Speculator Bets led by VIX & Russell-Mini :: InvestMacro

By InvestMacro

Here are the latest charts and statistics for the Commitment of Traders (COT) data published by the Commodities Futures Trading Commission (CFTC).

The latest COT data is updated through Tuesday April 23th and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Weekly Speculator Changes led by VIX & Russell-Mini

The COT stock markets speculator bets were lower this week as three out of the seven stock markets we cover had higher positioning while the other four markets had lower speculator contracts.

Leading the gains for the stock markets was the VIX (4,474 contracts) with the Russell-Mini (2,350 contracts) and the MSCI EAFE-Mini (1,985 contracts) also showing positive weeks.

The markets with the declines in speculator bets this week were the DowJones-Mini (-6,827 contracts) with the S&P500-Mini (-6,436 contracts), the Nasdaq-Mini (-2,404 contracts) and the Nikkei 225 (-528 contracts) also registering lower bets on the week.

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Net Speculators Leaderboard

Legend: Weekly Speculators Change | Speculators Current Net Position | Speculators Strength Score compared to last 3-Years (0-100 range)

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Strength Scores led by VIX & S&P500-Mini

COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the VIX (96 percent) and the S&P500-Mini (75 percent) lead the stock markets this week. The DowJones-Mini (71 percent) and Nikkei 225 (68 percent) come in as the next highest in the weekly strength scores.

On the downside, the Nasdaq-Mini (49 percent) comes in at the lowest strength level currently.

Strength Statistics:
VIX (95.6 percent) vs VIX previous week (90.8 percent)
S&P500-Mini (74.8 percent) vs S&P500-Mini previous week (75.8 percent)
DowJones-Mini (71.4 percent) vs DowJones-Mini previous week (82.5 percent)
Nasdaq-Mini (48.7 percent) vs Nasdaq-Mini previous week (52.4 percent)
Russell2000-Mini (59.5 percent) vs Russell2000-Mini previous week (57.8 percent)
Nikkei USD (68.4 percent) vs Nikkei USD previous week (72.9 percent)
EAFE-Mini (62.6 percent) vs EAFE-Mini previous week (60.6 percent)

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S&P500-Mini & VIX top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the S&P500-Mini (46 percent) leads the past six weeks trends for the stock markets. The VIX (34 percent), the MSCI EAFE-Mini (18 percent) and the Nikkei 225 (10 percent) are the next highest positive movers in the latest trends data.

The DowJones-Mini (-14 percent) and the Russell-Mini (-12 percent) lead the downside trend scores currently.

Strength Trend Statistics:
VIX (33.7 percent) vs VIX previous week (25.4 percent)
S&P500-Mini (45.9 percent) vs S&P500-Mini previous week (41.5 percent)
DowJones-Mini (-14.3 percent) vs DowJones-Mini previous week (-1.5 percent)
Nasdaq-Mini (7.3 percent) vs Nasdaq-Mini previous week (12.2 percent)
Russell2000-Mini (-12.1 percent) vs Russell2000-Mini previous week (-11.1 percent)
Nikkei USD (10.3 percent) vs Nikkei USD previous week (28.5 percent)
EAFE-Mini (17.9 percent) vs EAFE-Mini previous week (8.9 percent)

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Individual Stock Market Charts:

VIX Volatility Futures:

The VIX Volatility large speculator standing this week was a net position of -18,000 contracts in the data reported through Tuesday. This was a weekly advance of 4,474 contracts from the previous week which had a total of -22,474 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 95.6 percent. The commercials are Bearish-Extreme with a score of 5.2 percent and the small traders (not shown in chart) are Bullish with a score of 68.5 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

VIX Volatility Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	24.7	41.2	6.6
– Percent of Open Interest Shorts:	29.6	34.8	8.1
– Net Position:	-18,000	23,471	-5,471
– Gross Longs:	89,831	150,091	24,178
– Gross Shorts:	107,831	126,620	29,649
– Long to Short Ratio:	0.8 to 1	1.2 to 1	0.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	95.6	5.2	68.5
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	33.7	-29.9	-20.2

 

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S&P500 Mini Futures:

The S&P500 Mini large speculator standing this week was a net position of 67,678 contracts in the data reported through Tuesday. This was a weekly reduction of -6,436 contracts from the previous week which had a total of 74,114 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 74.8 percent. The commercials are Bearish-Extreme with a score of 13.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 85.6 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

S&P500 Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	15.5	67.8	13.9
– Percent of Open Interest Shorts:	12.2	77.0	8.0
– Net Position:	67,678	-189,951	122,273
– Gross Longs:	320,552	1,402,033	288,399
– Gross Shorts:	252,874	1,591,984	166,126
– Long to Short Ratio:	1.3 to 1	0.9 to 1	1.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	74.8	13.7	85.6
– Strength Index Reading (3 Year Range):	Bullish	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	45.9	-45.8	9.6

