Speculator Changes led by MSCI EAFE & VIX :: 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 April 22nd 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 MSCI EAFE & VIX

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 MSCI EAFE-Mini (15,219 contracts) with the VIX (11,552 contracts), the Nasdaq-Mini (5,886 contracts), the Nikkei 225 (2,025 contracts) and the DowJones-Mini (646 contracts) also having positive weeks.

The markets with the declines in speculator bets this week were the S&P500-Mini (-12,838 contracts) and with the Russell-Mini (-7,398 contracts) also seeing lower bets on the week.

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Stock Market Data:

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 & Nikkei 225

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 (98 percent) and the Nikkei 225 (96 percent) lead the stock markets this week. The VIX (89 percent) and the Russell-Mini (77 percent) come in as the next highest in the weekly strength scores.

The lowest strength score this week was the DowJones-Mini (62 percent).

Strength Statistics:
VIX (89.4 percent) vs VIX previous week (79.1 percent)
S&P500-Mini (64.4 percent) vs S&P500-Mini previous week (66.7 percent)
DowJones-Mini (61.7 percent) vs DowJones-Mini previous week (60.7 percent)
Nasdaq-Mini (97.6 percent) vs Nasdaq-Mini previous week (88.4 percent)
Russell2000-Mini (77.4 percent) vs Russell2000-Mini previous week (82.5 percent)
Nikkei USD (96.4 percent) vs Nikkei USD previous week (79.1 percent)
EAFE-Mini (74.0 percent) vs EAFE-Mini previous week (52.8 percent)

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Nikkei 225 & Nasdaq-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 Nikkei 225 (35 percent) leads the past six weeks trends for the stock markets. The Nasdaq-Mini (23 percent) and the VIX (11 percent) are the next highest positive movers in the latest trends data.

The S&P500-Mini (-28 percent) leads the downside trend scores currently with the MSCI EAFE-Mini (-26 percent) coming in as the next market with lower trend scores.

Strength Trend Statistics:
VIX (10.8 percent) vs VIX previous week (20.4 percent)
S&P500-Mini (-28.2 percent) vs S&P500-Mini previous week (-17.1 percent)
DowJones-Mini (-1.9 percent) vs DowJones-Mini previous week (-1.4 percent)
Nasdaq-Mini (23.2 percent) vs Nasdaq-Mini previous week (15.5 percent)
Russell2000-Mini (-1.1 percent) vs Russell2000-Mini previous week (3.6 percent)
Nikkei USD (35.0 percent) vs Nikkei USD previous week (25.1 percent)
EAFE-Mini (-26.0 percent) vs EAFE-Mini previous week (-20.1 percent)

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Individual Stock Market Charts:

VIX Volatility Futures:

The VIX Volatility large speculator standing this week came in at a net position of -5,745 contracts in the data reported through Tuesday. This was a weekly gain of 11,552 contracts from the previous week which had a total of -17,297 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 89.4 percent. The commercials are Bearish-Extreme with a score of 10.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 81.5 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:	28.7	43.9	10.3
– Percent of Open Interest Shorts:	30.9	42.8	9.3
– Net Position:	-5,745	3,019	2,726
– Gross Longs:	78,508	119,924	28,192
– Gross Shorts:	84,253	116,905	25,466
– Long to Short Ratio:	0.9 to 1	1.0 to 1	1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	89.4	10.5	81.5
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	10.8	-14.0	23.4

 

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S&P500 Mini Futures:

The S&P500 Mini large speculator standing this week came in at a net position of -75,935 contracts in the data reported through Tuesday. This was a weekly fall of -12,838 contracts from the previous week which had a total of -63,097 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 64.4 percent. The commercials are Bearish with a score of 40.3 percent and the small traders (not shown in chart) are Bullish with a score of 53.0 percent.

