1. Executive Summary
Crude oil led the commodity complex higher on 24 September, with NYMEX WTI (CL=F) settling at 94.31, up 2.33% on the session, and Brent (BZ=F) at 106.36, up 3.18%. The move followed headlines reporting Houthi strikes on Saudi Arabia and France's decision to deploy troops and air defences to Yanbu, which outweighed earlier optimism around a Hormuz de-escalation framework. Despite the single-session rally, WTI remains down 7.46% over five sessions and sits at the 52nd percentile of its 20-day range, a reflection of the violent two-way price action that has characterised the past week.
Natural gas (NG=F) printed 3.986 on 25 September, down 1.46%, giving back part of the prior session's 4.79% surge to 4.045. Gold (GC=F) extended its decline to 4263, down 0.43%, and now trades just 3.2% above the base of its 20-day range (20-day low 4273.3), with the 20-day change at -7.87%. Silver (SI=F) traded 63.63, down 1.17%, while copper (HG=F) held firm at 6.719, up 0.61%, and soybeans (ZS=F) were effectively unchanged at 1317.5, down 0.04%.
The macro backdrop remains restrictive. According to the latest available data, the US 10-year TIPS real yield stands at 2.63% (22 September) and the 10-year nominal yield at 4.96%, which sits in the 100th percentile of its one-year range and the 100th percentile of its five-year range. The DXY closed at 101.25, up 0.15%, and in the 96th percentile of its one-year range. The Fed funds effective rate is 3.63%, core PCE is 130.66, and the 10-year/2-year spread is +0.25 percentage points, a positive but modest steepening consistent with a soft-landing base case.
Positioning is the key vulnerability. CFTC data as of 15 September shows managed-money net length declining across every major contract tracked: gold -1,856 lots to 133,116, crude oil -5,452 to 106,279, copper -17,048 to 65,106, silver -1,262 to 13,124, and natural gas -3,463 to -100,205. The primary risk factor for today is the 10:00 ET revised University of Michigan consumer sentiment release (forecast 47.4 versus 47.8 prior) alongside BOE Governor Bailey's remarks at 05:15 ET, with crude oil volatility (OVX 53.24) and an extreme-high 3:2:1 crack spread leaving energy the most event-sensitive leg of the book.
2. Overnight Market Recap
Gold (GC=F). Gold settled at 4263 on 24 September, down 0.43% on the day and 2.56% over five sessions. The metal opened at 4263.6, traded a high of 4271.5 and a low of 4255, and closed near the session low. Open interest stood at 315,425 contracts. The 20-day change is -7.87%, and the close sits at only the 3rd percentile of the 20-day range (20-day high 4697.7, 20-day low 4273.3). The move extends a sequence of lower closes from the 18 September high of 4415.9, with the 23 September session down 1.33% and the 24 September session down a further 0.43%. The gold VIX (GVZ) was 22.77 on 23 September, down 2.61%, suggesting options markets are not yet pricing acute downside stress. Spot proxies XAU=F closed at 4273.4 (-0.32%).
Silver (SI=F). Silver traded 63.63 on 25 September, down 1.17%, after closing at 63.46 on 24 September (-1.44%). The metal has fallen from a 20 September close of 66.76, with the 23 September session down 2.35% and the 24 September session down 1.44%. Open interest on 24 September was 84,737 contracts, down from 85,292 the prior day. The silver VIX (VXSLV) was 39.22 on 23 September, unchanged. The gold/silver ratio stands at 66.81, in the 55th percentile of its one-year range but only the 18th percentile of its three-year range, indicating silver has outperformed gold over the medium term even as both correct.
Crude Oil (CL=F). WTI settled at 94.31 on 24 September, up 2.33%, with open interest at 311,804 contracts. The session opened at 94.75, traded a high of 94.75 and a low of 94.24. Brent (BZ=F) settled at 106.36, up 3.18%, with the WTI-Brent spread at -6.1 USD/bbl, in the 17th percentile of its one-year range. The five-day change for WTI is -7.46%, while the 20-day change is +14.69%, illustrating extreme two-way volatility. The 20-day range spans 80.65 to 106.75, with the close at the 52nd percentile. The curve is in backwardation, with M1-M2 at +0.16 (0.17%), M1-M6 at +10.66 and M1-M12 at +18.68, implying a roll yield of +2.03%. The OVX stood at 53.24 on 23 September, up 5.82%.
