3 years correlation matrix
COT: The precious data ignored
COT: The precious data ignored
- #282
- Apr 18, 2020 2:54am Apr 18, 2020 2:54am
- Joined Jul 2007 | Status: Trader | 17,796 Posts
S&P500 weekly update
Kicking off the week end in quarantine with the S&P500 as usual
Here is the chart from the dealers. We can't see much the last data, but its above 0% for the first time in years.
What does it mean? i showed in the previous past what happened when delears were net long. It means bull market resume. Will it the same now? i have no ideas as i don't read the future. But the move is going strongly so far.
Here is the short side of the VIX dealers compared with S&P.
Chart speak for itself
Here is the short side of VIX asset managers compared to the S&P price.
Vix short side is not even increasing a bit, its like Assets managers are not seeing the VIX down, and they are wrong most of the time. Meaning S&P is going up so far
If there is something i wouldn't sell....is equities, especially when you have the FED printing unlimited cash + USA election end of the year + Trump as president
Kicking off the week end in quarantine with the S&P500 as usual
Here is the chart from the dealers. We can't see much the last data, but its above 0% for the first time in years.
What does it mean? i showed in the previous past what happened when delears were net long. It means bull market resume. Will it the same now? i have no ideas as i don't read the future. But the move is going strongly so far.
Here is the short side of the VIX dealers compared with S&P.
Chart speak for itself
Here is the short side of VIX asset managers compared to the S&P price.
Vix short side is not even increasing a bit, its like Assets managers are not seeing the VIX down, and they are wrong most of the time. Meaning S&P is going up so far
If there is something i wouldn't sell....is equities, especially when you have the FED printing unlimited cash + USA election end of the year + Trump as president
COT: The precious data ignored
- #283
- Apr 18, 2020 5:39am Apr 18, 2020 5:39am
- Joined Jul 2007 | Status: Trader | 17,796 Posts
CHF to fall ?
Here is a follow up of the previous week where i was selling CHF
Here are the dealers, they are very short CHF, on top mostly.
Assets managers are net long on top of this move. Its a bit late to be bullish no ?
I'll remaing short and keep shorting rallies on a weekly basis
Here is a follow up of the previous week where i was selling CHF
Here are the dealers, they are very short CHF, on top mostly.
Assets managers are net long on top of this move. Its a bit late to be bullish no ?
I'll remaing short and keep shorting rallies on a weekly basis
COT: The precious data ignored
- #284
- Apr 18, 2020 5:49am Apr 18, 2020 5:49am
- Joined Jul 2007 | Status: Trader | 17,796 Posts
Time to sell JPY pairs?
Dealers are net shorts, and increasing their short bets. I wouldn't go against them if they increase shorts on top
Asset managers are very long, their net longs want to go skyhigh and its not a smart idea for them to buy all in on top
Having a look at the shor side of the money managers, they are barely shorting. Which could lead to a fall in the JPY pairs
I'm not changing my view, and still shorting JPY rallies
Dealers are net shorts, and increasing their short bets. I wouldn't go against them if they increase shorts on top
Asset managers are very long, their net longs want to go skyhigh and its not a smart idea for them to buy all in on top
Having a look at the shor side of the money managers, they are barely shorting. Which could lead to a fall in the JPY pairs
I'm not changing my view, and still shorting JPY rallies
COT: The precious data ignored
- #285
- Apr 18, 2020 9:22am Apr 18, 2020 9:22am
- Joined Jul 2007 | Status: Trader | 17,796 Posts
EUR bulls in trouble ?
In the very first chart, i'll point out the short side of the assets managers. What worries me is that they have cleared most of their short bets. And Assets managers are not well known for picking the right direction. Well, they can pick the right direction if the move of the price coincide with the COT report.
So right now, they are very little short, which could help the bear case
This second chart is made by the EUR assets managers net positions and the USD assets managers net positions.
I have substacted the USD from the EUR and i got this chart.
From what we can see, its always the same story. Assets managers are very wrong on tops/bottom.
Lately it could mean we have a bit of a downside, so the assets managers can go short, then a big bounce ?
