How is Trading Behavior in Commodity Futures Affected by the 52-Week High and Low?

Figures & data

Figure 1. Commodity prices (rebased Sep-92 = 100).

Table 1. Descriptive statistics.

		LEVEL		RETURNS
		MEAN	STD.DEV.	MEAN	STD.DEV.	MIN.	MAX.	SKEWNESS	KURTOSIS
Panel A: Futures Prices
GAS	USD	3.99	2.21	0.042	7.47	−37.17	48.25	0.13	5.69
HOIL	USD	1.57	0.94	0.105	5.02	−38.16	35.10	0.00	9.33
OIL	USD	51.98	29.48	0.081	5.73	−69.76	68.83	−0.36	31.20
CORN	USc	365.91	156.63	0.073	3.90	−32.78	23.25	−0.61	9.80
SOY	USc	888.45	331.18	0.064	3.41	−22.84	12.03	−0.80	7.51
WHEAT	USc	484.34	185.05	0.053	4.22	−23.37	23.96	0.26	5.20
COPPER	USD	2.20	1.20	0.082	3.34	−18.28	18.08	−0.25	5.08
GOLD	USD	878.37	544.95	0.105	2.22	−13.43	16.86	0.10	8.01
SILVER	USD	13.31	8.74	0.117	4.03	−30.44	22.64	−0.52	7.95
COCOA	USc	1982.52	712.34	0.062	4.14	−17.21	23.77	0.25	5.21
COFFEE	USc	127.00	49.36	0.068	5.17	−31.29	28.46	0.33	5.69
SUGAR	USD	13.28	5.43	0.031	4.53	−22.98	17.13	−0.13	4.49
	OVERALL				52-WK HIGH		52-WK LOW
	MEAN	STD.DEV.	MIN	MAX	MEAN	Diff.	MEAN	Diff.
Panel B: Net Commercial Positions
GAS	0.004	0.108	−0.31	0.24	−0.042	***	0.087	***
HOIL	−0.087	0.085	−0.33	0.13	−0.160	***	0.011	***
OIL	−0.088	0.107	−0.30	0.23	−0.129	***	−0.046	***
CORN	−0.035	0.134	−0.31	0.34	−0.185	***	0.130	***
SOY	−0.097	0.161	−0.46	0.33	−0.232	***	0.095	***
WHEAT	−0.007	0.139	−0.43	0.25	−0.112	***	0.086	***
COPPER	−0.068	0.200	−0.56	0.36	−0.267	***	0.136	***
GOLD	−0.263	0.260	−0.64	0.47	−0.486	***	0.116	***
SILVER	−0.373	0.167	−0.75	0.07	−0.491	***	−0.140	***
COCOA	−0.128	0.155	−0.54	0.37	−0.244	***	0.040	***
COFFEE	−0.118	0.160	−0.54	0.26	−0.296	***	0.067	***
SUGAR	−0.151	0.176	−0.61	0.38	−0.332	***	0.052	***
	OVERALL				52-WK HIGH		52-WK LOW
	MEAN	STD.DEV.	MIN	MAX	MEAN	Diff.	MEAN	Diff.
Panel C: Net Noncommercial Positions
GAS	−0.053	0.095	−0.27	0.18	−0.006	***	−0.127	***
HOIL	0.031	0.061	−0.16	0.21	0.087	***	−0.037	***
OIL	0.085	0.095	−0.17	0.29	0.119	***	0.054	***
CORN	0.095	0.122	−0.21	0.35	0.233	***	−0.044	***
COCOA	0.085	0.144	−0.36	0.41	0.195	***	−0.067	***
SOY	0.109	0.136	−0.30	0.35	0.240	***	−0.057	***
WHEAT	0.004	0.119	−0.29	0.38	0.124	***	−0.101	***
COPPER	0.032	0.155	−0.32	0.44	0.208	***	−0.148	***
GOLD	0.194	0.233	−0.45	0.53	0.386	***	−0.120	***
SILVER	0.226	0.137	−0.14	0.58	0.342	***	0.037	***
COFFEE	0.063	0.151	−0.30	0.40	0.246	***	−0.116	***
SUGAR	0.101	0.140	−0.27	0.43	0.239	***	−0.054	***

Note: This table provide descriptive statistics for the futures market variables used in this study. Variables include returns for the natural gas, heating oil, crude oil, corn, soymeal, wheat, copper, gold, silver, cocoa, coffee, and sugar futures markets. Panel A reports statistics for futures prices, including weekly log returns. Panel B reports statistics for positions held by commercial traders and Panel C reports statistics for noncommercial traders. CFTC COT reports are used to compute net positions of different trader types (scaled by open interest). First differences are reported for net positions since they take both negative and positive values. Statistics are reported for the overall sample period and when the market has reached a 52-week high or low in the prior week. Differences from the overall sample are indicated together with level of significance as determined by t-tests (*** indicating significance at 1% level). Sample Period: September 1992–December 2022.

Figure 2. Outright positions by trader type.

Note: This figure illustrates the outright long and short positions for commercial (COM) and non-commercial (NCOM) traders. Panel A averages the positions for energy futures (GAS, HOIL, OIL), Panel B for grain futures (CORN, SOY, WHEAT), Panel C for metal futures (COPPER, GOLD, SILVER), and Panel D for softs futures (COCOA, COFFEE, SUGAR). NB: Energy futures are scaled by 103 to ease readability.

Figure 3. Net positions by trader type.

Note: This figure illustrates the net positions for commercial (COM) and non-commercial (NCOM) traders. Panel A averages the positions for energy futures (GAS, HOIL, OIL), Panel B for grain futures (CORN, SOY, WHEAT), Panel C for metal futures (COPPER, GOLD, SILVER), and Panel D for softs futures (COCOA, COFFEE, SUGAR).

Table 2. Regression: influence of 52-week highs and lows on trading behavior of commercial traders.

