WEEKLY COT COMMENTARY

7/23/10

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CORN UPDATE

I continue to hold my bullish view of corn and added the following recommendation to my Commodity Index Timing .com web site last Sunday and am now adding the same recommendation to this free weekly commentary.

7/23/10 NEW OPTION TRADE RECOMMENDATION: Buy the March Corn $5.50 $6.00 call spread for 3 cents or better. (recommended in Commodity Index Timing on 7/18/2010) Risk if exited before the Feb 18, 2011, expiration is the premium paid plus commission.)

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NEW COMMITMENTS OF TRADERS REPORT
FROM THE CFTC

"Traders in Financial Futures"

PRESS RELEASE July 22, 2010 http://www.cftc.gov/PressRoom/PressReleases/pr5857-10.html

July 22, 2010

CFTC Begins Publishing New Large-Trader Report for Financial Futures Markets

Washington, DC – The U.S. Commodity Futures Trading Commission (CFTC) today announced that it will begin publishing a new report that adds further transparency to the financial futures markets. The report, entitled Traders in Financial Futures (TFF), builds on improvements to transparency implemented last year that disaggregated data in the CFTC’s weekly Commitments of Traders (COT) Reports.

“Promoting transparency is at the core of the CFTC’s mission,” CFTC Chairman Gary Gensler said. “The new Traders in Financial Futures reports will provide the public with a better view into the financial futures marketplace. This transparency effort builds upon prior improvements we made to the COT reports and will provide the market with much helpful information. I thank the CFTC staff for their hard work to prepare these new reports.”

For decades, the CFTC has provided the futures industry with COT reports consisting of aggregated large-trader position data to shed light on the changing composition of the markets. The reports are based on a request by Congress for an annual report, upon passage of original enabling legislation in the 1920’s, and have been intensified over time into weekly reports in several formats.

The new TFF report uses the same data that appears in the COT reports, but separates large traders in the financial futures markets into the following four categories: Dealer/Intermediary; Asset Manager/Institutional; Leveraged Funds; and Other Reportables. The “dealer/intermediary” category comprises the sell-side participants that earn commissions selling financial products, capturing bid/offer spreads and otherwise accommodating clients. The remaining three categories represent buy-side participants. These are generally clients of the sell-side participants who use the markets to invest, hedge, manage risk, speculate or change the term structure or duration of their assets.

Like the COT reports, the TFF report provides a breakdown of each Tuesday's open interest for markets in which 20 or more traders hold positions equal to or above the reporting levels established by the CFTC. The report is published in futures-only and futures-and-options-combined formats. The TFF report will be published concurrently with the legacy COT. The TFF report, however, is not a disaggregation of the COT data for the financial markets. The traders classified into one of the four categories in the TFF report may be drawn from either the “commercial” or “noncommercial” categories of traders in the legacy COT reports. The CFTC also plans to soon release four years of historical data for the new report.

Last Updated: July 22, 2010

Media Contacts
Scott Schneider
202-418-5174

R. David Gary
202-418-5085

Office of Public Affairs

The new TFF report uses the same data that appears in the COT reports, but separates large traders in the financial futures markets into the following four categories:

Dealer/Intermediary;
Asset Manager/Institutional;
Leveraged Funds; and
Other Reportables

I expect by next week I will be publishing a summary of the Financial Futures open interest report in the following format covering the following markets. When the 4 year history is published, I will prepared summaries with the one year, three year, and four year range of the data, and plot the data over charts.

Good luck and good trading!

George

Charts of Supplemental Report data

NEW SHORTCUT TO THIS WEB PAGE www.cot1.com

Copy of free weekly EMail

HOLIDAY SCHEDULE

OPEN TRADE RECOMMENDATIONS:

Following are the open trade recommendations in this free weekly commentary. Subscribers should see Commodity Index Timing .com (shortcut www.cit1.com) and Stock Index Timing .com (shortcut www.sit1.com) for further recommendations.