The coming weeks could have another risk off event, selling eur, chf, jpy, and buying usd (even though i'll mostly focus on CHF and JPY)
My only bullish bias would be on the canadian dollar and the mexican peso (either an Oil event coming, or a NAFTA thing, who knows)
In the very first chart, i'll point out the short side of the assets managers. What worries me is that they have cleared most of their short bets. And Assets managers are not well known for picking the right direction. Well, they can pick the right direction if the move of the price coincide with the COT report.
So right now, they are very little short, which could help the bear case
This second chart is made by the EUR assets managers net positions and the USD assets managers net positions.
I have substacted the USD from the EUR and i got this chart.
From what we can see, its always the same story. Assets managers are very wrong on tops/bottom.
Lately it could mean we have a bit of a downside, so the assets managers can go short, then a big bounce ?
The coming weeks could have another risk off event, selling eur, chf, jpy, and buying usd (even though i'll mostly focus on CHF and JPY)
My only bullish bias would be on the canadian dollar and the mexican peso (either an Oil event coming, or a NAFTA thing, who knows)
COT: The precious data ignored
- #286
- Edited 4:31am Apr 19, 2020 4:08am | Edited 4:31am
- Joined Jul 2007 | Status: Trader | 17,796 Posts
One year commodities correlation
Knowing high correlation to play the spread strategy
Knowing low correlation to play a diversified portfolio
Knowing high correlation to play the spread strategy
Knowing low correlation to play a diversified portfolio
COT: The precious data ignored
- #287
- Apr 20, 2020 3:22am Apr 20, 2020 3:22am
- Joined Jul 2007 | Status: Trader | 17,796 Posts
USDCAD derailing ?
High chances of seeing USDCAD derailing down within the next weeks/months. I'm prepared
I'm listening to what Assets managers are doing
High chances of seeing USDCAD derailing down within the next weeks/months. I'm prepared
I'm listening to what Assets managers are doing
COT: The precious data ignored
- #288
- Edited 12:46pm Apr 20, 2020 11:09am | Edited 12:46pm
- Joined Jul 2007 | Status: Trader | 17,796 Posts
Wheat/corn trade
I just ignitiated a wheat/corn trade deal. Selling july wheat / Buying july corn. Lets see how it goes.
I just ignitiated a wheat/corn trade deal. Selling july wheat / Buying july corn. Lets see how it goes.
COT: The precious data ignored
- #289
- Apr 25, 2020 4:01am Apr 25, 2020 4:01am
- Joined Jul 2007 | Status: Trader | 17,796 Posts
S&P500 to be range bound
Here is a chart representing the dealers versus the assets managers.
Dealers longs are stronger than assets managers. So far its being bought.
But bear in mind history may not repeat itself
I use the same chart every weeks to see its evolution.
Vix short dealers are still at a high level compared to the previous ones.
Vix asset managers are still sleeping, meaning rally is still on.
To sum it up, i'm not very keen on buying long term here at 2800/2900. But selling while it shows more uspside is no go for me.
I would be very happy to see another big and fat leg down like it happened in the oil market before deploying most of my cash to buy cheap stocks.
I'm not trading S&P500 so far. I look at it to see what's market are doing
Here is a chart representing the dealers versus the assets managers.
Dealers longs are stronger than assets managers. So far its being bought.
But bear in mind history may not repeat itself
I use the same chart every weeks to see its evolution.
Vix short dealers are still at a high level compared to the previous ones.
Vix asset managers are still sleeping, meaning rally is still on.
To sum it up, i'm not very keen on buying long term here at 2800/2900. But selling while it shows more uspside is no go for me.
I would be very happy to see another big and fat leg down like it happened in the oil market before deploying most of my cash to buy cheap stocks.
I'm not trading S&P500 so far. I look at it to see what's market are doing
COT: The precious data ignored
- #290
- Apr 25, 2020 4:19am Apr 25, 2020 4:19am
- Joined Jul 2007 | Status: Trader | 17,796 Posts
JPY fall soon?
Updating 3 charts from last week
Dealers shorts are increasing their YEN short bets
Assets managers are going long all in, they are not scared at all to be that long on top ? i would be scared, hence i'll go their opposite side
Here is the short side of the money managers. They are barely thinking of a move down for the yen. It says a lot.
As we are trading pairs and not index, here is chart regarding USDJPY. Its the same idea as above
Yen didn't move a lot this week. We had intervention from the BOJ which caused a dumped of yen, but it quickly recovered.