	ENERGY			GRAINS			METALS			SOFTS
DEP: ΔNPt	GAS	HOIL	OIL	CORN	SOY	WHEAT	COPPER	GOLD	SILVER	COCOA	COFFEE	SUGAR
Intercept	0.025	0.058	0.062	0.373**	0.227	0.610***	0.113	−1.518***	−1.108	−0.190	−0.202	−0.101
	(0.126)	(0.118)	(0.104)	(0.162)	(0.140)	(0.212)	(0.187)	(0.403)	(1.032)	(0.146)	(0.381)	(0.210)
Rt-1	−0.041***	−0.081***	−0.057***	−0.093***	−0.046*	−0.133***	−0.246***	−0.208***	−0.163***	−0.181***	−0.163***	−0.075*
	(0.008)	(0.020)	(0.017)	(0.024)	(0.028)	(0.026)	(0.047)	(0.059)	(0.036)	(0.027)	(0.030)	(0.041)
HI52	−0.488**	−1.153***	−0.477***	−1.035***	−1.329***	−2.243***	−1.701***	−1.089***	−1.300***	−1.187***	−1.348***	−1.585***
	(0.229)	(0.268)	(0.165)	(0.226)	(0.193)	(0.436)	(0.375)	(0.403)	(0.423)	(0.341)	(0.417)	(0.511)
HI52·Rt-1	0.034*	0.165***	0.027	0.051	0.107*	0.129***	0.371***	0.595***	0.421***	0.187***	0.187***	0.256***
	(0.021)	(0.054)	(0.040)	(0.063)	(0.061)	(0.050)	(0.100)	(0.128)	(0.086)	(0.063)	(0.068)	(0.090)
LO52	0.206	0.503*	0.719**	1.867***	0.898***	1.390***	1.727***	3.139***	3.335***	1.791***	3.081***	1.828***
	(0.213)	(0.275)	(0.346)	(0.383)	(0.387)	(0.412)	(0.511)	(0.693)	(0.460)	(0.486)	(0.377)	(0.484)
LO52·Rt-1	0.056*	0.107**	0.135***	0.156***	0.065	0.219***	0.498***	0.272	0.376***	0.043	0.216**	−0.200
	(0.031)	(0.045)	(0.032)	(0.051)	(0.080)	(0.081)	(0.112)	(0.291)	(0.135)	(0.114)	(0.090)	(0.171)
ΔNPt-1	0.144***	0.095***	0.069*	0.183***	0.196***	0.078**	0.182***	0.126***	0.136***	0.133***	0.144***	0.222***
	(0.031)	(0.031)	(0.041)	(0.030)	(0.037)	(0.036)	(0.034)	(0.036)	(0.036)	(0.029)	(0.041)	(0.032)
ΔVIXt-1	0.018	0.016	0.007	−0.022	0.006	0.028	−0.001	0.016	−0.021	0.077*	−0.008	−0.131**
	(0.032)	(0.037)	(0.031)	(0.030)	(0.036)	(0.045)	(0.053)	(0.063)	(0.060)	(0.042)	(0.057)	(0.062)
ΔTBILLt-1	−0.221	−1.849**	−1.028	−1.416*	0.476	−1.225	0.540	3.577*	0.530	−0.571	−1.189	−1.628
	(0.558)	(0.728)	(0.843)	(0.815)	(1.018)	(1.188)	(1.182)	(2.096)	1.498	(0.794)	(1.201)	(1.414)
ΔCRDSPRDt-1	0.019	−0.481	−0.079	−0.474	−0.914	−0.312	4.040	2.855	1.337	2.682**	2.812	−1.591
	(0.637)	(1.445)	(1.086)	(1.018)	(1.515)	(1.891)	(2.454)	(2.853)	(2.234)	(1.364)	(1.836)	(1.772)
ΔTERMt-1	0.254	−1.958*	−0.749	−1.021	0.231	−0.947	−1.548	3.868*	−1.630	−2.020*	−2.011	−1.507
	(0.670)	(1.014)	(0.921)	(1.086)	(0.969)	(1.302)	(1.452)	(2.062)	(1.489)	(1.039)	(1.341)	(1.359)
ΔDIVYLDt-1	0.257	5.726***	3.210**	4.228**	5.138**	4.399	14.740***	1.325	2.723	1.657	4.455	5.999*
	(1.519)	(2.132)	(1.622)	(1.784)	(2.270)	(2.760)	(4.122)	(3.715)	(3.616)	(2.309)	(3.245)	(3.338)
BACKt-1	0.017	0.028	−0.074	−0.449**	−0.247	−0.599**	−0.042	1.431***	0.973	0.279	0.073	−0.051
	(0.140)	(0.147)	(0.128)	(0.178)	(0.169)	(0.235)	(0.237)	(0.423)	(1.047)	(0.182)	(0.387)	(0.268)
Adj. R^2	0.047	0.051	0.036	0.107	0.075	0.065	0.113	0.048	0.081	0.118	0.107	0.109
F-Statistic	7.22	7.88	5.76	16.23	11.39	9.80	17.20	7.45	12.20	18.07	16.30	16.64
Durbin-Watson	1.98	1.99	2.01	1.92	1.97	1.95	1.93	1.95	1.95	1.98	1.93	1.94
No. Obs.	1528	1528	1528	1528	1528	1528	1528	1528	1528	1528	1528	1528

Note: This table reports the estimated coefficients for the model specified in Equation (2). The dependent variable is the weekly change in net position (NP) for commercial traders. The key explanatory variables are lagged log returns (R), a dummy variable indicating the market is trading at a 52-week high (HI52), or low (LO52), and associated interaction terms (HI52·R; LO52·R). Control variables include the lagged dependent variables, lagged changes in S&P500 implied volatility index (VIX), 3-month US T-Bill rate (TBILL), Baa-Aaa credit spread (CRDSPRD), the 10-yr minus 2-yr US government bond yield spread (TERM), the S&P500 dividend yield (DIVYLD), and a dummy variable signifying whether the futures market is in backwardation (BACK). Newey-West standard errors are reported in parentheses. *, **, *** indicates statistical significance at the 10%, 5%, and 1% level respectively. Sample Period: September 1992–December 2022.

Table 3. Regression: influence of 52-week highs and lows on trading behavior of noncommercial traders.

