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Grains & Beans

  #151 (permalink)
 
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 WoodyFox 
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Baring any opposing news, looks like we may have a good breakout in corn. A tally of the major orders near the top of our ongoing range (328.5 to 330) shows a consensus for higher prices. Although I would not expect a pullback lower than 328.5....My strategy has a long reversal trailing at 325.25, which is still inside the range. I will give it a couple of days for any pullback to transpire, else I will move on to the next contract.

Snapshot of major orders (500 or more) @ 328.5 to 330.

2020-06-07_1037

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  #152 (permalink)
 
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 Schnook 
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I agree. Strong close on Friday - last prints at the high of the day and week, and above prior resistance. Could set up a bit of a bear trap. If I can enter near Friday's closing levels I will establish a long swing position here.

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  #153 (permalink)
 
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 WoodyFox 
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An update to our corn breakout. Though the contract has pretty much moved sideways...Most of the Major orders are still bias long.

Snapshot of major orders since last update.

2020-06-08_1612


2020-06-08_1559

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  #154 (permalink)
 
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 Schnook 
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I did a little more work over the weekend and decided to start building a small swing position. Meant to post earlier but life got in the way...

Anyway, a bit more on the positioning story

COT data now shows a net spec short position of 220,000 contracts on open interest of 1,465,739 contracts. Managed Money reports a net short position of 277,038 contracts. Possibly the largest net short positions ever reported (eyeballing – would need to verify this). The net speculator short represents 15% of open interest while the net Managed Money short represents almost 19% of open interest.





On Friday, July corn closed at a seven-week high of 332.50. The last time corn closed above 332.5 on a daily basis was on April 2, when specs were short less than 40,000 contracts. Therefore, a significant majority of current shorts were established at lower prices and are now under water.



Trailing 20 day average volume in front-month corn, as of Friday, June 5, is just over 136,000 contracts, so the net spec short represents 1.6 days’ total volume.
Price action shows a double-bottom at 309/309.25 in late April followed by a shallow grind higher through May. Friday’s close above the prior range high of 331 completes a modest base, with a series of higher lows that could be described as a cup-and-handle type pattern. Friday’s close also exceeded the 50-period simple moving average, while the 20-day moving average has shown a steepening upward slope, adding confidence to the idea that the trend is turning higher.

The positioning imbalance, especially when viewed in the context of the recent price action, suggests potential for a squeeze. If prices fall, speculators may be relieved to get out at break-even or book a modest gain, cushioning potential declines. If, however, prices rise, speculators may seek to stop out of their losing positions, adding further upward pressure to prices. This potential downside cushion and upside accelerant create an exploitable risk asymmetry.

Currently small long July corn at 333 and Sep at 336.75 with room to add. Risking about 15 for hopefully 25 or 30 points upside but will let price action dictate my exits.

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  #155 (permalink)
 
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 WoodyFox 
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Schnook View Post
I did a little more work over the weekend and decided to start building a small swing position. Meant to post earlier but life got in the way...

Anyway, a bit more on the positioning story

COT data now shows a net spec short position of 220,000 contracts on open interest of 1,465,739 contracts. Managed Money reports a net short position of 277,038 contracts. Possibly the largest net short positions ever reported (eyeballing – would need to verify this). The net speculator short represents 15% of open interest while the net Managed Money short represents almost 19% of open interest.





On Friday, July corn closed at a seven-week high of 332.50. The last time corn closed above 332.5 on a daily basis was on April 2, when specs were short less than 40,000 contracts. Therefore, a significant majority of current shorts were established at lower prices and are now under water.



Trailing 20 day average volume in front-month corn, as of Friday, June 5, is just over 136,000 contracts, so the net spec short represents 1.6 days’ total volume.
Price action shows a double-bottom at 309/309.25 in late April followed by a shallow grind higher through May. Friday’s close above the prior range high of 331 completes a modest base, with a series of higher lows that could be described as a cup-and-handle type pattern. Friday’s close also exceeded the 50-period simple moving average, while the 20-day moving average has shown a steepening upward slope, adding confidence to the idea that the trend is turning higher.