7/23/10 NEW FUTURES OPTION TRADE RECOMMENDATION: Buy the March Corn $5.50 $6.00 call spread for 3 cents or better. (recommended in Commodity Index Timing on 7/18/2010) Risk if exited before the Feb 18, 2011, expiration is the premium paid plus commission.)

Open Futures Option Trade recommendation: Hold the TWO December Corn $5.00 $5.50 call spreads bought for an average price of 3.5 cents per spread.

On April 2 and April 30, 2010, bought for net 3 cents of better. Risk, if exited before the November 26, expiration is the net price of the option spread plus commission. This is a "starter" recommendation, additional quantities will be recommended over the coming months.

On 5/7/2010 I said :The current open recommendation in Corn was made on 4/2/10 and 4/30/10, to purchase of the December $5.00 $5.50 call vertical spread for 3 cents or better. ( Buy the December Corn $5.00 call for 10 cents or better and sell the December $5.50 for 7 cents or better.) On May 7 I added an additional bull spread to my recommendation. Let's add a second December corn $5.00 $5.50 call spread for 4 cents or better.

So now the open recommended position is HOLDING TWO DEC CORN $5.00 $5.50 call spread for an average price of 3.5 cents.

6/11/10. Buy the MAY 2011 corn $5 $5.50 call spread for 3 cents or less. (Buy the May Corn $5 call and sell the May Corn $5.50 call for a net difference of 3 cents or better.) Risk if exited before the expiration on 4/21/11, is limited to the net premium plus commissions paid.

Corn option prices

OPEN FUTURES OPTION TRADE RECOMMENDATION: Hold one APRIL 2011 GOLD 800 put for $500 or better. (recommended 4/11/2010) Risk if exited before the March 28, 2011, expiration is the premium paid plus commission. Additional position recommendations will be added in later weeks.

Gold Futures option prices

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Past special commentary archive

20090227 100 year chart of corn and the new inflation plateau.

20090612 the trend following managed futures- are driving this market, not passive institutional investors

20090918 Explanation of using COT data to identify a watch for a trend turn in Gold.

PS Would you like me to consult with your firm on these or other matters? Call me at 239-947-9131, or email me at george@georgeslezak.com

Email george@georgeslezak.com for more information.

The $50 per month subscription to Commitments of Traders .com includes access to Stock Index Timing .com Commodity Index Timing .com , where recommendations in the stock and commodity markets are made each week end considering the data in the COT Report.

The $50 per month subscription is billed month to month to your credit card, click here to subscribe)

Comments and trade recommendations are selected from the markets that are highlighted with light green or light red in the 12 week summary of reportable net commercial positions and in the 12 week summary of reportable net commercial positions "with options" . The markets highlighted in light green or red are markets where the position of the net commercial hedge traders are near the FIVE YEAR record net high or net low number of contracts. The strategy followed in this web site is usually to then trade on a breakout of the two week high/low, in the direction of the net commercial position, with stops at the opposite two week high/low.

The 12 week summary schedules also identify when the reportable net commercial positions are near the high or low of their ONE YEAR or THREE YEAR range. They are then highlighted in yellow and identified by I or III (or I- or III- ) in the columns. I recommend that if you consider trades following the net commercials in markets where the reportable net commercial position is near the one year or three year range that you use a shorter term trading strategy with daily monitoring.

My choice of markets for comment or trade recommendation is not suggested as the optimal choices. I am not commenting, and I am not making trade recommendations on every market highlighted in the 12 week summaries.

All aspects of any trade recommendations contained in this report are subject to modification at any time.

Beginning in 2002, the CFTC will release the "with options" data on Friday evenings at the same time as the "futures only" reports. The weekly commentary on the "Net Options" summary will be combined into the "futures only" commentary.

Commitments of Traders calendar of 2009 CFTC release dates. Weekly Commitments of Traders Reports are released by the CFTC every Friday at 3:30 pm eastern, effective for the prior Tuesday's close. The release dates may be adjusted to accommodate holidays. Usually, the summaries of the CFTC COT Report in this web site are updated with the new CFTC information by 4 PM Eastern time after the release of the data. The weekly front month charts with the COT data plotted are usually updated by 7 PM.