	ENERGY			GRAINS			METALS			SOFTS
DEP: ΔNPt	GAS	HOIL	OIL	CORN	SOY	WHEAT	COPPER	GOLD	SILVER	COCOA	COFFEE	SUGAR
Intercept	−0.038	−0.060	−0.080	−0.255*	−0.170	−0.531***	−0.091	1.347***	0.391	0.176	0.158	0.098
	(0.101)	(0.089)	(0.080)	(0.144)	(0.121)	(0.203)	(0.146)	(0.351)	(1.089)	(0.130)	(0.333)	(0.150)
Rt-1	0.035***	0.073***	0.034***	0.110***	0.077***	0.123***	0.197***	0.199***	0.157***	0.189***	0.166***	0.075**
	(0.007)	(0.016)	(0.013)	(0.023)	(0.026)	(0.023)	(0.038)	(0.049)	(0.028)	(0.023)	(0.029)	(0.037)
HI52	0.590***	0.847***	0.589***	0.864***	1.014***	1.875***	1.419***	0.870**	1.276***	0.828**	1.370***	0.887**
	(0.210)	(0.232)	(0.147)	(0.202)	(0.188)	(0.429)	0.307	(0.352)	(0.470)	(0.337)	(0.373)	(0.390)
HI52·Rt-1	−0.054***	−0.124***	−0.039	−0.064	−0.078	−0.163***	−0.281***	−0.470***	−0.419***	−0.130**	−0.176***	−0.154**
	(0.019)	(0.046)	(0.032)	(0.063)	(0.061)	(0.051)	(0.084)	(0.103)	(0.094)	(0.065)	(0.065)	(0.078)
LO52	−0.131	−0.323	−0.604**	−1.562***	−0.944***	−0.837**	−1.159***	−2.435***	−2.421***	−1.527***	−2.908***	−1.236***
	(0.207)	(0.239)	(0.239)	(0.330)	(0.356)	(0.347)	(0.382)	(0.555)	(0.393)	(0.438)	(0.382)	(0.350)
LO52·Rt-1	−0.037	−0.099***	−0.123***	−0.133**	−0.092	−0.103	−0.312***	−0.193	−0.295**	−0.056	−0.230***	0.160
	(0.029)	(0.037)	(0.026)	(0.054)	(0.075)	(0.091)	(0.084)	(0.236)	(0.119)	(0.107)	(0.083)	(0.137)
ΔNPt-1	0.153***	0.044	0.088**	0.198***	0.171***	0.089**	0.195***	0.133***	0.175***	0.137***	0.161***	0.243***
	(0.031)	(0.033)	(0.036)	(0.028)	(0.037)	(0.036)	(0.032)	(0.034)	(0.031)	(0.027)	(0.041)	(0.034)
ΔVIXt-1	−0.017	−0.007	0.004	0.029	0.007	−0.022	−0.002	−0.012	0.021	−0.086**	0.011	0.097**
	(0.029)	(0.028)	(0.024)	(0.030)	(0.033)	(0.042)	(0.043)	(0.051)	(0.053)	(0.039)	(0.052)	(0.043)
ΔTBILLt-1	−0.089	0.837	0.924	1.196*	0.049	1.083	−0.531	−2.990*	−0.712	−0.018	0.873	1.494
	(0.472)	(0.518)	(0.632)	(0.717)	(0.878)	(1.026)	(0.988)	(1.709)	(1.401)	(0.739)	(1.139)	(0.969)
ΔCRDSPRDt-1	0.327	0.248	−0.472	0.912	0.296	0.492	−3.002	−1.503	−2.845	−2.745**	−2.255	1.284
	(0.623)	(1.056)	(0.987)	(1.018)	(1.550)	(1.777)	(2.062)	(2.238)	(2.120)	(1.234)	(1.729)	(1.242)
ΔTERMt-1	−0.315	1.165	0.871	0.633	0.503	0.346	1.483	−3.797*	2.058	1.496*	1.664	0.783
	(0.562)	(0.753)	(0.739)	(1.060)	(0.947)	(1.184)	(1.181)	(1.679)	(1.562)	(0.880)	(1.217)	(0.996)
ΔDIVYLDt-1	0.141	−4.592***	−3.998***	−3.758**	−4.381**	−4.066	−9.919***	2.090	−0.906	−0.111	−3.700	−4.007*
	(0.155)	(1.535)	(1.287)	(1.654)	(2.115)	(2.550)	(3.048)	(3.047)	(3.298)	(2.100)	(2.922)	(2.325)
BACKt-1	−0.003	−0.004	0.081	0.317*	0.210	0.535**	0.021	−1.284***	−0.291	−0.244	−0.036	0.015
	(0.113)	(0.109)	0.099	(0.163)	(0.154)	(0.223)	(0.189)	(0.366)	(1.097)	(0.162)	(0.342)	(0.196)
Adj. R^2	0.051	0.043	0.045	0.115	0.068	0.061	0.113	0.053	0.092	0.132	0.124	0.131
F-Statistic	7.75	6.76	6.94	17.61	10.22	9.22	17.34	8.15	13.87	20.29	19.03	20.14
Durbin-Watson	1.97	1.99	1.99	1.93	1.97	1.96	1.93	1.95	1.94	1.99	1.93	1.95
No. Obs.	1528	1528	1528	1528	1528	1528	1528	1528	1528	1528	1528	1528

Note: This table reports the estimated coefficients for the model specified in Equation (2). The dependent variable is the weekly change in net position (NP) for noncommercial traders. The key explanatory variables are lagged log returns (R), a dummy variable indicating the market is trading at a 52-week high (HI52), or low (LO52), and associated interaction terms (HI52·R; LO52·R). Control variables include the lagged dependent variables, lagged changes in S&P500 implied volatility index (VIX), 3-month US T-Bill rate (TBILL), Baa-Aaa credit spread (CRDSPRD), the 10-yr minus 2-yr US government bond yield spread (TERM), the S&P500 dividend yield (DIVYLD), and a dummy variable signifying whether the futures market is in backwardation (BACK). Newey-West standard errors are reported in parentheses. *, **, *** indicates statistical significance at the 10%, 5%, and 1% level respectively. Sample Period: September 1992–December 2022.

Table 4. Granger causality tests.

