Weekly COT Stock Market Speculator bets led by S&P500-Mini & MSCI EAFE-Mini

January 7, 2023

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 3rdand 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 & MSCI EAFE-Mini

The COT stock markets speculator bets were higher this week as all of the eight stock markets we cover had higher positioning.


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Leading the gains for the stock markets was S&P500-Mini (6,980 contracts) with the MSCI EAFE-Mini (6,738 contracts), Russell-Mini (4,563 contracts), Nikkei 225 (1,633 contracts), Nikkei 225 Yen (992 contracts), Nasdaq-Mini (190 contracts), DowJones-Mini (154 contracts) and the VIX (415 contracts) also showing positive weeks.


Data Snapshot of Stock Market Traders | Columns Legend
Jan-03-2023 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
S&P500-Mini 2,010,996 2 -167,301 25 166,552 72 749 27
Nikkei 225 11,889 3 -2,974 63 2,892 44 82 29
Nasdaq-Mini 244,658 39 1,362 76 4,177 29 -5,539 42
DowJones-Mini 79,731 42 -11,891 25 16,039 79 -4,148 19
VIX 297,329 33 -68,000 67 75,329 35 -7,329 56
Nikkei 225 Yen 38,248 17 6,205 53 75 10 -6,280 68

 


Strength Scores led by Nasdaq-Mini & VIX

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 (76 percent) and the VIX (67 percent) lead the stock markets this week. The Nikkei 225 (63 percent) and Nikkei 225 Yen (53 percent) come in as the next highest in the weekly strength scores.

On the downside, the DowJones-Mini (25 percent) and the S&P500-Mini (25 percent) come in at the lowest strength levels currently.

Strength Statistics:
VIX (67.3 percent) vs VIX previous week (67.0 percent)
S&P500-Mini (25.2 percent) vs S&P500-Mini previous week (23.9 percent)
DowJones-Mini (25.2 percent) vs DowJones-Mini previous week (24.9 percent)
Nasdaq-Mini (75.8 percent) vs Nasdaq-Mini previous week (75.7 percent)
Russell2000-Mini (30.6 percent) vs Russell2000-Mini previous week (28.1 percent)
Nikkei USD (63.3 percent) vs Nikkei USD previous week (55.6 percent)
EAFE-Mini (36.1 percent) vs EAFE-Mini previous week (28.0 percent)

 

MSCI EAFE-Mini & Nikkei 225 Yen 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 (27 percent) leads the past six weeks trends for the stock markets. The S&P500-Mini (4.5 percent) comes in as the next highest positive mover in the latest trends data.

The DowJones-Mini (-8 percent) leads the downside trend scores currently with the Nikkei 225 (-5 percent) coming in as the next market with lower trend scores.

Strength Trend Statistics:
VIX (-3.1 percent) vs VIX previous week (-2.4 percent)
S&P500-Mini (4.5 percent) vs S&P500-Mini previous week (5.3 percent)
DowJones-Mini (-8.2 percent) vs DowJones-Mini previous week (-2.1 percent)
Nasdaq-Mini (-0.9 percent) vs Nasdaq-Mini previous week (3.6 percent)
Russell2000-Mini (-0.2 percent) vs Russell2000-Mini previous week (-1.1 percent)
Nikkei USD (-5.0 percent) vs Nikkei USD previous week (-13.6 percent)
EAFE-Mini (26.9 percent) vs EAFE-Mini previous week (25.0 percent)


Individual Stock Market Charts:

VIX Volatility Futures:

The VIX Volatility large speculator standing this week resulted in a net position of -68,000 contracts in the data reported through Tuesday. This was a weekly boost of 415 contracts from the previous week which had a total of -68,415 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 67.3 percent. The commercials are Bearish with a score of 35.1 percent and the small traders (not shown in chart) are Bullish with a score of 55.8 percent.

VIX Volatility Futures Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 19.1 56.6 6.4
– Percent of Open Interest Shorts: 41.9 31.3 8.9
– Net Position: -68,000 75,329 -7,329
– Gross Longs: 56,713 168,326 18,988
– Gross Shorts: 124,713 92,997 26,317
– Long to Short Ratio: 0.5 to 1 1.8 to 1 0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 67.3 35.1 55.8
– Strength Index Reading (3 Year Range): Bullish Bearish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -3.1 4.0 -6.8

 


S&P500 Mini Futures:

The S&P500 Mini large speculator standing this week resulted in a net position of -167,301 contracts in the data reported through Tuesday. This was a weekly rise of 6,980 contracts from the previous week which had a total of -174,281 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 25.2 percent. The commercials are Bullish with a score of 72.4 percent and the small traders (not shown in chart) are Bearish with a score of 26.5 percent.

