Data Vault Reports

Onyx’s in-house CTA positioning model determines the net positioning of CTAs in a range of futures benchmarks, employing a trend following model that uses price data and realized volatility. The week ending 08 Oct saw CTA positioning pick up significantly, after remaining relatively flat for the previous week. There was a net increase of nearly 106mb in combined futures between 01 and 07 Oct, with the rate of growth in CTA positioning slightly slowing towards the end of the week. In crude, we saw net positioning in Brent increase from -37.2mb to -10mb, the largest jump in CTA net positioning across all futures contracts for the week to 08 Oct. Meanwhile, WTI showed a similar pattern, increasing from around -32.1mb to just under -9.7mb over the week. The product’s net positioning all recovered after falling the previous week, including RBOB with the lowest net positioning, increasing from -43.4mb up to -24.1mb by 08 Oct.

Onyx’s in-house CTA positioning model determines the net positioning of CTAs in a range of futures benchmarks. The week ending 01 Oct saw CTA positioning quite flat in the week, overall seeing a small net increase in the combined futures. Since then, there has been good strength from CTAs, with Brent passing its 50-day average, which likely bouldered their strength. In crude, we saw Brent clock in fall in net positioning, from around -30mb to -37mb on 1 Oct. WTI futures also decreased in the week, from over -25mb on 24 Sep to -33mb on 1 Oct. The largest increase in CTA net positioning in the week to 01 Sep was in ICE Brent. The products’ net positioning all fell weakly, with RBOB seeing RBOB continuing to see the lowest net positioning in tepid market conditions.

Onyx’s in-house CTA positioning model determines the net positioning of CTAs in a range of futures benchmarks. The week ending 27 Sep saw CTA positioning rise and fall, overall to leave a very small net change. In crude, we saw Brent clock in an almost 0% change increase, w/w, at around -32.8mb after reaching a peak of almost -30mb. WTI futures saw heavier selling as the net positioning fell around 5mb (20%). The largest increase in CTA net positioning in the week to 24 Sep was in ICE Gasoil, which saw an almost 6mb increase, this brought the CTA net positioning for gasoil to the highest in the selected futures.