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 January 24th 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
The COT stock markets speculator bets were lower this week as just two out of the seven stock markets we cover had higher positioning while the other five markets had lower speculator contracts.
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Leading the gains for the stock markets was the S&P500-Mini (17,827 contracts) with the DowJones-Mini (647 contracts) also showing a positive week.
The markets with the declines in speculator bets this week were MSCI EAFE-Mini (-5,924 contracts) with the Nasdaq-Mini (-4,628 contracts), Russell-Mini (-4,486 contracts), Nikkei 225 (-887 contracts) and the VIX (-794 contracts) also registering lower bets on the week.
| Jan-24-2023 | OI | OI-Index | Spec-Net | Spec-Index | Com-Net | COM-Index | Smalls-Net | Smalls-Index |
|---|---|---|---|---|---|---|---|---|
| S&P500-Mini | 2,024,437 | 2 | -208,991 | 17 | 202,765 | 77 | 6,226 | 28 |
| Nikkei 225 | 14,537 | 11 | -4,712 | 55 | 5,546 | 57 | -834 | 18 |
| Nasdaq-Mini | 273,887 | 56 | -25,261 | 61 | 37,079 | 49 | -11,818 | 30 |
| DowJones-Mini | 77,652 | 39 | -9,966 | 28 | 12,227 | 73 | -2,261 | 29 |
| VIX | 295,825 | 36 | -53,149 | 76 | 58,259 | 24 | -5,110 | 67 |
| Nikkei 225 Yen | 32,904 | 5 | 6,480 | 54 | -3,912 | 0 | -2,568 | 76 |
Strength Scores led by VIX & Nasdaq-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 VIX (76 percent) and the Nasdaq-Mini (61 percent) lead the stock markets this week. The Nikkei 225 (55 percent) and Nikkei 225 Yen (54 percent) come in as the next highest in the weekly strength scores.
On the downside, the MSCI EAFE-Mini (2 percent) comes in at the lowest strength level currently and is in Extreme-Bearish territory (below 20 percent). The next lowest strength score is the S&P500-Mini (17 percent).
Strength Statistics:
VIX (76.0 percent) vs VIX previous week (76.5 percent)
S&P500-Mini (17.5 percent) vs S&P500-Mini previous week (14.2 percent)
DowJones-Mini (28.3 percent) vs DowJones-Mini previous week (27.3 percent)
Nasdaq-Mini (60.9 percent) vs Nasdaq-Mini previous week (63.5 percent)
Russell2000-Mini (30.3 percent) vs Russell2000-Mini previous week (32.9 percent)
Nikkei USD (55.1 percent) vs Nikkei USD previous week (59.3 percent)
EAFE-Mini (2.4 percent) vs EAFE-Mini previous week (9.7 percent)
VIX & 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 VIX (21 percent) leads the past six weeks trends for the stock markets. The S&P500-Mini (4 percent) and the DowJones-Mini (4 percent) are the next highest positive movers in the latest trends data.
The Nasdaq-Mini (-25 percent) leads the downside trend scores currently with the MSCI EAFE-Mini (-24 percent) coming in as the next market with lower trend scores.
Strength Trend Statistics:
VIX (20.6 percent) vs VIX previous week (15.3 percent)
S&P500-Mini (3.9 percent) vs S&P500-Mini previous week (-4.3 percent)
DowJones-Mini (3.9 percent) vs DowJones-Mini previous week (1.5 percent)
Nasdaq-Mini (-24.8 percent) vs Nasdaq-Mini previous week (-19.1 percent)
Russell2000-Mini (-2.1 percent) vs Russell2000-Mini previous week (6.1 percent)
Nikkei USD (-10.0 percent) vs Nikkei USD previous week (-6.1 percent)
EAFE-Mini (-23.7 percent) vs EAFE-Mini previous week (-26.2 percent)
Individual Stock Market Charts:
VIX Volatility Futures:
The VIX Volatility large speculator standing this week resulted in a net position of -53,149 contracts in the data reported through Tuesday. This was a weekly decrease of -794 contracts from the previous week which had a total of -52,355 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 76.0 percent. The commercials are Bearish with a score of 23.9 percent and the small traders (not shown in chart) are Bullish with a score of 66.5 percent.
| VIX Volatility Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 17.9 | 56.0 | 6.7 |
| – Percent of Open Interest Shorts: | 35.8 | 36.3 | 8.4 |
| – Net Position: | -53,149 | 58,259 | -5,110 |
| – Gross Longs: | 52,816 | 165,673 | 19,828 |
| – Gross Shorts: | 105,965 | 107,414 | 24,938 |
| – Long to Short Ratio: | 0.5 to 1 | 1.5 to 1 | 0.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 76.0 | 23.9 | 66.5 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 20.6 | -18.2 | -12.7 |
S&P500 Mini Futures:
The S&P500 Mini large speculator standing this week resulted in a net position of -208,991 contracts in the data reported through Tuesday. This was a weekly rise of 17,827 contracts from the previous week which had a total of -226,818 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-Extreme with a score of 17.5 percent. The commercials are Bullish with a score of 77.3 percent and the small traders (not shown in chart) are Bearish with a score of 27.7 percent.
