Speculator Bets led by S&P500 & Nasdaq :: 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 November 5th 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 & Nasdaq-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 S&P500-Mini (50,742 contracts) with the Nasdaq-Mini (10,970 contracts) and the DowJones-Mini (3,306 contracts) also showing positive weeks.

The markets with the declines in speculator bets this week were the VIX (-15,096 contracts), the MSCI EAFE-Mini (-13,952 contracts), the Russell-Mini (-3,151 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 Russell-Mini & 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 Russell-Mini (88 percent) and the S&P500-Mini (82 percent) lead the stock markets this week. The DowJones-Mini (81 percent) and VIX (81 percent) come in right behind them as the next highest in the weekly strength scores.

On the downside, the MSCI EAFE-Mini (16 percent) comes in at the lowest strength level currently and is in Extreme-Bearish territory (below 20 percent).

Strength Statistics:
VIX (81.3 percent) vs VIX previous week (94.9 percent)
S&P500-Mini (81.7 percent) vs S&P500-Mini previous week (74.1 percent)
DowJones-Mini (81.3 percent) vs DowJones-Mini previous week (76.0 percent)
Nasdaq-Mini (64.1 percent) vs Nasdaq-Mini previous week (47.1 percent)
Russell2000-Mini (88.0 percent) vs Russell2000-Mini previous week (90.2 percent)
Nikkei USD (59.2 percent) vs Nikkei USD previous week (63.4 percent)
EAFE-Mini (16.4 percent) vs EAFE-Mini previous week (31.3 percent)

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S&P500-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 S&P500-Mini (22 percent) leads the past six weeks trends for the stock markets. The Nasdaq-Mini (0.1 percent) is the only other positive mover (just barely) in the latest trends data.

The MSCI EAFE-Mini (-14 percent) leads the downside trend scores currently with the VIX (-11 percent) coming in as the next market with lower trend scores.

Strength Trend Statistics:
VIX (-10.5 percent) vs VIX previous week (4.5 percent)
S&P500-Mini (22.2 percent) vs S&P500-Mini previous week (27.7 percent)
DowJones-Mini (-4.1 percent) vs DowJones-Mini previous week (-8.1 percent)
Nasdaq-Mini (0.1 percent) vs Nasdaq-Mini previous week (-21.9 percent)
Russell2000-Mini (-9.0 percent) vs Russell2000-Mini previous week (6.1 percent)
Nikkei USD (-6.3 percent) vs Nikkei USD previous week (16.2 percent)
EAFE-Mini (-14.0 percent) vs EAFE-Mini previous week (6.3 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 -16,668 contracts in the data reported through Tuesday. This was a weekly decline of -15,096 contracts from the previous week which had a total of -1,572 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 81.3 percent. The commercials are Bearish-Extreme with a score of 19.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 93.1 percent.

Price Trend-Following Model: Weak Uptrend

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

VIX Volatility Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	25.5	41.1	8.9
– Percent of Open Interest Shorts:	30.3	37.3	7.8
– Net Position:	-16,668	13,017	3,651
– Gross Longs:	87,632	141,435	30,551
– Gross Shorts:	104,300	128,418	26,900
– Long to Short Ratio:	0.8 to 1	1.1 to 1	1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	81.3	19.0	93.1
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-10.5	5.4	21.7

 

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S&P500 Mini Futures:

The S&P500 Mini large speculator standing this week was a net position of 113,440 contracts in the data reported through Tuesday. This was a weekly rise of 50,742 contracts from the previous week which had a total of 62,698 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 81.7 percent. The commercials are Bearish-Extreme with a score of 7.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 98.8 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:	17.5	67.7	12.7
– Percent of Open Interest Shorts:	12.2	78.6	7.1
– Net Position:	113,440	-233,202	119,762
– Gross Longs:	374,881	1,448,167	272,336
– Gross Shorts:	261,441	1,681,369	152,574
– Long to Short Ratio:	1.4 to 1	0.9 to 1	1.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	81.7	7.7	98.8
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	22.2	-23.9	11.1

 

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Dow Jones Mini Futures:

The Dow Jones Mini large speculator standing this week was a net position of 12,931 contracts in the data reported through Tuesday. This was a weekly lift of 3,306 contracts from the previous week which had a total of 9,625 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 81.3 percent. The commercials are Bearish-Extreme with a score of 13.4 percent and the small traders (not shown in chart) are Bullish with a score of 79.8 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:	28.0	50.7	18.7
– Percent of Open Interest Shorts:	13.0	70.6	13.9
– Net Position:	12,931	-17,117	4,186
– Gross Longs:	24,195	43,814	16,160
– Gross Shorts:	11,264	60,931	11,974
– Long to Short Ratio:	2.1 to 1	0.7 to 1	1.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	81.3	13.4	79.8
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-4.1	2.5	4.7

 

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Nasdaq Mini Futures:

The Nasdaq Mini large speculator standing this week was a net position of 16,092 contracts in the data reported through Tuesday. This was a weekly increase of 10,970 contracts from the previous week which had a total of 5,122 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 64.1 percent. The commercials are Bearish with a score of 22.2 percent and the small traders (not shown in chart) are Bullish with a score of 76.6 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:	24.8	57.2	15.2
– Percent of Open Interest Shorts:	18.5	68.1	10.7
– Net Position:	16,092	-27,658	11,566
– Gross Longs:	62,784	144,580	38,511
– Gross Shorts:	46,692	172,238	26,945
– Long to Short Ratio:	1.3 to 1	0.8 to 1	1.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	64.1	22.2	76.6
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	0.1	1.9	-3.5

 

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Russell 2000 Mini Futures:

The Russell 2000 Mini large speculator standing this week was a net position of 8,792 contracts in the data reported through Tuesday. This was a weekly decline of -3,151 contracts from the previous week which had a total of 11,943 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 88.0 percent. The commercials are Bearish-Extreme with a score of 9.5 percent and the small traders (not shown in chart) are Bullish with a score of 78.7 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:	18.0	72.2	7.3
– Percent of Open Interest Shorts:	16.0	77.5	4.0
– Net Position:	8,792	-23,537	14,745
– Gross Longs:	80,594	324,134	32,917
– Gross Shorts:	71,802	347,671	18,172
– Long to Short Ratio:	1.1 to 1	0.9 to 1	1.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	88.0	9.5	78.7
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-9.0	7.9	0.7

 

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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 lowering 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 was a net position of -48,823 contracts in the data reported through Tuesday. This was a weekly decline of -13,952 contracts from the previous week which had a total of -34,871 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-Extreme with a score of 16.4 percent. The commercials are Bullish with a score of 79.8 percent and the small traders (not shown in chart) are Bullish with a score of 51.0 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:	7.9	89.2	2.7
– Percent of Open Interest Shorts:	18.4	80.1	1.2
– Net Position:	-48,823	42,004	6,819
– Gross Longs:	36,603	414,178	12,337
– Gross Shorts:	85,426	372,174	5,518
– Long to Short Ratio:	0.4 to 1	1.1 to 1	2.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	16.4	79.8	51.0
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-14.0	15.7	-9.6

 

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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.