S&P500 Mini Futures Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 13.0 73.3 11.6
– Percent of Open Interest Shorts: 21.3 65.1 11.5
– Net Position: -167,301 166,552 749
– Gross Longs: 261,260 1,474,811 232,853
– Gross Shorts: 428,561 1,308,259 232,104
– Long to Short Ratio: 0.6 to 1 1.1 to 1 1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 25.2 72.4 26.5
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 4.5 -3.9 0.9

 


Dow Jones Mini Futures:

The Dow Jones Mini large speculator standing this week resulted in a net position of -11,891 contracts in the data reported through Tuesday. This was a weekly gain of 154 contracts from the previous week which had a total of -12,045 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 25.2 percent. The commercials are Bullish with a score of 79.2 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 19.5 percent.

Dow Jones Mini Futures Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 31.7 51.3 14.5
– Percent of Open Interest Shorts: 46.6 31.2 19.7
– Net Position: -11,891 16,039 -4,148
– Gross Longs: 25,248 40,900 11,541
– Gross Shorts: 37,139 24,861 15,689
– Long to Short Ratio: 0.7 to 1 1.6 to 1 0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 25.2 79.2 19.5
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -8.2 2.7 18.5

 


Nasdaq Mini Futures:

The Nasdaq Mini large speculator standing this week resulted in a net position of 1,362 contracts in the data reported through Tuesday. This was a weekly gain of 190 contracts from the previous week which had a total of 1,172 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 75.8 percent. The commercials are Bearish with a score of 29.1 percent and the small traders (not shown in chart) are Bearish with a score of 41.7 percent.

Nasdaq Mini Futures Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 24.4 59.6 14.1
– Percent of Open Interest Shorts: 23.9 57.9 16.4
– Net Position: 1,362 4,177 -5,539
– Gross Longs: 59,802 145,713 34,484
– Gross Shorts: 58,440 141,536 40,023
– Long to Short Ratio: 1.0 to 1 1.0 to 1 0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 75.8 29.1 41.7
– Strength Index Reading (3 Year Range): Bullish Bearish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -0.9 0.5 1.8

 


Russell 2000 Mini Futures:

The Russell 2000 Mini large speculator standing this week resulted in a net position of -65,361 contracts in the data reported through Tuesday. This was a weekly boost of 4,563 contracts from the previous week which had a total of -69,924 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 30.6 percent. The commercials are Bullish with a score of 69.4 percent and the small traders (not shown in chart) are Bearish with a score of 27.5 percent.

Russell 2000 Mini Futures Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 10.1 83.6 5.1
– Percent of Open Interest Shorts: 25.1 68.6 5.0
– Net Position: -65,361 65,079 282
– Gross Longs: 43,799 363,125 21,973
– Gross Shorts: 109,160 298,046 21,691
– Long to Short Ratio: 0.4 to 1 1.2 to 1 1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 30.6 69.4 27.5
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -0.2 3.0 -16.3

 


Nikkei Stock Average (USD) Futures:

The Nikkei Stock Average (USD) large speculator standing this week resulted in a net position of -2,974 contracts in the data reported through Tuesday. This was a weekly boost of 1,633 contracts from the previous week which had a total of -4,607 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 63.3 percent. The commercials are Bearish with a score of 44.1 percent and the small traders (not shown in chart) are Bearish with a score of 29.4 percent.

Nikkei Stock Average Futures Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 21.9 52.5 25.6
– Percent of Open Interest Shorts: 47.0 28.2 24.9
– Net Position: -2,974 2,892 82
– Gross Longs: 2,609 6,242 3,038
– Gross Shorts: 5,583 3,350 2,956
– Long to Short Ratio: 0.5 to 1 1.9 to 1 1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 63.3 44.1 29.4
– Strength Index Reading (3 Year Range): Bullish Bearish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -5.0 5.3 -0.0

 


MSCI EAFE Mini Futures:

The MSCI EAFE Mini large speculator standing this week resulted in a net position of -5,996 contracts in the data reported through Tuesday. This was a weekly gain of 6,738 contracts from the previous week which had a total of -12,734 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 36.1 percent. The commercials are Bullish with a score of 60.4 percent and the small traders (not shown in chart) are Bullish with a score of 70.5 percent.

MSCI EAFE Mini Futures Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 4.8 91.7 3.1
– Percent of Open Interest Shorts: 6.5 91.7 1.3
– Net Position: -5,996 -9 6,005
– Gross Longs: 16,843 320,467 10,720
– Gross Shorts: 22,839 320,476 4,715
– Long to Short Ratio: 0.7 to 1 1.0 to 1 2.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 36.1 60.4 70.5
– Strength Index Reading (3 Year Range): Bearish Bullish Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 26.9 -28.8 16.1

 


Article By InvestMacroReceive 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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