Weekly Speculator Changes led by S&P500-Mini & 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 March 4th 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 & VIX

The COT stock markets speculator bets were overall slightly 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 (64,882 contracts) with the VIX (28,878 contracts), the Russell-Mini (16,757 contracts) and the DowJones-Mini (2,021 contracts) also having positive weeks.

The markets with the declines in speculator bets this week were the Nasdaq-Mini (-4,011 contracts), the MSCI EAFE-Mini (-1,914 contracts) and with the Nikkei 225 (-780 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 S&P500-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 S&P500-Mini (84 percent) and the Russell-Mini (79 percent) lead the stock markets this week. The Nikkei 225 (75 percent) and MSCI EAFE-Mini (75 percent) come in as the next highest in the weekly strength scores.

The VIX (60 percent) the comes in at the lowest strength level currently but is above the 3-year midpoint of 50 percent.

Strength Statistics:
VIX (59.9 percent) vs VIX previous week (33.7 percent)
S&P500-Mini (83.7 percent) vs S&P500-Mini previous week (72.1 percent)
DowJones-Mini (62.1 percent) vs DowJones-Mini previous week (58.8 percent)
Nasdaq-Mini (72.9 percent) vs Nasdaq-Mini previous week (79.1 percent)
Russell2000-Mini (78.9 percent) vs Russell2000-Mini previous week (67.4 percent)
Nikkei USD (74.5 percent) vs Nikkei USD previous week (81.2 percent)
EAFE-Mini (75.1 percent) vs EAFE-Mini previous week (77.9 percent)

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MSCI EAFE-Mini & S&P500-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 MSCI EAFE-Mini (28 percent) leads the past six weeks trends for the stock markets. The S&P500-Mini (19 percent), the Nikkei 225 (18 percent) and the Russell-Mini (11 percent) are the next highest positive movers in the latest trends data.

The VIX (-11 percent) leads the downside trend scores currently with the DowJones-Mini (-2.0 percent) coming in as the next market with lower trend scores.

Strength Trend Statistics:
VIX (-11.0 percent) vs VIX previous week (-38.4 percent)
S&P500-Mini (19.4 percent) vs S&P500-Mini previous week (-0.4 percent)
DowJones-Mini (-2.0 percent) vs DowJones-Mini previous week (-3.8 percent)
Nasdaq-Mini (5.1 percent) vs Nasdaq-Mini previous week (23.6 percent)
Russell2000-Mini (11.2 percent) vs Russell2000-Mini previous week (-13.8 percent)
Nikkei USD (17.9 percent) vs Nikkei USD previous week (25.0 percent)
EAFE-Mini (27.8 percent) vs EAFE-Mini previous week (24.6 percent)

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Individual Stock Market Charts:

VIX Volatility Futures:

The VIX Volatility large speculator standing this week resulted in a net position of -40,225 contracts in the data reported through Tuesday. This was a weekly jump by 28,878 contracts from the previous week which had a total of -69,103 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 59.9 percent. The commercials are Bearish with a score of 42.2 percent and the small traders (not shown in chart) are Bullish with a score of 78.0 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:	22.3	47.3	8.0
– Percent of Open Interest Shorts:	32.6	37.0	8.0
– Net Position:	-40,225	40,231	-6
– Gross Longs:	87,215	184,876	31,279
– Gross Shorts:	127,440	144,645	31,285
– Long to Short Ratio:	0.7 to 1	1.3 to 1	1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	59.9	42.2	78.0
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-11.0	12.6	-10.9

 

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S&P500 Mini Futures:

The S&P500 Mini large speculator standing this week resulted in a net position of 32,103 contracts in the data reported through Tuesday. This was a weekly lift of 64,882 contracts from the previous week which had a total of -32,779 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 83.7 percent. The commercials are Bearish-Extreme with a score of 9.9 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 90.8 percent.

