COT Stock Market Charts: Weekly Speculator Changes led by S&P500-Mini & VIX

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 June 20th 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 higher this week as six out of the seven stock markets we cover had higher positioning while the other two markets had lower speculator contracts.

Leading the gains for the stock markets was S&P500-Mini (92,082 contracts) with MSCI EAFE-Mini (12,769 contracts), VIX (6,365 contracts), Nasdaq-Mini (313 contracts) and Russell-Mini (3,187 contracts) also showing positive weeks.

The markets with the declines in speculator bets this week were DowJones-Mini (-279 contracts) and Nikkei 225 (-421 contracts) also registering lower bets on the week.

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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 (84 percent) and the VIX (75 percent) lead the stock markets this week. The Nikkei 225 Yen (72 percent) comes in as the next highest in the weekly strength scores.

On the downside, the Nikkei 225 (23 percent) and MSCI EAFE-Mini (25 percent) come in at the lowest strength level currently.

Strength Statistics:
VIX (74.9 percent) vs VIX previous week (70.2 percent)
S&P500-Mini (29.1 percent) vs S&P500-Mini previous week (15.3 percent)
DowJones-Mini (29.0 percent) vs DowJones-Mini previous week (29.8 percent)
Nasdaq-Mini (84.0 percent) vs Nasdaq-Mini previous week (83.8 percent)
Russell2000-Mini (28.3 percent) vs Russell2000-Mini previous week (26.4 percent)
Nikkei USD (23.2 percent) vs Nikkei USD previous week (26.0 percent)
EAFE-Mini (24.8 percent) vs EAFE-Mini previous week (9.2 percent)

 

S&P500-Mini & DowJones-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 S&P500-Mini (20 percent) leads the past six weeks trends for the stock markets. The DowJones-Mini (12 percent), the Nikkei 225 Yen (9 percent) and the VIX (5 percent) are the next highest positive movers in the latest trends data.

The Nikkei 225 (-28 percent) leads the downside trend scores currently with the Russell-Mini (-8 percent) coming in as the next market with lower trend scores.

Strength Trend Statistics:
VIX (5.0 percent) vs VIX previous week (9.2 percent)
S&P500-Mini (20.4 percent) vs S&P500-Mini previous week (3.6 percent)
DowJones-Mini (11.7 percent) vs DowJones-Mini previous week (15.3 percent)
Nasdaq-Mini (-3.0 percent) vs Nasdaq-Mini previous week (1.3 percent)
Russell2000-Mini (-7.8 percent) vs Russell2000-Mini previous week (-9.9 percent)
Nikkei USD (-28.3 percent) vs Nikkei USD previous week (-23.5 percent)
EAFE-Mini (-4.2 percent) vs EAFE-Mini previous week (-15.4 percent)

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Individual Stock Market Charts:

VIX Volatility Futures:

The VIX Volatility large speculator standing this week totaled a net position of -61,056 contracts in the data reported through Tuesday. This was a weekly increase of 6,365 contracts from the previous week which had a total of -67,421 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 74.9 percent. The commercials are Bearish-Extreme with a score of 19.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 96.4 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

VIX Volatility Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	22.3	51.7	6.8
– Percent of Open Interest Shorts:	35.7	38.3	6.8
– Net Position:	-61,056	60,933	123
– Gross Longs:	101,721	235,290	31,096
– Gross Shorts:	162,777	174,357	30,973
– Long to Short Ratio:	0.6 to 1	1.3 to 1	1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	74.9	19.6	96.4
– Strength Index Reading (3 Year Range):	Bullish	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	5.0	-7.2	16.3

 

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S&P500 Mini Futures:

The S&P500 Mini large speculator standing this week totaled a net position of -239,331 contracts in the data reported through Tuesday. This was a weekly increase of 92,082 contracts from the previous week which had a total of -331,413 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 29.1 percent. The commercials are Bullish with a score of 74.2 percent and the small traders (not shown in chart) are Bearish with a score of 40.9 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

S&P500 Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	9.5	77.2	10.9
– Percent of Open Interest Shorts:	20.2	66.0	11.4
– Net Position:	-239,331	248,779	-9,448
– Gross Longs:	210,230	1,716,868	243,154
– Gross Shorts:	449,561	1,468,089	252,602
– 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):	29.1	74.2	40.9
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	20.4	-20.6	4.4

