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Energy Futures- Sharp Drop in Natural Gas Positions
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Futures and Options
Commitment of Traders Report
June 28, 2022
Purpose
The Commitments of Traders Report presents a weekly breakdown of the positions of hedge funds in futures and options markets. As a general rule, changes in hedge fund positions are positively correlated with changes in commodity market prices. For example, when hedge funds buy futures, prices tend to go up; when hedge funds sell futures, prices tend to go down. The report tracks the positions of hedge funds to better understand market opportunity and risk.
Structure
The report is structured in two parts. The first page provides a summary of current hedge fund futures positions as reported by the CFTC. The remaining pages provide tables and plots to quickly see hedge fund positions by market over time.
Scope
Report data spans 55 exchange markets in the United States and the European Union over the last 10 years. Reported positions are the sum of hedge fund positions in futures and options.
Metrics
The key metrics used to track hedge fund futures activity include:
- Long, Short and Net Positions: Futures position data is decomposed to show the position of hedge fund buyers (long positions), sellers (short positions) and the combined net position by market.
- Position Changes: Weekly changes in long, short and net positions.
- Trend: A plot of positions changes by week over the last 12 weeks.
- Rank: The current net futures position versus the 10 year range. A rank of 100 is the maximum position and a rank of 0 is the minimum position over the period.
- Ratio: The ratio of long futures positions divided by short futures positions.
Benefit
We track hedge fund positions as input to our model portfolios and to inform our tactical allocations across markets. We also seek to provide quality content to our clients to pursue a better investment experience by being better informed.
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