Panel A: Commercial					Panel B: Noncommercial
Null Hypothesis:	Obs.	F-Statistic	Prob.		Null Hypothesis:	Obs.	F-Statistic	Prob.
RGAS does not Granger Cause ΔNPGAS	1572	7.552	<0.001		RGAS does not Granger Cause ΔNPGAS	1572	6.610	<0.001
ΔNPGAS does not Granger Cause RGAS		1.321	0.252		ΔNPGAS does not Granger Cause RGAS		0.749	0.587
RHOIL does not Granger Cause ΔNPHOIL	1572	5.482	<0.001		RHOIL does not Granger Cause ΔNPHOIL	1572	7.205	<0.001
ΔNPHOIL does not Granger Cause RHOIL		0.435	0.824		ΔNPHOIL does not Granger Cause RHOIL		0.708	0.617
ROIL does not Granger Cause ΔNPOIL	1572	7.882	<0.001		ROIL does not Granger Cause ΔNPOIL	1572	5.984	<0.001
ΔNPOIL does not Granger Cause ROIL		1.256	0.280		ΔNPOIL does not Granger Cause ROIL		0.777	0.566
RCORN does not Granger Cause ΔNPCORN	1572	3.319	<0.001		RCORN does not Granger Cause ΔNPCORN	1572	5.522	<0.001
ΔNPCORN does not Granger Cause RCORN		0.416	0.838		ΔNPCORN does not Granger Cause RCORN		0.248	0.941
RSOY does not Granger Cause ΔNPSOY	1572	1.767	0.117		RSOY does not Granger Cause ΔNPSOY	1572	3.084	0.009
ΔNPSOY does not Granger Cause RSOY		3.129	0.008		ΔNPSOY does not Granger Cause RSOY		2.421	0.034
RWHEAT does not Granger Cause ΔNPWHEAT	1572	4.207	0.001		RWHEAT does not Granger Cause ΔNPWHEAT	1572	5.743	<0.001
ΔNPWHEAT does not Granger Cause RWHEAT		0.814	0.539		ΔNPWHEAT does not Granger Cause RWHEAT		0.427	0.830
RCOPPER does not Granger Cause ΔNPCOPPER	1572	6.436	<0.001		RCOPPER does not Granger Cause ΔNPCOPPER	1572	6.466	<0.001
ΔNPCOPPER does not Granger Cause RCOPPER		1.123	0.346		ΔNPCOPPER does not Granger Cause RCOPPER		0.961	0.440
RGOLD does not Granger Cause ΔNPGOLD	1572	1.517	0.181		RGOLD does not Granger Cause ΔNPGOLD	1572	1.846	0.101
ΔNPGOLD does not Granger Cause RGOLD		0.701	0.623		ΔNPGOLD does not Granger Cause RGOLD		0.550	0.738
RSILVER does not Granger Cause ΔNPSILVER	1572	4.242	0.001		RSILVER does not Granger Cause ΔNPSILVER	1572	4.034	0.001
ΔNPSILVER does not Granger Cause RSILVER		0.820	0.535		ΔNPSILVER does not Granger Cause RSILVER		0.380	0.863
RCOCOA does not Granger Cause ΔNPCOCOA	1572	11.030	<0.001		RCOCOA does not Granger Cause ΔNPCOCOA	1572	15.477	<0.001
ΔNPCOCOA does not Granger Cause RCOCOA		3.291	0.006		ΔNPCOCOA does not Granger Cause RCOCOA		2.099	0.063
RCOFFEE does not Granger Cause ΔNPCOFFEE	1572	5.215	<0.001		RCOFFEE does not Granger Cause ΔNPCOFFEE	1572	7.215	<0.001
ΔNPCOFFEE does not Granger Cause RCOFFEE		1.794	0.111		ΔNPCOFFEE does not Granger Cause RCOFFEE		2.226	0.049
RSUGAR does not Granger Cause ΔNPSUGAR	1572	4.315	0.001		RSUGAR does not Granger Cause ΔNPSUGAR	1572	7.016	<0.001
ΔNPSUGAR does not Granger Cause RSUGAR		6.982	<0.001		ΔNPSUGAR does not Granger Cause RSUGAR		6.071	<0.001

Note: This table shows results of pairwise Granger causality tests for returns (R) and changes in net positions (ΔNP) of commercial (Panel A) and noncommercial (Panel B) traders in a range of futures markets. Four lags are used on the basis of optimal AIC and SIC. Sample period: September 1992–December 2022.

Table 5. Importance of market condition (Backwardation & Contango).

