Speculator Bets led by MSCI EAFE-Mini & VIX :: 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 October 8th 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 MSCI EAFE-Mini & VIX

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

Leading the gains for the stock markets was the VIX (12,869 contracts) and with the MSCI EAFE-Mini (638 contracts) also showing a positive week.

The markets with the declines in speculator bets this week were the Russell-Mini (-15,342 contracts), the S&P500-Mini (-13,189 contracts), the Nasdaq-Mini (-2,784 contracts), the DowJones-Mini (-2,764 contracts) and with the Nikkei 225 (-498 contracts) also registering lower bets on the week.

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Stock Market 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 & Russell-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 (100 percent) and the Russell-Mini (88 percent) lead the stock markets this week. The DowJones-Mini (84 percent) and the S&P500-Mini (64 percent) come in as the next highest in the weekly strength scores.

On the downside, the MSCI EAFE-Mini (38 percent) comes in at the lowest strength level currently.

Strength Statistics:
VIX (100.0 percent) vs VIX previous week (87.5 percent)
S&P500-Mini (63.9 percent) vs S&P500-Mini previous week (65.9 percent)
DowJones-Mini (83.5 percent) vs DowJones-Mini previous week (88.0 percent)
Nasdaq-Mini (59.8 percent) vs Nasdaq-Mini previous week (64.1 percent)
Russell2000-Mini (88.1 percent) vs Russell2000-Mini previous week (98.9 percent)
Nikkei USD (59.2 percent) vs Nikkei USD previous week (63.4 percent)
EAFE-Mini (38.4 percent) vs EAFE-Mini previous week (37.7 percent)

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VIX & Russell-Mini top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the VIX (27 percent) leads the past six weeks trends for the stock markets. The Russell-Mini (14 percent), the S&P500-Mini (11 percent) and the DowJones-Mini (10 percent) are the next highest positive movers in the latest trends data.

The Nasdaq-Mini (-13 percent) leads the downside trend scores currently with the Nikkei USD (-6 percent) coming in as the next market with lower trend scores.

Strength Trend Statistics:
VIX (26.6 percent) vs VIX previous week (8.4 percent)
S&P500-Mini (11.4 percent) vs S&P500-Mini previous week (13.8 percent)
DowJones-Mini (9.6 percent) vs DowJones-Mini previous week (16.8 percent)
Nasdaq-Mini (-12.6 percent) vs Nasdaq-Mini previous week (7.3 percent)
Russell2000-Mini (14.3 percent) vs Russell2000-Mini previous week (33.5 percent)
Nikkei USD (-6.3 percent) vs Nikkei USD previous week (16.2 percent)
EAFE-Mini (5.8 percent) vs EAFE-Mini previous week (10.3 percent)

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Individual Stock Market Charts:

VIX Volatility Futures:

The VIX Volatility large speculator standing this week recorded a net position of -3,008 contracts in the data reported through Tuesday. This was a weekly lift of 12,869 contracts from the previous week which had a total of -15,877 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 100.0 percent. The commercials are Bearish-Extreme with a score of 0.0 percent and the small traders (not shown in chart) are Bullish with a score of 79.4 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

VIX Volatility Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	28.4	40.1	7.7
– Percent of Open Interest Shorts:	29.3	38.8	8.2
– Net Position:	-3,008	4,478	-1,470
– Gross Longs:	96,893	136,562	26,327
– Gross Shorts:	99,901	132,084	27,797
– Long to Short Ratio:	1.0 to 1	1.0 to 1	0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	100.0	0.0	79.4
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	26.6	-24.0	-10.0

 

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S&P500 Mini Futures:

The S&P500 Mini large speculator standing this week recorded a net position of -5,644 contracts in the data reported through Tuesday. This was a weekly decline of -13,189 contracts from the previous week which had a total of 7,545 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 63.9 percent. The commercials are Bearish with a score of 27.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.5 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

S&P500 Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	15.1	71.0	12.3
– Percent of Open Interest Shorts:	15.4	75.1	8.0
– Net Position:	-5,644	-87,667	93,311
– Gross Longs:	322,686	1,514,535	263,087
– Gross Shorts:	328,330	1,602,202	169,776
– Long to Short Ratio:	1.0 to 1	0.9 to 1	1.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	63.9	27.8	86.5
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	11.4	-8.1	-8.2