The CFTC has posted a background report of the COT Report. See Backgrounder-The Commitments of Traders Report The Report contains general background information and detailed explanatory notes for the short form, the long form, and the options-and-futures-combined reports.

Beginning in January 2002, the CFTC releases the futures data combined with the net deltas of option positions on each Friday evening. The weekly report shows the information as of the close for the previous Tuesday.

The tables in this Web site are summaries of selected data obtained from the report issued by an agency of the US Government, the Commodity Futures Trading Commission (CFTC). The entire report can be obtained from http://www.cftc.gov/ .

The "v" or "v-" following the net position in the 12 week summary tables indicates if the net position is within 95% of the high of the five year range, or within 5% of the low of the five year range. "I" or "I-" indicate within 95% or 5 % of the one year range. "III" or "III-" indicate within 95% or 5% of the three year range.

Footnotes on data presented:

All data has been drawn from the CFTC website and begins with January 1986. Accuracy of the data is not guaranteed by the CFTC or by the publisher in any way.
Lumber changed with the May 96 contract to 80,000 board feet from 160,000. Open interest data for prior to May 96 is doubled and reflected in the current information.
S&P open interest data prior to 10/31/97 has been restated by doubling such amounts to reflect the change in the multiplier from $500 per point to $250.
Lean
Hog data is combined with the Live Hog data from prior to the contract change in 1997.
The Feeder Cattle contract change from 44,000 pounds to 50,000 pounds with the Jan 1993 contract did not result in a change in CFTC reporting.
The change in the Grain contracts 12/31/97 from stated in number of thousands of bushels to contracts of 5,000 bu is reflected in past data by dividing the published numbers by 5.
Trading in Unleaded Gas has been replaced with Reformulated Blend gas in 2006. In this web site, price history and COT history during 2006 are combined. Prior to 2006 history shown is from the Unleaded Gas contract.

C 1999-2006 George Slezak
For more information call George at 1-888-311-3400

All aspects of any trade recommendations contained in this report are subject to modification at any time.

FUTURES TRADING INVOLVES SIGNIFICANT RISK OF LOSS AND IS NOT SUITABLE FOR EVERYONE AND THE RISK OF LOSS SHOULD BE CONSIDERED CAREFULLY BEFORE MAKING ANY TRADES. A STOP LOSS MAY NOT LIMIT YOUR LOSS TO THE AMOUNT INTENDED. YOU SHOULD BE FOREWARNED THAT SYSTEMS WHICH TRIGGER FREQUENT TRADING SIGNALS AS PART OF A DAY TRADING STRATEGY CAN RESULT IN SUBSTANTIAL COMMISSIONS AND FEES. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. ANY STATEMENT OF FACTS HEREIN CONTAINED ARE DERIVED FROM SOURCES BELIEVED TO BE RELIABLE, BUT ARE NOT GUARANTEED AS TO ACCURACY, NOR DO THEY PURPORT TO BE COMPLETE.

ANY REFERENCE TO PERFORMANCE IS INTENDED TO BE UNDERSTOOD AS STRICTLY THEORETICAL.

REGULATORY DISCLOSURES REGARDING HYPOTHETICAL RESULTS

HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM.

ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE RISK OF LOSS EXISTS IN FUTURES TRADING.

All traders should read the CFTC CONSUMER ALERTS and the "COMMISSION ADVISORY" on trading systems.

NOTE TO SUBSCRIBERS:
I try to post the above linked COT Tables to the web site prior to 4 PM eastern on the release date. The commentary will normally be updated between 4:00 to 5:00 PM eastern on the release date. The weekly charts with the COT data plotted are updated by 8 pm eastern on the release date.

WEEKLY OPEN INTEREST SUMMARIES ARE POSTED ON SEPARATE PAGES. Click on the above links Futures Only
and
Combined Futures and Options
and
Supplemental CIT to view the summary tables of the current release data.

Chart and quote links

BarChart
Quotes, and daily charts

Contract Specifications

See Futures Trading School for memos and other links of interest

See background page for a possible "trading strategy."