Commodity Correction: Tracking Performance And Option Pricing

Commodity prices have experienced a significant correction in June as geopolitical risk premiums, particularly in energy, have dissipated. Market positioning and option pricing reflect this shift, with gold seeing increased demand for downside protection.

Key Takeaways

• 1.Commodities corrected sharply in June with easing geopolitical concerns, as energy flows normalized and Brent crude fell >10%.
• 2.Options markets indicate shifting sentiment, with gold put/call skew turning positive for the first time since 2016, suggesting increased demand for downside protection.
• 3.Strategically, the firm maintains a neutral commodity view but highlights metals for long-term diversification amid structural demand themes like AI and grid investment.

Table of Contents

• Commodity correction - tracking performance and option pricing
• Cross-asset: Forecasts
• Cross-asset: Weekly and YTD performance, absolute and risk-adjusted
• Cross-asset: Risk appetite indicator
• Cross-asset: Risk Appetite principal component analysis
• Cross-asset: Balanced portfolios and dynamic allocation strategies performance
• Cross-asset: Equity vs. credit monitor
• Cross-asset: Valuation and risk premia
• Cross-asset: Yields
• Cross-asset: Sentiment and Positioning
• Cross-asset: Global Funds Flows
• Cross-asset: CFTC positioning
• Cross-asset: Correlations: Equity vol/CDS, commodity prices/credit & FX, equity/bond, equity/FX
• Cross-asset: Correlation matrix
• Cross-asset: Implied and realised vol, call and put skew
• Cross-asset: Volatility, skew, CDS with equity vol, rate vol
• Cross-asset: Liquidity indicators
• Cross-asset: Market pricing of US recession risk
• Equity: Drawdown probability
• Equity: Valuation and styles
• Equity: Earnings
• Government bonds: Yield curves
• Government bonds: Real yields, inflation, breakevens, 10y IR differentials
• Commodities: Curve shapes and roll yields
• FX: Forecasts and forwards, recent performance and positioning

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