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The latest Commitments of Traders report was released, covering positions through Tuesday

Jason Goepfert
2021-09-03

The 3-Year Min/Max Screen shows that "smart money" commercial hedgers headed into the long Memorial Day weekend with multi-year short exposure to cotton and orange juice futures. The Backtest Engine shows that over the past 15 years, OJ rallied after only 3 out of 19 weeks when hedgers held this much open interest net short. They covered some of their large short position in S&P 500 futures but still hold roughly $29.2 billion worth of contracts net short. A 10-week average of their position is now curling up from a record net short. They added again to large long exposure to the Aussie dollar, though lasting rallies tend to take hold once they cycle back to net short.

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