Speculator Bets led by S&P500 & Nasdaq 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 29th 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 & Nasdaq Minis

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 S&P500-Mini (39,717 contracts) with the Nasdaq-Mini (2,462 contracts) also showing a rising week.

The markets with the declines in speculator bets this week were the Russell-Mini (-6,844 contracts), the VIX (-5,597 contracts), the DowJones-Mini (-2,611 contracts), the Nikkei 225 (-498 contracts) and with the MSCI EAFE-Mini (-143 contracts) also seeing 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 (95 percent) and the Russell-Mini (90 percent) lead the stock markets this week. The DowJones-Mini (76 percent) and S&P500-Mini (74 percent) come in as the next highest in the weekly strength scores.

On the downside, the MSCI EAFE-Mini (31 percent) comes in at the lowest strength level currently.

Strength Statistics:
VIX (94.9 percent) vs VIX previous week (100.0 percent)
S&P500-Mini (74.1 percent) vs S&P500-Mini previous week (68.2 percent)
DowJones-Mini (76.0 percent) vs DowJones-Mini previous week (80.2 percent)
Nasdaq-Mini (47.1 percent) vs Nasdaq-Mini previous week (43.3 percent)
Russell2000-Mini (90.2 percent) vs Russell2000-Mini previous week (94.8 percent)
Nikkei USD (59.2 percent) vs Nikkei USD previous week (63.4 percent)
EAFE-Mini (31.3 percent) vs EAFE-Mini previous week (31.5 percent)

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S&P500-Mini & 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 S&P500-Mini (28 percent) leads the past six weeks trends for the stock markets. The Russell-Mini (6 percent), the MSCI EAFE-Mini (6 percent) and the VIX (4 percent) are the next highest positive movers in the latest trends data.

The Nasdaq-Mini (-22 percent) leads the downside trend scores currently followed by the DowJones-Mini (-8 percent) with a lower trend score.

Strength Trend Statistics:
VIX (4.5 percent) vs VIX previous week (17.3 percent)
S&P500-Mini (27.7 percent) vs S&P500-Mini previous week (12.3 percent)
DowJones-Mini (-8.1 percent) vs DowJones-Mini previous week (6.6 percent)
Nasdaq-Mini (-21.9 percent) vs Nasdaq-Mini previous week (-35.6 percent)
Russell2000-Mini (6.1 percent) vs Russell2000-Mini previous week (8.9 percent)
Nikkei USD (-6.3 percent) vs Nikkei USD previous week (16.2 percent)
EAFE-Mini (6.3 percent) vs EAFE-Mini previous week (-5.9 percent)

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Individual Stock Market Charts:

VIX Volatility Futures:

The VIX Volatility large speculator standing this week equaled a net position of -1,572 contracts in the data reported through Tuesday. This was a weekly lowering of -5,597 contracts from the previous week which had a total of 4,025 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 94.9 percent. The commercials are Bearish-Extreme with a score of 5.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 95.2 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:	29.5	40.0	9.1
– Percent of Open Interest Shorts:	30.0	40.8	7.8
– Net Position:	-1,572	-2,596	4,168
– Gross Longs:	95,529	129,726	29,505
– Gross Shorts:	97,101	132,322	25,337
– 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):	94.9	5.8	95.2
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	4.5	-11.8	37.0

 

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S&P500 Mini Futures:

The S&P500 Mini large speculator standing this week equaled a net position of 62,698 contracts in the data reported through Tuesday. This was a weekly lift of 39,717 contracts from the previous week which had a total of 22,981 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 74.1 percent. The commercials are Bearish-Extreme with a score of 15.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 96.5 percent.

Price Trend-Following Model: Uptrend

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

S&P500 Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	16.9	68.1	12.6
– Percent of Open Interest Shorts:	14.0	76.3	7.3
– Net Position:	62,698	-177,608	114,910
– Gross Longs:	366,915	1,476,451	272,342
– Gross Shorts:	304,217	1,654,059	157,432
– Long to Short Ratio:	1.2 to 1	0.9 to 1	1.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	74.1	15.4	96.5
– Strength Index Reading (3 Year Range):	Bullish	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	27.7	-29.7	13.7

 

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Dow Jones Mini Futures:

The Dow Jones Mini large speculator standing this week equaled a net position of 9,625 contracts in the data reported through Tuesday. This was a weekly decline of -2,611 contracts from the previous week which had a total of 12,236 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 76.0 percent. The commercials are Bearish-Extreme with a score of 19.5 percent and the small traders (not shown in chart) are Bullish with a score of 74.3 percent.

Price Trend-Following Model: Uptrend

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

Dow Jones Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	25.7	53.3	18.3
– Percent of Open Interest Shorts:	15.0	67.7	14.6
– Net Position:	9,625	-12,902	3,277
– Gross Longs:	23,118	47,980	16,452
– Gross Shorts:	13,493	60,882	13,175
– Long to Short Ratio:	1.7 to 1	0.8 to 1	1.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	76.0	19.5	74.3
– Strength Index Reading (3 Year Range):	Bullish	Bearish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-8.1	4.5	11.6

 

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Nasdaq Mini Futures:

The Nasdaq Mini large speculator standing this week equaled a net position of 5,122 contracts in the data reported through Tuesday. This was a weekly advance of 2,462 contracts from the previous week which had a total of 2,660 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 47.1 percent. The commercials are Bearish with a score of 34.7 percent and the small traders (not shown in chart) are Bullish with a score of 75.7 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:	22.5	59.4	15.4
– Percent of Open Interest Shorts:	20.5	65.7	11.1
– Net Position:	5,122	-16,238	11,116
– Gross Longs:	57,891	152,916	39,683
– Gross Shorts:	52,769	169,154	28,567
– 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):	47.1	34.7	75.7
– Strength Index Reading (3 Year Range):	Bearish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-21.9	18.3	-4.9

 

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Russell 2000 Mini Futures:

The Russell 2000 Mini large speculator standing this week equaled a net position of 11,943 contracts in the data reported through Tuesday. This was a weekly fall of -6,844 contracts from the previous week which had a total of 18,787 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 90.2 percent. The commercials are Bearish-Extreme with a score of 7.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 80.2 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:	18.0	71.6	7.5
– Percent of Open Interest Shorts:	15.3	77.8	4.0
– Net Position:	11,943	-27,139	15,196
– Gross Longs:	78,765	313,576	32,828
– Gross Shorts:	66,822	340,715	17,632
– Long to Short Ratio:	1.2 to 1	0.9 to 1	1.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	90.2	7.3	80.2
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	6.1	-7.0	8.3

 

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Nikkei Stock Average (USD) Futures:

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

Our weekly trend-following model classifies the current market price position as: Weak 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 equaled a net position of -34,871 contracts in the data reported through Tuesday. This was a weekly reduction of -143 contracts from the previous week which had a total of -34,728 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 31.3 percent. The commercials are Bullish with a score of 69.2 percent and the small traders (not shown in chart) are Bearish with a score of 32.2 percent.

Price Trend-Following Model: Weak Uptrend

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

MSCI EAFE Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	7.3	89.6	2.7
– Percent of Open Interest Shorts:	15.5	82.1	2.0
– Net Position:	-34,871	31,843	3,028
– Gross Longs:	31,027	379,781	11,564
– Gross Shorts:	65,898	347,938	8,536
– Long to Short Ratio:	0.5 to 1	1.1 to 1	1.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	31.3	69.2	32.2
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	6.3	-2.4	-17.8

 

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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.