Samstag, 10. April 2010
Open Interest
NYMEX WTI Crude Oil futures open interest increased 0.3 percent in March. Commercial participants, who accounted for 53.7 percent of open interest, held net short positions; they decreased their long positions by 3.9 percent and increased their short positions by 2.0 percent. Non-commercial participants, who accounted for 40.6 percent of open interest, held net long positions. They increased their long positions by 5.8 percent and changed their short positions by less then 0.1 percent. Non-reportable participants, who accounted for 5.7 percent of total open interest, held net long positions; they decreased their long positions by 3.5 percent and decreased their short positions by 15.1 percent.
NYMEX Henry Hub Natural Gas futures open interest increased 2.6 percent in March. Commercial participants, who accounted for 32.4 percent of open interest, held net long positions; they increased their long positions by 4.9 percent and decreased their short positions by 0.3 percent. Non-commercial participants, who accounted for 60.5 percent of open interest, held net short positions. They increased their long positions by 2.1 percent and increased their short positions by 3.6 percent. Non-reportable participants, who accounted for 7.1 percent of total open interest, held net long positions; they decreased their long positions by 5.1 percent and increased their short positions by 2.4 percent.
NYMEX Heating Oil futures open interest increased 4.8 percent in March. Commercial participants, who accounted for 67.0 percent of open interest, held net short positions; they increased their long positions by 7.8 percent and increased their short positions by 9.2 percent. Non-commercial participants, who accounted for 22.9 percent of open interest, held net long positions. They decreased their long positions by 0.4 percent and decreased their short positions by 0.1 percent. Non-reportable participants, who accounted for 10.1 percent of total open interest, held net long positions; they increased their long positions by 3.2 percent and decreased their short positions by 21.1 percent.
NYMEX RBOB Gasoline futures open interest increased 18.4 percent in March. Commercial participants, who accounted for 69.8 percent of open interest, held net short positions; they increased their long positions by 33.2 percent and increased their short positions by 21.6 percent. Non-commercial participants, who accounted for 24.6 percent of open interest, held net long positions. They increased their long positions by 0.8 percent and increased their short positions by 5.5 percent. Non-reportable participants, who accounted for 5.6 percent of total open interest, held net long positions; they increased their long positions by 18.9 percent and increased their short positions by 1.9 percent.
NYMEX Henry Hub Natural Gas futures open interest increased 2.6 percent in March. Commercial participants, who accounted for 32.4 percent of open interest, held net long positions; they increased their long positions by 4.9 percent and decreased their short positions by 0.3 percent. Non-commercial participants, who accounted for 60.5 percent of open interest, held net short positions. They increased their long positions by 2.1 percent and increased their short positions by 3.6 percent. Non-reportable participants, who accounted for 7.1 percent of total open interest, held net long positions; they decreased their long positions by 5.1 percent and increased their short positions by 2.4 percent.
NYMEX Heating Oil futures open interest increased 4.8 percent in March. Commercial participants, who accounted for 67.0 percent of open interest, held net short positions; they increased their long positions by 7.8 percent and increased their short positions by 9.2 percent. Non-commercial participants, who accounted for 22.9 percent of open interest, held net long positions. They decreased their long positions by 0.4 percent and decreased their short positions by 0.1 percent. Non-reportable participants, who accounted for 10.1 percent of total open interest, held net long positions; they increased their long positions by 3.2 percent and decreased their short positions by 21.1 percent.
NYMEX RBOB Gasoline futures open interest increased 18.4 percent in March. Commercial participants, who accounted for 69.8 percent of open interest, held net short positions; they increased their long positions by 33.2 percent and increased their short positions by 21.6 percent. Non-commercial participants, who accounted for 24.6 percent of open interest, held net long positions. They increased their long positions by 0.8 percent and increased their short positions by 5.5 percent. Non-reportable participants, who accounted for 5.6 percent of total open interest, held net long positions; they increased their long positions by 18.9 percent and increased their short positions by 1.9 percent.