I'll look for bigger short the coming week, for a run of usdjpy towards 113/115 over the next few weeks. I'll feel better knowing buying usdjpy with positive swaps
EDIT : its obvious the main idea is the long term. So please don't ask me for intraday entries to scalp the pair. Check H4/daily/Weekly chart and hold
Updating 3 charts from last week
Dealers shorts are increasing their YEN short bets
Assets managers are going long all in, they are not scared at all to be that long on top ? i would be scared, hence i'll go their opposite side
Here is the short side of the money managers. They are barely thinking of a move down for the yen. It says a lot.
As we are trading pairs and not index, here is chart regarding USDJPY. Its the same idea as above
Yen didn't move a lot this week. We had intervention from the BOJ which caused a dumped of yen, but it quickly recovered.
I'll look for bigger short the coming week, for a run of usdjpy towards 113/115 over the next few weeks. I'll feel better knowing buying usdjpy with positive swaps
EDIT : its obvious the main idea is the long term. So please don't ask me for intraday entries to scalp the pair. Check H4/daily/Weekly chart and hold
COT: The precious data ignored
- #291
- Apr 25, 2020 4:30am Apr 25, 2020 4:30am
- Joined Jul 2007 | Status: Trader | 17,796 Posts
MXN is done?
Chart from the net position from the money managers is showing they are almost going net short. So going short after such a big move down? isn't it a bit late?
Long dealers are going in fast and furious, buying all dips strongly.
EM currencies are taking a hit, same as the BRL for example.
Its still risky to buy those currencies, but do it without leverage, for the long run. Being paid a lot of daily swaps helps a lot.
Daily/weekly entry point is the key.
Buying usdmxn after the dealers buying a lot is a high risk trade
Chart from the net position from the money managers is showing they are almost going net short. So going short after such a big move down? isn't it a bit late?
Long dealers are going in fast and furious, buying all dips strongly.
EM currencies are taking a hit, same as the BRL for example.
Its still risky to buy those currencies, but do it without leverage, for the long run. Being paid a lot of daily swaps helps a lot.
Daily/weekly entry point is the key.
Buying usdmxn after the dealers buying a lot is a high risk trade
COT: The precious data ignored
- #292
- Apr 25, 2020 4:40am Apr 25, 2020 4:40am
- Joined Nov 2008 | Status: Full Time Trader | 10,867 Posts
- #293
- Apr 25, 2020 4:57am Apr 25, 2020 4:57am
- Joined Jul 2007 | Status: Trader | 17,796 Posts
COT: The precious data ignored
- #294
- Apr 25, 2020 5:35am Apr 25, 2020 5:35am
- Joined Jul 2007 | Status: Trader | 17,796 Posts
Oil longs squeezed hard
This first chart represent the producers net positions. If we look closely at it, we can see producers went very short ahead of the big dump. Did they know something? i guess so
Then they went back net buyers. Are we in for a ride back up?
Money managers have bought like crazy this week. They went super net long at the bottom.
Usually they are trend followers so they buy more on tops and sell more on bottom. Have they finally hit a bottom, we'll know soon
Long producrs went very long, but we need to mention short producers as well went very short.
Just lets take into account that net producers are long
This first chart represent the producers net positions. If we look closely at it, we can see producers went very short ahead of the big dump. Did they know something? i guess so
Then they went back net buyers. Are we in for a ride back up?
Money managers have bought like crazy this week. They went super net long at the bottom.
Usually they are trend followers so they buy more on tops and sell more on bottom. Have they finally hit a bottom, we'll know soon
Long producrs went very long, but we need to mention short producers as well went very short.
Just lets take into account that net producers are long
COT: The precious data ignored
- #295
- Apr 25, 2020 6:45am Apr 25, 2020 6:45am
- Joined Jul 2007 | Status: Trader | 17,796 Posts
Commodities long/short strategy
I have a couple of long/short commodities trade into my shopping list.
I won't look at the correlation to use such strategies, even though it should be the case. I'll use their COT datas instead.
Why i won't use correlation ? because if we look at the 4 years correlation (on a weekly basis), only Gold/palladium & wti/gasoline have a correlation above 80%
For all others, correlations go from -60% to +60% (well 90% of them actually).