	GAS		HOIL		OIL		CORN		SOY		WHEAT		COPPER		COCOA		COFFEE		SUGAR
	BACK	CONT	BACK	CONT	BACK	CONT	BACK	CONT	BACK	CONT	BACK	CONT	BACK	CONT	BACK	CONT	BACK	CONT	BACK	CONT
Panel A: Commercial Traders
Intercept	0.036	0.051	0.111	0.011	0.010	0.046	−0.060	0.288	0.005	0.179	0.056	0.512*	0.101	0.032	0.107	−0.232	−0.069	−0.488	−0.147	−0.129
	(0.067)	(0.133)	(0.105)	(0.131)	(0.079)	(0.115)	(0.091)	(0.178)	(0.119)	(0.143)	(0.105)	(0.262)	(0.180)	(0.207)	(0.113)	(0.150)	(0.128)	(0.504)	(0.164)	(0.225)
Rt-1	−0.048***	−0.029**	−0.075***	−0.087***	−0.041**	−0.091***	−0.089***	−0.104**	−0.095**	−0.019	−0.115***	−0.173***	−0.312***	−0.161**	−0.213***	−0.098***	−0.169***	−0.175**	−0.048	−0.182***
	(0.009)	(0.012)	(0.027)	(0.029)	(0.017)	(0.024)	(0.027)	(0.043)	(0.044)	(0.039)	(0.028)	(0.065)	(0.064)	(0.066)	(0.036)	(0.037)	(0.035)	(0.068)	(0.032)	(0.049)
HI52	−0.461	−0.565	−1.593***	−0.715**	−0.914***	−0.252	−1.189***	−0.762***	−1.403***	−1.329***	−2.845***	−1.509**	−1.981***	−1.167**	−1.389***	−0.886*	−1.802***	0.645	−0.778	−1.958***
	(0.286)	(0.399)	(0.415)	(0.306)	(0.276)	(0.201)	(0.308)	(0.286)	(0.278)	(0.289)	(0.566)	(0.617)	(0.535)	(0.458)	(0.477)	(0.486)	(0.370)	(1.335)	(0.561)	(0.635)
HI52·Rt-1	0.055*	0.015	0.163*	0.155**	0.046	0.033	0.010	0.139**	0.107	0.136	0.125*	0.163	0.374**	3.140***	0.220***	0.117	0.186***	0.122	0.107	0.398***
	(0.030)	(0.028)	(0.094)	(0.061)	(0.051)	(0.054)	(0.085)	(0.066)	(0.082)	(0.090)	(0.066)	(0.103)	(0.148)	(0.120)	(0.079)	(0.095)	(0.047)	(0.169)	(0.080)	(0.118)
LO52	0.241	−0.461	0.557*	0.392	0.742*	0.194	1.977***	0.956	0.761*	1.218	1.121***	5.205**	1.617***	1.591	1.649***	3.209*	2.840***	4.988***	1.593***	3.250
	(0.218)	(0.880)	(0.325)	(0.404)	(0.383)	(0.386)	(0.406)	(1.073)	(0.427)	(0.776)	(0.389)	(2.497)	(0.593)	(1.076)	(0.512)	(1.698)	(0.381)	(1.540)	(0.476)	(2.123)
LO52·Rt-1	0.065***	−0.040	0.009*	0.204**	0.123***	−0.096	0.189***	0.096	0.162**	−0.063	0.186**	0.885	0.443***	0.460***	0.074	0.062	0.249**	0.299*	−0.200	−0.246
	(0.032)	(0.077)	(0.051)	(0.101)	(0.033)	(0.089)	(0.068)	(0.064)	(0.079)	(0.173)	(0.076)	(0.709)	(0.141)	(0.155)	(0.119)	(0.398)	(0.104)	(0.167)	(0.173)	(0.540)
CONTROLS	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES
Adj. R^2	0.044	0.038	0.055	0.037	0.056	0.026	0.105	0.093	0.061	0.091	0.076	0.036	0.127	0.086	0.105	0.148	0.114	0.079	0.140	0.090
No. Obs.	1214	314	995	533	826	702	1223	305	902	626	1254	274	966	562	1091	437	1287	241	830	698
	GAS		HOIL		OIL		CORN		SOY		WHEAT		COPPER		COCOA		COFFEE		SUGAR
	BACK	CONT	BACK	CONT	BACK	CONT	BACK	CONT	BACK	CONT	BACK	CONT	BACK	CONT	BACK	CONT	BACK	CONT	BACK	CONT
Panel B: Noncommercial Traders
Intercept	−0.031	−0.071	−0.081	−0.023	−0.016	−0.066	0.037	−0.153	0.014	−0.135	−0.030	−0.401*	−0.096	−0.014	−0.085	0.228*	0.079	0.312	0.096	0.130
	(0.057)	(0.108)	(0.079)	(0.094)	(0.062)	(0.088)	(0.088)	(0.156)	(0.118)	(0.129)	(0.098)	(0.238)	(0.147)	(0.161)	(0.100)	(0.133)	(0.121)	(0.435)	(0.122)	(0.156)
Rt-1	0.043***	0.021**	0.074***	0.071***	0.025*	0.053***	0.114***	0.095**	0.158***	0.032	0.124***	0.119**	0.261***	0.117**	0.217***	0.121***	0.178***	0.149**	0.054*	0.158***
	(0.008)	(0.010)	(0.019)	(0.024)	(0.013)	(0.019)	(0.026)	(0.041)	(0.043)	(0.032)	(0.025)	(0.058)	(0.051)	(0.055)	(0.031)	(0.032)	(0.033)	(0.071)	(0.032)	(0.034)
HI52	0.430	0.826**	1.029***	0.658**	0.817***	0.464***	1.027***	0.587**	1.138***	0.956***	2.565***	0.981*	1.704***	0.882**	0.977**	0.540	1.743***	−0.179	0.396	1.131**
	(0.271)	(0.342)	(0.346)	(0.289)	(0.268)	(0.177)	(0.286)	(0.230)	(0.279)	(0.255)	(0.588)	(0.580)	(0.416)	(0.442)	(0.487)	(0.448)	(0.351)	(1.246)	(0.504)	(0.480)
HI52·Rt-1	−0.055*	−0.047*	−0.078	−0.153***	−0.024	−0.052	−0.007	−0.179***	−0.121	−0.074	−0.190***	−0.131	−0.294**	−0.217**	−0.132	−0.094	−0.164***	−0.106	0.004	−0.290***
	(0.032)	(0.024)	(0.084)	(0.053)	(0.055)	(0.041)	(0.087)	(0.050)	(0.088)	(0.081)	(0.069)	(0.099)	(0.115)	(0.107)	(0.087)	(0.094)	(0.047)	(0.157)	(0.079)	(0.096)
LO52	−0.168	0.602	−0.343	−0.334	−0.598**	−0.320	−1.702***	−0.962	−0.795*	−1.235*	−0.716**	−2.921	−1.165**	−0.754	−1.441***	−2.555**	−2.788***	−3.776**	−1.045***	−2.248
	(0.210)	(0.727)	(0.280)	(0.269)	(0.263)	(0.357)	(0.332)	(1.106)	(0.410)	(0.664)	(0.348)	(1.827)	(0.460)	(0.680)	(0.471)	(1.282)	(0.391)	(1.598)	(0.329)	(1.586)
LO52·Rt-1	−0.048	0.074	−0.090**	−0.177***	−0.119***	0.033	−0.208***	−0.019	−0.198**	0.011	−0.086	−0.616	−0.309***	−0.201	−0.087	−0.046	−0.240**	−0.305	0.164	0.220
	(0.030)	(0.061)	(0.041)	(0.061)	(0.028)	(0.090)	(0.055)	(0.067)	(0.084)	(0.150)	(0.092)	(0.514)	(0.105)	(0.142)	(0.115)	(0.300)	(0.101)	(0.187)	(0.143)	(0.334)
CONTROLS	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES
Adj. R^2	0.050	0.036	0.052	0.043	0.067	0.024	0.120	0.085	0.071	0.064	0.069	0.012	0.128	0.088	0.120	0.155	0.128	0.105	0.152	0.120
No. Obs.	1214	314	995	533	826	702	1223	305	902	626	1254	274	966	562	1091	437	1287	241	830	698

Note: This table reports the estimated coefficients for the model specified in Equation (2). The dependent variable is the weekly change in net position (NP) for commercial and noncommercial traders. The key explanatory variables are lagged log returns (R), a dummy variable indicating the market is trading at a 52-week high (HI52), or low (LO52), and associated interaction terms (HI52·R; LO52·R). Control variables include the lagged dependent variables, lagged changes in S&P500 implied volatility index (VIX), 3-month US T-Bill rate (TBILL), Baa-Aaa credit spread (CRDSPRD), the 10-yr minus 2-yr US government bond yield spread (TERM), and the S&P500 dividend yield (DIVYLD). The sample is disaggregated into periods where the futures market for the respective commodity is in backwardation (BACK) or contango (CONT). Newey-West standard errors are reported in parentheses. *, **, *** indicates statistical significance at the 10%, 5%, and 1% level respectively. Sample Period: September 1992–December 2022.

Table 6. Commercial traders outright longs and shorts.

