Speculator bets led by S&P500 & MSCI EAFE :: 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 December 10th 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 & MSCI EAFE

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

Leading the gains for the stock markets was the S&P500-Mini (25,277 contracts) with the MSCI EAFE-Mini (13,237 contracts), the Russell-Mini (9,417 contracts), the Nasdaq-Mini (5,882 contracts) and the DowJones-Mini (571 contracts) also showing positive weeks.

The markets with the declines in speculator bets this week were the VIX (-11,968 contracts) and with the Nikkei 225 (-139 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 Nasdaq-Mini & 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 Nasdaq-Mini (94 percent) and the Russell-Mini (81 percent) lead the stock markets this week. The DowJones-Mini (78 percent) comes in as the next highest in the weekly strength scores.

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

Strength Statistics:
VIX (55.4 percent) vs VIX previous week (66.3 percent)
S&P500-Mini (52.3 percent) vs S&P500-Mini previous week (48.5 percent)
DowJones-Mini (78.3 percent) vs DowJones-Mini previous week (77.4 percent)
Nasdaq-Mini (94.3 percent) vs Nasdaq-Mini previous week (85.2 percent)
Russell2000-Mini (80.5 percent) vs Russell2000-Mini previous week (74.1 percent)
Nikkei USD (58.0 percent) vs Nikkei USD previous week (59.2 percent)
EAFE-Mini (49.4 percent) vs EAFE-Mini previous week (35.3 percent)

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Nasdaq-Mini tops the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Nasdaq-Mini (47 percent) leads the past six weeks trends for the stock markets. The MSCI EAFE-Mini (18 percent) and the DowJones-Mini (2 percent) are the next highest positive movers in the latest trends data.

The VIX (-40 percent) leads the downside trend scores currently with the Nikkei 225 (-22 percent) coming in as the next market with lower trend scores.

Strength Trend Statistics:
VIX (-39.5 percent) vs VIX previous week (-33.7 percent)
S&P500-Mini (-21.8 percent) vs S&P500-Mini previous week (-19.6 percent)
DowJones-Mini (2.4 percent) vs DowJones-Mini previous week (-2.8 percent)
Nasdaq-Mini (47.2 percent) vs Nasdaq-Mini previous week (41.9 percent)
Russell2000-Mini (-9.6 percent) vs Russell2000-Mini previous week (-20.8 percent)
Nikkei USD (-21.6 percent) vs Nikkei USD previous week (-6.3 percent)
EAFE-Mini (18.1 percent) vs EAFE-Mini previous week (3.8 percent)

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Individual Stock Market Charts:

VIX Volatility Futures:

The VIX Volatility large speculator standing this week totaled a net position of -45,170 contracts in the data reported through Tuesday. This was a weekly decline of -11,968 contracts from the previous week which had a total of -33,202 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 55.4 percent. The commercials are Bearish with a score of 46.9 percent and the small traders (not shown in chart) are Bullish with a score of 75.6 percent.

Price Trend-Following Model: Strong Downtrend

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

VIX Volatility Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	19.4	45.9	8.6
– Percent of Open Interest Shorts:	32.2	33.0	8.7
– Net Position:	-45,170	45,739	-569
– Gross Longs:	68,746	162,472	30,353
– Gross Shorts:	113,916	116,733	30,922
– Long to Short Ratio:	0.6 to 1	1.4 to 1	1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	55.4	46.9	75.6
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-39.5	41.1	-19.6

 

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S&P500 Mini Futures:

The S&P500 Mini large speculator standing this week totaled a net position of -83,333 contracts in the data reported through Tuesday. This was a weekly lift of 25,277 contracts from the previous week which had a total of -108,610 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 52.3 percent. The commercials are Bearish with a score of 30.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 98.7 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:	12.4	71.2	12.9
– Percent of Open Interest Shorts:	16.0	74.1	6.4
– Net Position:	-83,333	-66,801	150,134
– Gross Longs:	288,876	1,654,888	299,379
– Gross Shorts:	372,209	1,721,689	149,245
– Long to Short Ratio:	0.8 to 1	1.0 to 1	2.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	52.3	30.7	98.7
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-21.8	15.3	14.2

