There has been an interesting divergence in Flux Insight’s CTA positioning model. CTA positioning in middle distillates remains positive, with both ICE gasoil and NYMEX heating oil futures reaching their monthly highs before beginning to drop. CTA positions in RBOB futures saw the most dramatic decline in the week to 09 Sep, falling from +5k to -19k lots over the week. Normalising these CTA positions (with z-scores from -50 to +50) highlights that its z-score dropped from an overextended long position, with the index over 45, to a neutral z-score of -8.1 on 09 Sep.
Crude has a low CTA net position, with WTI the lowest, dropping around 12k, and Brent’s positioning is the second lowest, dropping around 15k further into negatives in the week to 09 Sep.
Click below to explore our weekly CFTC COT reports, including a new report detailing historical Onyx COT data for key swap contracts.