*Natural Gas (NG=F).** Natural gas printed 3.986 on 25 September, down 1.46%, after settling at 4.045 on 24 September, up 4.79%. The 24 September session traded a high of 4.071 against a low of 3.865. The contract is in contango, with M1-M2 at -0.134 (-4.21%) and a roll yield of -50.5%. The prior session's rally followed a 1.55% gain on 23 September and a 1.66% gain on 22 September, a three-session advance that has now paused.
Copper (HG=F). Copper settled at 6.719 on 24 September, up 0.61%, with open interest at 174,830 contracts. The session opened at 6.7 and traded a high of 6.718 against a low of 6.7. The five-day change is +3.01% and the 20-day change is +2.89%. The close sits at the 92nd percentile of the 20-day range (20-day high 6.83, 20-day low 6.281). The curve is in mild backwardation, with M1-M2 at +0.0275 (0.41%) and a roll yield of +4.93%. LME copper closed at 14,646.50 (+0.29%) and LME zinc at 3,965.00 (+1.74%).
Soybeans (ZS=F). Soybeans settled at 1317.5 on 24 September, down 0.04%, with open interest at 468,449 contracts. The session opened at 1310, traded a high of 1327.8 and a low of 1310. The five-day change is +0.32% and the 20-day change is +5.56%. The close sits at the 91st percentile of the 20-day range (20-day high 1332.3, 20-day low 1239.8). The curve is in contango, with M1-M2 at -23.25 (-1.72%) and a roll yield of -5.17%. Soybean meal (ZM=F) settled at 376.1 (+1.57%) and soybean oil (ZL=F) at 66.93 (-0.48%).
3. Macro Landscape
The macro configuration remains the dominant constraint on commodity upside. The US 10-year nominal yield closed at 4.96% on 14 September, which sits in the 100th percentile of its one-year range, the 100th percentile of its three-year range and the 100th percentile of its five-year range, with a three-year Z-score of 2.6, classified as extreme high. The 10-year TIPS real yield is 2.63% as of 22 September. For gold, which carries no coupon, a 2.63% real yield represents a substantial opportunity cost, and the 30-day correlation between gold and the 10-year yield is -0.3462 (60-day -0.3559), with a beta of -0.59. This relationship is consistent with the observed gold drawdown: the metal is down 7.87% over 20 days while real yields remain elevated.
The dollar is a second headwind. The DXY closed at 101.25 on 24 September, up 0.15%, and at 101.26 on 23 September, up 0.68%. The index sits in the 96th percentile of its one-year range but only the 50th percentile of its three-year range and the 43rd percentile of its five-year range, with a three-year Z-score of -0.2, classified as neutral. The 30-day gold-dollar correlation is -0.55 (60-day -0.4775), with a beta of -2.28, and the 30-day crude-dollar correlation is -0.3 (60-day -0.1033), with a beta of -2.73. Dollar strength therefore transmits directly into both metals and energy.
Policy settings are restrictive but stable. The Fed funds effective rate is 3.63% (August), core PCE is 130.66 (July), headline CPI is 334.13 (August), non-farm payrolls are 159,075 thousand (August) and the unemployment rate is 4.1% (August). The Fed's total balance sheet stands at USD 6,746,548 million as of 16 September, and the overnight reverse repo facility is just USD 0.461 billion as of 23 September, indicating the RRP buffer has been effectively drained. The 10-year/2-year spread is +0.25 percentage points, a positive slope that argues against an imminent recession signal.
Credit conditions are benign. The BofA Merrill Lynch high-yield option-adjusted spread is 2.68% as of 22 September, a tight level that is inconsistent with acute liquidity stress. Equity risk sentiment is more mixed: the S&P 500 futures (ES=F) closed at 7768.5 (-0.05%) and the Nasdaq 100 (NQ=F) at 30,756.75 (-0.06%), both in extreme-high valuation percentiles (S&P 500 at the 97th percentile of its one-year range; Nasdaq 100 at the 99th). The VIX closed at 15.18 (+2.08%) on 23 September, in only the 12th percentile of its one-year range, while the VX futures settled at 17.8 (+0.85%). The sentiment aggregate for equities reads -100 (extreme fear) on a sample of one, a reading we treat with caution given the small sample. The Russell 2000 futures (RTY=F) closed at 2853.4 (-0.24%), in the 11th percentile of its 20-day range.
