08 Jan

COT Stock Market Speculators bring VIX Volatility bearish bets back to November levels

January 8, 2022

By InvestMacro | COT | Data Tables | COT Leaders | Downloads | COT Newsletter

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 January 4th 2022 and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets.

Highlighting the COT stock market data is the two-week ramp up in the VIX Volatility futures bearish bets. The speculative net position in the VIX futures saw bearish bets rise by over 13,000 contracts for a second week in a row following four weeks of declining bearish bets. Speculators have now been betting on less volatility (for S&P500) in these past two weeks and have pushed their bearish standing back up to the highest level since November 30th.

The stock markets that saw higher speculator bets this week were S&P500 Mini (5,738 contracts), Dow Jones Industrial Average Mini (8,392 contracts), Nasdaq Mini (7,621 contracts), Russell 2000 Mini (4,506 contracts), Nikkei 225 USD (263 contracts) and the MSCI EAFE Mini (18,905 contracts).

The markets with lower speculator bets this week were VIX (-13,259 contracts) and the MSCI Emerging Markets Mini (-2,219 contracts).

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Data Snapshot of Stock Market Traders | Columns Legend
Jan-04-2022OIOI-IndexSpec-NetSpec-IndexCom-NetCOM-IndexSmalls-NetSmalls-Index
S&P500-Mini2,297,2902109,03285-152,3563943,32435
Nikkei 22515,7644-7,532426,8896464335
Nasdaq-Mini210,9311921,72587-26,892105,16756
DowJones-Mini101,757727,23445-9,171511,93749
VIX301,75427-60,4547669,41927-8,96522
Nikkei 225 Yen44,197207102413,24670-13,95651

 

VIX Volatility Futures:

VIX Volatility Futures COT ChartThe VIX Volatility large speculator standing this week was a net position of -60,454 contracts in the data reported through Tuesday. This was a weekly fall of -13,259 contracts from the previous week which had a total of -47,195 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 75.7 percent. The commercials are Bearish with a score of 26.8 percent and the small traders (not shown in chart) are Bearish with a score of 22.4 percent.

VIX Volatility Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:19.351.16.5
– Percent of Open Interest Shorts:39.328.19.4
– Net Position:-60,45469,419-8,965
– Gross Longs:58,107154,29219,512
– Gross Shorts:118,56184,87328,477
– Long to Short Ratio:0.5 to 11.8 to 10.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):75.726.822.4
– Strength Index Reading (3 Year Range):BullishBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:10.3-10.54.5

 

S&P500 Mini Futures:

SP500 Mini Futures COT ChartThe S&P500 Mini large speculator standing this week was a net position of 109,032 contracts in the data reported through Tuesday. This was a weekly lift of 5,738 contracts from the previous week which had a total of 103,294 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 85.4 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 35.5 percent.

S&P500 Mini Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:17.768.711.7
– Percent of Open Interest Shorts:13.075.39.8
– Net Position:109,032-152,35643,324
– Gross Longs:407,7061,577,841268,686
– Gross Shorts:298,6741,730,197225,362
– Long to Short Ratio:1.4 to 10.9 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):85.438.635.5
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.1-0.53.7

 

Dow Jones Mini Futures:

Dow Jones Mini Futures COT ChartThe Dow Jones Mini large speculator standing this week was a net position of 7,234 contracts in the data reported through Tuesday. This was a weekly increase of 8,392 contracts from the previous week which had a total of -1,158 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 with a score of 44.9 percent. The commercials are Bullish with a score of 51.1 percent and the small traders (not shown in chart) are Bearish with a score of 48.8 percent.

Dow Jones Mini Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:41.243.015.2
– Percent of Open Interest Shorts:34.152.013.3
– Net Position:7,234-9,1711,937
– Gross Longs:41,88343,75315,436
– Gross Shorts:34,64952,92413,499
– Long to Short Ratio:1.2 to 10.8 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):44.951.148.8
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:11.7-4.7-29.8

 

Nasdaq Mini Futures:

Nasdaq Mini Futures COT ChartThe Nasdaq Mini large speculator standing this week was a net position of 21,725 contracts in the data reported through Tuesday. This was a weekly gain of 7,621 contracts from the previous week which had a total of 14,104 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 87.2 percent. The commercials are Bearish-Extreme with a score of 10.0 percent and the small traders (not shown in chart) are Bullish with a score of 55.6 percent.

Nasdaq Mini Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:33.046.618.8
– Percent of Open Interest Shorts:22.759.316.4
– Net Position:21,725-26,8925,167
– Gross Longs:69,55298,22739,737
– Gross Shorts:47,827125,11934,570
– Long to Short Ratio:1.5 to 10.8 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):87.210.055.6
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-3.5-2.523.3

 

Russell 2000 Mini Futures:

Russell 2000 Mini Futures COT ChartThe Russell 2000 Mini large speculator standing this week was a net position of -15,793 contracts in the data reported through Tuesday. This was a weekly increase of 4,506 contracts from the previous week which had a total of -20,299 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 with a score of 49.6 percent. The commercials are Bearish with a score of 46.3 percent and the small traders (not shown in chart) are Bullish with a score of 68.7 percent.

Russell 2000 Mini Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:16.176.36.6
– Percent of Open Interest Shorts:19.575.73.8
– Net Position:-15,7933,15512,638
– Gross Longs:73,156347,53330,107
– Gross Shorts:88,949344,37817,469
– Long to Short Ratio:0.8 to 11.0 to 11.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):49.646.368.7
– Strength Index Reading (3 Year Range):BearishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:3.91.7-23.8

 

Nikkei Stock Average (USD) Futures:

Nikkei Stock Average (USD) Futures COT ChartThe Nikkei Stock Average (USD) large speculator standing this week was a net position of -7,532 contracts in the data reported through Tuesday. This was a weekly increase of 263 contracts from the previous week which had a total of -7,795 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 with a score of 41.7 percent. The commercials are Bullish with a score of 64.2 percent and the small traders (not shown in chart) are Bearish with a score of 35.0 percent.

Nikkei Stock Average Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:10.461.528.2
– Percent of Open Interest Shorts:58.117.824.1
– Net Position:-7,5326,889643
– Gross Longs:1,6339,6904,441
– Gross Shorts:9,1652,8013,798
– Long to Short Ratio:0.2 to 13.5 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):41.764.235.0
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-39.445.0-8.8

 

MSCI EAFE Mini Futures:

MSCI EAFE Mini Futures COT ChartThe MSCI EAFE Mini large speculator standing this week was a net position of 24,195 contracts in the data reported through Tuesday. This was a weekly lift of 18,905 contracts from the previous week which had a total of 5,290 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 with a score of 45.5 percent. The commercials are Bullish with a score of 51.4 percent and the small traders (not shown in chart) are Bearish with a score of 48.3 percent.

MSCI EAFE Mini Futures StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:8.388.72.7
– Percent of Open Interest Shorts:2.095.91.7
– Net Position:24,195-27,7753,580
– Gross Longs:31,913342,00510,299
– Gross Shorts:7,718369,7806,719
– Long to Short Ratio:4.1 to 10.9 to 11.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):45.551.448.3
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:25.5-22.6-14.9

 

Article By InvestMacro – Receive our weekly COT Reports by Email

*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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