Commodity Watch_ 28Mar12.pdf
大小:(527.92 KB)

只需: 1 个论坛币  马上下载

Commodity volatility is exceptionally low
Commodity markets, unlike other financial markets, seem to have settled
into spring doldrums. Not only have they been range bound since early
March, but volatility has also declined further than most other markets,
dropping to historical lows, which is remarkable given the tensions around
Iran and the economic concerns over China. As volatility usually rises with
the risk of a supply shock, we point to this low volatility as evidence that
most of the recent rally in crude oil prices has been demand driven,
reflecting the improved macro backdrop.

Shifting to neutral, but still see value in WTI and gold
Many commodity markets reached our near-term fundamentally based
targets during 1Q12, such as copper, crude oil and soybeans, and we
closed our long tactical trading recommendations in copper and Brent,
taking a more neutral stance. The two markets that still stand out are WTI
and gold, where we maintain our long recommendations. However, these
recommendations are based not on improving fundamentals, but rather on
relative value – WTI is expected to converge to Brent as logistical issues
are resolved and gold is expected to converge to real interest rates.

More balanced risks reinforce neutral stance
From a micro perspective, individual markets remain tight and finely
balanced, which leaves them vulnerable to upside price risk, particularly
for oil. In contrast, from a macro perspective, it will be very difficult for the
market to continue to be surprised to the upside given the recent string of
very positive macroeconomic surprises. At the same time, the strength in
oil is now becoming a negative risk to the broader financial markets. The
interpretation of Chinese macro data also poses risk in both directions. On
net, we see the three key risks to commodity markets being China, the US
macro environment and tensions in the Middle East.