4. Fund Positioning - CFTC
According to CFTC Commitments of Traders data for the reporting date of 15 September, managed-money positioning deteriorated across every major commodity contract we track, a consistent de-risking pattern that argues against reading the recent crude rally as positioning-driven.
Gold. Managed-money longs were 142,394 contracts and shorts 9,278, for a net long of 133,116, down 1,856 lots week-over-week. Total open interest was 409,899. Net length as a share of open interest is 32.48%, which sits in the 79th percentile of its one-year range, the 67th percentile of its three-year range and the 80th percentile of its five-year range, with a three-year Z-score of 0.6 (neutral). The crowding score is 92.58, the highest in our coverage set, and the CTA proxy reads 62. Producer hedging accounts for 14.85% of open interest. The combination of a high crowding score and a falling net position is a classic late-cycle long-liquidation profile.
Crude Oil. Managed-money longs were 221,896 and shorts 115,617, for a net long of 106,279, down 5,452 lots week-over-week. Total open interest was 1,955,764. Net length as a share of open interest is just 5.43%, in the 98th percentile of its one-year range but only the 49th percentile of its three-year range and the 32nd percentile of its five-year range, with a three-year Z-score of -0.2 (neutral). The crowding score is 21.27, the lowest among the contracts we track, and the CTA proxy reads 98. Producer hedging is 50.06% of open interest. The low crowding score implies the recent price spike was not driven by crowded speculative length, which reduces the risk of a positioning-driven unwind but also means there is limited fuel for a sustained trend move.
Copper. Managed-money longs were 83,704 and shorts 18,598, for a net long of 65,106, down 17,048 lots week-over-week — the largest absolute decline in our coverage set. Total open interest was 289,463. Net length as a share of open interest is 22.49%, in the 31st percentile of its one-year range but the 76th percentile of its three-year range and the 85th percentile of its five-year range, with a three-year Z-score of 0.9 (neutral). The crowding score is 63.36 and the CTA proxy reads 98. Producer hedging is 58.27%. The sharp weekly reduction in net length alongside a rising price is a divergence worth monitoring.
Silver. Managed-money longs were 20,205 and shorts 7,081, for a net long of 13,124, down 1,262 lots week-over-week. Total open interest was 103,745. Net length as a share of open interest is 12.65%, in the 75th percentile of its one-year range but only the 39th percentile of its three-year range and the 50th percentile of its five-year range, with a three-year Z-score of -0.3 (neutral). The crowding score is 55.04 and the CTA proxy reads 62. Producer hedging is 25.81%.
Natural Gas. Managed-money longs were 264,362 and shorts 364,567, for a net short of -100,205, down 3,463 lots week-over-week. Total open interest was 1,820,003. Net length as a share of open interest is -5.51%, in the 39th percentile of its one-year range, the 28th percentile of its three-year range and the 28th percentile of its five-year range, with a three-year Z-score of -0.6 (neutral). The crowding score is 33.17 and the CTA proxy reads 74. Producer hedging is 26.69%. Natural gas is the only contract in our coverage set with a net short managed-money position, a contrarian signal that has persisted even as the front month rallied 4.79% on 24 September.
5. Today's Focus
Three events dominate today's calendar.
First, BOE Governor Bailey speaks at 05:15 ET (impact level: high). With no forecast or prior value provided, the market will focus on any guidance regarding the UK rate path and its read-through to the dollar bloc and, by extension, dollar-denominated commodities. The RBA's move toward its highest cash rate since 2011, reported on 24 September on sticky core inflation, is a reminder that DM central banks outside the US remain in tightening mode, a cross-current for the dollar.
Second, the revised University of Michigan consumer sentiment print is due at 10:00 ET (impact level: medium), with a forecast of 47.4 against a prior of 47.8. A downside surprise would reinforce the soft-demand narrative that has pressured copper and crude over the past five sessions; an upside surprise would support the soft-landing base case embedded in the +0.25 percentage point 10s/2s spread.
Given the 10-year TIPS real yield at 2.63% and the 10-year nominal yield at 4.96%, any upward revision to inflation expectations would be read as a real-rate-negative event and could support gold, which is currently trading at only the 3rd percentile of its 20-day range.
On the inventory front, the most recent EIA data (report date 18 September, released 24 September) showed crude inventories at 426,398 thousand barrels, a weekly build of 2,969 thousand barrels; gasoline inventories at 206,046 thousand barrels, a weekly draw of 1,686 thousand barrels; distillate inventories at 107,431 thousand barrels, a weekly draw of 428 thousand barrels; and refinery utilisation at 94%. The crude build is a bearish offset to the geopolitical bid in crude, while the gasoline and distillate draws support the product side of the barrel.
