VIX Speculators trimmed their bearish bets for 3rd time in 4 weeks

November 21, 2020

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VIX Futures Sentiment: Updated Data Through: November 17 2020

VIX Large Trader Net Positions:

VIX Non-Commercial Speculator Positions:

Large volatility speculators slightly cut back on their bearish net positions in the VIX futures markets this week, according to the latest Commitment of Traders (COT) data released by the Commodity Futures Trading Commission (CFTC) on Friday.

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The non-commercial futures contracts of VIX futures, traded by large speculators and hedge funds, totaled a net position of -87,172 contracts in the data reported through November 17 2020. This was a weekly change of 2,302 net contracts from the previous week which had a total of -89,474 net contracts.

The week’s net position was the result of the gross bullish position (longs) gaining by just 78 contracts (to a weekly total of 41,646 contracts) while the gross bearish position (shorts) fell by -2,224 contracts for the week (to a total of 128,818 contracts).

The VIX speculative position has now seen lower bearish positions in three out of the past four weeks. Previously, bearish bets had risen above the -100,000 net contract level for three straight weeks and hit a thirty-five week high on October 20th.

The large speculators Strength Index level (chart below), the current score for traders compared to levels of the past three years, shows that specs are currently at a Bearish level with a score of 42.1 percent.

Speculators are seen as trend followers and usually trade in tandem with the price direction. At the extreme levels, specs are also very important to watch as they have a tendency to bet the wrong way (that the trend will continue to even more extreme levels).

TRADER TYPE DATA:	SPECULATORS
– Percent of Open Interest Longs:	14.7
– Percent of Open Interest Shorts:	45.5
– Net Position:	-87,172
– Gross Longs:	41,646
– Gross Shorts:	128,818
– Long to Short Ratio:	0.3 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	42.1
– COT Index Reading (3 Year Range):	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	2.0

Current Trader Positions as Percent of Open Interest:

Commercial Trader Positions:

The commercial traders position this week came in at a total net position of 90,772 contracts. This was a weekly change of 1,238 contracts from the total net of 89,534 contracts reported the previous week.

The commercials Strength Index level, a score that measures the contract levels of the past three years within a range of 0 to 100, shows that Commercials are currently at a Bullish level with a score of 57.2 percent.

At the extreme levels, commercials are very important to watch as they have a tendency to be correct at the major turning points in price trends.

TRADER TYPE DATA:	COMMERCIALS
– Percent of Open Interest Longs:	62.2
– Percent of Open Interest Shorts:	30.1
– Net Position:	90,772
– Gross Longs:	175,978
– Gross Shorts:	85,206
– Long to Short Ratio:	2.1 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	57.2
– COT Index Reading (3 Year Range):	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-1.3

Small Trader Positions:

The small traders position this week totaled a net position of -3,600 contracts. This was a weekly change of -3,540 contracts from the total net of -60 contracts reported the previous week.

The small traders Strength Index level shows that smalls are currently at a Bullish level with a score of 72.3 percent.

Small traders are less important to watch (in most cases) as their numbers tend to be just a small part of the total trading open interest.

TRADER TYPE DATA:	SMALL TRADERS
– Percent of Open Interest Longs:	6.1
– Percent of Open Interest Shorts:	7.4
– Net Position:	-3,600
– Gross Longs:	17,263
– Gross Shorts:	20,863
– Long to Short Ratio:	0.8 to 1
NET POSITION TREND:
– COT Index Score (3 Year Range Pct):	72.3
– COT Index Reading (3 Year Range):	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-3.9

*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) as well as the commercial traders (hedgers & traders for business purposes) 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). Find CFTC criteria here: (http://www.cftc.gov/MarketReports/CommitmentsofTraders/ExplanatoryNotes/index.htm).

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