 

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Dow Jones Mini Futures:

The Dow Jones Mini large speculator standing this week totaled a net position of 11,071 contracts in the data reported through Tuesday. This was a weekly lift of 571 contracts from the previous week which had a total of 10,500 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 78.3 percent. The commercials are Bearish-Extreme with a score of 14.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 91.9 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:	26.3	51.3	19.2
– Percent of Open Interest Shorts:	14.0	69.4	13.4
– Net Position:	11,071	-16,301	5,230
– Gross Longs:	23,614	45,997	17,256
– Gross Shorts:	12,543	62,298	12,026
– Long to Short Ratio:	1.9 to 1	0.7 to 1	1.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	78.3	14.6	91.9
– Strength Index Reading (3 Year Range):	Bullish	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	2.4	-4.9	12.6

 

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Nasdaq Mini Futures:

The Nasdaq Mini large speculator standing this week totaled a net position of 35,573 contracts in the data reported through Tuesday. This was a weekly rise of 5,882 contracts from the previous week which had a total of 29,691 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 94.3 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 81.8 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:	31.4	52.1	14.6
– Percent of Open Interest Shorts:	19.2	69.2	9.7
– Net Position:	35,573	-49,864	14,291
– Gross Longs:	91,735	152,035	42,649
– Gross Shorts:	56,162	201,899	28,358
– Long to Short Ratio:	1.6 to 1	0.8 to 1	1.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	94.3	0.0	81.8
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	47.2	-36.1	6.1

 

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Russell 2000 Mini Futures:

The Russell 2000 Mini large speculator standing this week totaled a net position of -2,157 contracts in the data reported through Tuesday. This was a weekly gain of 9,417 contracts from the previous week which had a total of -11,574 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 80.5 percent. The commercials are Bearish-Extreme with a score of 9.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 99.2 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:	14.2	74.9	8.5
– Percent of Open Interest Shorts:	14.6	79.6	3.4
– Net Position:	-2,157	-24,300	26,457
– Gross Longs:	74,100	390,127	44,304
– Gross Shorts:	76,257	414,427	17,847
– Long to Short Ratio:	1.0 to 1	0.9 to 1	2.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	80.5	9.0	99.2
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-9.6	1.7	31.9

 

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Nikkei Stock Average (USD) Futures:

The Nikkei Stock Average (USD) large speculator standing this week totaled a net position of -2,603 contracts in the data reported through Tuesday. This was a weekly decline of -139 contracts from the previous week which had a total of -2,464 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 58.0 percent. The commercials are Bearish with a score of 39.3 percent and the small traders (not shown in chart) are Bullish with a score of 57.7 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:	1.5	58.1	19.3
– Percent of Open Interest Shorts:	18.7	45.9	14.3
– Net Position:	-2,603	1,844	759
– Gross Longs:	224	8,786	2,919
– Gross Shorts:	2,827	6,942	2,160
– 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):	58.0	39.3	57.7
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-21.6	11.3	17.3

 

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MSCI EAFE Mini Futures:

The MSCI EAFE Mini large speculator standing this week totaled a net position of -17,963 contracts in the data reported through Tuesday. This was a weekly advance of 13,237 contracts from the previous week which had a total of -31,200 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 49.4 percent. The commercials are Bearish with a score of 49.1 percent and the small traders (not shown in chart) are Bearish with a score of 44.0 percent.

Price Trend-Following Model: Strong Downtrend

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

MSCI EAFE Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	9.0	88.1	2.6
– Percent of Open Interest Shorts:	13.0	85.3	1.4
– Net Position:	-17,963	12,546	5,417
– Gross Longs:	40,742	397,687	11,784
– Gross Shorts:	58,705	385,141	6,367
– Long to Short Ratio:	0.7 to 1	1.0 to 1	1.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	49.4	49.1	44.0
– Strength Index Reading (3 Year Range):	Bearish	Bearish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	18.1	-20.1	11.9

 

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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.