Market Commentary March
The commodity markets offered in March, a thoroughly mixed. It was again the industry-related sectors, which had a particularly good performance. Then you can find the top four only base metals, followed by crude oil and silver complex, which is representative of the industry-precious metals. They all benefited from robust economic data and rising stock markets. On the negative side, however, there are the agricultural commodities and natural gas.
The latter was hit hard by the mild weather conditions in the U.S., which in March was associated with a below-average seasonal Heiznachfrage. Hence it was already in the week of 13-19th March to a first net storage of natural gas - about 1-2 weeks earlier than usual. Market participants focused after the expiry to weather returns to the still high level of output growth in the U.S.. A market surplus can only be avoided if natural gas is another energy resources (coal, oil) in power generation market share decline. This would not be at spot prices at $ 5.50 / MMBtu been the case. After the price collapse in recent weeks, however, have only about $ 4.00 / MMBtu paid, which makes natural gas relative to other energy sources an attractive alternative.
The movements of individual commodities led ultimately to the fact that among the major commodity indices, the S & P Goldman Sachs Comodity Index (GSCI) with gains of 1.9% is best struck. He was followed by the Rogers International Commodity Index (RICI), which after all still grew 0.7% while the Dow Jones Commodity Index UBS (DJUBS) -1.2% with a slight loss had to be accepted. The relative development of the individual indexes are doing very well explained by their different sector weighting. It shall have the GSCI, the highest weighting of industry-related energy and industrial metals (78%), while the DJUBS there has allocated only about 51%. The opposite is true of the agricultural sector, the GSCI represents only 14% of the portfolio, compared to the DJUBS about 30%. Made a big difference in March and the different weightings for natural gas (DJUBS: 10%, GSCI: 4%; RICI: 3%), which earned the DJUBS a performance disadvantage over 1% compared to the other two indices.
GSCI sector weighting of various commodity indices (early 2010)
The latter was hit hard by the mild weather conditions in the U.S., which in March was associated with a below-average seasonal Heiznachfrage. Hence it was already in the week of 13-19th March to a first net storage of natural gas - about 1-2 weeks earlier than usual. Market participants focused after the expiry to weather returns to the still high level of output growth in the U.S.. A market surplus can only be avoided if natural gas is another energy resources (coal, oil) in power generation market share decline. This would not be at spot prices at $ 5.50 / MMBtu been the case. After the price collapse in recent weeks, however, have only about $ 4.00 / MMBtu paid, which makes natural gas relative to other energy sources an attractive alternative.
The movements of individual commodities led ultimately to the fact that among the major commodity indices, the S & P Goldman Sachs Comodity Index (GSCI) with gains of 1.9% is best struck. He was followed by the Rogers International Commodity Index (RICI), which after all still grew 0.7% while the Dow Jones Commodity Index UBS (DJUBS) -1.2% with a slight loss had to be accepted. The relative development of the individual indexes are doing very well explained by their different sector weighting. It shall have the GSCI, the highest weighting of industry-related energy and industrial metals (78%), while the DJUBS there has allocated only about 51%. The opposite is true of the agricultural sector, the GSCI represents only 14% of the portfolio, compared to the DJUBS about 30%. Made a big difference in March and the different weightings for natural gas (DJUBS: 10%, GSCI: 4%; RICI: 3%), which earned the DJUBS a performance disadvantage over 1% compared to the other two indices.
GSCI sector weighting of various commodity indices (early 2010)
Donnerstag, 8. April 2010
Here's the current Natural Gas Forward Curve until May 2013. The current forward curve implies for the coming year a rolling return of -22.12%. For the running time of 2 or 3 years is a rolling return of -26.88% and -30.15% to be seen. Here can be seen that the curve for next year significantly steeper compared with the next 2 years.
The months of February, March, April and May of the next 3 years implies the current forward curve as required to be considered backwardation situation.
The months of February, March, April and May of the next 3 years implies the current forward curve as required to be considered backwardation situation.
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