 

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Dow Jones Mini Futures:

The Dow Jones Mini large speculator standing this week totaled a net position of -15,859 contracts in the data reported through Tuesday. This was a weekly decline of -279 contracts from the previous week which had a total of -15,580 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 29.0 percent. The commercials are Bullish with a score of 67.2 percent and the small traders (not shown in chart) are Bearish with a score of 41.0 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Dow Jones Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	22.0	62.3	14.5
– Percent of Open Interest Shorts:	40.0	43.6	15.1
– Net Position:	-15,859	16,453	-594
– Gross Longs:	19,335	54,798	12,713
– Gross Shorts:	35,194	38,345	13,307
– Long to Short Ratio:	0.5 to 1	1.4 to 1	1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	29.0	67.2	41.0
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	11.7	-17.1	20.9

 

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Nasdaq Mini Futures:

The Nasdaq Mini large speculator standing this week totaled a net position of 15,993 contracts in the data reported through Tuesday. This was a weekly advance of 313 contracts from the previous week which had a total of 15,680 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 84.0 percent. The commercials are Bearish with a score of 21.0 percent and the small traders (not shown in chart) are Bearish with a score of 40.1 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Nasdaq Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	29.1	53.3	15.9
– Percent of Open Interest Shorts:	22.6	56.9	18.8
– Net Position:	15,993	-8,872	-7,121
– Gross Longs:	71,956	132,040	39,361
– Gross Shorts:	55,963	140,912	46,482
– Long to Short Ratio:	1.3 to 1	0.9 to 1	0.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	84.0	21.0	40.1
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-3.0	1.3	6.2

 

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Russell 2000 Mini Futures:

The Russell 2000 Mini large speculator standing this week totaled a net position of -72,709 contracts in the data reported through Tuesday. This was a weekly lift of 3,187 contracts from the previous week which had a total of -75,896 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 70.3 percent and the small traders (not shown in chart) are Bearish with a score of 31.9 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

Russell 2000 Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	9.6	84.6	4.5
– Percent of Open Interest Shorts:	23.3	71.2	4.2
– Net Position:	-72,709	70,994	1,715
– Gross Longs:	51,027	449,033	24,098
– Gross Shorts:	123,736	378,039	22,383
– Long to Short Ratio:	0.4 to 1	1.2 to 1	1.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	28.3	70.3	31.9
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-7.8	2.2	28.0

 

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Nikkei Stock Average (USD) Futures:

The Nikkei Stock Average (USD) large speculator standing this week totaled a net position of -7,029 contracts in the data reported through Tuesday. This was a weekly decline of -421 contracts from the previous week which had a total of -6,608 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 23.2 percent. The commercials are Bullish with a score of 68.7 percent and the small traders (not shown in chart) are Bearish with a score of 48.9 percent.

Price Trend-Following Model: Strong Uptrend

Our weekly trend-following model classifies the current market price position as: Strong Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

Nikkei Stock Average Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	13.2	61.1	25.7
– Percent of Open Interest Shorts:	55.1	29.0	16.0
– Net Position:	-7,029	5,392	1,637
– Gross Longs:	2,214	10,254	4,319
– Gross Shorts:	9,243	4,862	2,682
– Long to Short Ratio:	0.2 to 1	2.1 to 1	1.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	23.2	68.7	48.9
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-28.3	23.4	6.1

 

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MSCI EAFE Mini Futures:

The MSCI EAFE Mini large speculator standing this week totaled a net position of -15,922 contracts in the data reported through Tuesday. This was a weekly boost of 12,769 contracts from the previous week which had a total of -28,691 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 24.8 percent. The commercials are Bullish with a score of 70.1 percent and the small traders (not shown in chart) are Bullish with a score of 50.8 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

MSCI EAFE Mini Futures Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	5.7	90.7	2.9
– Percent of Open Interest Shorts:	9.6	88.5	1.2
– Net Position:	-15,922	9,145	6,777
– Gross Longs:	23,336	372,953	11,738
– Gross Shorts:	39,258	363,808	4,961
– Long to Short Ratio:	0.6 to 1	1.0 to 1	2.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	24.8	70.1	50.8
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-4.2	8.4	-17.6

 

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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.