6. Technical Outlook
Gold (GC=F). Trend: downtrend within a broader range. The close of 4263 is below the pivot of 4303.3 and below the first support level of 4268.7, having failed to hold the first resistance at 4321.7. The 20-day range spans 4273.3 to 4697.7, and the close sits at the 3rd percentile of that range, a deeply oversold position on a range basis. The ATR is 98.38, implying a daily expected range of roughly 2.3% at current prices. The 20-day change is -7.87% and the five-day change is -2.56%. The 30-day Sharpe ratio is -0.3243, the only negative Sharpe in our coverage set, with a 20-day realised volatility of 20.32% and a 20-day maximum drawdown of 4.68%. The 52-week maximum drawdown is 25.06%. Given the extreme range position and the elevated ATR, the tactical setup favours patience: a close above the pivot at 4303.3 would be the first sign of stabilisation, while a sustained break below the 20-day low at 4273.3 would open the path toward the next psychological level. We would avoid chasing the move lower at these levels and would look for confirmation before establishing directional exposure.
Crude Oil (CL=F). Trend: volatile uptrend within a wide range. The close of 94.31 is marginally below the pivot of 94.43 but above the first support of 94.12, and well below the first resistance of 94.63. The 20-day range spans 80.65 to 106.75, with the close at the 52nd percentile — effectively mid-range. The ATR is 4.94, implying a daily expected range of roughly 5.2%. The five-day change is -7.46% while the 20-day change is +14.69%, a textbook whipsaw. The 30-day Sharpe ratio is 3.019, the highest in our coverage set, with a 20-day realised volatility of 47.77% and a 20-day maximum drawdown of 12.92%. The 52-week maximum drawdown is 39.31%. The backwardated curve (roll yield +2.03%) and the low crowding score of 21.27 argue against a positioning-driven collapse, but the OVX at 53.24 signals that options markets are pricing substantial two-way risk. We would treat rallies toward the 20-day high of 106.75 as opportunities to reduce length rather than add, and would avoid initiating fresh directional exposure ahead of the Michigan print.
Copper (HG=F). Trend: uptrend. The close of 6.719 is below the pivot of 6.771 and below the first support of 6.739, having failed to reach the first resistance of 6.817. The 20-day range spans 6.281 to 6.83, with the close at the 92nd percentile, a strong range position. The ATR is 0.1298, implying a daily expected range of roughly 1.9%. The five-day change is +3.01% and the 20-day change is +2.89%. The 30-day Sharpe ratio is 1.079, with a 20-day realised volatility of 25.8% and a 20-day maximum drawdown of 6.96%. The 52-week maximum drawdown is 13.49%. The backwardated curve (roll yield +4.93%) and the 98th percentile one-year valuation reading for LME copper argue that the fundamental tightness is genuine, but the 17,048-lot weekly reduction in managed-money net length is a caution. We would look to buy dips toward the 20-day low at 6.281 rather than chase at current levels.
7. Cross-Asset Monitor
USD versus commodities. The DXY closed at 101.25 (+0.15%) on 24 September and 101.26 (+0.68%) on 23 September. The 30-day crude-dollar correlation is -0.3 and the 30-day gold-dollar correlation is -0.55, confirming the expected inverse relationship. With the dollar in the 96th percentile of its one-year range, the currency remains a persistent headwind for dollar-denominated commodities.
Gold versus real yields. The 10-year TIPS real yield is 2.63% and the 10-year nominal yield is 4.96%, in the 100th percentile of its one-year range. The 30-day gold-yield correlation is -0.35 with a beta of -0.59. The gold/silver ratio is 66.81, in the 55th percentile of its one-year range but only the 18th percentile of its three-year range, with a three-year Z-score of -1.2 (depressed), indicating silver has been the stronger of the two metals over the medium term.
Energy complex. WTI settled at 94.31 (+2.33%) and Brent at 106.36 (+3.18%), with the WTI-Brent spread at -6.1 USD/bbl, in the 17th percentile of its one-year range. Natural gas printed 3.986 (-1.46%). The 3:2:1 crack spread is reported at 75.04 USD/bbl in the cross-asset snapshot (23 September), in the 100th percentile of its one-year range and the 100th percentile of its three-year range with a three-year Z-score of 3.2 (extreme high), while a separate calculation in the spread matrix shows -268.88 USD/bbl. We flag this discrepancy and note that the percentile data indicates refining margins are at historically extreme levels. Heating oil (HO=F) closed at 4.784 (+1.14%) and RBOB gasoline (RB=F) at 3.561 (-0.12%), with the RBOB-heating oil spread at -1.183 USD/gal.
