Commodities Dashboard: Curve Structure, Volatility, Momentum and Positioning – Jun 22 update

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Commodities Dashboard: Curve Structure, Volatility, Momentum and Positioning – Jun 22 update

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22 Jun 2026 02:58:00 ET │ 16 pages

Commodities Dashboard

Curve Structure, Volatility, Momentum and Positioning – Jun 22 update

CITI'S TAKE

Kenny Hu, CFA AC

This is our weekly dashboard which provides curve structure, volatility, +65-6657-3873

momentum and positioning data update across major commodity markets. kenny.x.hu@citi.com

NEW CONTENT: please refer to Figure 7 for annualized roll yield for BCOM

Index and components and Figure 8 for the Citi Commodities QIS Maximilian J Layton

(Quantitative Investment Strategies) performance dashboard. +44-20-7986-4556

max.layton@citi.com

Our Curve Structure Dashboard shows the petroleum complex, aluminium,

Anthony Yuensoybean oil, and live cattle as the most backwardated commodities, and corn,

soybeans, sugar, and cotton as the most contangoed commodities as measured anthony.yuen@citi.com

by the 1-year backwardation levels and historical ranks (see Figure 1). Eric G Lee

Our Volatility Dashboard indicates relatively rich volatility premia for coffee as eric.g.lee@citi.com

measured by the difference between 3M implied volatility and 1M realized volatility Wenyu Yao

(see Figure 3). Volatility premia remain broadly negative across the energy

wenyu.yao@citi.comcomplex and precious metals.

Francesco Martoccia

Our Momentum Dashboard indicates weak momentum/oversold signal for Brent

francesco.martoccia@citi.comand WTI (see Figure 5).

Maggie Xueting Lin

Our COT Positioning Dashboard shows historically strong speculator positioning

maggie.x.lin@citi.comon aluminium, nickel, zinc, the soybean complex, cotton, and live cattle, vs weak

speculator positioning on Brent, HH natgas, gold, silver, lead, wheat, sugar, Tom Mulqueen