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 May 20th 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 & Russell-2000
The COT stock markets speculator bets were higher this week as four out of the seven stock markets we cover had higher positioning while the other three markets had lower speculator contracts.
Leading the gains for the stock markets was the S&P500-Mini (25,625 contracts) with the Russell-Mini (22,609 contracts), the Nikkei 225 (2,025 contracts) and the DowJones-Mini (1,033 contracts)also showing positive weeks.
The markets with the declines in speculator bets this week were with the Nasdaq-Mini (-5,017 contracts), the VIX (-1,675 contracts) and with the MSCI EAFE-Mini (-1,935 contracts) also registering lower bets on the week.
Stock Market Data:
Legend: Weekly Speculators Change | Speculators Current Net Position | Speculators Strength Score compared to last 3-Years (0-100 range)
Strength Scores led by Nikkei 225 & VIX
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 Nikkei 225 (96 percent) and the VIX (94 percent) lead the stock markets this week. The MSCI EAFE-Mini (90 percent) and Russell-Mini (78 percent) come in as the next highest in the weekly strength scores.
The Nasdaq-Mini (62 percent) comes in at the lowest strength level currently but is above the 50 percent mid-point of the past 3 years.
Strength Statistics:
VIX (94.4 percent) vs VIX previous week (95.9 percent)
S&P500-Mini (61.6 percent) vs S&P500-Mini previous week (57.0 percent)
DowJones-Mini (73.6 percent) vs DowJones-Mini previous week (71.9 percent)
Nasdaq-Mini (61.7 percent) vs Nasdaq-Mini previous week (69.5 percent)
Russell2000-Mini (78.1 percent) vs Russell2000-Mini previous week (62.6 percent)
Nikkei USD (96.4 percent) vs Nikkei USD previous week (79.1 percent)
EAFE-Mini (90.4 percent) vs EAFE-Mini previous week (93.1 percent)
Nikkei 225 & VIX top the 6-Week Strength Trends
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Nikkei 225 (35 percent) leads the past six weeks trends for the stock markets. The VIX (16 percent) and the MSCI EAFE-Mini (13 percent) are the next highest positive movers in the latest trends data.
The Nasdaq-Mini (-15 percent) leads the downside trend scores currently with the S&P500-Mini (-12 percent) coming in as the next market with lower trend scores.
Strength Trend Statistics:
VIX (15.7 percent) vs VIX previous week (14.0 percent)
S&P500-Mini (-12.4 percent) vs S&P500-Mini previous week (-18.8 percent)
DowJones-Mini (11.1 percent) vs DowJones-Mini previous week (15.8 percent)
Nasdaq-Mini (-15.1 percent) vs Nasdaq-Mini previous week (6.8 percent)
Russell2000-Mini (4.8 percent) vs Russell2000-Mini previous week (-7.6 percent)
Nikkei USD (35.0 percent) vs Nikkei USD previous week (25.1 percent)
EAFE-Mini (12.9 percent) vs EAFE-Mini previous week (17.2 percent)
Individual Stock Market Charts:
VIX Volatility Futures:
The VIX Volatility large speculator standing this week reached a net position of 4,424 contracts in the data reported through Tuesday. This was a weekly fall of -1,675 contracts from the previous week which had a total of 6,099 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 94.4 percent. The commercials are Bearish-Extreme with a score of 6.5 percent and the small traders (not shown in chart) are Bullish with a score of 73.0 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: | 26.8 | 43.5 | 8.0 |
| – Percent of Open Interest Shorts: | 25.3 | 45.4 | 7.6 |
| – Net Position: | 4,424 | -5,585 | 1,161 |
| – Gross Longs: | 80,402 | 130,533 | 23,915 |
| – Gross Shorts: | 75,978 | 136,118 | 22,754 |
| – Long to Short Ratio: | 1.1 to 1 | 1.0 to 1 | 1.1 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 94.4 | 6.5 | 73.0 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 15.7 | -15.4 | 1.7 |
S&P500 Mini Futures:
The S&P500 Mini large speculator standing this week reached a net position of -96,569 contracts in the data reported through Tuesday. This was a weekly gain of 25,625 contracts from the previous week which had a total of -122,194 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 61.6 percent. The commercials are Bearish with a score of 42.5 percent and the small traders (not shown in chart) are Bullish with a score of 55.3 percent.
Price Trend-Following Model: Weak Downtrend
Our weekly trend-following model classifies the current market price position as: Weak Downtrend.
| S&P500 Mini Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 11.7 | 74.3 | 11.3 |
| – Percent of Open Interest Shorts: | 16.2 | 71.9 | 9.2 |
| – Net Position: | -96,569 | 51,097 | 45,472 |
| – Gross Longs: | 246,588 | 1,571,120 | 239,544 |
| – Gross Shorts: | 343,157 | 1,520,023 | 194,072 |
| – Long to Short Ratio: | 0.7 to 1 | 1.0 to 1 | 1.2 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 61.6 | 42.5 | 55.3 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -12.4 | 9.1 | 2.7 |
Dow Jones Mini Futures:
The Dow Jones Mini large speculator standing this week reached a net position of 8,147 contracts in the data reported through Tuesday. This was a weekly lift of 1,033 contracts from the previous week which had a total of 7,114 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 73.6 percent. The commercials are Bearish with a score of 32.8 percent and the small traders (not shown in chart) are Bearish with a score of 27.4 percent.