Base metals basket. Copper settled at 6.719 (+0.61%), LME copper at 14,646.50 (+0.29%), LME aluminium at 3,251.50 (+0.05%), LME zinc at 3,965.00 (+1.74%), LME nickel at 16,515.00 (+0.33%), LME lead at 1,932.50 (+0.55%) and LME tin at 53,850.00 (+0.18%). The copper/gold ratio is 0.0016, in the 91st percentile of its one-year range but only the 48th percentile of its three-year range, with a three-year Z-score of 0.1 (neutral). The 30-day copper-gold correlation is 0.4 (60-day 0.4352).
8. Risk Factors
1. Event risk from the Michigan print (10:00 ET). A downside surprise to the 47.4 forecast would reinforce demand concerns already visible in the 17,048-lot weekly reduction in copper managed-money net length.
2. Geopolitical supply risk in crude. Houthi strikes on Saudi Arabia and the French deployment to Yanbu remain live catalysts. The OVX at 53.24 (+5.82%) signals that options markets are pricing continued two-way risk.
3. Positioning vulnerability in gold. The crowding score of 92.58 is the highest in our coverage set, and net length fell 1,856 lots week-over-week. Further long liquidation could accelerate the move toward the 20-day low at 4273.3.
4. Real-rate risk. With the 10-year TIPS real yield at 2.63% and the 10-year nominal yield in the 100th percentile of its one-year range, any further rise in real yields would be mechanically negative for gold and silver.
5. Natural gas contango drag. The NG curve shows a roll yield of -50.5%, a structural headwind for long holders even as the front month rallies.
9. Week Ahead
The near-term calendar is light. On 28 September at 09:30 Beijing time, China industrial profits year-to-date/year data is scheduled (impact level: medium), with no forecast or prior value provided. On 30 September at 09:30 Beijing time, China manufacturing PMI is scheduled (impact level: high), also with no forecast or prior value provided. These releases are the principal scheduled macro catalysts for the commodity complex over the next five trading days, given their read-through to Chinese industrial metals demand.
Beyond the scheduled calendar, the market will continue to monitor the geopolitical situation in the Middle East following the Houthi strikes on Saudi Arabia and the French deployment to Yanbu, as well as any further signals from Iran regarding a potential US ceasefire framework. On the policy side, BOE Governor Bailey's remarks today and the RBA's tightening bias reported on 24 September are the most recent DM central bank developments; no Fed, ECB or BOJ policy meetings are scheduled within the window covered by the available calendar data. EIA inventory data will next be updated on its regular weekly schedule following the 18 September report.
10. Trading Desk Summary
- Crude oil: WTI 94.31 (+2.33%), Brent 106.36 (+3.18%). Backwardation intact (roll yield +2.03%), crowding score low at 21.27, but OVX at 53.24 and a 5-day change of -7.46% argue for reducing length into strength rather than adding.
- Gold: 4263 (-0.43%), at the 3rd percentile of its 20-day range. Crowding score 92.58 is the highest in coverage. Avoid chasing; watch the 4303.3 pivot for stabilisation.
- Copper: 6.719 (+0.61%), at the 92nd percentile of its 20-day range. Backwardation and a 98th percentile one-year valuation support the fundamental case, but the 17,048-lot weekly net-length decline warrants caution.
- Natural gas: 3.986 (-1.46%) after a 4.79% prior-session gain. Net short managed money at -100,205 lots is a contrarian signal, but the -50.5% roll yield is a structural drag.
- Silver: 63.63 (-1.17%). Gold/silver ratio at 66.81, in the 18th percentile of its three-year range.
- Soybeans: 1317.5 (-0.04%), at the 91st percentile of the 20-day range. Crush margin at 7.906 USD/bu, in the 81st percentile of its one-year range.
- Key event: Revised University of Michigan sentiment at 10:00 ET (forecast 47.4 vs 47.8 prior) and BOE Governor Bailey at 05:15 ET.
This report is generated automatically from public quantitative and macro data for research and market tracking only. It does not constitute any investment advice.