 

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Dow Jones Mini Futures:

The Dow Jones Mini large speculator standing this week was a net position of 6,852 contracts in the data reported through Tuesday. This was a weekly reduction of -6,827 contracts from the previous week which had a total of 13,679 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 71.4 percent. The commercials are Bearish with a score of 27.0 percent and the small traders (not shown in chart) are Bearish with a score of 48.2 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Dow Jones Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	21.2	62.0	14.2
– Percent of Open Interest Shorts:	13.7	70.5	13.2
– Net Position:	6,852	-7,730	878
– Gross Longs:	19,266	56,280	12,873
– Gross Shorts:	12,414	64,010	11,995
– Long to Short Ratio:	1.6 to 1	0.9 to 1	1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	71.4	27.0	48.2
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-14.3	14.6	-6.2

 

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Nasdaq Mini Futures:

The Nasdaq Mini large speculator standing this week was a net position of 6,125 contracts in the data reported through Tuesday. This was a weekly decline of -2,404 contracts from the previous week which had a total of 8,529 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 48.7 percent. The commercials are Bearish with a score of 32.2 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Nasdaq Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	24.8	55.3	17.1
– Percent of Open Interest Shorts:	22.4	62.5	12.3
– Net Position:	6,125	-18,478	12,353
– Gross Longs:	63,431	141,714	43,786
– Gross Shorts:	57,306	160,192	31,433
– Long to Short Ratio:	1.1 to 1	0.9 to 1	1.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	48.7	32.2	100.0
– Strength Index Reading (3 Year Range):	Bearish	Bearish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	7.3	-10.8	12.5

 

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Russell 2000 Mini Futures:

The Russell 2000 Mini large speculator standing this week was a net position of -36,100 contracts in the data reported through Tuesday. This was a weekly increase of 2,350 contracts from the previous week which had a total of -38,450 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 59.5 percent. The commercials are Bearish with a score of 39.8 percent and the small traders (not shown in chart) are Bearish with a score of 49.1 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Russell 2000 Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	15.2	77.8	5.8
– Percent of Open Interest Shorts:	22.7	71.5	4.6
– Net Position:	-36,100	30,140	5,960
– Gross Longs:	72,411	371,751	27,723
– Gross Shorts:	108,511	341,611	21,763
– Long to Short Ratio:	0.7 to 1	1.1 to 1	1.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	59.5	39.8	49.1
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-12.1	9.7	6.3

 

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Nikkei Stock Average (USD) Futures:

The Nikkei Stock Average (USD) large speculator standing this week was a net position of -1,384 contracts in the data reported through Tuesday. This was a weekly decrease of -528 contracts from the previous week which had a total of -856 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 68.4 percent. The commercials are Bearish with a score of 30.3 percent and the small traders (not shown in chart) are Bullish with a score of 59.4 percent.

Price Trend-Following Model: Weak Uptrend

Our weekly trend-following model classifies the current market price position as: Weak Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Nikkei Stock Average Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	5.9	69.6	24.5
– Percent of Open Interest Shorts:	14.7	69.5	15.8
– Net Position:	-1,384	11	1,373
– Gross Longs:	922	10,929	3,849
– Gross Shorts:	2,306	10,918	2,476
– Long to Short Ratio:	0.4 to 1	1.0 to 1	1.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	68.4	30.3	59.4
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	10.3	-3.2	-11.8

 

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MSCI EAFE Mini Futures:

The MSCI EAFE Mini large speculator standing this week was a net position of -3,647 contracts in the data reported through Tuesday. This was a weekly lift of 1,985 contracts from the previous week which had a total of -5,632 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 62.6 percent. The commercials are Bearish with a score of 35.3 percent and the small traders (not shown in chart) are Bearish with a score of 43.9 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

MSCI EAFE Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	7.4	89.4	2.8
– Percent of Open Interest Shorts:	8.2	89.8	1.6
– Net Position:	-3,647	-1,739	5,386
– Gross Longs:	31,113	377,781	12,016
– Gross Shorts:	34,760	379,520	6,630
– Long to Short Ratio:	0.9 to 1	1.0 to 1	1.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	62.6	35.3	43.9
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	17.9	-14.1	-17.4

 

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Article By InvestMacro – Receive our weekly COT Newsletter

*COT Report: The COT data, released weekly to the public each Friday, is updated through the most recent Tuesday (data is 3 days old) and shows a quick view of how large speculators or non-commercials (for-profit traders) were positioned in the futures markets.

The CFTC categorizes trader positions according to commercial hedgers (traders who use futures contracts for hedging as part of the business), non-commercials (large traders who speculate to realize trading profits) and nonreportable traders (usually small traders/speculators) as well as their open interest (contracts open in the market at time of reporting). See CFTC criteria here.