Price Trend-Following Model: Weak Downtrend
Our weekly trend-following model classifies the current market price position as: Weak Downtrend.
| Dow Jones Mini Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 17.9 | 62.4 | 11.2 |
| – Percent of Open Interest Shorts: | 7.6 | 67.1 | 16.8 |
| – Net Position: | 8,147 | -3,719 | -4,428 |
| – Gross Longs: | 14,117 | 49,297 | 8,830 |
| – Gross Shorts: | 5,970 | 53,016 | 13,258 |
| – Long to Short Ratio: | 2.4 to 1 | 0.9 to 1 | 0.7 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 73.6 | 32.8 | 27.4 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 11.1 | -6.0 | -16.1 |
Nasdaq Mini Futures:
The Nasdaq Mini large speculator standing this week reached a net position of 14,530 contracts in the data reported through Tuesday. This was a weekly decrease of -5,017 contracts from the previous week which had a total of 19,547 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 61.7 percent. The commercials are Bearish with a score of 49.5 percent and the small traders (not shown in chart) are Bearish with a score of 33.8 percent.
Price Trend-Following Model: Weak Downtrend
Our weekly trend-following model classifies the current market price position as: Weak Downtrend.
| Nasdaq Mini Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 29.6 | 55.7 | 12.1 |
| – Percent of Open Interest Shorts: | 24.4 | 57.0 | 15.9 |
| – Net Position: | 14,530 | -3,723 | -10,807 |
| – Gross Longs: | 82,637 | 155,475 | 33,720 |
| – Gross Shorts: | 68,107 | 159,198 | 44,527 |
| – Long to Short Ratio: | 1.2 to 1 | 1.0 to 1 | 0.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 61.7 | 49.5 | 33.8 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -15.1 | 28.7 | -32.3 |
Russell 2000 Mini Futures:
The Russell 2000 Mini large speculator standing this week reached a net position of -5,747 contracts in the data reported through Tuesday. This was a weekly gain of 22,609 contracts from the previous week which had a total of -28,356 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 78.1 percent. The commercials are Bearish with a score of 29.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 14.1 percent.
Price Trend-Following Model: Downtrend
Our weekly trend-following model classifies the current market price position as: Downtrend.
| Russell 2000 Mini Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 16.7 | 72.5 | 5.4 |
| – Percent of Open Interest Shorts: | 18.0 | 70.4 | 6.2 |
| – Net Position: | -5,747 | 9,349 | -3,602 |
| – Gross Longs: | 72,733 | 315,935 | 23,370 |
| – Gross Shorts: | 78,480 | 306,586 | 26,972 |
| – Long to Short Ratio: | 0.9 to 1 | 1.0 to 1 | 0.9 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 78.1 | 29.7 | 14.1 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bearish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 4.8 | 3.2 | -34.8 |
Nikkei Stock Average (USD) Futures:
The Nikkei Stock Average (USD) large speculator standing this week reached a net position of 1,904 contracts in the data reported through Tuesday. This was a weekly increase of 2,025 contracts from the previous week which had a total of -121 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 96.4 percent. The commercials are Bearish-Extreme with a score of 15.4 percent and the small traders (not shown in chart) are Bearish with a score of 37.1 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: | 20.3 | 60.5 | 19.2 |
| – Percent of Open Interest Shorts: | 2.5 | 75.4 | 22.1 |
| – Net Position: | 1,904 | -1,590 | -314 |
| – Gross Longs: | 2,169 | 6,480 | 2,056 |
| – Gross Shorts: | 265 | 8,070 | 2,370 |
| – Long to Short Ratio: | 8.2 to 1 | 0.8 to 1 | 0.9 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 96.4 | 15.4 | 37.1 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish-Extreme | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 35.0 | -26.7 | -5.5 |
MSCI EAFE Mini Futures:
The MSCI EAFE Mini large speculator standing this week reached a net position of 774 contracts in the data reported through Tuesday. This was a weekly reduction of -1,935 contracts from the previous week which had a total of 2,709 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 90.4 percent. The commercials are Bearish-Extreme with a score of 18.5 percent and the small traders (not shown in chart) are Bearish with a score of 45.3 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: | 9.3 | 88.1 | 2.4 |
| – Percent of Open Interest Shorts: | 9.1 | 89.5 | 1.2 |
| – Net Position: | 774 | -6,447 | 5,673 |
| – Gross Longs: | 43,477 | 411,441 | 11,284 |
| – Gross Shorts: | 42,703 | 417,888 | 5,611 |
| – Long to Short Ratio: | 1.0 to 1 | 1.0 to 1 | 2.0 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 90.4 | 18.5 | 45.3 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish-Extreme | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 12.9 | -7.5 | -14.9 |
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.
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