	ENERGY			GRAINS			METALS			SOFTS
Dependent: ΔLONG	GAS	HOIL	OIL	CORN	SOY	WHEAT	COPPER	GOLD	SILVER	COCOA	COFFEE	SUGAR
Intercept	0.039	−0.006	−0.055	−0.034	0.069	0.048	0.018	−0.182	0.032	0.026	−0.184	−0.078
	(0.108)	(0.152)	(0.101)	(0.090)	(0.126)	(0.158)	(0.183)	(0.202)	(0.269)	(0.107)	(0.174)	(0.159)
Rt-1	−0.052***	−0.061*	−0.062**	−0.068***	0.057	0.002	−0.284***	−0.081	−0.167**	−0.136***	−0.133***	−0.032
	(0.016)	(0.034)	(0.025)	(0.024)	(0.041)	(0.038)	(0.077)	(0.093)	(0.069)	(0.032)	(0.043)	(0.039)
HI52	0.752*	0.707	0.693*	−0.273	−0.021	−0.777	−1.167	−0.751	−4.928***	−1.122**	−0.466	−0.526
	(0.454)	(0.574)	(0.404)	(0.409)	(0.521)	(0.634)	(0.752)	(0.735)	(1.305)	(0.541)	(0.607)	(0.752)
HI52*Rt-1	−0.117	0.096	−0.035	0.020	−0.178	−0.243***	0.275	0.584**	0.926***	0.224**	0.206**	0.281*
	(0.088)	(0.137)	(0.101)	(0.079)	(0.159)	(0.082)	(0.240)	(0.285)	(0.188)	(0.095)	(0.087)	(0.168)
LO52	0.886*	1.676***	0.722	1.594***	1.274*	1.780**	3.426***	3.098***	3.512***	1.980**	3.286***	1.137**
	(0.440)	(0.647)	(0.528)	(0.529)	(0.712)	(0.756)	(0.833)	(0.803)	(0.917)	(0.838)	(0.795)	(0.567)
LO52*Rt-1	0.027	−0.006	0.056	−0.122*	−0.052	0.149	0.682***	−0.460	0.340	0.083	0.074	−0.280
	(0.060)	(0.089)	(0.074)	(0.064)	(0.102)	(0.182)	(0.199)	(0.372)	(0.255)	(0.139)	(0.164)	(0.187)
Adj. R^2	0.009	0.017	0.005	0.047	0.038	0.005	0.040	0.018	0.018	0.056	0.037	0.066
F-Statistic	2.25	3.38	1.76	7.84	6.54	1.66	6.77	3.56	3.48	9.27	6.28	10.85
No. Obs.	1528	1528	1528	1528	1528	1528	1528	1528	1528	1528	1528	1528
	ENERGY			GRAINS			METALS			SOFTS
Dependent: ΔSHORT	GAS	HOIL	OIL	CORN	SOY	WHEAT	COPPER	GOLD	SILVER	COCOA	COFFEE	SUGAR
Intercept	−0.066	−0.136	−0.111	−0.044	−0.151	−0.166	−0.174	−0.043	0.139	−0.040	0.100	0.116
	(0.124)	(0.136)	(0.105)	(0.143)	(0.161)	(0.195)	(0.192)	(0.207)	(0.153)	(0.115)	(0.159)	(0.159)
Rt-1	0.065***	0.075**	0.068***	0.185***	0.144***	0.247***	0.383***	0.442***	0.259***	0.164***	0.197***	0.109***
	(0.019)	(0.032)	(0.024)	(0.038)	(0.052)	(0.052)	(0.075)	(0.095)	(0.057)	(0.031)	(0.046)	(0.037)
HI52	1.777***	1.269**	1.596***	2.100***	3.075***	5.599***	3.233***	3.159***	1.549**	1.415***	2.394***	2.903***
	(0.547)	(0.502)	(0.385)	(0.439)	(0.489)	(0.885)	(0.672)	(0.722)	(0.783)	(0.433)	(0.804)	(0.689)
HI52*Rt-1	−0.182**	−0.163	−0.069	−0.057	−0.369***	−0.566***	−0.597***	−0.878***	−0.280*	−0.055	−0.199*	−0.251*
	(0.075)	(0.111)	(0.099)	(0.099)	(0.134)	(0.110)	(0.203)	(0.287)	(0.146)	(0.126)	(0.105)	(0.130)
LO52	0.649	0.734	−0.363	−2.185***	−0.676	−2.084*	−1.322	−4.059***	−4.134***	−1.214*	−2.898***	−2.059***
	(0.559)	(0.473)	(0.661)	(0.788)	(0.769)	(1.069)	(0.901)	(1.244)	(0.682)	(0.648)	(0.667)	(0.625)
LO52*Rt-1	−0.085	−0.194**	−0.190**	−0.387***	−0.205	−0.035	−0.456*	−1.199**	−0.557***	−0.045	−0.336**	0.036
	(0.073)	(0.078)	(0.082)	(0.138)	(0.180)	(0.252)	(0.244)	(0.561)	(0.157)	(0.163)	(0.137)	(0.190)
Adj. R^2	0.010	0.027	0.027	0.158	0.078	0.081	0.086	0.043	0.086	0.078	0.091	0.088
F-Statistic	2.42	4.83	4.89	27.01	12.76	13.27	14.15	7.26	14.02	12.77	14.91	14.53
No. Obs.	1528	1528	1528	1528	1528	1528	1528	1528	1528	1528	1528	1528

Note: This table reports the estimated coefficients for a model similar to that specified in Equation (2). The dependent variable is the weekly change in long (ΔLONG) and short (ΔSHORT) positions reported by commercial traders. The key explanatory variables are lagged log returns (R), a dummy variable indicating the market is trading at a 52-week high (HI52), or low (LO52), and associated interaction terms (HI52·R; LO52·R). Control variables include the lagged dependent variables, lagged changes in S&P500 implied volatility index (VIX), 3-month US T-Bill rate (TBILL), Baa-Aaa credit spread (CRDSPRD), the 10-yr minus 2-yr US government bond yield spread (TERM), the S&P500 dividend yield (DIVYLD), and a dummy variable signifying whether the futures market is in backwardation (BACK). Newey-West standard errors are reported in parentheses. *, **, *** indicates statistical significance at the 10%, 5%, and 1% level respectively. Sample Period: September 1992–December 2022.

Table 7. Noncommercial traders outright long and shorts.