 

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Dow Jones Mini Futures:

The Dow Jones Mini large speculator standing this week recorded a net position of 14,286 contracts in the data reported through Tuesday. This was a weekly fall of -2,764 contracts from the previous week which had a total of 17,050 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 83.5 percent. The commercials are Bearish-Extreme with a score of 15.2 percent and the small traders (not shown in chart) are Bullish with a score of 63.9 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

Dow Jones Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	24.3	57.5	16.2
– Percent of Open Interest Shorts:	7.4	76.2	14.4
– Net Position:	14,286	-15,843	1,557
– Gross Longs:	20,585	48,713	13,762
– Gross Shorts:	6,299	64,556	12,205
– Long to Short Ratio:	3.3 to 1	0.8 to 1	1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	83.5	15.2	63.9
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	9.6	-7.8	-3.2

 

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Nasdaq Mini Futures:

The Nasdaq Mini large speculator standing this week recorded a net position of 13,295 contracts in the data reported through Tuesday. This was a weekly lowering of -2,784 contracts from the previous week which had a total of 16,079 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 59.8 percent. The commercials are Bearish with a score of 25.4 percent and the small traders (not shown in chart) are Bullish with a score of 76.4 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

Nasdaq Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	22.8	56.8	15.7
– Percent of Open Interest Shorts:	17.5	66.7	11.1
– Net Position:	13,295	-24,754	11,459
– Gross Longs:	57,058	141,994	39,326
– Gross Shorts:	43,763	166,748	27,867
– Long to Short Ratio:	1.3 to 1	0.9 to 1	1.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	59.8	25.4	76.4
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-12.6	12.5	-6.3

 

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Russell 2000 Mini Futures:

The Russell 2000 Mini large speculator standing this week recorded a net position of 5,007 contracts in the data reported through Tuesday. This was a weekly decrease of -15,342 contracts from the previous week which had a total of 20,349 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 88.1 percent. The commercials are Bearish-Extreme with a score of 11.2 percent and the small traders (not shown in chart) are Bullish with a score of 74.4 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend.

Russell 2000 Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	17.8	72.7	7.2
– Percent of Open Interest Shorts:	16.6	76.9	4.1
– Net Position:	5,007	-18,479	13,472
– Gross Longs:	78,784	322,420	31,844
– Gross Shorts:	73,777	340,899	18,372
– Long to Short Ratio:	1.1 to 1	0.9 to 1	1.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	88.1	11.2	74.4
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	14.3	-11.3	-7.2

 

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Nikkei Stock Average (USD) Futures:

The Nikkei Stock Average (USD) large speculator standing this week recorded a net position of -2,464 contracts in the data reported through Tuesday. This was a weekly decrease of -498 contracts from the previous week which had a total of -1,966 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 59.2 percent. The commercials are Bearish with a score of 37.5 percent and the small traders (not shown in chart) are Bullish with a score of 60.1 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

Nikkei Stock Average Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	2.0	70.2	27.7
– Percent of Open Interest Shorts:	24.7	55.7	19.5
– Net Position:	-2,464	1,576	888
– Gross Longs:	221	7,620	3,008
– Gross Shorts:	2,685	6,044	2,120
– Long to Short Ratio:	0.1 to 1	1.3 to 1	1.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	59.2	37.5	60.1
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-6.3	4.8	1.0

 

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MSCI EAFE Mini Futures:

The MSCI EAFE Mini large speculator standing this week recorded a net position of -28,274 contracts in the data reported through Tuesday. This was a weekly advance of 638 contracts from the previous week which had a total of -28,912 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 38.4 percent. The commercials are Bullish with a score of 59.3 percent and the small traders (not shown in chart) are Bearish with a score of 46.8 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend.

MSCI EAFE Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	7.8	89.0	3.0
– Percent of Open Interest Shorts:	14.7	83.6	1.5
– Net Position:	-28,274	22,292	5,982
– Gross Longs:	31,695	363,803	12,173
– Gross Shorts:	59,969	341,511	6,191
– Long to Short Ratio:	0.5 to 1	1.1 to 1	2.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	38.4	59.3	46.8
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	5.8	-4.0	-7.6

 

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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.