Price Trend-Following Model: Weak Uptrend

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

S&P500 Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	16.8	68.0	13.2
– Percent of Open Interest Shorts:	15.3	75.7	7.0
– Net Position:	32,103	-167,315	135,212
– Gross Longs:	366,510	1,483,119	287,647
– Gross Shorts:	334,407	1,650,434	152,435
– Long to Short Ratio:	1.1 to 1	0.9 to 1	1.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	83.7	9.9	90.8
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	19.4	-16.0	-0.4

 

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Dow Jones Mini Futures:

The Dow Jones Mini large speculator standing this week resulted in a net position of 1,110 contracts in the data reported through Tuesday. This was a weekly rise of 2,021 contracts from the previous week which had a total of -911 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 62.1 percent. The commercials are Bearish with a score of 34.6 percent and the small traders (not shown in chart) are Bullish with a score of 62.3 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:	20.3	59.3	18.4
– Percent of Open Interest Shorts:	18.8	62.6	16.5
– Net Position:	1,110	-2,519	1,409
– Gross Longs:	15,227	44,551	13,813
– Gross Shorts:	14,117	47,070	12,404
– Long to Short Ratio:	1.1 to 1	0.9 to 1	1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	62.1	34.6	62.3
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-2.0	4.4	-10.9

 

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Nasdaq Mini Futures:

The Nasdaq Mini large speculator standing this week resulted in a net position of 21,766 contracts in the data reported through Tuesday. This was a weekly lowering of -4,011 contracts from the previous week which had a total of 25,777 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 72.9 percent. The commercials are Bearish-Extreme with a score of 10.3 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 89.8 percent.

Price Trend-Following Model: Weak Uptrend

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

Nasdaq Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	28.7	53.9	15.6
– Percent of Open Interest Shorts:	21.2	67.9	9.2
– Net Position:	21,766	-40,222	18,456
– Gross Longs:	82,749	155,447	44,972
– Gross Shorts:	60,983	195,669	26,516
– Long to Short Ratio:	1.4 to 1	0.8 to 1	1.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	72.9	10.3	89.8
– Strength Index Reading (3 Year Range):	Bullish	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	5.1	-3.8	0.6

 

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Russell 2000 Mini Futures:

The Russell 2000 Mini large speculator standing this week resulted in a net position of -4,574 contracts in the data reported through Tuesday. This was a weekly gain of 16,757 contracts from the previous week which had a total of -21,331 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 78.9 percent. The commercials are Bearish with a score of 21.7 percent and the small traders (not shown in chart) are Bearish with a score of 47.4 percent.

Price Trend-Following Model: Strong Downtrend

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

Russell 2000 Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	15.0	73.3	7.0
– Percent of Open Interest Shorts:	16.0	74.1	5.2
– Net Position:	-4,574	-3,580	8,154
– Gross Longs:	66,840	326,541	31,232
– Gross Shorts:	71,414	330,121	23,078
– 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):	78.9	21.7	47.4
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	11.2	-3.8	-29.2

 

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Nikkei Stock Average (USD) Futures:

The Nikkei Stock Average (USD) large speculator standing this week resulted in a net position of -661 contracts in the data reported through Tuesday. This was a weekly reduction of -780 contracts from the previous week which had a total of 119 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 74.5 percent. The commercials are Bearish with a score of 30.3 percent and the small traders (not shown in chart) are Bearish with a score of 45.2 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:	1.9	75.5	21.6
– Percent of Open Interest Shorts:	7.9	70.6	20.6
– Net Position:	-661	553	108
– Gross Longs:	215	8,400	2,402
– Gross Shorts:	876	7,847	2,294
– Long to Short Ratio:	0.2 to 1	1.1 to 1	1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	74.5	30.3	45.2
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	17.9	-15.0	1.1

 

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MSCI EAFE Mini Futures:

The MSCI EAFE Mini large speculator standing this week resulted in a net position of -11,821 contracts in the data reported through Tuesday. This was a weekly reduction of -1,914 contracts from the previous week which had a total of -9,907 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 75.1 percent. The commercials are Bearish with a score of 33.0 percent and the small traders (not shown in chart) are Bearish with a score of 48.1 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:	11.3	85.6	2.9
– Percent of Open Interest Shorts:	14.0	84.3	1.4
– Net Position:	-11,821	5,592	6,229
– Gross Longs:	49,088	371,895	12,435
– Gross Shorts:	60,909	366,303	6,206
– 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):	75.1	33.0	48.1
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	27.8	-26.8	14.6

 

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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.