	ENERGY			GRAINS			METALS			SOFTS
Dependent: ΔLONG	GAS	HOIL	OIL	CORN	SOY	WHEAT	COPPER	GOLD	SILVER	COCOA	COFFEE	SUGAR
Intercept	−0.305	−0.469	−0.205	−0.070	−0.399	−0.388	−0.800	−0.190	−0.292	−0.514	−0.176	0.297
	(0.450)	(0.547)	(0.377)	(0.260)	(0.315)	(0.246)	(0.324)	(0.365)	(0.194)	(0.335)	(0.331)	(0.372)
Rt-1	0.164**	0.637***	0.246***	0.236***	0.259***	0.171***	0.729***	0.449***	0.332***	0.491***	0.289***	0.180
	(0.066)	(0.159)	(0.082)	(0.064)	(0.099)	(0.055)	(0.145)	(0.154)	(0.069)	(0.118)	(0.098)	(0.127)
HI52	7.305***	6.634***	3.133***	4.096***	5.292***	6.297***	7.144***	5.738***	5.225***	6.486***	4.973***	3.252**
	(1.934)	(1.651)	(0.764)	(0.748)	(0.862)	(1.172)	(1.156)	(1.340)	(1.250)	(1.352)	(1.128)	(1.454)
HI52*Rt-1	−0.619	−0.714	0.087	−0.249	−0.281	−0.248*	−1.127***	−1.159***	−0.979***	−0.107	−0.248	−0.191
	(0.218)	(0.452)	(0.234)	(0.187)	(0.249)	(0.148)	(0.414)	(0.349)	(0.220)	(0.235)	(0.167)	(0.870)
LO52	−0.587**	−4.567	−0.744	−3.761***	−0.535	1.472**	−3.518***	−4.269**	1.401**	−1.733	−1.469	−1.159
	(1.730)	(3.756)	(2.179)	(0.984)	(1.767)	(0.746)	(1.245)	(1.763)	(0.634)	(2.416)	(0.986)	(1.868)
LO52*Rt-1	−0.525	−1.173**	−0.349*	−0.484**	−0.332	−0.113	−0.861**	−1.239**	−0.241*	−0.768	−0.364	1.033
	(0.229)	(0.475)	(0.188)	(0.244)	(0.243)	(0.336)	(0.374)	(0.556)	(0.127)	(0.531)	(0.277)	(0.677)
Adj. R^2	0.012	0.023	0.017	0.066	0.031	0.047	0.071	0.020	0.082	0.052	0.045	0.074
F-Statistic	2.64	4.22	3.47	10.87	5.49	7.87	11.60	3.85	13.39	8.61	7.56	12.04
No. Obs.	1528	1528	1528	1528	1528	1528	1528	1528	1528	1528	1528	1528
	ENERGY			GRAINS			METALS			SOFTS
Dependent: ΔSHORT	GAS	HOIL	OIL	CORN	SOY	WHEAT	COPPER	GOLD	SILVER	COCOA	COFFEE	SUGAR
Intercept	0.242	0.133	−0.165	−0.101	−0.220	0.040	−0.567	−0.724	−0.820	−0.409	−0.648	−0.572
	(0.534)	(0.722)	(0.460)	(0.432)	(0.397)	(0.324)	(0.491)	(0.441)	(0.576)	(0.416)	(0.561)	(0.896)
Rt-1	−0.361***	−0.550***	−0.224**	−0.794***	−0.471***	−0.484***	−0.660***	−0.832***	−0.887***	−0.819***	−1.054***	−0.906*
	(0.087)	(0.134)	(0.090)	(0.150)	(0.124)	(0.094)	(0.183)	(0.198)	(0.167)	(0.128)	(0.144)	(0.537)
HI52	−1.624	0.369	−1.111	−0.410	−0.005	−0.348	2.757	4.023***	6.101**	1.772	−1.711	−4.475
	(2.188)	(3.048)	(1.048)	(1.321)	(1.745)	(1.741)	(2.026)	(1.496)	(2.433)	(2.017)	(1.755)	(3.247)
HI52*Rt-1	0.309	−0.298	0.559***	0.180	0.702	0.479***	0.563	1.008**	0.236	0.721**	1.053***	1.771**
	(0.262)	(0.561)	(0.216)	(0.392)	(0.511)	(0.186)	(0.522)	(0.473)	(0.525)	(0.365)	(0.344)	(0.697)
LO52	3.734**	3.257*	6.795***	6.769***	5.060***	3.951***	8.081***	6.732***	10.282***	6.245***	11.158***	6.982***
	(1.786)	(1.942)	(2.215)	(1.962)	(1.386)	(1.084)	(2.133)	(1.614)	(1.749)	(1.853)	(1.575)	(2.140)
LO52*Rt-1	0.473**	0.544	0.748***	0.755***	0.569**	0.552*	0.921**	−0.045	1.287***	−0.016	0.652	−1.158
	(0.187)	(0.386)	(0.261)	(0.257)	(0.231)	(0.303)	(0.411)	(0.937)	(0.443)	(0.576)	(0.040)	(0.911)
Adj. R^2	0.010	0.026	0.018	0.059	0.018	0.029	0.020	0.031	0.037	0.070	0.087	0.075
F-Statistic	2.36	4.65	3.53	9.69	3.49	5.21	3.77	5.52	6.36	11.49	14.35	12.25
No. Obs.	1528	1528	1528	1528	1528	1528	1528	1528	1528	1528	1528	1528

Note: This table reports the estimated coefficients for a model similar to that specified in Equation (2). The dependent variable is the weekly change in long (ΔLONG) and short (ΔSHORT) positions reported by noncommercial traders. The key explanatory variables are lagged log returns (R), a dummy variable indicating the market is trading at a 52-week high (HI52), or low (LO52), and associated interaction terms (HI52·R; LO52·R). Control variables include the lagged dependent variables, lagged changes in S&P500 implied volatility index (VIX), 3-month US T-Bill rate (TBILL), Baa-Aaa credit spread (CRDSPRD), the 10-yr minus 2-yr US government bond yield spread (TERM), the S&P500 dividend yield (DIVYLD), and a dummy variable signifying whether the futures market is in backwardation (BACK). Newey-West standard errors are reported in parentheses. *, **, *** indicates statistical significance at the 10%, 5%, and 1% level respectively. Sample Period: September 1992–December 2022.

Table 8. Market timing.