Price Trend-Following Model: Downtrend

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

S&P500 Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	11.8	74.5	10.7
– Percent of Open Interest Shorts:	15.2	72.9	8.9
– Net Position:	-75,935	36,396	39,539
– Gross Longs:	260,930	1,646,290	236,445
– Gross Shorts:	336,865	1,609,894	196,906
– Long to Short Ratio:	0.8 to 1	1.0 to 1	1.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	64.4	40.3	53.0
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-28.2	38.0	-38.7

 

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Dow Jones Mini Futures:

The Dow Jones Mini large speculator standing this week came in at a net position of 887 contracts in the data reported through Tuesday. This was a weekly lift of 646 contracts from the previous week which had a total of 241 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 38.6 percent and the small traders (not shown in chart) are Bearish with a score of 47.2 percent.

Price Trend-Following Model: Downtrend

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

Dow Jones Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	12.2	66.2	12.2
– Percent of Open Interest Shorts:	11.1	66.0	13.6
– Net Position:	887	217	-1,104
– Gross Longs:	9,623	52,324	9,616
– Gross Shorts:	8,736	52,107	10,720
– Long to Short Ratio:	1.1 to 1	1.0 to 1	0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	61.7	38.6	47.2
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-1.9	6.8	-21.0

 

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Nasdaq Mini Futures:

The Nasdaq Mini large speculator standing this week came in at a net position of 37,680 contracts in the data reported through Tuesday. This was a weekly gain of 5,886 contracts from the previous week which had a total of 31,794 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 97.6 percent. The commercials are Bearish-Extreme with a score of 13.5 percent and the small traders (not shown in chart) are Bullish with a score of 53.5 percent.

Price Trend-Following Model: Downtrend

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

Nasdaq Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	31.7	53.4	13.8
– Percent of Open Interest Shorts:	16.1	68.8	14.0
– Net Position:	37,680	-37,245	-435
– Gross Longs:	76,663	129,366	33,405
– Gross Shorts:	38,983	166,611	33,840
– Long to Short Ratio:	2.0 to 1	0.8 to 1	1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	97.6	13.5	53.5
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	23.2	10.2	-46.5

 

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Russell 2000 Mini Futures:

The Russell 2000 Mini large speculator standing this week came in at a net position of -6,719 contracts in the data reported through Tuesday. This was a weekly fall of -7,398 contracts from the previous week which had a total of 679 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 77.4 percent. The commercials are Bearish with a score of 21.0 percent and the small traders (not shown in chart) are Bullish with a score of 56.9 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:	17.9	72.0	8.2
– Percent of Open Interest Shorts:	19.4	73.1	5.8
– Net Position:	-6,719	-4,795	11,514
– Gross Longs:	83,303	334,265	38,247
– Gross Shorts:	90,022	339,060	26,733
– Long to Short Ratio:	0.9 to 1	1.0 to 1	1.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	77.4	21.0	56.9
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-1.1	-0.6	7.2

 

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Nikkei Stock Average (USD) Futures:

The Nikkei Stock Average (USD) large speculator standing this week came in at a net position of 1,904 contracts in the data reported through Tuesday. This was a weekly rise 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: Downtrend

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

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

 

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MSCI EAFE Mini Futures:

The MSCI EAFE Mini large speculator standing this week came in at a net position of -11,050 contracts in the data reported through Tuesday. This was a weekly rise of 15,219 contracts from the previous week which had a total of -26,269 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 74.0 percent. The commercials are Bearish with a score of 34.5 percent and the small traders (not shown in chart) are Bearish with a score of 37.9 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:	9.0	88.4	2.2
– Percent of Open Interest Shorts:	11.4	87.0	1.3
– Net Position:	-11,050	6,859	4,191
– Gross Longs:	41,995	412,914	10,383
– Gross Shorts:	53,045	406,055	6,192
– Long to Short Ratio:	0.8 to 1	1.0 to 1	1.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	74.0	34.5	37.9
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-26.0	25.9	-14.5

 

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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.