The positioning imbalance, especially when viewed in the context of the recent price action, suggests potential for a squeeze. If prices fall, speculators may be relieved to get out at break-even or book a modest gain, cushioning potential declines. If, however, prices rise, speculators may seek to stop out of their losing positions, adding further upward pressure to prices. This potential downside cushion and upside accelerant create an exploitable risk asymmetry.

Currently small long July corn at 333 and Sep at 336.75 with room to add. Risking about 15 for hopefully 25 or 30 points upside but will let price action dictate my exits.

@Schnook Thanks for the detailed analysis. Not many share this anymore.

Looking at a little shorter time basis:
There were no overnight larger orders.

Not expecting it…But if corn pulls back to test the top of our broken range, my strategy has a buy reversal currently at 328.5. I will give it today and maybe tomorrow. My hold time is a little shorter and averages 3 days. Looking for 6 to 7 points.

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  #156 (permalink)
 
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 WoodyFox 
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My Buy Reversal got filled at 329...Looking to take profit around 337.25.

That pull back had much more momentum than expected.


Here is a snapshot of the pullbacks large orders.
MajorOrders_6.9.2020


Major_Orders_6.9.2020_E


Snapshot of present order

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  #157 (permalink)
 
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 Schnook 
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Open interest also increased by over 13,000 yesterday alongside a bit of roll volume. Specs rolling and adding to shorts? If so could provide more fuel for the fire. Interestingly there was also a fair bit of call buying yesterday too, much of it in the Aug 380 and Sep 380 and 400 strikes. Definitely a lot more OI in calls suggesting that at least some of these large shorts are (partially?) hedged or simply long vol.

But yeah yesterday's pullback was deeper than I would have liked. I am not adding here, and if we close below 324.5 I will have to consider stepping aside for a bit.

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  #158 (permalink)
 
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 WoodyFox 
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Two larger buy orders printed at 325.25 and 326.00.

325.25 500
326.00 665

As of right now that pushes big money's momentum long. One more large buy and I would be confident corn buys its way back up to at least 330.25 or maybe higher? That is also near the top of the broken range.

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  #159 (permalink)
 
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 Schnook 
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This is probably a pointless exercise but just for giggles:

On June 9, cumulative delta showed about 9,000 net sells while price fell 7 points from 333.5 to 326.5 (this includes the overnight trading). Given the 13,000 lot increase in open interest let's assume that those sells indicated by the delta were specs adding to their shorts.

If hitting the bid 9,000 times moves price 7 points, how much does price move when these specs cover their 220,000 lot short?

I know, this isn't how these things work and cumulative delta can be hugely misleading, but it's still kinda fun imagining a 170 point squeeze over the summer

Prices were pretty well behaved today. Still in my small long position but not inspired to do anything either side here.

WASDE tomorrow. Party on

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  #160 (permalink)
 
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 WoodyFox 
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Schnook View Post
This is probably a pointless exercise but just for giggles:

On June 9, cumulative delta showed about 9,000 net sells while price fell 7 points from 333.5 to 326.5 (this includes the overnight trading). Given the 13,000 lot increase in open interest let's assume that those sells indicated by the delta were specs adding to their shorts.

If hitting the bid 9,000 times moves price 7 points, how much does price move when these specs cover their 220,000 lot short?

I know, this isn't how these things work and cumulative delta can be hugely misleading, but it's still kinda fun imagining a 170 point squeeze over the summer

Prices were pretty well behaved today. Still in my small long position but not inspired to do anything either side here.

WASDE tomorrow. Party on

In my opinion, cumulative delta can be a real trip hazard for most traders.

I found relying on total cumulative delta to be a very hard read, especially in real time. So what I have done is broken it apart in 2 ways. First I only look at cumulative delta according to my strategy time frames. This gives me a better read for my entries. Second I only accumulate big orders for the given market I'm trading. Corn at this point is 500. The bigger orders will mirror price action much much closer.

When I first started to read volume, I would only look at time and sales, or a total daily/weekly cumulative delta, or a total rolling volume. I'm sure there are many traders that can trade doing so, but I had very little success. Funny thing is, I still look at those. Old habits, I guess?

So yea, I agree delta/Volume can be a hard read.

Also, My read on corn at this moment is a weak long, and I'm still in at 329. I guess time will tell.

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