大宗商品仪表盘：曲线结构、波动率、动量与仓位-7月6日更新

Curve Structure, Volatility, Momentum and Positioning – Jul 6 update CITI'S TAKE Kenny Hu, CFAAC+65-6657-3873kenny.x.hu@citi.com This is our weekly dashboard which provides curve structure, volatility,momentum and positioning data update across major commodity markets. Maximilian J Layton+44-20-7986-4556max.layton@citi.com Our Curve Structure Dashboard shows the RBOB gasoline, gasoil, heating oil,soybean oil, aluminium and zinc as the most backwardated commodities,andgold, copper, nickel, corn, soybeans, sugar and cotton as the most contangoedcommoditiesas measured by the 1-year backwardation levels and historical ranks(see Figure 1). Anthony Yuenanthony.yuen@citi.com Our Volatility Dashboard indicates relatively rich volatility premia for soybeansand wheatas measured by the difference between 3M implied volatility and 1Mrealized volatility (see Figure 3).Volatility premia remain broadly negative acrossthe energy complex and precious metals. Eric G Leeeric.g.lee@citi.com Wenyu Yaowenyu.yao@citi.com Our Momentum Dashboard indicates strong momentum/overbought signal forsugar, coffee and cocoa, vs weak momentum/oversold signal for Brent, WTI,aluminium and nickel(see Figure 5). Francesco Martocciafrancesco.martoccia@citi.com Our COT Positioning Dashboard shows historically strong speculator positioningon RBOB gasoline, soybean oil, cotton, and live cattle, vs weak speculatorpositioning on Brent, WTI, HH natgas, silver, lead, sugar, cocoa, and lean hogs(seeFigure 6).*CFTC data delayed due to US holiday. Maggie Xueting Linmaggie.x.lin@citi.com Tom Mulqueentom.mulqueen@citi.com Please visit this site for our latest commodities forecasts. Arkady Gevorkyanarkady.gevorkyan@citi.com Latest research reports on key commodity/macro topics: Global Commodities - The worst is likely over for systematic curve carrystrategies Shreyas Madabushishreyas.madabushi@citi.com Global Commodities: 3Q'26 Commodity Outlook - US/Iran MoU implications: sellsummer oil rallies, moderately bullish metals, buy chocolate Viswanathrao Kintaliviswanathrao.kintali@citi.com Oil Monitor - Crude oil remains under pressure while product prices start to flatlineat levels up 50% ytd Xiaodan Zhuxiaodan.zhu@citi.com Metal Matters - An existential moment for the aluminium bull market Global Gas and Power Insights - American exceptionalism! Exceptional US LNGexports to continue after cushioning Mideast supply shortfall See Appendix A-1 for Analyst Certification, Important Disclosures and Research Analyst Affiliations. Commodities Dashboard Source: Citi Research, Bloomberg Metrics in this dashboard should be taken as a whole and considered alongside other technical and fundamental factors. ·ST MA - LT MA: difference between the 50-day moving average and the 200-day moving average.·Relative Strength Index (RSI): Momentum indicator that measures the magnitude of recent price changes to determine if overbought/sold.·MACD: Momentum indicator that is the difference between the 12-period and 26-period exponential moving averages (EMA) of price.·MACD DIFF, displayed here, is the difference between the nine-day EMA of MACD, the "signal line", and the current value of MACD. Reversals in the MACD differentialcan be leading indicators of reversals in MACD and thus of changes in trends in the price of the security. Source: Citi Research, Bloomberg Source: Citi Research, Bloomberg © 2026 Citigroup Inc. No redistribution without Citigroup’s written permission.Source: Citi Research, Bloomberg © 2026 Citigroup Inc. No redistribution without Citigroup’s written permission.Source: Citi Research, Bloomberg © 2026 Citigroup Inc. No redistribution without Citigroup’s written permission.Source: Citi Research, Bloomberg If you are visually impaired and would like to speak to a Citi representative regarding the detailsof the graphics in this document, please call USA 1-888-500-5008 (TTY: 711), from outside theUS +1-210-677-3788 Appendix A-1 ANALYST CERTIFICATION The research analysts primarily responsible for the preparation and content of this research report are either (i) designatedby “AC” in the author block or (ii) listed in bold alongside content which is attributable to that analyst. If multiple ACanalysts are designated in the author block, each analyst is certifying with respect to the entire research report other than(a) content attributable to another AC certifying analyst listed in bold alongside the content and (b) views expressed solelywith respect to a specific issuer which are attributable to another AC certifying analyst identified in the price charts orrating history tables for that issuer shown below. Each of these analysts certify, with respect to the sections of the reportfor which they are responsible: (1) that the views expressed therein accurately reflect their personal views about eachissuer and security referenced and were prepared in an independent manner, including with respect to Citigroup GlobalMarkets Inc. and i