| S&P500 Mini Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 12.4 | 73.4 | 12.1 |
| – Percent of Open Interest Shorts: | 22.7 | 63.4 | 11.8 |
| – Net Position: | -208,991 | 202,765 | 6,226 |
| – Gross Longs: | 250,474 | 1,485,629 | 244,122 |
| – Gross Shorts: | 459,465 | 1,282,864 | 237,896 |
| – Long to Short Ratio: | 0.5 to 1 | 1.2 to 1 | 1.0 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 17.5 | 77.3 | 27.7 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 3.9 | -1.3 | -2.3 |
Dow Jones Mini Futures:
The Dow Jones Mini large speculator standing this week resulted in a net position of -9,966 contracts in the data reported through Tuesday. This was a weekly boost of 647 contracts from the previous week which had a total of -10,613 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 28.3 percent. The commercials are Bullish with a score of 73.5 percent and the small traders (not shown in chart) are Bearish with a score of 29.2 percent.
| Dow Jones Mini Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 27.2 | 50.9 | 17.9 |
| – Percent of Open Interest Shorts: | 40.0 | 35.1 | 20.8 |
| – Net Position: | -9,966 | 12,227 | -2,261 |
| – Gross Longs: | 21,106 | 39,500 | 13,893 |
| – Gross Shorts: | 31,072 | 27,273 | 16,154 |
| – Long to Short Ratio: | 0.7 to 1 | 1.4 to 1 | 0.9 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 28.3 | 73.5 | 29.2 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 3.9 | -11.6 | 28.0 |
Nasdaq Mini Futures:
The Nasdaq Mini large speculator standing this week resulted in a net position of -25,261 contracts in the data reported through Tuesday. This was a weekly fall of -4,628 contracts from the previous week which had a total of -20,633 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 60.9 percent. The commercials are Bearish with a score of 49.3 percent and the small traders (not shown in chart) are Bearish with a score of 29.7 percent.
| Nasdaq Mini Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 22.0 | 63.4 | 12.0 |
| – Percent of Open Interest Shorts: | 31.2 | 49.8 | 16.3 |
| – Net Position: | -25,261 | 37,079 | -11,818 |
| – Gross Longs: | 60,241 | 173,611 | 32,846 |
| – Gross Shorts: | 85,502 | 136,532 | 44,664 |
| – Long to Short Ratio: | 0.7 to 1 | 1.3 to 1 | 0.7 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 60.9 | 49.3 | 29.7 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -24.8 | 30.7 | -10.3 |
Russell 2000 Mini Futures:
The Russell 2000 Mini large speculator standing this week resulted in a net position of -67,401 contracts in the data reported through Tuesday. This was a weekly reduction of -4,486 contracts from the previous week which had a total of -62,915 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 30.3 percent. The commercials are Bullish with a score of 65.8 percent and the small traders (not shown in chart) are Bearish with a score of 45.5 percent.
| Russell 2000 Mini Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 8.9 | 83.7 | 6.2 |
| – Percent of Open Interest Shorts: | 24.8 | 69.2 | 4.7 |
| – Net Position: | -67,401 | 61,283 | 6,118 |
| – Gross Longs: | 37,737 | 354,541 | 26,065 |
| – Gross Shorts: | 105,138 | 293,258 | 19,947 |
| – Long to Short Ratio: | 0.4 to 1 | 1.2 to 1 | 1.3 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 30.3 | 65.8 | 45.5 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -2.1 | 2.0 | -0.1 |
Nikkei Stock Average (USD) Futures:
The Nikkei Stock Average (USD) large speculator standing this week resulted in a net position of -4,712 contracts in the data reported through Tuesday. This was a weekly decline of -887 contracts from the previous week which had a total of -3,825 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 55.1 percent. The commercials are Bullish with a score of 57.4 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 17.9 percent.
| Nikkei Stock Average Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 19.2 | 63.8 | 16.9 |
| – Percent of Open Interest Shorts: | 51.6 | 25.7 | 22.7 |
| – Net Position: | -4,712 | 5,546 | -834 |
| – Gross Longs: | 2,786 | 9,279 | 2,461 |
| – Gross Shorts: | 7,498 | 3,733 | 3,295 |
| – Long to Short Ratio: | 0.4 to 1 | 2.5 to 1 | 0.7 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 55.1 | 57.4 | 17.9 |
| – Strength Index Reading (3 Year Range): | Bullish | Bullish | Bearish-Extreme |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -10.0 | 21.0 | -26.1 |
MSCI EAFE Mini Futures:
The MSCI EAFE Mini large speculator standing this week resulted in a net position of -34,202 contracts in the data reported through Tuesday. This was a weekly lowering of -5,924 contracts from the previous week which had a total of -28,278 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-Extreme with a score of 2.4 percent. The commercials are Bullish-Extreme with a score of 91.8 percent and the small traders (not shown in chart) are Bullish with a score of 78.9 percent.
| MSCI EAFE Mini Futures Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 6.5 | 89.8 | 3.0 |
| – Percent of Open Interest Shorts: | 15.5 | 82.7 | 1.2 |
| – Net Position: | -34,202 | 27,075 | 7,127 |
| – Gross Longs: | 24,429 | 339,047 | 11,492 |
| – Gross Shorts: | 58,631 | 311,972 | 4,365 |
| – Long to Short Ratio: | 0.4 to 1 | 1.1 to 1 | 2.6 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 2.4 | 91.8 | 78.9 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -23.7 | 26.8 | -21.1 |
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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