	ENERGY			GRAINS			METALS			SOFTS
DEP: Rt	GAS	HOIL	OIL	CORN	SOY	WHEAT	COPPER	GOLD	SILVER	COCOA	COFFEE	SUGAR
Panel A: Commercial Traders
Intercept	−1.470***	0.224	0.292	−0.318	−0.170	0.159	0.017	0.275	−0.145	−0.014	0.510	−0.147
	(0.549)	(0.287)	(0.262)	(0.294)	(0.190)	(0.248)	(0.164)	(0.369)	(0.974)	(0.212)	(0.479)	(0.259)
NPt-1	−0.031*	0.016	0.011	0.003	−0.007	0.018**	−0.001	0.002	0.007	0.012*	0.026***	0.002
	(0.017)	(0.016)	(0.017)	(0.009)	(0.006)	(0.009)	(0.006)	(0.002)	(0.007)	(0.007)	(0.010)	(0.008)
ΔNPt-1	−0.062	0.033	0.113*	−0.018	−0.097**	0.037	−0.004	0.008	0.008	0.146**	0.046	0.053*
	(0.084)	(0.062)	(0.068)	(0.038)	(0.038)	(0.035)	(0.019)	(0.009)	(0.022)	(0.035)	(0.039)	(0.032)
HI52	−0.492	−0.082	−0.284	1.080**	0.438	0.194	0.099	0.424*	1.292***	−0.143	1.420*	1.014
	(0.925)	(0.425)	(0.428)	(0.435)	(0.396)	(0.522)	(0.417)	(0.224)	(0.493)	(0.360)	(0.789)	(0.546)
HI52·ΔNPt-1	−0.390	−0.281	0.085	0.210*	0.091	−0.057	−0.001	−0.046	0.283**	0.099	−0.040	0.124
	(0.370)	(0.283)	(0.279)	(0.127)	(0.132)	(0.081)	(0.087)	(0.059)	(0.129)	(0.157)	(0.177)	(0.094)
LO52	0.320	−1.297	−1.683	0.279	0.621	−0.085	−0.553	−0.242	1.474**	0.088	−0.017	−0.335
	(0.687)	(0.867)	(1.212)	(0.670)	(0.495)	(0.457)	(0.437)	(0.298)	(0.611)	(0.625)	(0.527)	(0.431)
LO52·ΔNPt-1	−0.630	0.454*	0.411	−0.180	−0.166	0.031	0.056	−0.060*	−0.175	−0.043	−0.106	0.027
	(0.396)	(0.267)	(0.290)	(0.166)	(0.138)	(0.107)	(0.097)	(0.035)	(0.115)	(0.110)	(0.094)	(0.061)
CONTROLS	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES
Adj. R^2	0.026	0.021	0.018	0.008	0.018	0.011	0.011	0.011	0.019	0.022	0.016	0.016
F-Statistic	3.07	2.55	2.08	0.99	2.11	1.33	1.33	1.31	2.30	2.56	1.85	1.85
No. Obs.	1528	1528	1528	1528	1528	1528	1528	1528	1528	1528	1528	1528
	ENERGY			GRAINS			METALS			SOFTS
DEP: Rt	GAS	HOIL	OIL	CORN	SOY	WHEAT	COPPER	GOLD	SILVER	COCOA	COFFEE	SUGAR
Panel B: Noncommercial Traders
Intercept	−1.271**	0.111	0.305	−0.251	−0.196	0.109	0.027	0.276	−0.107	−0.041	0.271	−0.159
	(0.568)	(0.255)	(0.266)	(0.321)	(0.208)	(0.249)	(0.159)	(0.369)	(0.926)	(0.207)	(0.447)	(0.237)
NPt-1	0.038*	−0.013	−0.012	−0.005	0.007	−0.018*	−0.0001	−0.001	−0.013*	−0.012	−0.027***	−0.002
	(0.020)	(0.022)	(0.019)	(0.009)	(0.008)	(0.010)	(0.008)	(0.002)	(0.007)	(0.008)	(0.010)	(0.010)
ΔNPt-1	0.064	−0.123	−0.104	0.004	0.087**	−0.032	0.021	−0.010	0.004	−0.134***	−0.067*	−0.075*
	(0.096)	(0.078)	(0.089)	(0.039)	(0.039)	(0.040)	(0.022)	(0.010)	(0.022)	(0.040)	(0.040)	(0.042)
HI52	−0.500	−0.157	−0.397	0.972**	0.344	0.341	0.148	0.428*	1.261**	−0.213	1.635*	0.986*
	(0.905)	(0.439)	(0.437)	(0.427)	(0.389)	(0.547)	(0.457)	(0.223)	(0.510)	(0.364)	(0.837)	(0.533)
HI52·ΔNPt-1	0.317	0.434	0.166	−0.111	−0.034	0.006	−0.009	0.034	−0.160	−0.021	−0.069	−0.154
	(0.388)	(0.324)	(0.321)	(0.124)	(0.117)	(0.119)	(0.102)	(0.060)	(0.132)	(0.168)	(0.189)	(0.122)
LO52	0.241	−0.925	−1.539	0.352	0.557	−0.054	−0.515	−0.291	1.168**	0.100	−0.208	−0.397
	(0.664)	(0.851)	(1.188)	(0.698)	(0.505)	(0.463)	(0.436)	(0.285)	(0.528)	(0.638)	(0.505)	(0.435)
LO52·ΔNPt-1	0.272	−0.180	−0.178	0.261	0.095	0.011	−0.018	0.051	0.123	0.049	0.060	−0.056
	(0.343)	(0.334)	(0.377)	(0.217)	(0.165)	(0.114)	(0.115)	(0.043)	(0.108)	(0.140)	(0.089)	(0.085)
CONTROLS	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES	YES
Adj. R^2	0.024	0.022	0.014	0.008	0.015	0.010	0.011	0.010	0.008	0.017	0.017	0.017
F-Statistic	2.88	2.57	1.70	0.92	1.79	1.16	1.34	1.23	1.96	2.04	2.03	1.96
No. Obs.	1528	1528	1528	1528	1528	1528	1528	1528	1528	1528	1528	1528

Note: This table reports the estimated coefficients for the model specified in Equation (3). The dependent variable is the weekly log return (R_t). The key explanatory variables are the change in net position (NP) for commercial and noncommercial traders, a dummy variable indicating the market is trading at a 52-week high (HI52), or low (LO52), and associated interaction terms (HI52·R; LO52·R). Control variables include the lagged dependent variables, lagged changes in S&P500 implied volatility index (VIX), 3-month US T-Bill rate (TBILL), Baa-Aaa credit spread (CRDSPRD), the 10-yr minus 2-yr US government bond yield spread (TERM), the S&P500 dividend yield (DIVYLD), and a dummy variable signifying whether the futures market is in backwardation (BACK). Newey-West standard errors are reported in parentheses. *, **, *** indicates statistical significance at the 10%, 5%, and 1% level respectively. Sample Period: September 1992–December 2022.

Table

Commodity	Exchange	Contract unit	Price quotation	Minimum fluctuation	Globex code
Henry Hub Natural GAS	NYMEX	10,000 MMBtu	US dollars and cents per MMBtu	$2.50	NG
NY Harbor ULSD (HOIL)	NYMEX	42,000 gallons	US dollars and cents per gallon	$4.20	HO
WTI Crude OIL	NYMEX	1,000 barrels	US dollars and cents per barrel	$10.00	CL
CORN	CBOT	5,000 bushels	US cents per bushel	$12.50	ZC
SOYBEAN	CBOT	5,000 bushels	US cents per bushel	$12.50	ZS
Chicago SRW WHEAT	CBOT	5,000 bushels	US cents per bushel	$12.50	ZW
COPPER	COMEX	25,000 pounds	US dollars and cents per pound	$12.50	HG
GOLD	COMEX	100 troy ounces	US dollars and cents per troy ounce	$10.00	GC
SILVER	COMEX	5,000 troy ounces	US dollars and cents per troy ounce	$25.00	SI
COCOA	NYMEX	10 metric tons	US dollars and cents per metric ton	$10.00	CJ
COFFEE	NYMEX	37,500 pounds	US dollars and cents per pound	$18.75	KT
NO.11 SUGAR	NYMEX	112,000 pounds	US dollars and cents per pound	$11.20	YO

Note: This table provide contract specifications for the futures contracts used in this study.

Data availability statement

The data that supports the findings of this study has been obtained from two different sources: (a) data for futures returns and futures market/macroeconomic control variables is obtained from DataStream; and (b) Commitment of Traders data used to construct net positions is obtained from the Commodity Futures Trading Commission. The first set of data is available only on license from Refinitiv, the second is accessible at https://www.cftc.gov/MarketReports/CommitmentsofTraders/index.htm