Speculator bets led by S&P500 & Russell 2000 Minis :: 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 15th 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 S&P500-Mini & Russell 2000-Mini

The COT stock markets speculator bets were lower this week as four 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 S&P500-Mini (33,779 contracts) with the Russell-Mini (21,330 contracts) and the VIX (3,330 contracts) also showing positive weeks.

The markets with the declines in speculator bets this week were the Nasdaq-Mini (-11,891 contracts), MSCI EAFE-Mini (-2,773 contracts), the DowJones-Mini (-1,570 contracts) and 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 (100 percent) lead the stock markets this week. The DowJones-Mini (81 percent) and S&P500-Mini (69 percent) come in as the next highest in the weekly strength scores.

On the downside, the MSCI EAFE-Mini (35 percent) comes in at the lowest strength level currently while the next lowest strength score is the Nasdaq-Mini (41 percent).

Strength Statistics:
VIX (100.0 percent) vs VIX previous week (96.9 percent)
S&P500-Mini (68.9 percent) vs S&P500-Mini previous week (63.9 percent)
DowJones-Mini (81.0 percent) vs DowJones-Mini previous week (83.5 percent)
Nasdaq-Mini (41.3 percent) vs Nasdaq-Mini previous week (59.8 percent)
Russell2000-Mini (100.0 percent) vs Russell2000-Mini previous week (85.4 percent)
Nikkei USD (59.2 percent) vs Nikkei USD previous week (63.4 percent)
EAFE-Mini (35.4 percent) vs EAFE-Mini previous week (38.4 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 (25 percent) leads the past six weeks trends for the stock markets. The Russell-Mini (18 percent), the S&P500-Mini (11 percent) and the DowJones-Mini (9 percent) are the next highest positive movers in the latest trends data.

The Nasdaq-Mini (-38 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 (24.6 percent) vs VIX previous week (25.7 percent)
S&P500-Mini (11.5 percent) vs S&P500-Mini previous week (11.4 percent)
DowJones-Mini (9.1 percent) vs DowJones-Mini previous week (9.6 percent)
Nasdaq-Mini (-38.1 percent) vs Nasdaq-Mini previous week (-12.6 percent)
Russell2000-Mini (17.8 percent) vs Russell2000-Mini previous week (13.9 percent)
Nikkei USD (-6.3 percent) vs Nikkei USD previous week (16.2 percent)
EAFE-Mini (-5.4 percent) vs EAFE-Mini previous week (5.8 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 322 contracts in the data reported through Tuesday. This was a weekly boost of 3,330 contracts from the previous week which had a total of -3,008 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-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.

VIX Volatility Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	28.3	39.7	8.3
– Percent of Open Interest Shorts:	28.2	40.9	7.2
– Net Position:	322	-4,011	3,689
– Gross Longs:	93,877	131,466	27,394
– Gross Shorts:	93,555	135,477	23,705
– Long to Short Ratio:	1.0 to 1	1.0 to 1	1.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	100.0	0.0	100.0
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	24.6	-25.5	11.9

 

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S&P500 Mini Futures:

The S&P500 Mini large speculator standing this week was a net position of 28,135 contracts in the data reported through Tuesday. This was a weekly lift of 33,779 contracts from the previous week which had a total of -5,644 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 68.9 percent. The commercials are Bearish with a score of 22.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 90.2 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:	16.0	69.7	12.4
– Percent of Open Interest Shorts:	14.7	75.6	7.8
– Net Position:	28,135	-129,397	101,262
– Gross Longs:	350,227	1,522,232	271,343
– Gross Shorts:	322,092	1,651,629	170,081
– Long to Short Ratio:	1.1 to 1	0.9 to 1	1.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	68.9	22.0	90.2
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	11.5	-11.3	2.2

 

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Dow Jones Mini Futures:

The Dow Jones Mini large speculator standing this week was a net position of 12,716 contracts in the data reported through Tuesday. This was a weekly lowering of -1,570 contracts from the previous week which had a total of 14,286 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 81.0 percent. The commercials are Bearish-Extreme with a score of 15.5 percent and the small traders (not shown in chart) are Bullish with a score of 72.4 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:	26.2	55.8	16.5
– Percent of Open Interest Shorts:	12.0	73.3	13.2
– Net Position:	12,716	-15,665	2,949
– Gross Longs:	23,414	49,858	14,714
– Gross Shorts:	10,698	65,523	11,765
– Long to Short Ratio:	2.2 to 1	0.8 to 1	1.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	81.0	15.5	72.4
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	9.1	-12.3	17.5

 

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Nasdaq Mini Futures:

The Nasdaq Mini large speculator standing this week was a net position of 1,404 contracts in the data reported through Tuesday. This was a weekly decline of -11,891 contracts from the previous week which had a total of 13,295 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 41.3 percent. The commercials are Bearish with a score of 38.9 percent and the small traders (not shown in chart) are Bullish with a score of 75.5 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:	20.3	61.5	16.4
– Percent of Open Interest Shorts:	19.7	66.6	11.8
– Net Position:	1,404	-12,409	11,005
– Gross Longs:	48,843	148,315	39,446
– Gross Shorts:	47,439	160,724	28,441
– Long to Short Ratio:	1.0 to 1	0.9 to 1	1.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	41.3	38.9	75.5
– Strength Index Reading (3 Year Range):	Bearish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-38.1	31.1	-7.3

 

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Russell 2000 Mini Futures:

The Russell 2000 Mini large speculator standing this week was a net position of 26,337 contracts in the data reported through Tuesday. This was a weekly advance of 21,330 contracts from the previous week which had a total of 5,007 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 71.7 percent.

Price Trend-Following Model: Strong Uptrend

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

Russell 2000 Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	20.8	69.7	6.9
– Percent of Open Interest Shorts:	15.0	78.3	4.1
– Net Position:	26,337	-39,015	12,678
– Gross Longs:	94,562	317,476	31,364
– Gross Shorts:	68,225	356,491	18,686
– Long to Short Ratio:	1.4 to 1	0.9 to 1	1.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	100.0	0.0	71.7
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	17.8	-16.2	1.1

 

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Nikkei Stock Average (USD) Futures:

The Nikkei Stock Average (USD) large speculator standing this week was a net position of -2,464 contracts in the data reported through Tuesday. This was a weekly reduction 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: Uptrend

Our weekly trend-following model classifies the current market price position as: 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 was a net position of -31,047 contracts in the data reported through Tuesday. This was a weekly lowering of -2,773 contracts from the previous week which had a total of -28,274 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 35.4 percent. The commercials are Bullish with a score of 61.1 percent and the small traders (not shown in chart) are Bullish with a score of 51.6 percent.

Price Trend-Following Model: Uptrend

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

MSCI EAFE Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	7.9	88.7	3.2
– Percent of Open Interest Shorts:	15.4	82.8	1.5
– Net Position:	-31,047	24,112	6,935
– Gross Longs:	32,341	365,047	13,105
– Gross Shorts:	63,388	340,935	6,170
– Long to Short Ratio:	0.5 to 1	1.1 to 1	2.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	35.4	61.1	51.6
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-5.4	6.3	-5.1

 

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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.