Monday, November 29, 2010

COT Report - WE 11/23

Due to the Thanksgiving holiday the CFTC report came out today, versus Friday. Three charts I wanted to show that support the theory that this market is finally beginning to rollover relate to copper, crude and 30 year treasuries. Historically Copper and Crude have correlated very well with SPX. Looking at the commercial accounts in the CFTC weekly report for each commodity is yet another way of gauging a change in direction.

Chart 1 - Commercial Net Positions in Copper VS SPX: The past two weeks have seen a reversal in the net position after hitting a 2010 high and indicate a SPX reversal.

Chart 2 - Commercial Net Positions Crude (NYMEX) VS SPX: Similar to copper, net positions have reversed after matching 2010 highs and look to be rolling over.

Chart 3 - 30 Year Treasury Price (inverted) VS SPX: With yields coming back, the 30 year looks to be catching a bid once again.  Based on this comparison fair value on SPX would be about 1025 today.


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