://www.pbc.gov.cn/diaochatongjisi/resource/cms/2016/03/2016033116401144806.xls

We've got some bulls vs bears action here in the comments, but who are the pigs getting slaughtered I wonder?
Cheers, JL

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Macro Man
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March 31, 2016 at 12:47 PM ×

Thanks, JL. $29 bio....a rounding error!

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