If we look at the 1 year correlation, only 5 trades are correlated above 80%.
Lets skip the correlations, lets move to the COT datas between 2 commodities.
This week i have bought some Corn and sold some Wheat. One would think 2 grains commodites are correlated ? well not at all !!
Here is a chart of the spread Wheat/Corn with their respective COT datas ( i have taken the producers/money managers datas)
2 things to look at :
1 / The spread of the commodities price
2 / The spread of the COT datas
Above, spread is very high, highest in 4 years, while COT spread is the lowest in 4 years. I'm playing here a reduction of the spread between these 2 grain commodities because spread is saying it, but most importantly because COT is saying it
Below i'm showing a trade i have not taken, sadly!
Again here, 2 things to look at :
1 / Spread of the price between Gas and Wti
2 / Spread of the COT datas
You can see the lastest call was to buy Gas and sell crude wti for the past year, because the spread was low and because the COT datas spread was saying to buy
I'll post soon interesting spread to play with
I have a couple of long/short commodities trade into my shopping list.
I won't look at the correlation to use such strategies, even though it should be the case. I'll use their COT datas instead.
Why i won't use correlation ? because if we look at the 4 years correlation (on a weekly basis), only Gold/palladium & wti/gasoline have a correlation above 80%
For all others, correlations go from -60% to +60% (well 90% of them actually).
If we look at the 1 year correlation, only 5 trades are correlated above 80%.
Lets skip the correlations, lets move to the COT datas between 2 commodities.
This week i have bought some Corn and sold some Wheat. One would think 2 grains commodites are correlated ? well not at all !!
Here is a chart of the spread Wheat/Corn with their respective COT datas ( i have taken the producers/money managers datas)
2 things to look at :
1 / The spread of the commodities price
2 / The spread of the COT datas
Above, spread is very high, highest in 4 years, while COT spread is the lowest in 4 years. I'm playing here a reduction of the spread between these 2 grain commodities because spread is saying it, but most importantly because COT is saying it
Below i'm showing a trade i have not taken, sadly!
Again here, 2 things to look at :
1 / Spread of the price between Gas and Wti
2 / Spread of the COT datas
You can see the lastest call was to buy Gas and sell crude wti for the past year, because the spread was low and because the COT datas spread was saying to buy
I'll post soon interesting spread to play with
COT: The precious data ignored
- #296
- Apr 25, 2020 7:57am Apr 25, 2020 7:57am
- Joined Nov 2008 | Status: Full Time Trader | 10,867 Posts
- #297
- Apr 25, 2020 9:37am Apr 25, 2020 9:37am
- Joined Jul 2007 | Status: Trader | 17,796 Posts
Coffee/sugar investment idea
Coffee/sugar idea is to short the coffee and buy the sugar.
Spread is very high relative to its 4 years price, and COT datas are favoring to buy sugar relative to coffee
Coffee/sugar idea is to short the coffee and buy the sugar.
Spread is very high relative to its 4 years price, and COT datas are favoring to buy sugar relative to coffee
COT: The precious data ignored
- #298
- Apr 25, 2020 1:48pm Apr 25, 2020 1:48pm
- Joined Jul 2007 | Status: Trader | 17,796 Posts
COT: The precious data ignored
- #299
- Apr 25, 2020 1:50pm Apr 25, 2020 1:50pm
- Joined Jul 2007 | Status: Trader | 17,796 Posts
GBPCAD range trading
Dealers know their market. They are big buyers on bottom, strong sellers on top.
Sell on the red, buy on the blue
GBPCAD seemed to be "easy" over the past 3 years
Dealers know their market. They are big buyers on bottom, strong sellers on top.
Sell on the red, buy on the blue
GBPCAD seemed to be "easy" over the past 3 years
COT: The precious data ignored
- #300
- Apr 26, 2020 3:47am Apr 26, 2020 3:47am
- Joined Jul 2007 | Status: Trader | 17,796 Posts
Buying CADJPY ?
I'll spare the explanation regarding those currency pairs. I've explained a lot before how it worked.
Just a few chart will help understanding how the Dealers and Assets Managers are doing.
I'll spare the explanation regarding those currency pairs. I've explained a lot before how it worked.
Just a few chart will help understanding how the Dealers and Assets Managers are doing.
COT: The precious data ignored